Purpose -The purpose of this paper is to model the components of credit risk in primary debt markets and evaluate changes in these factors in times of crisis. Design/methodology/approach - The authors use a unique dataset consisting of nearly 163,000 new loans and bond issues in the USA and...

We analyze the capital market assessment of bank risk factors in Europe and the United States for the 1990–2011 period. The focus is on bank stock returns in a multi-factor framework that includes interest rate risk and market risk as well as credit risk, real estate risk, sovereign risk, and...

This paper investigates the reasons for the lack of long-term persistence in the investment performance of actively managed equity mutual funds. We document that the responses of investors, fund managers, and investment management companies to past performance have an important impact on future...

Purpose -The objective of this study is to investigate the long-run performance of initial public offerings (IPOs) in Germany for the period from 1977 to 1995. The paper studies why some IPO firms have substantial positive and others have substantial negative long-run buy-and-hold abnormal...