All Outputs (28)

Does it pay to be employee-owned? On the performance of knowledge-intensive firms. (2024)
Journal Article
GHIMIRE, B. [2024]. Does it pay to be employee-owned? On the performance of knowledge-intensive firms. Employee relations [online], (accepted). Available from: https://doi.org/10.1108/ER-01-2024-0046

This paper aims to examine the stock market performance of knowledge-intensive employee-owned firms. It constructs a portfolio comprising stocks of employee-owned wealth management companies listed in the UK Employee Ownership Index. A simple equal-w... Read More about Does it pay to be employee-owned? On the performance of knowledge-intensive firms..

When Bitcoin is high: cryptocurrency value, illicit markets and US marijuana bills. (2024)
Journal Article
SHANAEV, S., JOHNSON, E., VASENIN, M., PANTA, H. and GHIMIRE, B. 2024. When Bitcoin is high: cryptocurrency value, illicit markets and US marijuana bills. Journal of financial regulation and compliance [online], 32(4), pages 501-515. Available from: https://doi.org/10.1108/JFRC-09-2023-0146

The purpose of this paper is to estimate the implications of illicit market use for the value of Bitcoin in an event studies framework. This study uses a data set of 58 state-level marijuana decriminalisation and legalisation bills and referenda in t... Read More about When Bitcoin is high: cryptocurrency value, illicit markets and US marijuana bills..

Analyst herding-whether, why, and when? Two new tests for herding detection in target forecast prices. (2023)
Journal Article
REVELEY, C., SHANAEV, S., BIN, Y., PANTA, H. and GHIMIRE, B. 2023. Analyst herding-whether, why, and when? Two new tests for herding detection in target forecast prices. Economics and business review [online], 9(4), pages 25-55. Available from: https://doi.org/10.18559/ebr.2023.4.892

This study proposes two novel tests for security analyst herding based on binomial correlation and forecast error volatility scaling and applies it to investigate herding patterns in analyst target prices in 2008-2020 in the UK. Analysts robustly her... Read More about Analyst herding-whether, why, and when? Two new tests for herding detection in target forecast prices..

A generalised seasonality test and applications for cryptocurrency and stock market seasonality. (2022)
Journal Article
SHANAEV, S. and GHIMIRE, B. 2022. A generalised seasonality test and applications for cryptocurrency and stock market seasonality. Quarterly review of economics and finance [online], 86, pages 172-185. Available from: https://doi.org/10.1016/j.qref.2022.07.002

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows to test for existence of any seasonal patterns against the broad null hypothesi... Read More about A generalised seasonality test and applications for cryptocurrency and stock market seasonality..

When ESG meets AAA: the effect of ESG rating changes on stock returns. (2021)
Journal Article
SHANAEV, S. and GHIMIRE, B. 2022. When ESG meets AAA: the effect of ESG rating changes on stock returns. Finance research letters [online], 46(A), article number 102302. Available from: https://doi.org/10.1016/j.frl.2021.102302

This study is the first to employ calendar-time portfolio methodology to investigate the impact of 748 ESG rating changes on stock returns of US firms over 2016–2021. While ESG rating upgrades lead to positive yet inconsistently significant abnormal... Read More about When ESG meets AAA: the effect of ESG rating changes on stock returns..

Effects of official versus online review ratings. (2021)
Journal Article
GHIMIRE, B., SHANAEV, S. and LIN, Z. 2022. Effects of official versus online review ratings. Annals of tourism research [online], 92, article number 103247. Available from: https://doi.org/10.1016/j.annals.2021.103247

The rating systems of tourism and hospitality services are instrumental for both businesses and consumers. Businesses use them to determine their promotion and pricing strategies, while consumers rely on them to make an informed decision. These syste... Read More about Effects of official versus online review ratings..

A fitting return to fitting returns: cryptocurrency distributions revisited. [Working paper] (2021)
Preprint / Working Paper
SHANAEV, S. and GHIMIRE, B. 2021. A fitting return to fitting returns: cryptocurrency distributions revisited. [Working paper]. SSRN [online]. Available from: https://doi.org/10.2139/ssrn.3847351

This study fits 22 theoretical distribution functions, four of them originally derived, onto 772 cryptocurrency daily returns with goodness-of-fit evaluated using Cramer-von Mises, Anderson-Darling, Kuiper, Kolmogorov-Smirnov, and Chi-squared tests,... Read More about A fitting return to fitting returns: cryptocurrency distributions revisited. [Working paper].

