This article studies the economic factors behind corporate default risk premia in Europe during the period 2006–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the underlying bonds in market-wide default circumstances. We...

This paper computes the dollar-weighted returns (DWRs) on the aggregate corporate sector in each of the 43 sample countries, and shows that the DWRs in U.S. dollars are similar across countries. In contrast, the local-currency DWRs are found to be different across countries, suggesting a role...

The objective of this study is to investigate the factors affecting firm competitiveness in an emerging market-Turkey. In the paper, competitiveness is proxied by a firm's financial performance. The empirical analysis is based on firms listed on Borsa Istanbul and covers the period between 2005...

Recent empirical work using panel data documents that, while the correlation of investment and Tobin's Q is low, the correlation of investment and credit spreads is high. We propose an explanation for these empirical findings, based on time-varying risk, i.e. stochastic volatility. In our model,...

This study documents the publicly traded equity Real Estate Investment Trust (REIT) universe during the modern REIT era (early 1990s through the present). We show the growth and consolidation of the industry, changes in property type focus, increases in institutional ownership, and the growth of...

This article reviews shareholder activism by hedge funds. We first describe the nature and characteristics of hedge fund activism, including the objectives, tactics, and choices of target companies. We then analyze possible value creation brought about by activist hedge funds, both for...

The Equity risk-premium and volatility puzzles: Is it possible to have a high-equity premium and a low risk-free rate, and a high volatile stock return, have received a great deal of attention but beyond this, the fundamental issues are the following: What are the economic representations that...

I bring together the issues of offering price accuracy and underpricing and point out that there is a trade-off between the two. If the underwriter intends to set an unbiased offering price, and thereby minimizing the mean absolute pricing error (MAPE), skewness might induce ex ante underpricing...

The phenomena associated with the performance of newly listed companies has increased the interest of many researchers who have developed a vast literature on long-term underpricing and underperformance, which together with hot and cold issue markets, represent the three anomalies that have...

We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying, buyers with excess liquidity, rather than what is being purchased. We document...