This paper tests the effectiveness of contingent immunization, a stop loss strategy that allows portfolio managers to take advantage of their ability to forecast interest rate movements as long as their forecasts are successful, but switches to a pure immunization strategy should the stop loss...

"According to""Harvey (1988)"", the forecasting ability of the term spread on economic growth is due to the fact that interest rates reflect investors' expectations about the future economic situation when deciding their plans for consumption and investment. Past literature has used ex post data...

The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at‐the‐money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both in...

Purpose – In this paper, the authors aim to analyze the impact of International Financial Reporting Standards' (IFRS) mandatory adoption on the financial statements of Spanish listed companies. Design/methodology/approach – The authors estimate a panel data model by generalized least...