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 – This paper aims to assess the impact of the global financial crisis of 2007-09 on the risk structure of S&P 500 firms by examining their market, active, and residual risks before and during the crisis. Design/methodology/approach – The classic one-factor model is estimated for each...

Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...

Purpose – This study aims to evaluate the market risk exposure of three international equity portfolios using value-at-risk (VaR). This risk metric calculates the worst case loss for a business in the course of its daily transactions. To ensure that the calculated VaR reflects emerging risk...

Purpose -The purpose of this paper is to examine whether or not a calendar time anomaly exists in the number and discount of seasoned equity offerings (SEOs) from 1980-2004. Design/methodology/approach - Regression analysis was used on data from SEOs offered from 1980 to 2004 to determine the...

Purpose –The purpose of this paper is to focus specifically on the role of corruption in affecting financial markets. Recently, there are several studies that examine how one country’s level of corruption might affect asset prices in other countries. The aim of this article is to summarize...