This paper investigates the performance of three different approaches to modelling time-variation in conditional asset betas: GARCH models, the extended market model of Schwert and Seguin (1990) and the Kalman Filter algorithm. Using daily UK industry returns, we find the simple market model...

We extend the feedback trader model by including a cross-market feedback trader. Our analysis of eighteen emerging markets suggests that there exists both positive and negative feedback traders in the markets and their activity is related to stock index return volatility. For cross-market...

We examine the effect of information quality around earnings announcements and insider trading events on equity systematic risk. Our results indicate that observed systematic risk significantly increases after these events. Consistent with the insights provided by our framework, the change in...

The aim of this paper is to provide an exploratory review of the extent to which some of the world’s leading companies are publicly addressing water stewardship as part of their corporate sustainability strategies. The paper begins with an outline of the growing importance of corporate...

We analyze the importance of personal attributes in explaining the performance of reported share transactions by corporate insiders. While prior literature has focused on observable firm and trade characteristics, little effort has been made to understand how individual attributes, such as...

This paper offers a review of the corporate social responsibility (CSR) agendas currently being publicly addressed by the UK's top ten internet service providers (ISPs). The paper begins with a brief outline of the problems associated with growing internet usage and this is followed by a...

US studies have consistently reported that the relationship between beta and return is less steeply sloped than that implied by the simple CAPM. The introduction of a dividend imputation tax system in Australia and other tax law differences suggest the relationship between beta and return may be...

This paper looks to provide an exploratory review of the extent to which the world’s fastest growing retailers are publicly reporting on their environmental and social commitments and programmes. The paper begins with an outline discussion of corporate environmental and social programmes and...