This paper examines the relationships between market risk premiums, time-varying variance and covariance in forty-eight emerging, and seven developed capital markets. We allow each market’s risk premium generating process to be state-dependent by accounting for negative and positive market...

This article investigates the risk-return relations of stocks traded in frontier markets, a class of small, illiquid, less accessible and less known emerging markets that has escaped the attention of many researchers. We examine the cross-section of risk premiums of 360 stocks traded in 19...

A rich literature examines the effects of analysts' recommendations on stock prices, and literature is developing on the effect of Regulation Fair Disclosure on the information associated with corporate earnings forecasts and announcements. This study examines the effect of Reg FD on the...

The purpose of the study we report was to determine the information content of the recommendations made by panelists during 1997 on quot;Wall Street Week with Louis Rukeyser.quot; Using event-study methodology for the short term, we found a statistically significant positive abnormal return of...