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Expect the unexpected: Did the equity markets anticipate the Russo-Ukrainian war?
16 references·1 citing·38 second hop
Expect the unexpected: Did the equity markets anticipate the Russo-Ukrainian war? (2023)Expect the unexpected: Did the equity mar…Proximity to War: The Stock Market Response to the Russian Invasion of Ukraine (2024)Proximity to War: The Stock M…The Russia-Ukraine war: Implications for global and regional food security and potential policy responses (2023)The Russia-Ukraine war: Impli…The Russia-Ukraine conflict and volatility risk of commodity markets (2022)The Russia-Ukraine conflict a…The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach (2022)The reaction of G20+ stock ma…The impact of the Ukraine–Russia war on world stock market returns (2022)The impact of the Ukraine–Rus…The impact of the Russia-Ukraine conflict on the connectedness of financial markets (2022)The impact of the Russia-Ukra…Measuring Geopolitical Risk (2022)Measuring Geopolitical RiskHeterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine (2022)Heterogeneous impacts of wars…Economic costs of the Russia‐Ukraine war (2022)Economic costs of the Russia‐…Asymmetric effects of geopolitical risk on major currencies: Russia-Ukraine tensions (2022)Asymmetric effects of geopoli…An Index of Global Economic Policy Uncertainty (2016)An Index of Global Economic P…Parallels Between the Cross-Sectional Predictability of Stock and Country Returns (1997)Parallels Between the Cross-S…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…ESG unpacked: Environmental, social, and governance pillars and the stock price reaction to the invasion of Ukraine (2024)ESG unpacked: Environmental, …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Irreversibility, Uncertainty, and Cyclical Investment (1980)The Role of Monetary Policy (1995)Measuring Economic Policy Uncertainty* (2016)Commodity Price Volatility and the Economic Uncertainty of Pandemics (2020)How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics (2020)The cryptocurrency uncertainty index (2021)Industry costs of equity (1997)The Impact of Uncertainty Shocks (2009)Russia–Ukraine crisis: The effects on the European stock market (2022)Advancing green finance: a review of sustainable development (2023)The impact of the Russian-Ukrainian war on global financial markets (2023)Sentiment and stock prices: The case of aviation disasters (2009)Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach (2022)The impact of the Russia-Ukraine conflict on energy firms: A capital market perspective (2022)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)A new index of financial conditions (2014)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Using daily stock returns (1985)A nonparametric test for abnormal security-price performance in event studies (1989)The Unprecedented Stock Market Reaction to COVID-19 (2020)A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach (1984)Event Studies in Economics and Finance (1997)The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets (2022)What makes firms vulnerable to the Russia–Ukraine crisis? (2022)Are the European Union stock markets vulnerable to the Russia–Ukraine war? (2023)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2022Measuring Geopolitical Risk4,303 cited
  • 2022The impact of the Ukraine–Russia war on world stock market returns569 cited
  • 2022Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine522 cited
  • 2016An Index of Global Economic Policy Uncertainty502 cited
  • 2022The impact of the Russia-Ukraine conflict on the connectedness of financial markets428 cited
  • 2022The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach377 cited
  • 2022Economic costs of the Russia‐Ukraine war372 cited
  • 2022The Russia-Ukraine conflict and volatility risk of commodity markets269 cited
  • 2023The Russia-Ukraine war: Implications for global and regional food security and potential policy responses237 cited
  • 1997Parallels Between the Cross-Sectional Predictability of Stock and Country Returns219 cited
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Asymmetric effects of geopolitical risk on major currencies: Russia-Ukraine tensions
113 cited
  • 2024Proximity to War: The Stock Market Response to the Russian Invasion of Ukraine85 cited
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    • 2024ESG unpacked: Environmental, social, and governance pillars and the stock price reaction to the invasion of Ukraine22 cited