Purpose – This paper aims to examine the relationship between the conditional variance of the factors from the Fama–French three-factor model and macroeconomic risk, where macroeconomic risk is proxied by the conditional variance for a default risk premium and real gross domestic product...

Using data from the stock markets of Japan, the UK and the US, this paper examines the time series properties of a price index derived from a zero net investment strategy of buying value stocks and short selling growth stocks. We use the results of this analysis to consider implications for the...

Purpose – This paper aims to examine the relationship between the conditional variance of the factors from the Fama–French three‐factor model and macroeconomic risk, where macroeconomic risk is proxied by the conditional variance for a default risk premium and real gross domestic product...

Purpose -The purpose of this paper is to examine the dynamic dependence structure in credit risk between the money market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market and CDS index spread for the derivatives market....

Purpose – We test for the validity of the smoothing and signalling hypotheses of dividend determination. Design/methodology/approach - Using a VAR framework we examine the dynamic behaviour of share prices, dividends and earnings for 137 UK manufacturing and service companies, observed over...

Purpose – We test for the validity of the smoothing and signalling hypotheses of dividend determination. Design/methodology/approach – Using a VAR framework we examine the dynamic behaviour of share prices, dividends and earnings for 137 UK manufacturing and service companies, observed over...

Purpose – The purpose of this paper is to examine the dynamic dependence structure in credit risk between the money market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market and CDS index spread for the derivatives market....