We perform an event study to investigate the efficiency of the Chinese stock market. We study the reaction of stock returns and trading volumes to the 2005-2006 structural reform which allowed the transformation of non-tradable shares (NTS) into tradable shares (TS) through payment of a...

type="main" xml:lang="en" <p>We introduce a model for the analysis of intra-day volatility based on unobserved components. The stochastic seasonal component is essential to model time-varing intra-day effects. The model is estimated with high frequency data for Deutsche mark–US dollar for 1993...</p>

type="main" xml:lang="en" <p>Our analysis compares multi–factor models with Italian stock market data for the period 1990–2000. The first, the simple CAPM, is the relevant benchmark because of its simplicity. The second, the extended Fama–French model (including the momentum portfolio), is...</p>

Banks use internal models to optimize risk weights and better account for the specific risk of each asset class. As the choice of a set of risk weights directly amounts to affecting the regulatory capital ratio, economic theory suggests that banks should optimize their risk weights also with...

The paper aims at understanding the relation between corporate governance (CG) and corporate social responsibility (CSR). In theory, CG refers mainly to the mechanisms which protect outsiders and ensure an effective working of the firm, while CSR refers mainly to the objective function of the...

What is the relation between the stock market and income distribution? There are many potential links between the two, some of which are associated with the relations of each of these with the rate of economic growth. An empirical analysis set in the framework of the neoclassical growth model...

Nontradable shares (NTS) are an unparalleled feature of the ownership structure of Chinese listed companies and represented a major hurdle to domestic financial market development. After some failed attempts, in 2005 the Chinese authorities have launched a structural reform program aiming at...