The European low-carbon transition began in the last few decades and is accelerating to achieve net-zero emissions by 2050. This paper examines how climate-related transition indicators of a large European corporate firm relate to its CDS-implied credit risk across various time horizons....

We study a 2012 reform in Israel where all exchange-traded products listed on the Tel Aviv Stock Exchange (TASE) adopted the Exchange Traded Fund (ETF) creation mechanism wherein designated market makers arbitrage between the index price and the net asset value of its benchmark. The reform...

To better understand the potential and limitations of the tokenization of real asset markets, empirical studies need to examine this radically new organization of financial markets. In our study, we examine the financial and economic consequences of tokenizing 58 residential rental properties in...

We study how firms' perceived cost of capital is related to risk factors in financial markets. The analysis is based on hand-collected data from Gormsen and Huber (2022), which cover firms' perceived cost of capital and discount rates for more than 2,500 firms. Consistent with Modigliani-Miller,...

We propose and test an alternative explanation for the existence of the positive governance-return relation in the 1990s and its disappearance in the 2000s: The governance-return relation is procyclical. Corporate governance mitigates investment distortions so that firms with strong governance...

China's stock market has grown rapidly since its introduction in 1991 and it has become one of the world's leading stock markets. This study is concerned with the dependence structures that exist between the Chinese stock market and other major stock markets including those in the US, UK, Japan,...

This research aims to solve the ambiguities that arise from stock risk estimation of an emerging market. Risk is not defined as variability but as a possibility of loss or of a weaker than market performance. Stock risk is estimated through the analysis of the underlying business, respectively...

This paper examines the rationale behind shareholder loyalty in the case of family owned Groups. We have analyzed the case of “Reliance Group”, the largest private sector company in India, which is headed by the Ambani Family. We have compared its performance with its competitors in the...

In this paper we examine the cross-sectional effects of the announcement of the imposition of the unremunerated reserve requirement (URR) in Thailand on stock prices. We show that there are negative abnormal returns following the announcement of the imposition of the URR, and that the effect of...

A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio---the portfolio of all assets in which each asset's weight is proportional to its total market capitalization---lies on the mean-variance efficient frontier, the set of portfolios having mean-variance...