This study tests possible sources of long-term risk-adjusted returns on initial public offerings (IPO) in Poland under the calendar-time portfolio (CTP) approach. The moment of going public still remains a puzzle in many areas. Poland’s status as an emerging market has been indisputable for...

This paper documents a new high risk-low return puzzle. Specfically, we find that a forward-looking risk measure extracted from credit line undrawn spreads negatively predicts borrowers' future stock returns. This negative risk-return relation is separate from previously documented asset pricing...

The pseudo market timing of 231 IPOs is examined over a window of April 2010 to September 2012 from a panel of UK Initial Public Offerings (IPOs). IPOs are classified into premium listings and standard listings under the new FSA issuance regime. The study shows contrasting results for both the...

This study examines the relationship between underwriter placement risk and market transaction prices using a sample of state general obligation bonds. We proxy underwriter placement risk using three variables: “when-issued” trades, underwriter syndicate size, and bond sale method....

This paper examines a topic of much interest, the association of financial architecture and national equity premia for recent eight-year period from fifteen emerging-market countries. Modeling simultaneously our estimate of the ex ante equity premium as a dependent variable and our measure of...

In this paper, we examine the yield premium of green bonds. We use a matching method, followed by a two-step regression procedure, to estimate the yield differential between a green bond and an otherwise identical synthetic conventional bond from July 2013 to December 2017. The results suggest a...

This study analyzes the motives for and consequences of funds' credit default swap (CDS) investments using mutual funds' quarterly holdings from pre- to post-financial crisis. Funds resort to CDS investment when facing unpredictable liquidity needs. Funds sell more in reference entities where...