The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result...

Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the...

This paper considers the impact of U.K. practices with respect to the measurement and disclosure of intangible assets, focusing on R&D activities. We first update prior U.K. work relating R&D activities to market prices. Second, given the clearly identified role of disclosure outside of the...