Purpose This paper aims to study whether noisy public information that investors receive about the expected aggregate dividend growth rate can help better understand the large average equity premium and stock return volatility in the US financial market. Design/methodology/approach This paper...

Purpose This paper aims to investigate whether idiosyncratic volatility is priced in returns of equity funds while controlling for fund size and return momentum. Design/methodology/approach Following Fama and French (1993), an idiosyncratic volatility mimicking factor and a fund-size factor are...

Purpose The purpose of this paper is to investigate whether the factors that summarise the information in the yield curves of Australia and the USA can predict changes in the Australian–USA exchange rate (i.e. the AUD/USD rate) and Australian dollar excess returns. Design/methodology/approach...

Purpose The purpose of this study is to identify the factors that impact the exchange-traded funds net fund flow changes on a daily basis. Design/methodology/approach A total of 1,212 different exchange-traded funds with a proprietary daily net fund flow data and logistic regressions were...

Purpose The main purpose of this study is to examine the role of quality as a determinant of a cross-sectional variation in country-level stock returns. The study attempts to address the question: Is there any special premium for top-quality stock markets with decent profitability, indebtedness...

Purpose This paper aims to reconsider the role of asset-market participation in Diamond-Dybvig economies, to reconcile the existence of asset markets as a channel for financial integration with the distortions that they might impose on the banking system. Design/methodology/approach The paper is...

Purpose This paper seeks to examine the nature of spillovers between output and stock prices using both a long annual time series spanning 200 years and a shorter but quarterly observed data set. Design/methodology/approach The authors’ particular interest is to examine both the time-varying...

Purpose This paper aims to review the relevant literature on mergers and acquisitions in an attempt to provide a comprehensive account of what we know about mergers and which parts of the puzzle are still incomplete. Design/methodology/approach This literature review consists of three key...

Purpose The 1950s was characterised by pronounced stability of the banking sector in many countries, which the existing literature has attributed to tight regulation. However, other factors than regulation are important for financial stability. The purpose of this paper is to consider the case...

Purpose Prior studies on determinants of shareholder value creation have reported conflicting and sometimes confusing results. In this study, to obtain more refined and industry-specific results regarding variables determining shareholder value creation, an analysis was performed focusing on...