Purpose – The purpose of this study is twofold: to test the hypothesis that the closing prices of Titan S.A. stock can be approximated by a random walk; and to valuate the risk associated to this stock. The first question is equivalent to the efficient market hypothesis (EMH) and, therefore,...

Purpose – The purpose of this paper is to examine use of the Black‐Scholes (BS) risky asset model to determine choice of optimal investment term in a reinvestment chain model. Design/methodology/approach – An extension of Tobin's separation theorem is used to establish a mean‐variance...

Purpose – The purpose of this paper is to theoretically examine under what circumstances economic cycles advance or deter corporate defaults. Design/methodology/approach – The theoretical inferences are authenticated through Monte Carlo simulations. Findings – It is found that an ongoing...

Purpose – The purpose of this paper is to re‐examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found...

Purpose – In recent years, stock exchanges have been increasingly integrating and merging their activities at a national and international scale. While consolidation is often driven by technological, legal and competitive changes, whether merger activities are efficient in terms of market...

Purpose – This study aims to evaluate the market risk exposure of three international equity portfolios using value‐at‐risk (VaR). This risk metric calculates the worst case loss for a business in the course of its daily transactions. To ensure that the calculated VaR reflects emerging...

Purpose – This paper aims to assess the impact of the global financial crisis of 2007‐09 on the risk structure of S&P 500 firms by examining their market, active, and residual risks before and during the crisis. Design/methodology/approach – The classic one‐factor model is estimated for...

Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...

Purpose – The paper examines the conditional capital asset pricing model (CCAPM) of Jagannathan and Wang using the UK data and develops a data-driven measure of beta instability risk that is pertinent to the UK stock market. In contrast to the view that the main part of the Jagannathan and...