This article examines the impact of global financial crisis on cross-currency linkage of the LIBOR-OIS spread, a financial stress measure in interbank markets. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical...

This paper examines the performance of Australian managed funds by adopting the false discovery rate (FDR). Comparing the estimation results between the four-factor model and the conditional model reveals that the use of conditioning information improves the performance of Australian managed...

This paper re-examines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the...

During the subprime crisis, the U.S. Federal Reserve has been concerned about widening spreads between the overnight inter-bank lending rate such as the overnight index swap (OIS) and term London Inter-Bank Offer Rates (LIBOR). Among the tools it has used to counter the impact of the crisis, the...

This study empirically examines whether spin and tone affect contemporaneous stock returns and volatility. We examine spin and tone of earnings reports from two sources: companies' earnings press releases and the financial news coverage of those releases. Our definition of spin is based on...