The knowledge of the multivariate stochastic dependence between the returns of asset classes is of importance for many finance applications, such as asset allocation or risk management. By means of goodness-of-fit tests, we analyze for a multitude of portfolios consisting of different asset...

We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...