Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the...

Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the...

This paper examines the pricing performance of interest rate option pricing models in the Euribor interest rate cap markets. We investigate the sensitivity of the prices of cap derivatives to alternative specifications of the forward interest rate derivatives. We use a term structure-constrained...

Innovation makes investors dream about the future performances of the firm when the expected profitability is greater then the cost of capital. In this case, the company creates value and satisfies its shareholders. The valuation of an innovative project should indeed increase with the value...

In this article we develop a real options approach to the consideration of a sudden drop in futures cash flows in an investment project and its impact on the investment strategy of the company. We apply our model in the context of investing in a wind energy project because of the relatively long...

The growth of technological firms is based on the exploitation of innovative products and services thus forcing them to strongly invest in research and development (Ramp;D). If the Ramp;D expenditures announce the strategic positioning of firms, they can also significantly decrease the financial...

This paper studies bank distress in MENA country and addresses the question of whether mergers are commonly considered as a solution for resolving individual bank distress. Both specific bank levels and macro variables are deployed to predict banking distress. In line with other recent papers,...

The subprime crisis showed that governance mechanisms are still far from perfect in most organisations, and also highlighted the many flaws in bank governance systems. Indeed, the majority of organisations do not appear to consider governance as a key issue. Instead, they work from the...

We consider the problem of cost assessment in the context of switching stochastic regimes. The dynamics of a given asset include a background noise, described by a Brownian motion and a random shock, the impact of which is characterized by changes in the coefficient diffusions. A particular...