This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers' default. A model based on the country-specific credit spread curve factors predicts no better than the random walk and slope...

This paper investigates the short-term behaviour of closed-end funds following large price shocks for a panel of 63 UK-traded funds. Our findings suggest that for the eight market-wide shocks, significant overreaction occurs. The level of overreaction is unrelated to the size of the funds. Both...

We divide the time series of aggregate valuation into bull and bear market phases to test for momentum and reversal, respectively. Our results are consistent with price-earnings and price-dividends displaying continuation by drifting upwards in bull markets irrespective of fundamentals. Such...

Producers and consumers of commodities are likely to trade commodity futures with the dual intention of mitigating spot price risk and extracting profits through speculation, a practice known as selectively hedging. We put forward an integrated-signal approach to selective hedging that...

This paper proposes a new bivariate modeling approach for setting daily equity-trading risk limits using high-frequency data. We construct one-day-ahead Value-at-Risk (VaR) forecasts by taking into account the different dynamics of the overnight and daytime return processes and their covariance....

This article demonstrates that momentum, term structure and idiosyncratic volatility signals in commodity futures markets are not overlapping which inspires a novel triple-screen strategy. We show that simultaneously buying contracts with high past performance, high roll-yields and low...

This paper documents a negative cross-transmission of bank-idiosyncratic credit risk events to the equity value of peers comprising other banks, insurance and real estate firms inter alia. Large jumps in the idiosyncratic component of bank CDS spreads significantly reduce the equity value of...

This paper employs quiet-period media tone as a proxy for investor sentiment in the IPO market and investigates its impact on primary-market demand and on short and long-run IPO performance. Using a sample of 1,068 book-built IPOs, it finds that pre-IPO quiet period media pessimism lowers...

We review the time series econometrics package TSMod. The new features in TSMod 4.03, released in April 2004, are described and its potential for teaching is analysed. Copyright © 2005 John Wiley & Sons, Ltd.

The short-run dynamics of German mark and US dollar real exchange rates are investigated for a panel of 19 OECD economies in a vector error correction framework for the 1973-96 period. The novel persistence profiles approach of Pesaran and Shin (1996) indicates that the effect of system-wide...