This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...

Institutional investors are predominant on the financial markets and are becoming more active in their portfolio management. This article attempts to enhance our understanding of the incidence of shareholder activism on market reaction in the wake of seve

Market efficiency is among the foremost criteria for making investment decisions when foreign investors attempt to allocate their funds to emerging market assets. If the markets under consideration are efficient, quoted prices of the assets will serve as useful and reliable signals for capital...

Numerous recent studies indicate that investors’ information demand affects stock market return and volatility. In this paper, we contribute to the literature by investigating whether information demand is a significant determinant of liquidity in the French stock market. Our main findings...

This article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the...

L’évaluation du prix des actifs est un problème récurrent en économie. Cette question se pose dans le domaine de l’immobilier comme dans d’autres domaines. Après une très forte phase de croissance, le marché immobilier américain a été touché à partir du mois de juin 2007 par...

We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our results from applying the principal component analysis (PCA) show that although there is an increasing trend in market integration, five major financial markets (equities, bonds,...

We examine the long term investment problem, under stochastic interest and inflation rates and incompleteness. Four basic financial assets are available on the financial market: a money market account (the cash), a real consumption good, a financial stock index and a bond with constant maturity....

We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the...

We analyze the reactions of the returns of four European stock markets to sovereign credit rating changes by Fitch, Moody’s, and Standard and Poor’s (S&P) during the period from June 2008 to June 2012 using panel regression equations. We find that (i) upgrades and downgrades affect both own...