Purpose – The purpose of this paper is to explore the effect of leverage mimicking factor portfolios in explaining stock return variations. This paper broadens the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor. Design/methodology/approach –...

Purpose – This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model. Design/methodology/approach -The authors use the CAPS-Mellon...

Purpose – The purpose of this paper is to explore the effect of leverage mimicking factor portfolios in explaining stock return variations. This paper broadens the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor. Design/methodology/approach –...

This paper explores the importance of supply of capital for corporate financing. To identify this relation, we examine the impact of two exogenous events, entry to the EU and the adoption of Euro, which caused shifts in equity and credit markets during European integration. Following membership...