To analyze the intertemporal interaction between the stock and bond market returns, we allow the conditional covariance matrix to vary over time according to a multivariate GARCH model similar to Bollerslev, Engle and Wooldridge (1988). We extend the model such that it allows for asymmetric...

We investigate small firms' capital structure, employing a proprietary database containing financial statements of Dutch small and medium-sized enterprises (SMEs) from 2003 to 2005. We find that the capital structure decision of Dutch SMEs is consistent with the pecking order theory: SMEs use...

Using analyst stock recommendations issued between January 1996 and December 2006 we show that the odds for female financial analysts to issue optimistic investment advice is 40% lower than for male analysts. Although 17% of our sample of analysts is female, 48% is employed by a top financial...

We present a two-stage model for the decision making process of financial analysts when issuing earnings forecasts. In the first stage, financial analysts perform a fundamental earnings analysis in which they are, potentially, subject to a behavioral bias. In the second stage analysts can adjust...

In this paper we study the investment dynamics employed by hedge fund managers. Using daily data for nine investable hedge fund strategies, we use a rolling-over regression technique, which allows us to capture the time-variability present in the different strategies of hedge fund managers. The...

This paper assesses the effects of monetary unification in Europe on the pricing behavior in financial markets and more in particular on excess returns. We use the standard IAPT framework to analyze the role of the exchange rate in separating excess return pricing accross European countries. We...

To analyze the intertemporal interaction between the stock and bond market returns, we assume that the conditional covariance matrix follows a multivariate GARCH process. We allow for asymmetric effects in conditional variances and covariances. Using daily data, we find strong evidence of...

We investigate small firms’ capital structure, employing a proprietary database containing financial statements of Dutch small and medium-sized enterprises (SMEs) from 2003 to 2005. We find that the capital structure decision of Dutch SMEs is consistent with the pecking order theory: SMEs use...