There is much evidence in the literature that the volatilities of equity returns show evidence of asymmetric responses to good and bad news. At the same time, there is evidence that the unconditional distribution of stock returns is asymmetric as well. This paper examines the effects of...

We consider the stock performance of America's 100 Best Corporate Citizens following the annual survey by Business Ethics. We examine both possible short-term announcement effects around the time of the survey's publication, and whether longer-term returns are higher for firms that are listed as...

The development of multivariate generalized autoregressive conditionally heteroscedastic (MGARCH) models from the original univariate specifications represented a major step forward in the modelling of time series. MGARCH models permit time-varying conditional covariances as well as variances,...