We use a time-varying copula model to investigate the impact of the introduction of the Euro on the dependence between seventeen European stock markets during the period 1994-2003. The model is implemented with a GJR-GARCH-t model for the marginal distributions and the Gaussian copula for the...

Our object is to obtain more information about the fractal properties of super-Brownian motion. For d [greater-or-equal, slanted] 2 the closed support S(Yt) of super-Brownian motion has zero Lebesgue measure and fractal dimension 2. The exact Hausdorff measure properties of S(Yt) are also known....

We use a new data set to study the determinants of the performance of open--end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere...

Financial regulators, analysts and journalists have expressed concern that open market share repurchases may help support share prices. We test this conjecture by examining repurchasing firms' share price patterns on entering mandatory non-trading periods imposed by the London Stock Exchange. If...

We compare the performance of a structural and a reduced form default risky bond pricing model for Brady bonds from different countries. Goodness of fit statistics indicate comparable in-sample model performance whilst our out-of-sample tests favour the reduced form model. We also find evidence...

We compare the long run reaction to anticipated and surprise information announcements using stock splits. Although there is underreaction in both cases, anticipated splits are treated differently to those that are unforeseen. After anticipated splits, cumulative abnormal returns peak at...

<link rid="b16">Gruber (1996)</link> and <link rid="b35">Zheng (1999)</link> report that investors channel money toward mutual funds that subsequently perform well. <link rid="b31">Sapp and Tiwari (2004)</link> find that this "smart money" effect no longer holds after controlling for stock return momentum. While prior work uses quarterly U.S. data, we employ a...