The authors model stock returns as a stochastic function of a constant expected return and the financing costs resulting from delayed delivery, to examine three potential sources of instability in stock-return model parameter estimates.

This article assesses the current state of the efficient market hypothesis, which was the conventional wisdom among academic economists in the 1970s and most of the 1980s. It concludes that empirical evidence provides an overwhelming case against the efficient market hypothesis. The evidence...

During the 1990s, ownership of China's listed firms remained stable: state entities remained in control of restructured state-owned enterprises since only a minority of shares were allowed to trade publicly and to be owned privately. However, since 1999, the ownership of China's listed firms has...

The paper estimates the immediate impact of Hungarian monetary policy on three classes of asset prices: the exchange rate of the forint vis-à-vis the euro, spot and forward government bond yields and the index of the Budapest Stock Exchange. The endogeneity problem is treated with the method of...

Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...