This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...

In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be...

We analyse the causes and impact of the significant mean price discounts (25% for financial and 29% for non-financial firms) in rights issues in the UK using a sample of 264 observations for the period of 1994 to 2006. We observe that for non-financial companies the issue terms announcement...

This paper examines the relationship between CDS and bond markets in the context of the financial crisis by employing daily data between January 2007 and September 2014. To the best of our knowledge this is the first study that analyses the incorporation of new information for CDSs and bonds...

The paper investigates the conditions surrounding Britain's open market repurchases over the period 1993-2010. We find that the high leverage and fiscal favouritism of repurchases over dividends deter the market's receptiveness. Thus it is evident that repurchases are influenced by institutional...

This study re-visits the question of benchmark mismatch among 1281 US equity mutual funds and its impact on benchmark-adjusted fund performance and ranking. All funds report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives...

We assess UK mutual fund performance from a perspective of a peer-group, applying a novel approach suggested in Hunter et al. (2014). Our sample comprises of 817 UK long-only active equity mutual funds allocated to nine Morningstar style category peer-groups in the period 1992-2016. Overall, we...

The global financial crisis has led to an increasingly focused attention on excessive bank risk-taking. One of the consequences is that the role of internal governance mechanisms (such as the board of directors) in monitoring risk has come under greater scrutiny.In this paper we examine the...

In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five-factor model fits better the returns of US sector portfolios than the three factor model, but that...

This paper extends the understanding of the relationship between oil prices, stock markets and financial performance of oil and gas firms over the past decade. Firstly it studies the impact of oil price fluctuations on stock markets in Europe. Secondly, it examines the volatility spillovers...