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...

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...

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 study the multiple restatement announcements and its perceived resultant information asymmetry around the announcement day. We examine the pattern of information asymmetry for multiple restatement announcements in terms of bid-ask spread around the announcement day. Study of...

We examine the robustness of the Fama-French three-factor model in several bear and bull market periods. Data on bull and bear market periods are from the website of Global Financial Data. The data on the monthly returns of the 25 Fama French portfolios and the explanatory variablesmR, SMB, and...

This study investigates the implications of recognizing skewness preference in the computation of abnormal returns. Replicating the Fama, Fisher, Jensen and Roll study on stock split on a recent data set with a few distinct event study techniques, this study finds that recognition of skewness...