The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result...

There is a growing need to model the dynamics of electricity spot prices. While many studies have adopted the jump-diffusion model used successfully in traditional financial markets, the distinctive features of energy prices present non-trivial challenges. In particular, electricity price series...

Recent theoretical work argues that information risk is a non-diversifiable risk factor that is priced in the capital market. Using accruals quality to proxy for information risk, Francis et al. (2005) provide empirical support for this argument using a sample of US firms. This paper re-examines...

Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the...

Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the...

The purpose of this paper is to determine how to produce best estimates of intrinsic value, as measured by 36 month abnormal returns, using IBES only forecasts, VL only forecasts, or forecasts from both services. IBES only provides earnings forecasts, while VL provides forecasts of earnings,...

Recent theoretical work argues that information risk is a non-diversifiable risk factor that is priced in the capital market. Using accruals quality to proxy for information risk, <link rid="b15">Francis et al. (2005)</link> provide empirical support for this argument using a sample of US firms. This paper re-examines...