Evidence is provided from changes in deposit insurance premiums in the early 1990s on the validity of the premium absorption hypothesis and the premium shifting hypothesis. Analysis of abnormal market returns associated with deposit insurance events using a market model event study methodology...

The purpose of this study is to focus on two leading industrialized nations - the U.S. and Germany - analyze the differences in the recent trends in their respective banking sectors and see if indeed the banking industries in these two leading economies are gravitating towards a homogeneous...

We investigate the relation between volatility and volume in 22 developed markets and 27 emerging markets. Compared to developed markets, emerging markets show a greater response to large information shocks and exhibit greater sensitivity to unexpected volume. We find a negative relation between...

This study applies cointegration tests with time-dependent dummies to assess the impact of the Gulf War on the relationship between the forward exchange rate and the spot exchange rate using the British pound and the Japanese yen in terms of the US dollar. Cointegration of the spot and forward...

The main focus of this paper is to explore the potential for improving econometric specification in modeling hedge fund returns. Specifically, we examine the effects of (1) correcting for selectivity bias due to sample attrition; (2) allowing for nonlinearity; and (3) controlling for...