A generalised seasonality test and applications for stock market seasonality. [Working paper] (2020)
Preprint / Working Paper
SHANAEV, S. and GHIMIRE, B. 2020. A generalised seasonality test and applications for stock market seasonality. [Working paper]. SSRN [online]. Available from: https://doi.org/10.2139/ssrn.3722154

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows both to test for existence of any seasonal patterns against the broad null hypo... Read More about A generalised seasonality test and applications for stock market seasonality. [Working paper].

Efficient scholars: academic attention and the disappearance of anomalies. (2020)
Journal Article
SHANAEV, S. and GHIMIRE, B. 2021. Efficient scholars: academic attention and the disappearance of anomalies. European journal of finance [online], 27(3), pages 278-304. Available from: https://doi.org/10.1080/1351847X.2020.1812684

This study examines the dynamics of ten most notable stock market anomalies through 1926–2018 and assesses the joint impact of academic attention, post-publication decay, data-snooping bias, institutional trading, and time trend on their disappearanc... Read More about Efficient scholars: academic attention and the disappearance of anomalies..

To float or to sink? Revisiting the causal effects of exchange rate regimes. [Working paper] (2020)
Preprint / Working Paper
SHURAEVA, A., SHANAEV, S. and GHIMIRE, B. 2020. To float or to sink? Revisiting the causal effects of exchange rate regimes. [Working paper]. SSRN [online]. Available from: https://doi.org/10.2139/ssrn.3633069

This study proposes a novel instrumental variable construction procedure based on international trade concentration that has a sufficiently strong first stage for exchange rate policy choice globally and applies it to revisit the causal effects of ex... Read More about To float or to sink? Revisiting the causal effects of exchange rate regimes. [Working paper].

The financial pandemic: COVID-19 and policy interventions on rational and irrational markets. [Working paper] (2020)
Preprint / Working Paper
SHANAEV, S., SHURAEVA, A. and GHIMIRE, B. 2020. The financial pandemic: COVID-19 and policy interventions on rational and irrational markets. [Working paper]. SSRN [online]. Available from: https://doi.org/10.2139/ssrn.3589557

Financial markets are useful indicators of public beliefs and dispersed knowledge on future outcomes and policy efficiency, especially in periods of uncertainty. 51 national stock markets successfully absorb publicly available information regarding C... Read More about The financial pandemic: COVID-19 and policy interventions on rational and irrational markets. [Working paper].

Socially responsible investment and market performance: the case of energy and resource companies. (2019)
Journal Article
BRZESZCZYŃSKI, J., GHIMIRE, B., JAMASB, T. and MCINTOSH, G. 2019. Socially responsible investment and market performance: the case of energy and resource companies. Energy journal [online], 40(5), pages 17-72. Available from: https://doi.org/10.5547/01956574.40.5.jbrz

Do financial markets reward the energy and resource companies for adopting socially responsible practices? In this study, we investigate the stock market performance of major international energy and resource firms, classified within the socially res... Read More about Socially responsible investment and market performance: the case of energy and resource companies..

Taming the blockchain beast? Regulatory implications for the cryptocurrency market. (2019)
Journal Article
SHANAEV, S., SHARMA, S., GHIMIRE, B. and SHURAEVA, A. 2020. Taming the blockchain beast? Regulatory implications for the cryptocurrency market. Research in international business and finance [online], 51, article number 101080. Available from: https://doi.org/10.1016/j.ribaf.2019.101080

This paper uses a unique dataset of 120 regulatory events from five classes to test the relevance of the regulatory framework for cryptocurrency value. Time-series market-wide estimates and panel estimates for 300 individual coins and tokens show sta... Read More about Taming the blockchain beast? Regulatory implications for the cryptocurrency market..

The marginal cost of mining, Metcalfe's law and cryptocurrency value formation: causal inferences from the instrumental variable approach. [Working paper] (2019)
Preprint / Working Paper
SHANAEV, S., SHARMA, S., SHURAEVA, A. and GHIMIRE, B. 2019. The marginal cost of mining, Metcalfe's law and cryptocurrency value formation: causal inferences from the instrumental variable approach. [Working paper]. SSRN [online]. Available from: https://doi.org/10.2139/ssrn.3432431

This paper is the first to rigorously test commonly cited simplistic theories of cryptocurrency pricing, namely, cost-based model and Metcalfe's law, using causal inferences from the instrumental variables approach on block-level data for six proof-o... Read More about The marginal cost of mining, Metcalfe's law and cryptocurrency value formation: causal inferences from the instrumental variable approach. [Working paper].

