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‘Too central to fail’ firms in bi-layered financial networks: evidence of linkages from the US corporate bond and stock markets
(Indian Institute of Management Ahmedabad, 2020-06-02)
Complex mutual dependencies of asset returns are recognized to contribute to systemic risk. A growing literature emphasizes that identification of vulnerable firms is a fundamental requirement for mitigating systemic risk ...
A minimum buyback requirement in open market repurchases: impact on the signalling role
(Indian Institute of Management Ahmedabad, 2021-04-02)
The paper investigates the impact of the imposition of a minimum buyback requirement on open market repurchases in India. We find that the regulatory change has led to a significant increase in the abnormal stock returns ...
Arbitrage constraints and behaviour of volatility components: evidence from a natural experiment
(Indian Institute of Management Ahmedabad, 2022-10-06)
Short-selling constraints are known to impede information flow into the financial
markets, particularly that of negative information. We employ “Regulation SHO” as
a natural experiment to examine how the lowering of short ...
Risk information - normal markets and the COVID-19 pandemic period
(Indian Institute of Management Ahmedabad, 2022-10-06)
The paper investigates how the market infers changes in the firm-level discount rate
(risk information) in normal and turbulent times. The study focuses on two key sources
of risk information, earnings announcements of ...