Purpose -The purpose of this paper is to model the components of credit risk in primary debt markets and evaluate changes in these factors in times of crisis. Design/methodology/approach - The authors use a unique dataset consisting of nearly 163,000 new loans and bond issues in the USA and...

Purpose – The purpose of this paper is to determine if macroeconomic announcements affect the Fama-French market, size, book-to-market risk factors and momentum factor. Design/methodology/approach – Using unexpected announcements of major macroeconomic indicators, a study is made of how...

Purpose – The purpose of this paper is to examine the day-of-the-week effect for three primary money market instruments in Canada. The sample period is 1980-2009. Design/methodology/approach – The authors use three approaches. First, a parametric t-test is employed to determine if a...

Purpose – Market-timing skills of fund managers are an important issue for both mutual fund investors and researchers. The purpose of this paper is to analyze the market-timing skills and determinants of performance of sector funds across business cycles to see whether sector fund managers...

Purpose – The purpose of this paper is to examine intra-industry contagion and the following apparent violations of the efficient market hypothesis around large one-day price decline events in individual stocks. Design/methodology/approach – The paper examines daily stock returns around...

Purpose -The purpose of this paper is to examine the relationship between naked short selling and accounting irregularities that cause a firm to issue a restatement. Design/methodology/approach - Using the level of abnormal fails-to-deliver as a proxy for naked short selling, the paper looks for...

Purpose -The purpose of this paper is to examine stocks that are most actively discussed by online posters and see if the messages posted about these stocks have information or if they are just noise. Design/methodology/approach - This study uses messages posted on TheLion.com, which reports a...

Purpose -The purpose of this paper is to empirically examine the market efficiency, asymmetric effect and time varying risk–return relationship for daily stock return of Amman Stock Exchange (ASE). Design/methodology/approach -The Box–Jenkins selection model is used to determine the...

Purpose – Taiwan OTC market is an electronic, order driven, call market. The purpose of this paper is to gain understanding of whether trade size or number of transaction provides more information on explaining price volatility and market liquidity in this market. The paper also aims to...

Purpose – Real estate investment trust (REIT) stocks are well known for limited management discretion in investment, financing, and payout policies, implying little information asymmetry between informed and uninformed investors. Besides, due to the renowned illiquidity and complexity of...