Outlines previous research on business failure prediction models and investigates the impact of serial correlation and non‐stationarity in financial variables on models based on linear discriminant analysis, logit and cumulative sums using 1974‐1991 data from a sample of failed and...

This paper investigates the behavior of exchange rate volatility during appreciations and depreciations. Six US dollar exchange rates are investigated. In all instances the response of volatility to exchange rate changes is asymmetric. For dollar exchange rates with respect to EMS currencies,...

Several authors have raised the issue of non‐stationarity of security returns in empirical tests of the Arbitrage Pricing Theory (APT). This paper tests for one form of non‐stationarity, namely, conditional heteroskedasticity, in the empirical APT with observed factors. Using monthly stock...

Purpose – The purpose of this paper is to compare the sustainability disclosure methods‐instruments practiced by the two most widely employed indexes/instruments (DJSI World and GRI‐G3 Guidelines). The paper suggests that the newly created triple bottom line (TBL) reporting practices need...

The purpose of this paper is to assess the usefulness of financial ratios derived from working capital‐based funds flow information to predict the failure of US industrial firms. Unlike cash‐based funds flow ratios, used in the previous papers, capital‐based funds ratios are less volatile,...

Efficient estimation of the equity cost of operating public corporations is essential for a rational investment policy. Traditional OLS beta estimates of a single stock are known to suffer from violations of normality due to outliers – extreme returns caused by large, unpredictable...