One of the objectives of financial reporting is to facilitate the efficient allocation of capital in the economy. One of most important aspects of this fact is to improve the investment decisions. Also, increase in the financial transparency can be considered as a useful factor to reduce...

This study, conducted with a sample of Spanish listed companies during the period 1998–2008, examines the role of financial reporting quality and debt maturity in investment efficiency. The results show that financial reporting quality mitigates the overinvestment problem. Likewise, lower debt...

The aim of our research was to construct a multi-criteria model for rational investors at bear capital markets. This model should help individual investors in decision-making processes to select optimal stocks portfolios. Applying multi-criteria decision aid methods, three features of stocks...

The subprime financial crisis has sparked our interest in identifying channels through which US crisis spread across 20 developed and emerging stock markets. Empirical results of GARCH and EGARCH estimated models show a high persistence and asymmetric effect of volatility. Estimation of an...

The globalization opened the opportunity for multinational companies to increase their businesses in emerging markets and also to local giants from developing countries to step in the western markets. The objective of this paper is to propose a model for analyzing the differences between...

We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore particularly suited for recalcitrant series such as emerging market returns. Our study is on the following portfolio returns: developed markets, emerging markets, the world, and...

Existing research shows that a strategy based on the 52-week high prices of individual stocks explains momentum and is able to forecast returns. Given that the momentum strategy based on international market indices is also known to be profitable, we investigate the profitability of the 52-week...

This paper investigates the existence and possible changes of day-of-the-week effect before and during the 2008 financial crisis. We use six regional equity markets of varying degrees of maturity. While for the sample period Bulgaria, Romania, Cyprus and Ukraine are clearly considered emerging...

In this study monthly equity index values of twenty two emerging and twelve developed markets are used for the determination of cointegration relations developed by Johansen. The results of cointegration analysis show that Turkish stock market is cointegrated with seven developed and five...

Purpose – The purpose of this paper is to examine the volatility of daily returns in a sample of developed and emerging equity markets at different time scales through wavelet decomposition. Such information is vital for international investors who have different time horizons for their...