Purpose – The purpose of this paper is to explore the clean development mechanism (CDM) which creates carbon credits from emission abatement projects in developing economies. The paper aims to examine the operation of the CDM with specific reference to fraud vulnerabilities regarding the...

Purpose – This study seeks to measure the level of responsible investment (RI) disclosure of the world's largest pension funds. Design/methodology/approach – The public disclosure of environmental, social and governance factors by the world's largest pension funds reflect their genuine...

Standard asset pricing models ignore idiosyncratic risk. In this study, we examine if idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm size...

Capital market theory is concerned with the equilibrium relationship between risk and expected return on risky assets. Within this framework, this paper seeks to extend the mounting evidence against the view that the beta coefficient of the Capital Asset Pricing Model is the sole measure of...

Standard asset pricing models ignore the costs of liquidity. In this study we advance the ongoing debate on empirical asset pricing and test if liquidity costs (as proxied by turnover rate, turnover ratio and bid-ask spread) affect stock returns for Australian stocks. Our tests use the factor...

Purpose – Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask whether idiosyncratic volatility is useful in explaining the variation in expected returns; and...