Hedge funds' extensive use of derivatives, short-selling, and leverage and their dynamic trading strategies create significant non-normalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge...

Investor response to changes in income trust payouts is measured through the implied cost of capital, an inverse valuation metric. Income trust securities are purchased primarily for the income stream: distributions from dividends, return of capital and interest, so adverse responses to...

This paper shows that distressed stocks and bonds are overpriced during high sentiment periods. The correction of overpricing leads to a range of anomalous cross-sectional patterns in stock and bond returns. Including bonds as additional test assets allows us to develop testable restrictions...

I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign. The real term premium is also time-varying and...

The financial crises caused a collapse in prices of most asset classes, fueling interest in alternatives to traditional asset classes that might be less affected by large market gyrations such as Sukuk, fast growing but often misunderstood market.In this light, we investigate the statistical...

This paper examines the behaviour of stock and bond markets across four major international countries. The results confirm the view that same asset-cross country return correlations and spillovers increase over time. However, the same in not true with variance and covariance behaviour....

This paper aims at investigating the frequency connectedness and cross-quantile dependence between green bond and green equity markets. By decomposing green bond and green equity time series data into different frequency bands, we first identify how the connectedness between green bond and green...

This paper aims at investigating the frequency connectedness and cross-quantile dependence between green bond and green equity markets. By decomposing green bond and green equity time series data into different frequency bands, we first identify how connectedness between green bond and green...