We evaluate alternative models of the volatility of commodity futures prices based on high-frequency intraday data from the crude oil futures markets for the October 2001-December 2012 period. These models are implemented with a simple GMM estimator that matches sample moments of the realized...

The paper investigates whether the presence and tenure of Private Equity (PE) investmentin European companies improves their performance. Previous studies documentedthe unambiguous merit of a buyout during the 1980s and 1990s for listedfirms in the US and UK markets. This study analyzes such...

We find that U.S. corporations' demand for liquidity is sensitive to two importantfactors: uncertainty facing the rm and the quality of corporate governance. Fol-lowing prior research, we find that both factors have important influences on firms'cash holdings. Our results also indicate that the...

This paper empirically investigates the impact of macroeconomic uncertainty on thespreads of individual rms' credit default swaps (CDS). While existing literature ac-knowledges the importance of the levels of macroeconomic factors in determiningCDS spreads, we nd that the second moments of these...

This paper empirically examines whether additional future xed capital and R&D investmentexpenditures induce rms to accumulate cash reserves while considering therole of market imperfections. Implementing a dynamic framework on a panel of US, UKand German companies, we nd that rms make larger...

This paper analyzes the effects of parliamentary election cycles on the Turkish banking system. Usingannual bank-level data representing all banks in Turkey during 1963–2007, we present evidence of meaningfuldifferences in the structure of bank assets, liabilities and financial performance...

Research by Chirinko (1982,1985,1987) makes a convincing argument that Q theory is unlikely to provide a satisfactory investment model. However, Klock Thies, and Baum (1991) show that Q is commonly mismeasured. The finding is applicable to Chirinko’s empirical research and raises the question...

This paper focuses on testing alternative hypotheses that relate the adoption of anti-takeover defences to the financial characteristics of firms that adopt them. We focus on the creation of a composite measure of anti-takeover defences and then relate the intensity of this measure to the...

We re-examine Sephton and Larsen's (1991) conclusion that cointegration-based tests for market efficiency suffer from temporal instability. We improve upon their research by i) including a drift term in the vector error correction model (VECM) in the Johansen procedure, ii) correcting the...

This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rates in the post-Bretton Woods era. We allow for (i) fractional integration and (ii) a double mean shift in the real exchange rate process. These methods, applied to CPI-based rates for 17...