This paper investigates the existence of financial contagion between the US and ten European stock markets. Using intraday minute-per-minute data of a large set of 374 equities from three different industries, over the period from January to June 2011, we investigate the impact of increased...

This study proposes a new approach to examining executive remuneration and manager characteristics disaggregated by market index peer clusters and analyses personal attributes that differentiate managers across companies of different market caps (proxied my market indices such as FTSE100,...

This paper estimates consequences of the VAT increase on the tourism industry, by analysing the impact of the significant VAT rise in Portugal on the profitability and survival of firms related to food and beverage service activities. The analysis is divided into 3 periods: before and after the...

Standard Fama-French-Carhart models are widely used by academics to assess risk-adjusted fund performance versus market, size, style and momentum factors. However, it fails to reflect the industry standard, following which the performance of money managers is commonly evaluated relative to a...

This study estimates default probabilities of 124 emerging countries from 1981 to 2002 as a function of a set of macroeconomic and political variables. The estimated probabilities are then compared with the default rates implied by sovereign credit ratings of three major international credit...

This article presents a comprehensive analysis of the relative ability of three information sets --- daily trading volume, intraday returns and overnight returns --- to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into...

Using a unique database of UK fund manager changes over the period from 1997 to 2011, we examine the impact of such changes on fund performance. We find clear evidence to suggest that a manager change does affect the benchmark-adjusted performance of UK mutual funds. In particular we find a...