The aim of this study was to determine whether referendums affect stock price risks and returns, using an event study approach. Daily end period data for the Swiss stock market index, the STOXX European market index, and the Swiss/US exchange rate running from the beginning of 2004 to June 2021,...

The aim of this article was to assess the use of a group-based project for an empirical finance type of course. It examines the outline of the project, the methodology the students are encouraged to follow and how the course is assessed. This approach enables the students to apply many of the...

We investigate the finite sample behaviour of the ordinary least squares (OLS) estimator in vector autoregressive (VAR) models. The data generating process is assumed to be a purely nonstationary first-order VAR. Using Monte Carlo simulation and numerical optimization we derive response surfaces...

This study provides a critical assessment of long-horizon return predictability tests using highly persistent regressors. We show that the most commonly used test statistics are typically oversized, leading to spurious inference. As a remedy, we propose a simple Wald statistic, which can...

Vector autoregressions (VARs) are an important tool in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a...

Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the nite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a purely...

Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a...