This paper considers the role of valuation in portfolio theory. In particular, we examine value-price ratios and their dynamic properties. Five valuation principles are proposed, namely the separability of prices and valuations, the asymptotic convergence of value-price ratios, the finite...

This paper studies the normality of two portuguese stock exchange indexes, using daily returns for the period 1990-1995. The results of the tests allow to discard the hypothesis of normality. Weak form efficiency, evaluated through runs tests, is also rejected, while daily returns turn out to be...

Corporate Social Responsibility (CSR) is a multidimensional concept that involves several aspects, ranging from Environment, to Social and Governance. Companies aiming to comply with CSR standards have to face challenges that vary from one aspect to the other and from one industry to the other....

This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and...

We provide new evidence on the relationship between bilateral trade and stock market performance over Asia-Pacific region. Using three regional blocs in Asia-Pacific region – the Far Eastern bloc, the Chinese bloc, and the Australian bloc, we examine two main questions: whether trade linkages...

This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in order to measure long range dependence. We detect that...

A number of inefficiencies in the art market stress the fact that art remains a highly risky investment. The art market is characterized by high illiquidity, inefficient market information, high transaction costs, long transaction time and the absence of a hedging mechanism. Therefore, unlike...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

This paper reexamines the event study methodology in finance. We consider a formal specification of an event study in terms of a system of abnormal returns and, in particular, emphasise the possible limitations of using a methodology when misspecification may be present. In the first section of...

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...