Purpose: This study aims to investigate the effect of product market competition on the exposure of firms’ returns to consumption fluctuations (C-CAPM beta). Design/methodology/approach: The C-CAPM beta comes from a regression of a stock’s returns against consumption growth, with controls...

Purpose: This paper aims to analyze a special corporate banking product, the so-called cash-pool, which gained remarkable popularity in the recent years as firms try to centralize and manage their liquidity more efficiently. Design/methodology/approach: A Monte Carlo simulation has been applied...

Purpose: The purpose of this study is to examine the impact of position adjusted turnover ratio on mutual fund performance. Design/methodology/approach: The author calculates position adjusted turnover ratio in the same three steps as Edelen et al. (2013). Position adjusted turnover ratio is...

Purpose: The purpose of this paper is to use fundamental models incorporating structural relationships within the firm in a terminal value model for the second stage of a two-stage valuation model utilized to estimate the value of a company. Design/methodology/approach: The innovation is that...

Purpose: The purpose of this paper is to increase the accuracy of the efficient portfolios frontier and the capital market line using the Riskiness Index. Design/methodology/approach: This paper will develop the mean-riskiness model for portfolio selection using the Riskiness Index. Findings:...

Purpose: This paper aims to clarify the relationship between corporate capital investments and business cycles. Specifically, a major purpose of this paper is to investigate whether there are inherent differences in corporate investment patterns and whether the stock market exhibits different...

Purpose: The purpose of this paper is, to study macroeconomic risk factors driving the expected stock returns of listed private equity (LPE). The authors use LPE indices divided into different styles and regions from January 2004 to December 2016 and a set of country stock indices to estimate...

Purpose: The purpose of this paper is two-fold: first, to introduce an innovative model of financial order book, less simplified than the existing literature and still able to replicate all statistical features of true markets; second, to simulate realistically the effects of policies aimed to...

Purpose: The purpose of this paper is to predict real gross domestic product (GDP) growth and business cycles by using information from both liquidity and volatility measures. Design/methodology/approach: The paper estimates liquidity and volatility measures from over 5,000 NYSE rms and...

Purpose: Community banks were affected distinctly by changes in banking regulation in the 1990s when compared with large commercial banks. These banks offer non-traditional finance items, presumably to compete with these financial institutions. This study aims to examine the importance of...