This study investigates the sensitivity of stock returns at the industry level to market, exchange rateand interest rate shocks in the four major European economies: France, Germany, Italy and the UK.In addition to exposure to the market, significant levels of exposure to both exchange rate...

In this paper we investigate the stock market response to international monetary policychanges in the UK and Germany. Specifically, we analyse the impact of (un)expectedchanges in UK and German/Euro area policy rates on UK and German aggregate andsectoral equity returns in an event study. The...

We test the hypotheses that, in presence of financial constraints, a low leverage policy directed at maintaining financial flexibility can affect company investment. Low leverage is defined according to deviations from target which are estimated via GMS-SYS. Our analysis reveals that, following...

We address one interesting case — the predictability of excess US asset returns from macroeconomic factors within a flexible regime switching VAR framework — in which the presence of regimes may lead to superior forecasting performance from forecast combinations. After having documented that...

This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...

We calculate optimal portfolio choices for a long-horizon, risk-averse investor who diversifies amongEuropean stocks, bonds, real estate, and cash, when excess asset returns are predictable. Simulations areperformed for scenarios involving different risk aversion levels, horizons, and...

We price European-style options on assets whose probability distributions have two unknown parameters. We assume a pricing kernel which also has two unknown parameters. When certain conditions are met, a two-dimensional risk-neutral valuation relationship exists for the pricing of these options:...

Purpose-The purpose of this paper is to show how Japanese companies are assimilating the Anglo-Saxon model of corporate governance, by focusing on the changes in accounting and auditing in post-war Japan. Design/methodology/approach-It delineates the three key stages in the process by which...

I investigate the relation between firm performance and both ownership structure and board composition. Use of theGMM methodology permits simultaneous control of both endogeneity of the independent variables and fixedeffects. The data comprise an original, large, hand-collected panel dataset of...

We examine whether UK firms engage in earnings management or forecast guidance over theperiod 1994−2002 in order to ensure that their reported earnings meet analyst earnings expectations.We explore two earnings management mechanisms: a) the use of positive abnormal working capitalaccruals and...