This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990--2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven...

We test a conditional asset pricing model that includes long-term interest rate risk as a priced factor for four asset classes—large stocks, small stocks, and long-term Treasury and corporate bonds. We find that the interest risk premium is the main component of the risk premiums for bond...

The authors investigate the potential for manipulation due to the interaction between secondary market trading prior to a seasoned equity offering and the pricing of the offering. Informed traders acting strategically may attempt to manipulate offering prices by selling shares prior to the...

The authors test the conditional capital asset pricing model (CAPM) for the world's eight largest equity markets using a parsimonious generalized autoregressive conditional heteroskedasticity (GARCH) parameterization. Their methodology can be applied simultaneously to many assets and, at the...

We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not show significant differences between...