We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There has been much academic interest in this topic, but no convincing explanation has arisen. Our goal is to pull together the many competing explanations currently proposed in the...

This paper is concerned with evaluating Value-at-Risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available in the literature, such...

In recent years firms have greatly increased the amount of resources allocated to activities classified as Corporate Social Responsibility (CSR). This increase in CSR expenditure may be consistent with firm value maximization if it comes as a response to changes in stakeholders’ preferences....