In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as...

For many countries located around the equatorial region, climate phenomenon such as El Niño southern oscillation or ENSO has enormous impact on their economies. In the case of countries with a high degree of dependency on water resources for energy generation, the impact of ENSO has been...

We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the population of firms and from each other in how they cluster across industries. Using well specified tests under...

The main purpose of this paper is to explore the low power and methodological problems as they continue to plague long-term event study research. We investigate long-term tests (up to 2 years) performed on non-overlapping quarterly time frames as a solution. Components of commonly employed...

Can-do options are bespoke option structures listed on Safex and Yield-X. The JSE is the first exchange in the world to list, trade and clear exotic options. The first exotic was listed on 8 January 2007 with the onset of the financial crisis that played out during 2008. The option was on the...