The correlation between governance indices and abnormal returns documented for 1990–1999 subsequently disappeared. The correlation and its disappearance are both due to market participants' gradually learning to appreciate the difference between good-governance and poor-governance firms....

Kamstra et al. (2003, 2009, 2012) offer a seasonal affective disorder hypothesis to explain variations in the daily returns of stock indices. We examine Kamstra et al. (2012) new variable called SAD onset/recovery. The analysis reveals concerns for the validity of the SAD hypothesis.

We show that the endogenous stochastic process of the liquidity of securities is as important to investment and valuation as the exogenous stochastic process of their cash flows. We develop a general-equilibrium model with heterogeneous investors who have an every-day motive to trade and pay...

This paper estimates the term structure of zero-coupon real interest rates for the euro area implied by French indexlinked bonds with a smoothing spline methodology, which is very effective in capturing the general shape of the real term structure, while smoothing through idiosyncratic...

Stocks of German renewable energy companies have commonly been regarded as lucrative investment opportunities. Their innovative line of business initially seemed to promise considerable future earnings. As shown by two powerful bubble tests, the positive sentiment for renewable energy stocks...

This paper analyses the co-movements between the US stock market and several commodity futures between 1998 and 2011. It computes dynamic conditional correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies and documents a synchronized structural break,...

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across...

Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under...

This paper explores the effects of price limits on the Chinese A-share stock markets during financial crises. A Logit regression model is estimated to investigate the characteristics of stocks that hit the price limits more frequently under economic turmoil. It is found that the price limit...