This paper investigates the role of oil as a determinant of the US stock-bond correlation. The analysis uses monthly data over the period from February 1990 to July 2021. We examine the impact of oil shocks, using the Ready (2018) method, alongside a range of macroeconomic variables on the...

This study aims to identify the effect of terrorism on size and value premium using value weighted monthly returns for non-financial firms from January 2001 to December 2010. In addition to Independent size and BE/ME sorted portfolios, two dimensional portfolio formation methodology of Dimson,...

This study aims to investigate the impact of terrorism on Pakistani industry excess returns and systematic risk. Value weighted monthly returns for non-financial firms listed at Karachi Stock Exchange, from January 2001 to December 2010, are used for this study. A multiplicative term to study...