We develop a conditional version of the consumption CAPM using the conditioning variable derived from the cointegrated relationship among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict...

This paper uses daily sovereign credit default swap (CDS) prices to investigate how the credit risks of major Latin American reference entities are interlinked. Our empirical findings suggest that the underlying creditworthiness of nations is reflected in the direction of Granger causality and...

Different mutual fund managers hold different groups of stocks. Our empirical analysis shows that high-turnover (low-turnover) funds hold stocks likely to be held by other high-turnover (low-turnover) funds. Moreover, high-turnover funds prefer more relatively volatile stocks than low-turnover...

Different investors have different time preferences, which lead to different investment horizons. We claim that short-term investors have a stronger preference for speculative stocks featuring high volatility and high skewness than long-term investors do. It is supported by both of the...

This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...

The first generation quantitative bankruptcy prediction models are not designed to accommodate the time dimension. To overcome this limitation, various dynamic models based on survival analysis are developed recently. Among them, Cox (1972)'s proportional hazard model has been widely used in...

This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund returns. Using exponential GARCH models to estimate conditional idiosyncratic volatility, we find a significant positive relation between conditional idiosyncratic volatility...

This paper re-examines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the...

We develop a conditional version of the consumption CAPM using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict market...

<section xml:id="fut21660-sec-0001"> We present a theoretical model of option‐implied preferences with model uncertainty. An option‐implied risk aversion function with model uncertainty has a higher and a steeper level of risk aversion than an investor without model uncertainty. Based on the theoretical model, we try to...</section>