Following seminal works of Knight (1921) and Ellsberg (1961), we distinguish uncertainty from risk and examine the impact of aggregate uncertainty on return dynamics of size and book-to-market ratio sorted portfolios. Using VVIX as a proxy for aggregate uncertainty and controlling for market...

This study fits 22 theoretical distribution functions, four of them originally derived, onto 772 cryptocurrency daily returns with goodness-of-fit evaluated using Cramer-von Mises, Anderson-Darling, Kuiper, Kolmogorov-Smirnov, and Chi-squared tests, as well as a harmonic mean p-value synthetic...

Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five...

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...

We analyze factors behind 23,213 distressed acquisitions in European emerging markets from 2007–2019. Besides the impact of financial ratios, legal form, ownership structure, firm size, and age, we emphasize the role of institutions and channels of their propagation. We show that the quality...

We analyze factors behind 23,213 distressed acquisitions in European emerging markets from 2007–2019. Besides the impact of financial ratios, legal form, ownership structure, firm size, and age, we emphasize the role of institutions and channels of their propagation. We show that the quality...

This study examines the effect of current-period intellectual capital disclosure on earnings and current annual stock return during a civil-war period. Using the top 30 firms by market capitalization listed on Colombo Stock Exchange over six years (from 1998 to 2003), this study finds that firms...