We investigate the mitigation effect of firms’ ESG, a proxy of sustainability, on the CDS issued by corporations listed on the S&P500. We aim to shed new light on the risk mitigation effect by disentangling the empirical evidence across economic sectors and the ESG determinants. Results...

A modern view of stakeholder theory considers that ethical behaviour and profit are not contradictory. Under this framework and in the Merger and Acquisitions context we would like to investigate whether companies with well-developed Corporate Social Responsibility engage stakeholders in a...

This article introduces the Resampling approach to Portfolio modeling, targeted at reducing the effect of estimation error present in any practical implementation of a Portfolio Model. Resampling is a method used in portfolio modeling to try to obtain better out of sample performance for given...

This paper develops a set of portfolio optimization models that involve a resampling approach of the higher order moments of financial assets return distributions. Specifically, the first four moments are examined. The Resampled Efficiency (RE) techniques introduce Monte Carlo methods to...

This article introduces the Resampling approach to Portfolio modelling, targeted at reducing the effect of estimation error present in any practical implementation of a Portfolio Model. Resampling is a method used in portfolio modelling to try to obtain better out of sample performance for given...

Financial institutions have always been exposed to operational risk – the risk of loss, resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Both banking supervision authorities and banking...

This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...

This paper examines how external foreign trade reacts to the European Central Bank’s (ECB) Official Discount Rate, considering exports to the US and Japan in EU27 and in four European countries. Although many previous studies have measured the cointegration and causality among exchange...

Purpose – The purpose of this paper is to examine investor reactions to auditor opinions containing qualifications or an emphasis of matter paragraph related to going concern uncertainty or financial distress. In particular, abnormal returns are analyzed around audit report dates....