In this paper, we test the predictive power of a nonparametric multivariate discriminant model to predict corporate bankruptcy. In contrast with the previous literature, we employ not only accounting ratios, but also market and microstructure variables. The most important finding are that market...

In this paper, we test the predictive power of neural networks to predict corporate bankruptcy. In contrast with the previous literature, we not only use nontraditional models and employ accounting ratios, but also market and microstructure variables. The most important findings are that market...

Polynomial goal programming, in which investor preferences for skewness can be incorporated, is utilized to determine the optimal portfolio from Latin American, US and European capital markets.The empirical findings suggest that the incorporation of skewness into an investors portfolio decision...

Based on several research studies and in particular the theoretical study of Prakash, de Boyrie, Hamid and Smyser (1997), it is known that the variance as well as the skewness of the probability distribution of rates of return increases if the investors' investment interval increases. In the...

In the UK, SSAP 13 requires that firms immediately expense most of their Ramp;D expenditures. The reported earnings of high-Ramp;D expenditure firms are therefore likely to convey less value-relevant information to investors than those of less research-intensive firms. Using a sample of firms...

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund...

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund...

In this paper, we investigate the univariate behavior of variables prior to bankruptcy. In contrast with the previous literature, we study not only the behavior of accounting ratios, but also that of market and microstructure variables. The most important finding is that market and...

Peer to peer (P2P) lending is an emerging asset class that potentially offers investors relatively high risk adjusted returns and a good way to diversify portfolios. However, little research has empirically explored the returns of P2P loans. This study explores the investment returns of P2P...

In this paper, I investigate the predictive ability of market variables in correctly predicting and distinguishing going concern opinion firms versus going concern firms. Following Fernandez et al. (2014), which demonstrated the benefit of adding market variables into a model to predict...