The aim of this study is to determine the effects of discovering oil on the performance of a small open economy, in this case the Falkland Islands. Using an event study approach and the return on one of the Falkland Islands´ main companies, the results suggest that the discovery of oil has...

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,...

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...