From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper, we point to structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market portfolio...

This paper analyzes the relevance of cost-based accounting in financial markets, focusing on the drawbacks associated with a move from cost- to price-based accounting. While the benefits of such a move are well known, much less attention has been given to the potential hidden costs. We explore...

Banks and insurance companies maintain structural differences, limiting the extent of convergence due to factors such as demographics, the structure of liabilities, the scale of operations, regulation and accounting practices and distribution channels. Demography directly affects the needs of...

The financial crisis has affected the landscape of the banking sector around the world. We use a sample of transactions taking place in Europe in 2007-2010 to study the acquirer’s stock price market reaction to announcements and completions of acquisitions. We find that there are no...