The availability of intraday data led to the development of new concepts and models. In the paper we focus on the jumps observed in the stock and index returns. These abnormal returns should be linked to information on the market. Here we detect jumps in equally spaced 15-minute intraday returns...

This paper investigates the impact of natural catastrophes and the 9-11 attacks on (1) the volatility of insurance stocks and (2) the correlation of insurance stocks with the market. We find that natural catastrophes increase the volatility of insurance stocks. They also have a tendency to...

This study presents the first empirical evidence on the existence of the asset growth effect in the Australian equity market. Specifically, we analyse all Australian listed firms over the period from 1998 to 2008, inclusive, to investigate whether the rate of growth in total assets has...

For the last three decades, one of the most extensively investigated topics in financial economics is the crosssectional variation in stock returns. There are certain patterns in equity portfolios that are considered as anomalies because they cannot be explained by well-known asset pricing...

In this paper we investigate whether earnings are conservative in financial reporting of firms listed in Tehran Stock Exchange (TSE)? Using the asymmetric timeliness of earnings, we measure earnings conservatism for 495 firm-years during 2001-2009, we hypothesize that earnings in all periods for...

Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with...

This paper analyses the volatility behaviour of Tehran Stock Exchange returns. Since volatility is an important factor in portfolio selection, asset pricing, and risk management, the main purpose of our study is to model and forecast the returns volatility of the Tehran Stock Exchange (TSE). The...

This paper examines the mean return and volatility spillover effects from the three influential stock markets of the US, Japan, and China to the two emerging stock markets of Indonesia and Malaysia over the sample period from 2005 to 2007. By analyzing GARCH models, we verify that there are...

It is no news that the global economic crisis has led to shortage of financial resources and to a general downturn in stock prices across the globe. Forecasting stock prices will provide a way to anticipate and perhaps avoid the risk of a large adverse change in prices. This paper, therefore,...

Although most of the empirical and theoretical asset pricing literature predicts a positive or no signi ficant relationship between idiosyncratic volatility and returns, Ang et al. (2006, 2009) find that high idiosyncratic volatility stocks have low returns and vice versa. We deliver further...