This study aims to shed light on the risk structure in the presence of Islamic banking, in particular in Turkey. Islamic banking and conventional banking are considered to be different kind of sources for funding. Returns in the conventional banking expected to be heavily influenced by the...

We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...

This paper investigates the impact of 19 announcements pertaining to the introduction of value-added tax (VAT) in the United Arab Emirates (UAE) on equities listed on the Abu Dhabi Stock Exchange (ADX). Using a well-established event study methodology over the period 2015 to 2018, a sector-wise...

We assess the effect of the recent royal wedding of Prince Harry and Meghan Markle on various sectors of the UK stock market over the period between November 2017 and May 2018. For this purpose, the event study methodology is used to estimate abnormal returns and conduct several robustness tests...

Global institutional investors face constraints, in the form of either external regulations or internal firm policies, with regard to investing in countries rated speculative grade. As a consequence, when a country receives (loses) its investment-grade status, a significant inflow (outflow) of...

In the context of linear multi-factor models, this study proposes an egalitarian, optimal and unique procedure to find orthogonalized factors, which also facilitates the decomposition of the coefficient of determination. Importantly, the new risk factors may diverge significantly from the...

We measure an individual stock’s misvaluation based on the deviation of its price from predicted intrinsic value. Both under- and overvalued stocks identified by this misvaluation measure exhibit greater valuation uncertainty and arbitrage difficulty, and the misvaluation measure strongly...

We test whether different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish corporate debt markets. We observe a significant widening of yield spreads in short- and long-term corporate debt after reviews of downgrades and negative...

Recently, large-scale investigations have been launched around the world on allegations of possible collusion and manipulation of the London Interbank Offered Rate (“Libor”). These investigations followed empirical research that highlighted anomalous patterns in the Libor data. The Libor is...