The martingale hypothesis for futures prices is investigated using a nonparametric approach where it is assumed that the expected futures returns depend (nonparametrically) on a linear combination of predictors. We first collapse the predictors into a single‐index variable where the weights...

In this paper we disentangle, analytically and empirically, the roles of the unit-exposure restriction in Heston and Rouwenhorst (1994). We show that if the purpose is to construct factors, the unit-exposure variance-analysis model can be viewed as just an algorithm that does not really assume a...

We reconsider the costs to international equity investments implied by standard portfolio theory (Cooper and Kaplanis, 1994; Sercu and Vanpée, 2008). Estimated costs are mostly driven by risk estimates, not by asset holdings. For OECD markets, risks are fairly stable and relatively easy to...

Two major ways of acquiring corporate control are by public take-over bid or a minority buyout of a large block holder of shares. Although the latter is less visible, Cynthia Van Hulle and Piet Sercu explore the relative benefits of a private block trade in conditions both with and without a...

The authors argue that it is bargaining, not competition, which determines the way gains are distributed in take-over bids. Focusing on 'unfriendly' take-overs, where the target company's current management leaves, they show how bargaining and bidding interact to generate the take-over price and...