Though overall bank performance from July 2007 to December 2008 was the worst since the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors that have...

Though overall bank performance from July 2007 to December 2008 was the worst since at least the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors...

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

It is widely recognized that the value of environmental assets such as biodiversity, unique locations and the atmosphere may be hard to quantify. In particular, option values, quasi-option values and non-use values have been the subject of extensive discussion. We propose here an evaluation of...

In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970- 2001. We find evidence of both long memory and structural change in volatility and a twofold linkage between stock market and macroeconomic volatility. In terms of the...

In this paper the time series properties of the Fama-French factor returns volatility processes are studied. Among the original findings of this paper, structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market...

In this article, a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as...

What is the relation between the stock market and income distribution? There are many potential links between the two, some of which are associated with the relations of each of these with the rate of economic growth. An empirical analysis set in the framework of the neoclassical growth model...