This paper examines the relation between dividend policy, managerial ownership and debt-financing for a large sample of firms listed on NYSE, AMEX and NASDAQ. In addition to standard parametric estimation methods, we use a semi-parametric approach, which helps capture more effectively...

We explore the link between the default risk and equity prices for the U.S. aggregate banking sector over the last 30 years using a regime switching methodology which allows for changes in regulation and the recent financial crisis. We reveal that the default risk exercises a causal effect on...

We propose a new approach to measuring long-run inflation risk, the inflation risk premium, and inflation expectations for the UK over the period 1985–2012. By adding long-term bond futures to the information set of inflation-indexed and nominal bonds, inflation risk is measured as an...

As the Basel III reforms, which come into effect from 2012, place emphasis on default risk, assessing the impact of Prompt Corrective Action (PCA) on default risk is of practical relevance. We provide strong evidence that both the dynamic and the contemporaneous impact of the PCA-defined tier 1...

We report empirical evidence suggesting a strong and positive risk-return relation for the daily S&P 100 market index if the implied volatility index is included as an exogenous variable in the conditional variance equation. This result holds for alternative GARCH specifications and conditional...