This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets. The empirical results show ...
In this article we propose a new approach in event studies based on a hidden Markov chain combined with a classical event study model. The number of states informs us about the number of significant events affecting the related market, and ...
This paper examines how much the volatility of sovereign bond markets in emerging Latin American countries is influenced by the volatility shocks to global and regional markets. After estimating the Generalised AutoRegressive Conditional He...
So far the earnings management literature has failed to establish the impact of taxes on the Loan Loss Provisions (LLPs) of financial institutions. We extend the discretionary LLP literature to a less studied area regarding the role of taxe...
In this paper we examine the impact of several local and global risk factors on the stock returns of S&P 500 industries| indices by applying a multifactor arbitrage pricing model. The local macroeconomic factors are industrial productio...
