In this paper we analyse the comparative pricing of vanilla and GDP linkedsovereign debt. The key feature of GDP linked bonds is that their cashflowscoupons,principal or both-are linked to the evolution of the country’s nationalincome. While it has long been argued that indexing debt to...

We explore the capital market consequences of achieving analyst earnings expectations,distinguishing between expectations achieved genuinely or through earnings guidance ormanagement. We examine an inclusive set of earnings management tools: real earningsmanagement, working capital accruals...

In the UK, SSAP 13 requires that firms immediately expense most of their R&D expenditures.The reported earnings of high-R&D expenditure firms are therefore likely to convey less valuerelevantinformation to investors than those of less research-intensive firms. Using a sample offirms from the...

Post-M&A organisational cultural change is a traumatic experience for organisational members. It generates resistance and contributes to M&A failure. Nevertheless, the literature on managing post-M&A cultural change is scarce and largely focused on overcoming the debilitating impact of...

The literature on mergers and acquisitions (M&A) has accumulated a wide body of knowledge on the role of culture in post-M&A integration. Available research uses varied perspectives on culture and cultural change processes. Some define culture as a force shaping human action, others examine...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

This paper examines the price impact of trading intensity on an emerging futures market. Utilizing anovel volume-augmented duration model of price discovery, the intensity effect is decomposed intoliquidity and information components for the MexDer 28-day interest rate futures contract. We...

Forbes and Rigobon (2002) claim there was no contagion among international stock markets duringthe 1997 Asian crisis, with contagion being defined as an increase in dependence. We revisit thisissue using a more robust methodology based on copula. After controlling for heteroskedasticitywith the...

Writing in Applied Economics Letters, Sumner (2004) advocates use of long lag lengths when conducting cointegration tests. Replication of Sumner’s consumption model suggests long lag lengths are a mis-specification: The true underlying model is periodic. We test for periodically distributed...

We document accounting quality improvements following voluntary IFRS adoption.However, we find no evidence of such improvements subsequent to mandatory adoptionby firms that resist IFRS adoption. We exploit a unique setting in Germany where firmscould voluntarily adopt IFRS before mandatory...