This study examines the relationship between corporate social responsibility and financial performance by analyzing the intra-industry wealth impact of additions and deletions to the Domini Social 400 index. Results from the event study analysis indicate that additions to the index generate a positive share price response for the announcement firm and a negative response by rival firms. The opposite reaction is observed for index deletions. Additionally, the share price response is more pronounced for informationally opaque industries. Our study highlights the importance of external monitoring agencies in providing meaningful information that helps resolve investor uncertainty regarding the quality of a firm's relationships with its primary stakeholders.

This article uses the Case‐Shiller U.S. Home Price Indices to analyze spatial dependencies across 16 metropolitan markets for the period January 1989 to June 2006. Return transmission patterns establish New York, San Francisco and Miami as among the most influential markets. In terms of volatility linkages, there is a considerable amount of transmission in the East between New York, Boston and Washington, DC, and innovations in the housing markets of Miami, Los Angeles and San Francisco play an influential role within their respective regions. In comparison, markets in the Central and Mountain regions appear to be relatively independent from external influences. Overall, the linkages appear to be more intensive during the active phase of the real estate market (1999–2006) than during the calm phase (1989–1998).

a b s t r a c tThis paper uses intra-day data for the period 2002 through 2008 to examine the intensity, direction, and speed of impact of US macroeconomic news announcements on the return, volatility and trading volume of three important commodities -gold, silver and copper futures. We find that the response of metal futures to economic news surprises is both swift and significant, with the 8:30 am set of announcements -in particular, nonfarm payrolls and durable goods orders -having the largest impact. Furthermore, announcements that reflect an unexpected improvement in the economy tend to have a negative impact on gold and silver prices; however, they tend to have a positive effect on copper prices. In comparison, realized volatility and volume for all three metals are positively influenced by economic news. Finally, there is evidence that several news announcements exert an asymmetric impact on market activity variables.

This paper identi…es factors that are in ‡uential in forecasting crude oil prices. We consider six categories of factors (supply, demand, …nancial market, commodities market, speculative, and geopolitical) and test their signi…cance in the context of estimating various forecasting models. We …nd that the Least Absolute Shrinkage and Selection Operator (LASSO) regression method provides signi…cant improvements in the forecasting accuracy of prices compared to alternative benchmarks. Relative to the no-change and future-based models, LASSO forecasts at the 8-step ahead horizon yield signi…cant reductions in Mean Squared Prediction Error (MSPE), with MSPE ratios of 0.873 and 0.898, respectively. We also document substantial improvements in forecasting performance of the factor-based model that employs only a subset of variables chosen by LASSO. Finally, the time-varying nature of the relationship between factors and oil prices are used to explain recent movements in crude oil prices.

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This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses intraday data, sampled at 5-minute frequency, for four currencies for the period 2005-2010. Results indicate that currency jumps are a good proxy for news arrival. We find 9-15% of currency jumps can be directly linked to U.S. announcements. Notably, news can explain 22-56% of the 5-minute jump returns, and there is evidence that better-than-expected news about the U.S. economy has a negative impact on currency jumps. Cojump statistics suggest close dependencies among European currencies, especially between the euro and the Swiss franc. We also provide evidence on the uncertainty resolution to news.

The characterization of return distributions and forecast of asset-price variability play a critical role in the study of financial markets. This study estimates four measures of integrated volatility-daily absolute returns, realized volatility, realized bipower volatility, and integrated volatility via Fourier transformation (IVFT)-for gold, silver, and copper by using high-frequency data for the period 1999 through 2008. The distributional properties are investigated by applying recently developed jump detection procedures and by constructing financial-time return series. The predictive ability of a GARCH (1, 1) forecasting model that uses various volatility measures is also examined. Three important findings are reported. First, the magnitude of the IVFT volatility estimate is the greatest among the four volatility measures. Second, the return distributions of the three markets are not normal. However, when returns are standardized by IVFT and realized volatility, the corresponding return distributions bear closer resemblance to a normal distribution. Notably, the application of financial-time sampling technique is helpful in obtaining a normal distribution. Finally, the IVFT and realized volatility proxies produce the smallest forecasting errors, and increasing the time frequency of estimating integrated volatility does not necessarily improve forecast accuracy.