Real estate swaps are a recent financial innovation based upon the principle of comparative advantage. A real estate swap is a useful tool for real estate risk management and for participating in real estate investment without the high costs associated with real estate. Potential economic...

Four times a year, Eurodollar futures contracts are settled by cash to a final settlement price that is tied to spot three-month LIBOR. The LIBOR used in the settlement is determined by the Chicago Mercantile Exchange after conducting two surveys of major banks on the last hour of settlement....

Since 2014, the Chinese government has sanctioned corporate bond defaults of both state-owned and non-state-owned firms. This study investigates the impact of state ownership on corporate governance mechanisms on the default risk of Chinese firms. Some similarities and differences in the effects...

This paper examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996-July 2013. Improved risk adjusted returns are obtained from a...

This paper re-examines the link between idiosyncratic risk and expected returns for a large sample of firms in both developed and emerging markets. Recent studies using Fama-French three factor models have shown a negative relationship between idiosyncratic volatility and expected returns for...

in this article, we examine a large set of trading strategies related to CBs to test for abnormal returns for several trading strategies, including various approaches for testing other forms of fixed income arbitrage. As a first step, we examine the naked long position of CBs/underlying stocks...

By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French Factors. Macroeconomic announcements had a profound effect on equity returns, the Fama-French factors, and Momentum. We find that the...

This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional volatility calculated using an EGARCH model,...

The performance of various asset allocation strategies across hedge fund indices is compared using both static and dynamic methods based on forecasts of conditional volatility. Daily rebalanced dynamic portfolios are examined for the three main subindices of Standard & Poor's Hedge Fund Index....