Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, or called "momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised...

Traditional asset pricing theory suggests that to compensate for the uncertainty that investors bear, risky assets should generate considerably higher rates of return than the risk-free rate. However, the overnight return anomaly in the Chinese stock market, which refers to the anomaly that...

We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...

The volatility of exchange rates is of high importance, because it affects decisions of market participants. The choice of the exchange rate arrangement affects the volatility of the exchange rate: higher flexibility goes ahead with increasing volatility and vice versa. We investigate the...

The choice of an exchange rate arrangement affects the volatility of the exchange rate: higher flexibility goes ahead with increasing volatility and vice versa (Flood and Rose 1995, 1999). We investigate the exchange rate volatility of six Central and Eastern European countries (CEEC) between...

We estimate monetary policy rules for six central and eastern European countries (CEEC) by taking changes in the policy settings explicitly into account. Distinguishing rather fixed and more flexible exchange rate arrangements we find that for most countries exchange rates played an important...

We examine the dynamics of bank lending to the private sector for countries of the Euro area by applying a Markov switching error correction model. We identify for Belgium, Germany, Ireland and Portugal stable, mean reverting regimes and unstable regimes with no tendency to return to the long...

The observation of firms' political connections (PCs) in both types of ascribed and acquired PCs has raised the question of their benefits to firms' operation. Based on 1,365 Vietnamese listed firm-year observations from 2010 to 2014, we find that although firms with both ascribed and acquired...

We investigate official and implicit nominal anchors for six Central and Eastern European countries during 1994 to 2002. Most of these countries have moved from fixed to more flexible regimes and adopted a form of inflation targeting. Achieving their new official targets has had mixed success....

This paper extends the real interest differential (RID) model of Frankel (1979) by introducing Markov regime switches for three exchange rates over the years 1973 - 2000. Evidence of a non-linear relationship between exchange rates and underlying fundamentals is provided. One of the regimes...