This paper develops a performance management tool and considers its application to the football industry. Specifically, the resulting model evaluates the extent to which the performance of English Premier League football club managers can be attributed to skill or luck when measured separately...

This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long–short commodity portfolios and their conditional correlations with traditional assets (stocks and bonds). Using several groups of trading...

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion...

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...

There is much evidence in the literature that the volatilities of equity returns show evidence of asymmetric responses to good and bad news. At the same time, there is evidence that the unconditional distribution of stock returns is asymmetric as well. This paper examines the effects of...

Many popular techniques for determining a securities firm's value-at-risk are based upon the calculation of the historical volatility of returns to the assets that comprise the portfolio and of the correlations between them. One such approach is the JP Morgan RiskMetrics methodology using...

The development of multivariate generalized autoregressive conditionally heteroscedastic (MGARCH) models from the original univariate specifications represented a major step forward in the modelling of time series. MGARCH models permit time-varying conditional covariances as well as variances,...

We consider the stock performance of America's 100 Best Corporate Citizens following the annual survey by Business Ethics. We examine both possible short-term announcement effects around the time of the survey's publication, and whether longer-term returns are higher for firms that are listed as...