The relaxation of security laws and regulations in emerging markets in the Middle East and North Africa (MENA) provides abundant opportunities for foreign investors. These markets exhibit high-expected returns and substantial volatility. In this paper, we investigate the lead/lag relationship...

The proxy hypothesis states that the negative relationship between inflation and stock returns is spurious and really only proxies for the positive relationship between stock returns and real variables. Previous tests of the proxy hypothesis have used actual values instead of forcasted values...

The study examines the relative ability of various models to forecast daily stock index futures volatility. The forecasting models that are employed range from naïve models to the relatively complex ARCH-class models. It is found that among linear models of stock index futures volatility, the...

This paper investigates the intra-industry effects of earnings restatements due to accounting irregularities. We detect a significant contagion effect for rival firms whose cash flow characteristics are similar to those of the restating firm. The restatement doesn't seem to influence all the...