It has been argued that keiretsu affiliation among Japanese firms gives rise to more stable management practices which result in more stable but lower average profits for member firms relative to independent firms. Using financial market performance data, such as the volatility of share prices,...

In this paper, we develop a model of earnings management that sheds light onto empirical regularities in the behavior of institutions and insiders. We link the earnings management decision to insiders' stake and show how this may impact analysts' forecast accuracy and institutional trading. More...

In this paper, we conduct a simulation analysis of the Fama and MacBeth (1973) two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the...

Analyzing all publicly traded U.S. stocks for 2014-2021, using intraday data from TAQ, TRACE, I/B/E/S, and Capital IQ, using daily data from CRSP, Compustat, CRSP-Compustat Merged Database, and FRED, I find that abnormal reactions are systemically all out of the system within two hours after a...

In this paper, we propose a state-dependent VaR (SDVaR) to estimate spill over effects among different financial institutions. We permit spill-over effects to change depending on the state of financial markets. We show that spill-over effects only exist during crisis periods; in calm times spill...

It has been frequently observed that office markets are subject to particularly high fluctuations in rents and vacancy levels, thus exposing real estate investors to considerable risk regarding expected future income streams. This paper analyzes the determinants of office rents and their...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

The Scale-Efficiency version of the Efficient-Structure Hypothesis and the Structure-Conduct-Performance Hypothesis find empirical support in German banking data from 1998 to 2002. Due to the acceptance of the two hypotheses and the existence of overall economies of scale, we conclude that...

In this paper, we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance...

This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...