The worldwide impact of the Global Financial Crisis (GFC) on stock markets, investors and fund managers has lead to a renewed interest in appropriate tools for robust risk management. Quantile regression is a powerful technique and deserves the interest of financial decision makers given its...

Value at Risk (VaR) is the metric adopted by the Basel Accords for banking industry internal control and regulatory reporting. This has focused attention on the measuring, estimating and forecasting of lower tail risk. Engle and Manganelli (2004) developed the conditional autoregressive value at...

The extent of the winner-loser anomaly on the Austalian equities market for the period 1974-91 is examined. Documentation of the contrarian strategy is argued as being invalid unless compensation is made for changing risk premiums through time. The evidence shows a slight reversal for the winner...

This paper analyses the long-run performance of initial public offerings (IPOs) on the Thai Stock Exchange. It uses a sample of 150 IPOs listed on the Thai Stock Exchange Main Board between 1985 and 1992. The initial return is 63.49%. The cumulative adjusted return at the end of the three-year...

This paper analyses takeover effects on the Thai stock market in terms of their impact on the bidding firms' shareholders. We apply a comprehensive analysis of shareholder wealth effects using multiple methods. Our results conform with prior studies: see Jensen and Ruback (1983), Agrawal and...

We employ a United Kingdom data set of weekly returns from a sample of investment trust companies available on the Datastream database. We analyse the relative performance of the funds and determine whether a 'good' (above-median), past-performance is indicative of future performance. Our study...

An approach recently developed by Fama and French (2000) is applied to the study of whether UK company profitability is mean-reverting. A sample of roughly 987 firms per year for a period from 1982-2000 is used, drawn from Datastream. In a simple partial adjustment model convergence towards the...

The paper reports the residis of an investigation of the extent to which a sample of listed Australian, British and Japanese companies maintain spare borrowing capacity. Unused debt capacity is not directly observable and can be in various forms, including committed and uncommitted lines of...