This study examines the spill over effects of geopolitical risks (GPR) and extreme shocks on Commonwealth of Independent States (CIS) economies, as result of the Russia – Ukraine war, with particular focus on financial institutions. Further, we investigate whether the performance of CIS banks...

This study examines the interconnectedness between central bank digital currencies (CBDCs), digital assets, and financial stability. First, we use the CBDC index as a measure of financial stability and examine its connectedness with other known measures of financial stability used in the...

Purpose – The purpose of this paper is to explore the effect of leverage mimicking factor portfolios in explaining stock return variations. This paper broadens the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor. Design/methodology/approach –...

Purpose – This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model. Design/methodology/approach -The authors use the CAPS-Mellon...

Purpose – The purpose of this paper is to explore the effect of leverage mimicking factor portfolios in explaining stock return variations. This paper broadens the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor. Design/methodology/approach –...

This paper examines the relation between capital structure and abnormal returns for UK equities. A firm's industry matters when examining this relation. Abnormal returns decline in firm gearing, however, abnormal returns increase as the average industry gearing in a risk class increases....