Purpose The purpose of this paper is to investigate the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Design/methodology/approach Using a broad sample of stock options traded on the American Stock...

Purpose The purpose of this paper is to present the development of cumulative rainfall deficit (CRD) indices for corn in Shandong Province, China, based on high-resolution weather (county, 1980-2011) and yield data (township, 1989-2010) for five counties in Tai’an prefecture....

This paper reexamines the relationship between budget deficits and exchange rates by applying Hakkio’s (1996) model to seven Asian countries and eight Euro‐currency countries over the years from 1951 to 2001. Applying the Time‐Series Cross‐Section Regression with the Seemingly Unrelated...

Purpose – The purpose of this paper is to capture the presence and impact of optimism in the Indian equity market. Design/methodology/approach – The data set comprises the daily values of the Nifty 50 index, index options and Treasury-bill index for a period of five years (2006-2011). The...

Purpose This paper aims to study whether noisy public information that investors receive about the expected aggregate dividend growth rate can help better understand the large average equity premium and stock return volatility in the US financial market. Design/methodology/approach This paper...

Purpose – The aim of this paper is to construct a historical index for the New Zealand stock markets going back to 1899. From these historical returns, the authors can extract the average capital gains and dividend yield. It also allows them to provide an estimate for the equity risk premium...

With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners to investors wind power derivatives were introduced. These insurance-like...