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Liquidity Risk Premia in the International Shipping Derivatives Market

Alizadeh, Amir; Kappou, Konstantina; Tsouknidis, Dimitris; … - Henley Business School, University of Reading - 2014

The study examines the existence of liquidity risk premia on freight derivatives returns. The Amihud liquidity ratio … and bid-ask spreads are utilized to assess the existence of liquidity premia. Other macroeconomic variables are used to … control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in …

Persistent link: https://www.econbiz.de/10011210427

Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options

Avino, Davide; Lazar, Emese; Varotto, Simone - Henley Business School, University of Reading - 2011

Credit spreads can be derived from the prices of securities traded in different markets. In this paper we investigate the price discovery process in single-name credit spreads obtained from bonds, credit default swaps, equities and equity options. Using a vector error correction model (VECM) of...

Persistent link: https://www.econbiz.de/10010838040

Time Varying Volatility and the Cross-Section of Equity Returns

Brooks, Chris; Li, Xiafei; Miffre, Joelle - Henley Business School, University of Reading - 2009

A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. This paper demonstrates that the cross-sectional...

Persistent link: https://www.econbiz.de/10008542375

Momentum Profits and Time-Varying Unsystematic Risk

Li, Xiafei; Brooks, Chris; Miffre, Joelle - Henley Business School, University of Reading - 2006

This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Consistent with rational pricing in efficient markets, we reveal that momentum profits are a compensation for time-varying unsystematic risks, common...

Persistent link: https://www.econbiz.de/10005178161

The Value Premium and Time-Varying Unsystematic Risk

Brooks, Chris; Li, Xiafei; Miffre, Joelle - Henley Business School, University of Reading - 2007

Recent research has discussed the possible role of unsystematic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns...

Persistent link: https://www.econbiz.de/10005558315

Is there a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices

Kappou, Konstantina; Oikonomou, Ioannis - Henley Business School, University of Reading - 2012

This study investigates the financial effects of additions to and deletions from two of the most well-known social stock indices: the Calvert social index and the MSCI KLD 400 index. By examining not only short-term abnormal returns but also trading activity, earnings per share and long-term...

Persistent link: https://www.econbiz.de/10010838051

The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance

Brooks, Chris; Kappou, Konstantina; Ward, Charles - Henley Business School, University of Reading - 2007

The advent of index tracking early in the 1970s and the continuous growth of assets tied to the S&P 500 index have enforced perceptions of the importance of becoming an index-member, due to increased demand by index fund participants for the stocks involved in index composition changes. This...

Persistent link: https://www.econbiz.de/10005558319

Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect

Brooks, Chris; Kappou, Konstantina; Ward, Charles - Henley Business School, University of Reading - 2004

This study examines the abnormal returns, trading activity and long term performance of stocks that were added to the S&P 500 Index during the period 1990 to 2002. By using a three-factor pricing model that allows for firm size and value characteristics as well as market risk, we are able to...

Persistent link: https://www.econbiz.de/10005558322

The Effects of Corporate and Country Sustainability Characteristics on the Cost of Debt: An International Investigation

Hoepner, Andreas; Oikonomou, Ioannis; Scholtens, Bert; … - Henley Business School, University of Reading - 2014

We investigate the relationship between corporate and country sustainability on the cost of bank loans. We look into 470 loan agreements signed between 2005 and 2012 with borrowers based on 28 different countries across the world and operating in all major industries. Our principal findings...

Persistent link: https://www.econbiz.de/10011210428

Office Rent Determinants: a Hedonic Panel Analysis

Fuerst, Franz - Henley Business School, University of Reading - 2008

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...

Persistent link: https://www.econbiz.de/10005009978