Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of intraday data of five US equity indices and is also...

We measure credit risk premia---prices for bearing corporate default risk in excess of expected default losses---using Markit CDS and Moody's Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in...

Equilibrium asset-pricing models with time-varying expected economic growth have been criticized for their apparent inability to generate an upward-sloping yield curve and downward-sloping term structures of equity risk and risk premium. We theoretically investigate the model-implied equilibrium...

This paper describes a new methodology which allows banks to evaluate non-performing loans (NPL) using a risk-neutral approach. In more detail, it illustrates the methodological framework behind the definition of the risk-neutral expected loss used to estimate the loans fair value. The...

Valuation signals have been among the most popular between equity portfolio managers. Given the large variation of techniques and theories with regard to how value is measured, this study investigates the efficacy of alternative value measures. We consider a cross section of simple and...

The literature are abound with studies on the impact of environmental, social, and governance (ESG) factors on a company's value, or more broadly, on its financial performance. However, most analyses concern developed markets, mainly because the largest rating agencies operate in these markets,...

Many lower‐level management jobs do not allow managerial talent to manifest itself. Management training exercises are required to identify and develop this talent. These exercises are invariably handicapped by participants providing what they think is the required response rather than their...