This paper adopts dynamic factor models with macro-fi?nance predictors to revisit the intertemporal risk-return relation in ?five large European stock markets. We identify country specifi?c, Euro area, and global factors to determine the conditional moments of returns considering the role of...

This study examines how family involvement affects the performance of UK companies listed on the London Stock Exchange (LSE). Using a panel dataset from 1998 to 2008, the econometric models evaluate the effect of family involvement in terms of ownership and management on firm performance...

We provide evidence that institutional improvements lead to lower levels of financial dollarization through previously unidentified channels. These indirect channels operate in addition to the direct impact identified in the literature and further illustrate the importance of institutions for...

This paper contributes to the maritime transport literature by examining the relative efficiency of firms in the three key sectors of the shipping industry, i.e. dry, wet and container shipping. Two relative efficiency models are developed to assess relative market and relative operating...

We examine business cycle synchronizations between the euro area and the recently acceded EU and currently negotiating countries. Strong evidence is uncovered of time-variation in the degree of co-movement between the cyclical components of monthly industrial production indicators for each of...

Using a GARCH model we provide evidence that higher inflation uncertainty leads to higher inflation in the new European Union (EU) member states and candidate countries only prior to EU accession. During EU accession and entry inflation uncertainty has no effect on mean inflation. This result...

We analyze the causal effects of real and nominal macroeconomic uncertainty on inflation and output growth and examine whether these effects vary with the level of inflation and location on the business cycle. Employing a bivariate Smooth Transition VAR GARCH-M model for the G7 countries during...

This study extends the dynamic conditional correlation model of Engle (2002, Journal of Business and Economic Statistics 20, 339--350) to allow periodic (day-specific) conditional correlations of shocks across international stock markets. The properties of the resulting periodic dynamic...

This paper examines the determinants of financial dollarization in transition economies from a short-run perspective. Using aggregate monthly data of deposit and loan dollarization we study the drivers of short-term fluctuations in dollarization and test their importance at different levels of...