Purpose – There has been considerable debate on the linear relationship between systematic risk and return. The purpose of this study is to investigate whether security return can be explained by systematic risk. Design/methodology/approach – This study employs the market model to test the...

Purpose – The purpose of the current study was first to identify the motives for mergers, and second to examine the effect of mergers on the systematic risk of bidder firms in the airline industry. Design/methodology/approach – To evaluate the effect of mergers in the systematic risk, two...

Purpose – The purpose of this paper is to examine, whether or not, the residuals of the market model (MM) are conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the MM; to propose a simple...

Purpose The purpose of this paper is to alleviate the moral hazard problem created by deposit insurance and therefore develop a deposit insurance pricing model explicitly considering systematic risk. Design/methodology/approach Using the market model, the authors introduce the systematic risk...

Purpose – The purpose of this paper is to employ a unique data sample to study the relationship between risk and the use of taxable real estate investment trusts (REITs) subsidiary (TRS). Design/methodology/approach – Total volatility is decomposed into systematic risk and idiosyncratic risk...

Abstract The method to measure the market risk (which stocks are exposed) by the slope coefficient of a linear regression model (that relates the returns of the asset and the returns of a market index) is known as Market Model. When applying this method it is extremely important to check the...

Purpose – This paper aims to assess the impact of different financing strategies used in the cross-border acquisitions on the shifts in the risk profile of the acquiring companies in India. The purpose is to discern which of the stated modes of payment, viz., cash, stock and earnout, enables...

Purpose – This paper aims to investigate the impact of the introduction of the 2004 bank capital requirements on the quoted stock prices on the Nigerian stock market. Design/methodology/approach – Using monthly data over the period January 1986 to December 2006, residual analysis methodology...

Purpose This research aims to model the relationship between the credit risk signals in the credit default swap (CDS) market and agency credit ratings, and determines the factors that help explain the variation in such signals. Design/methodology/approach A comprehensive analysis of the...

Purpose – This paper aims to determine the equity and debt market reactions of firms to the news of their hiring a credit rating agency (CRA) analyst. Due to recent controversies related to CRAs, the US Securities and Exchange Commission (SEC) requires disclosure of the hiring of an analyst if...