Purpose – The purpose of this study is to examine the market-timing ability of mutual fund flows and how fund investors conduct asset allocation in response to market volatility. Design/methodology/approach – The paper compares the abnormal returns of net inflow funds with those of net...

Unconditional alphas are biased when conditional beta covaries with the market risk premium (market timing) or volatility (volatility timing). We demonstrate an additional bias (overconditioning) that can occur any time an empiricist estimates risk using information, such as a realized beta,...

Bu çalışmada Fama-French Üç Faktör Varlık Fiyatlama Modelinin İstanbul Menkul Kıymetler Borsası’nda uygulaması yapılmıştır. Çalışma, Temmuz 1995-Haziran 2005 tarihleri arasındaki 120 aylık dönemi kapsamıştır. Çalışmaya her yıl, İMKB’de işlem gören, menkul...

This paper tests the response of bond yield spreads and equity prices to credit rating changes in the Australian financial market. Unlike some earlier studies for foreign markets, we find evidence that both yield spreads and equity prices move in the ‘expected’ direction following rating...

In the present paper we study the performance of young closed-end funds (CEFs) in Greece. Using monthly CEF data from 1997 to 2007, we provide evidence showing that young funds underperform both old funds and the market. As in Kaplan and Schoar (2005), we note that new underperforming funds...

This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. By using a sample of six major European economies, we find that sovereign and...

This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors...

This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. For a sample including six major European economies, we find that sovereign and...

This paper shows how the reaction of selected emerging CEE currencies to increased uncertainty depends on market sentiment in a core advanced economy or even on the global scale. On the example of the Czech koruna, a highly stylized model of portfolio allocation between EUR- and CZK-denominated...

During the 15 years prior to the global financial crisis the volume of securitized assets transacted in the US grew substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization of assets, financial entities, who participate more...