This paper investigates the performance of three different approaches to modelling time-variation in conditional asset betas: GARCH models, the extended market model of Schwert and Seguin (1990) and the Kalman Filter algorithm. Using daily UK industry returns, we find the simple market model...

This study investigates the aggregate stock market impact of local currency and foreign currency sovereign rating changes. Consistent with evidence pertaining to company credit rating changes, we report that only rating downgrades have a wealth impact on market returns. Decreases in local...

We extend the feedback trader model by including a cross-market feedback trader. Our analysis of eighteen emerging markets suggests that there exists both positive and negative feedback traders in the markets and their activity is related to stock index return volatility. For cross-market...

We examine the effect of information quality around earnings announcements and insider trading events on equity systematic risk. Our results indicate that observed systematic risk significantly increases after these events. Consistent with the insights provided by our framework, the change in...

This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It extends the results found in the quot;volatility spilloverquot; literature by providing evidence that conditional stock market return...

Fischer Black's strategy of skewing portfolios to low-beta stocks makes sense in non-U.S. markets if a similar 'flat' relationship between beta and return exists in those markets. Theory suggests, however, that for taxation reasons, the relationship between beta and return will be more steeply...

The investment role of precious metals in financial markets is investigated by analysis of daily data for gold, platinum, and silver from 1976 to 2004. All three precious metals have low correlations with stock index returns, which suggests that these metals may provide diversification within...

This paper proposes and tests a new hypothesis concerning the price impact of option introductions on the underlying asset. In contrast to earlier research that has failed to explain the flipping of positive excess returns to negative excess returns on the listing date over the past thirty years...

We investigate the unconditional and conditional gold betas of four country-based gold industry portfolios. First, we document the similarity of unconditional gold betas across countries. Second, we find that the factors affecting conditional gold betas are different in the Australian and South...