Cover -- Editorial advisory board -- Guest editorial -- Determinants of tracking error in German ETFs - the role of market liquidity -- Leveraged ETF option strategies -- Cointegration-based trading:evidence on index tracking & market-neutral strategies -- Cyclical comovements of the world...

Purpose – The purpose of this paper is to re-examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found that...

Purpose – This paper aims to propose a general, yet simple model to estimate interest rate volatility. Design/methodology/approach – The methodology is based on an extended Exponential Generalized ARCH (EGARCH) model that incorporates both interest rate levels as well as past information...

Purpose – In recent years, stock exchanges have been increasingly integrating and merging their activities at a national and international scale. While consolidation is often driven by technological, legal and competitive changes, whether merger activities are efficient in terms of market...

Purpose – The purpose of this paper is to apply alternative GARCH-type models to daily volatility forecasting, and apply Value-at-Risk (VaR) to the Taiwanese stock index futures markets that suffered most from the global financial tsunami that occurred during 2008. Design/methodology/approach...

Purpose – The purpose of this study is twofold: to test the hypothesis that the closing prices of Titan S.A. stock can be approximated by a random walk; and to valuate the risk associated to this stock. The first question is equivalent to the efficient market hypothesis (EMH) and, therefore,...

Purpose – This paper aims to carry out a comprehensive analysis of the influence of interest rate risk on Spanish firms at the industry level. Design/methodology/approach – The methodology employed has its origin in the two-index linear regression model proposed by Stone. This traditional...

Purpose -The main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review the traditional capital asset pricing model (CAPM) and its variants adopted in empirical investigations of asset...

Purpose - The purpose of this study is to present theory and empirical evidence on whether changes in leverage are systematically associated with changes in the CEO's risk incentives over time. Design/methodology/approach - A model is developed to explain the dynamic relationship between...

Purpose - This paper aims to increase understanding of the (time-varying) relationship between exchange rates and stock prices at the individual firm level. Rather than analyzing the impact of exchange rate movements on firm value by regressing multinationals’ stock returns on exchange rate...