This paper proposes an estimator of factor strength and establishes its consistency and asymptotic distribution. The proposed estimator is based on the number of statistically significant factor loadings, taking account of the multiple testing problem. We focus on the case where the factors are...

The credit risk on the bond market is characterized by the possible default of a counterparty, but also by changes in the spread following a perceived deterioration, by the market, of the credit quality of the issuer. This thesis focuses on credit spreads on corporate bond market in euros....

Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the...

Standard measures of PE performance based on cash flows overlook discount rate risk. An index constructed from prices paid in secondary market transactions indicates that PE discount rates vary considerably. While the standard alpha for our index is zero, measures of performance based on cash...

The accession to the European Union has had a significant impact on the Romanian capital market. In this paper are presented some aspects of the capital market which are influenced by the mentioned event, such as a harmonized legislation with EU legislation and restructured capital market...

Previous studies have used the stock market approach to find the aggregate number of (firms with) foreign exchange exposures in a given country, region, or industry. Methodologies have differed in many aspects but two of the most basic differences relate to observation frequency and the choice...