This paper examines the effect of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. We find that positive events have a greater impact on CDS markets in the two-day period surrounding the...

Herein, we examine whether changes in closed-end country fund premiums lead and/or lag management performance. Using a sample of 46 country funds and a time period of 11 years, we find evidence of a significant negative relationship between past performance and current fund premiums, but no...

Extreme events affect both the real economy and financial markets, and it is valuable to understand their interrelationship. We analyze the likelihood of crises in the macroeconomy and in financial markets. We compare rare disaster data from Barro and Jin (2011), crisis data from Reinhart and...

In this paper, we analyze the determinants and effects of credit default swap (CDS) trading initiation in the sovereign bond market. CDS trading initiation is associated with a 30–150 basis point reduction in sovereign bond yields, with greater yield reductions accruing to higher default risk...

This study uses a set of return‐based factors to explore market (return and volatility) timing ability of commodity trading advisors (CTAs). Unlike previous research, we use return‐based factors that are related to the futures markets in which most CTAs trade. This leads to higher...

The determinant of nonfarm nonfinancial corporation orders of nondefense capital goods (as generated by the Census Bureau) is modelled during the period of 1992 to 2010. Statistically significant relationship between investment orders and the cyclical variations in output, the interest rate...

"Using daily returns on a set of hedge fund indices, we study (i) the properties of the indices' conditional density functions and (ii) the presence of asymmetries in conditional correlations between hedge fund indices and other investments and between hedge fund indices themselves. We use the...