Using data from the unique setting of Indian IPOs, this study examines the underwriter–investor relationship based on underwriter reputation. We find that high reputation and low reputation underwriters have strong relationships with different sets of investors. While large institutional...

This paper investigates the extent to which institutional herding at the industry level is motivated by intent. We assess intent using both market and sector states based on three variables (returns; volatility; volume), in order to gauge whether herding intent is more relevant to conditions...

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001–2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and asymmetric market conditions. Particularly, herding...

We propose a new approach to measuring long-run inflation risk, the inflation risk premium, and inflation expectations for the UK over the period 1985–2012. By adding long-term bond futures to the information set of inflation-indexed and nominal bonds, inflation risk is measured as an...

Past studies suggest that the Islamic finance system is only weakly linked or even decoupled from conventional markets. If this statement is true, then this system may provide a cushion against potential losses resulting from probable future financial crises. In this article, we make use of...

We use copula models to investigate the structural dependence between CEEC-3 (Poland, the Czech Republic, and Hungary) and German bond markets from 2000 to 2012. We evaluate the degree of financial integration and dependence structure changes in government securities markets following European...

In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence that the TOM affects returns and return volatility of firms. The...

This paper extends the intertemporal capital asset pricing model (ICAPM) to integrate the heterogeneous trading behavior of three groups of investors; rational utility maximizers, positive feedback, or momentum, traders, and fundamental traders. Using several contemporary fundamental factors to...

This paper models the cross-market dynamics in an emerging market regional setting using a homogenous set of international sovereign bonds issued by key Latin American economies. We employ Johansen's and a modified three-step procedure, which generates portfolio adjustment weights while...

This paper assesses whether China's stock market is integrated with the global market during 2000–2010 within the framework of an augmented CAPM. We firstly use Kalman smoothing technique to obtain time-varying global and national systematic risks for the once-restricted A- and unrestricted...