I study the liquidity of global stock exchanges and how it determines cross sectional returns on stock portfolios of the exchanges. I measure liquidity by turnover ratio computed as value of shares traded over the market capitalization. I obtain data from FIBV, an association of global stock...

Fama and French (1992) and Lakonishok, Shleifer and Vishny (1994) show that value stocks earn substantially higher returns than growth stocks. Barbee, Mukherji and Raines (1996) and Leledakis and Davidson (2001) show that the ratio of sales-to-price and debt-to-equity are better predictors of...

Studies on Samp;P 500 Index changes are unable to reject index compiler certification in explaining permanent stock price effects to index additions. The FTSE 100 Index comprises one hundred stocks ranked highest by market capitalization, and therefore precludes certification. FTSE 100 Index...

This paper provides new evidence on the empirical success of structural models in explaining corporate credit risk changes. A parsimonious set of common factors and firm-level fundamentals, inspired by structural models, explains more than 54% (67%) of the variation in credit spread changes for...

This paper proposes a philosophy, which generalises the concepts of alpha and beta in its various forms. We argue that in a generalised form the demarcation is actually one between commoditised and non-commoditised beta exposures. This demarcation changes as the market evolves. We further...

A multi-billion-dollar, multi-year discrepancy between two identical share classes of HSBC did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal...

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

This paper uses a multi-asset framework to investigate the ramifications of transaction costs on international portfolio allocations. I employ numerical simulation techniques to study the evolution of an international portfolio and the behavior of net equity purchases, and compare the model's...

There is no consensus in the literature as to which model should be used to estimate the stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the developed markets has a poor empirical record and is...

The market value of corporate stock in the United States increased by nearly one trillion dollars between December 1994 and July 1995. This paper explores the distribution of the stock ownership, and hence the gains from the stock price rise, and what the rise in stock prices implies for...