This paper examines the extent to which foreign borrowing funds private investment, consumption and government expenditure in the United States, the United Kingdom, Australia, and New Zealand (the Anglosphere), advanced economies which have been the world's largest international borrowers since...

In this paper, using time series data for the period 2 January 1998 to 31 December 2008 for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop an analytical framework motivating the firm-market...

The few panel data tests for predictability of returns that exist are based on the prerequisite that both the number of time series observations, T, and the number of crosssection units, N, are large. As a result, these tests are impossible for stock markets where lengthy time series data are...

In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence that the TOM affects returns and return volatility of firms. The...

We propose a panel data model of price discovery. We find that the stock market contributes to price discovery in most sectors while the Credit Default Swap (CDS) market contributes to price discovery in only a few sectors. We discover that in sectors where both the stock market and the CDS...

In this paper, using time series data for the period 2 January 1998 to 31 December 2008 for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop an analytical framework motivating the firm-market...

While the literature concerned with the predictability of stock returns is huge, surprisingly little is known when it comes to role of the choice of estimator of the predictive regression. Ideally, the choice of estimator should be rooted in the salient features of the data. In case of...

In this paper, we examine the relationship between oil price and firm returns for 560 US firms listed on the NYSE. First, we find that oil price affects returns of firms differently depending on their sectoral location. Second, we find strong evidence of lagged effect of oil price on firm...