Efficient estimation of the equity cost of public corporations is an essential component of computing the required rate of return of real investment projects, and therefore the basis for a rational investment policy. The accepted methodology relies on the CAPM model to define the return risk...

This paper makes specifics contributions in the methodology of event studies. First, it develops a financial econometrics framework for understanding, measuring and testing the impact of outlier returns on the estimated parameters of stock return models. Second, it presents a maximum likelihood...

This paper investigates the impact and implications of outlier returns for event studies and the pricing of risk. A mixed regression process consisting of a regular and an outlier component is used to model returns for individual stocks. The regular component of stock returns is estimated using...

Stock returns are decomposed into their regular and outlier components using a maximum likelihood outlier resistant estimation method. Analytical results depicting the impact of outliers on the OLS estimated models and CAR statistics are derived and validated using Monte Carlo simulations. The...

We investigate the determinants of the banks' propensity to make long-term business loans in an emerging market context. Using a large sample of Russian banks, we find that the median bank allocates only 0.5% of its assets in long-term business loans and that there is wide cross-sectional...