The market coskewness puzzle has occupied the empirical asset pricing research since the third-moment asset pricing model was introduced by Kraus and Litzenberger (1976) and Friend and Westerfield (1980). Using the Fama-French 49 US industry portfolios this paper empirically shows that the...

This paper revisits the day-of-the-week anomaly discussion from a portfolio aggregation point of view. Using different levels of portfolio aggregation: market, industry and company levels, it is possible to partly trace the aggregation level of the effect of the factors driving the...

This paper develops and tests a theory that explains the skewed distribution of the takeover gain heavily in favor of the target shareholders by considering the interacting effects of a concentrated target ownership structure; legal restrictions like the equal treatment principle and the...

The paper explores the going public decision in a sample of family-owned corporations in Sweden, 1970-1991. the issuers' motivations for going public are documented and contrasted with economic theory. We find that the average firm is old, that a significant portion of the shares are sold by...

The paper applies a Factor-GARCH model to evaluate the impact of the market portfolio, as a single common dynamic risk factor, on conditional volatility and risk premia for the returns on size-based equity portfolios of three major European markets; France, Germany and the United Kingdom. The...

This study empirically examines how exchange rate shocks affect firms’ competitiveness in the small, export-oriented country of Finland. Specifically, using Sweden as a benchmark and controlling for cross-country sector and industry effects, the forex competition hypothesis is tested using the...

Purpose - The purpose of the paper is to study the relationship between stock return correlation and volatility. Design/methodology/approach -Utilizing a logit-type regression model, the paper analyzes the incremental effect of volatility on the level of correlation. The focus of the paper is...