We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely unrelated to realized stock returns (in fact the...

This empirical study attempts to measure the direction of effects related to systemic sovereign risk (i.e. proxied by CDS prices) on a number of asset prices in four heavily stressed European economies: Greece, Ireland, Italy and Spain. The paper is innovative in terms of addressing the...

The use of non-parametric methodologies, the introduction of non-financial variables, and the development of models geared towards the homogeneous characteristics of corporate sub-populations have recently experienced a surge of interest in the bankruptcy literature. However, no research on...