Taming the blockchain beast? Regulatory implications for the cryptocurrency market. [Working paper] (2019)
Preprint / Working Paper
SHANAEV, S., SHARMA, S., SHURAEVA, A. and GHIMIRE, B. 2019. Taming the blockchain beast? Regulatory implications for the cryptocurrency market. [Working paper]. SSRN [online]. Available from: https://doi.org/10.2139/ssrn.3397939

This paper uses a unique dataset of 120 regulatory events from five classes to test the relevance of the regulatory framework for cryptocurrency value. Time-series market-wide estimates and panel estimates for 300 individual coins and tokens show sta... Read More about Taming the blockchain beast? Regulatory implications for the cryptocurrency market. [Working paper].

Explaining stock returns in Nepal: application of single and multi-factor models. (2016)
Journal Article
KARKI, D. and GHIMIRE, B. 2016. Explaining stock returns in Nepal: application of single and multi-factor models. Journal of finance and investment analysis [online], 5(3), pages 59-77. Available from: https://www.scienpress.com/journal_focus.asp?main_id=69&Sub_id=IV&Issue=1911

This paper investigates the relevance of CAPM single factor and Fama-French three factor (Fama-French) models to explain the return for cross sectional portfolios in the context of Nepalese stock market. We use stock market data and treasury bill rat... Read More about Explaining stock returns in Nepal: application of single and multi-factor models..

Testing the weak-form efficiency of agriculture's capital markets. (2016)
Journal Article
GHIMIRE, B., ANNUSSEK, K., HARVEY, J. and SHARMA, S. 2016. Testing the weak-form efficiency of agriculture's capital markets. Economics and business review [online], 2(2), pages 3-17. Available from: https://doi.org/10.18559/ebr.2016.2.1

This paper investigates the empirical validity of the weak-form Efficient Market Hypothesis [EMH] in global equity markets for agriculture. We examine whether developed agriculture markets are more efficient than emerging agriculture markets. We test... Read More about Testing the weak-form efficiency of agriculture's capital markets..

Systematic risk determinants of stock returns after financial crisis: evidence from United Kingdom. (2016)
Journal Article
TRINH, V.Q., KARKI, D. and GHIMIRE, B. 2016. Systematic risk determinants of stock returns after financial crisis: evidence from United Kingdom. Journal of finance and investment analysis [online], 5(1), pages 1-28. Available from: https://www.scienpress.com/journal_focus.asp?main_id=69&Sub_id=IV&Issue=1736

This paper provides an empirical analysis of FTSE100 stock returns during the period of 2009 to 2013 with an aim to assess the relevancy of Fama-French three factor model post financial crisis of 2008. FTSE100 index was chosen in particular as it is... Read More about Systematic risk determinants of stock returns after financial crisis: evidence from United Kingdom..

Socially responsible investment and market performance: the case of energy and resource firms. [Working paper] (2016)
Preprint / Working Paper
BRZESZCZYŃSKI, J., GHIMIRE, B., JAMASB, T. and MCINTOSH, G. 2016. Socially responsible investment and market performance: the case of energy and resource firms. [Working paper]. Energy Policy Research Group working papers, EPRG 1605; Cambridge working papers in economics, CWPE 1609. Hosted on Judge Business School website [online]. Available from: https://www.jbs.cam.ac.uk/wp-content/uploads/2024/04/eprg-wp1605.pdf

Energy and resource companies have a crucial role in achieving future sustainable economies. We investigate the performance of international Socially Responsible Investment (SRI) energy and resource companies on the stock market over a 10-year period... Read More about Socially responsible investment and market performance: the case of energy and resource firms. [Working paper].

Banks, non-bank companies and stock exchange: do we know the relationship? (2015)
Journal Article
GHIMIRE, B., GAUTAM, R., KARKI, D. and SHARMA, S. 2015. Banks, non-bank companies and stock exchange: do we know the relationship? Economics and business review [online], 1(4), pages 25-45. Available from: https://doi.org/10.18559/ebr.2015.4.3

This paper investigates the role played by the banking sector in founding, sustaining and developing stock exchange markets. The paper has constructed data on market capitalisation separately for banks and non-bank companies. We apply cointegration t... Read More about Banks, non-bank companies and stock exchange: do we know the relationship?.