This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors...

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

The purpose of this paper is to understand the reasons behind financial market behavior that often does not match that proposed by classic finance models. In particular, this work tests the fully-rational agents assumption made by classic finance to explain investment decisions under...

A rational approach to investing is manifested through the realization of a higher yield for a given level of risk, and the realization of a given yield by accepting lower risk levels. Through the investment process, the question that is brought to investors’ attention is the importance of...

The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model on the Zagreb stock exchange during the drop in the total trade turnover, and mostly in the trade of equity securities. This model shows through the analysis techniques used to...

Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and...

This paper investigated the impact of prolonged terrorist activities on stock prices of different sectors listed in Karachi Stock Exchange by using newly developed terrorism impact factor index with lingering effect (TIFL) and monthly time series data from 2002(Jan) to 2011(Dec). Johansen and...

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

We combine the innovative approaches of Elliott, Komunjer, and Timmermann (2005) and Patton and Timmermann (2007) with a block bootstrap to analyze whether asymmetric loss functions can rationalize the S&P 500 return expectations of individual forecasters from the Livingston Surveys. Although...

In this paper we examine the linkages of government bond yield spreads (BYS) between Euro zone countries over the period March 3, 2007 - June 18, 2012, thus considering the intriguing features of BYS spillovers during the global financial and the Euro zone debt crisis. Splitting our sample to...