Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan's emerging...

Value and momentum returns and combinations of them are explained by their loadings on global macroeconomic risk factors across both countries and asset classes. These loadings describe why value and momentum have positive return premia while at the same time being negatively correlated. The...

A plethora of academic papers on generalized autoregressive conditional heteroscedasticity (GARCH) models for bitcoin and other cryptocurrencies have been published in academic journals. Yet few, if indeed any, of these are employed by practitioners. Previous academic studies produce results...

Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are...

This paper provides a new set of tests on the relationship between product market competition, information processing cost, and production of information by managers. The recent regulation regarding the mandatory adoption of XBRL (eXtensible Business Reporting Language) is a natural experiment...

This study attempts to predict high growth firm (HGF) status with financial ratios. Measures related to the firm's effectiveness in using assets to generate profits, EBITDA margin, debt ratio, equity-to-debt ratio and return on assets are associated with HGF status. While the financial ratios...

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...

In a meta study of 25 political stock markets conducted in Germany in the last decade we analyze their predictive success. Although the predictions of political stock markets are highly correlated with the corresponding polls, the markets are able to aggregate additional information. One...

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

The dynamic behaviour of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...