Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, we study the inter-temporal stability of the covariance and correlation matrices of credit spread changes on weekly data. For a multivariate framework, the Box...

We re-examine dividend growth and return predictability evidence using 165 years of data from the Brussels Stock Exchange. The conventional wisdom holds that time-varying dividend yield is predominately explained by changes in expected returns and that expected dividend growth is only weakly...

We investigate the impact of universal bank relations on the performance and the risk of listed companies in Belgium in the period 1905-1909. Our results are consistent with the view that universal banks are efficient institutions which overcome problems of asymmetric association inevitably...

The Nelson-Siegel model is widely used in practice for fitting the term structure of interest rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a fixed shape parameter are popular estimation procedures. The estimated parameters, however, have been reported...

It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators. Both risk-return analysis and the theory of investment under uncertainty...

The empirical finding that small stock returns exceed big stock returns (size premium), and that value stock returns exceed growth stock returns (value premium) has been extensively studied in the past. In this paper, we analyse the size premium and value premium for a cross-section of European...

This paper examines the existence of stock return moments in the less liquid Australian market. We initially find conflicting results. Characteristic exponent point estimates of approximately 1.5 are found for Australian stocks, in line with previous US research findings. This would imply that...

In this paper, we study the performance of expected return estimators proposed to alleviate estimation risk on international bond data. More precisely, we test, besides the historical mean vector, the James-Stein estimator as well as the Bayes-Stein estimator. Although there is ample evidence...