Since the seminal work of Mandelbrot (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical...

This study develops standard error estimators for heteroscedastic and cross-sectionally correlated data. The new estimators are a cross-sectional version of the White and Domowitz (1984) and Newey and West (1987) estimators and therefore consistent in the presence of heteroscedasticity and cross...

We seek for verification and explanation of arbitrage between securities of dual-listed Brazilian-based companies which are simultaneously traded on the Brazilian and the US stock markets. Following the extant literature, our underlying hypothesis is that arbitrage events can be explained by...

We assess the presence and nature of strategic trading by informed investors in the options market. Specifically, we develop and test a model for the spread of an option that directly captures the effects of strategic trading by informed traders. We show that the underlying stock's spread has an...

This paper develops a likelihood-based methodology to estimate loss distributions and compute Capital at Risk in risk management applications. In particular, we deal with the problem of estimating severity distributions with censored and truncated operational losses, for which numerical...

Using bilateral data on international equity and bond flows, we find that the prediction of the International Capital Asset Pricing Model is partially met and that global equity markets might be more integrated than global bond markets. Moreover, over the turbulent 1998-2001 period characterised...

We investigate the determinants of bilateral international equity and bond portfolio reallocation across a large cross section of countries over the 1997 to 2001 period. We first argue that financial integration is not a global phenomenon, as equity and bond home biases declined significantly...

Event studies often include cross-sectional regressions of announcement effects on exogenous variables. If the event is voluntary and investors are rational, then standard OLS and GLS estimators are inconsistent. Consistent ML estimators are constructed for a cross-sectional model of horizontal...

The financial market crisis has exposed a weakness in predicting defaults. A new wave of models must be more powerful and should be more successful in predicting multiple defaults. I argue that such models incorporate signal strength, cross and serial dependencies. The conditional default...

This paper directly links the risk premium on an asset to two characteristics of its underlying cash flow: cash flow covariance with aggregate consumption; and cash flow duration, which measures the temporal pattern of the cash flow. Their impact on the cross-sectional variation of risk premia...