Risk budgeting interpreted as efficient portfolio allocation is often based on expected outperformance, alpha or information ratio. Once these crucial parameters have been estimated, they are being treated as fixed. In this paper we develop some sense, both theoretical and practical, on the...

Although developing economies are more volatile, firms in developed countries hold more cash and less debt. We show that despite greater aggregate and industry stability, the performance and balance sheets of individual firms in developed countries are more volatile. In developing countries,...

Risk budgeting interpreted as efficient portfolio allocation is often based on expected outperformance, alpha or information ratio. Once these crucial parameters have been estimated, they are being treated as fixed. In this paper we develop some sense, both theoretical and practical, on the...

This paper investigates the impact of trade credit on firm's inventory investment behavior by incorporating trade credit as a source of external finance into the traditional production smoothing inventory model. Due to imperfect information, alternative types of funds are not perfect substitutes...

The objective of this study was to analyse the changes in the intraday market microstructure behaviour before a takeover announcement for a sample of target, bidder and control (non-target) companies. Under the hypothesis that agents with asymmetric information were operating in the market, the...

Many researches indicate informed trading during Leveraged buy-out (LBO) processes. In this study, we examine intraday dynamic relations between order imbalance, volatility and stock returns. The dynamic relation between volatility and order imbalances by a time-varying GARCH model is...

We examine whether real or spurious long memory characteristics of volatility are present in stock market data. We empirically distinguish between true and spurious long memory characteristics by analysing different types and measurements of volatility, utilising different sampling frequencies...

This paper examines the impact of oil price uncertainty on South Africa’s stock returns using weekly data that covers the period 1995:07:01 to 2014:08:30. The measure of oil price uncertainty is the conditional standard deviation of the one-step-ahead forecast error for the change in the price...