Purpose: More studies have investigated the relation between option measures and stock returns during scheduled corporate events. This study adds to the literature and investigates the informational role of options concerning stock returns following unscheduled corporate news events. The...

In the context of managing downside correlations, we examine the use of multi-dimensional elliptical and asymmetric copula models to forecast returns for portfolios with 3–12 constituents. Our analysis assumes that investors have no short-sales constraints and a utility function characterized...

This paper investigates the short-run and long-run performance of Australian cross-listed firms relative to their industry rivals. The role of share trading liquidity and firm visibility in explaining abnormal returns is also investigated. In the short run, an abnormal return of 1.91% for...

This paper examines the sensitivity of financial sector stock returns to two risk factors – interest rates (both long-term and short-term) and exchange rates. Specifically we investigate the impact of the European Union and the introduction of the euro on European financial sector risk in the...

By selecting a globally representative dataset of airline indices, this study demonstrates that oil price or oil price regimes (delineated by the first gulf war and the 9/11 terror attacks) alone do not have any significant implications for airline stock prices. Overall, these findings are...

This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour of Australian investment managers who invest assets across multiple asset classes. Specifically, we analyse the behaviour of balanced, growth and capital-stable fund managers with regard to their...

This paper examines the short-run and the long-run oil price sensitivity of Indian, Pakistani and Sri Lankan equity returns using industry share price indices that are common between at least two countries. A generalised method of moments based approach is applied to a market model augmented by...