We explore the intertemporal relation between the conditional mean and the conditional variance of industry portfolio returns and the Fama-French 25 size/book-to-market portfolio returns using data from Australia. We estimate the portfolio conditional covariance with the market and test whether...

Under globalization and international market integration, exploring seasonality in global equity markets is imperative for portfolio managers and individual investors to timely reconstruct their portfolios and for firms to optimally schedule the issue of either new shares or IPOs. Prior research...

We examine the potential effect of Chinese superstition on the prices of four commodities traded in the US commodity market using daily data from January 1994 to September 2012. We focus on market responses to days that Chinese traders superstitiously deem as either lucky or unlucky. Our results...

This paper examines the risk/return relations in eleven Asian Pacific stock markets and explores if the 1997 Asian financial crisis significantly influenced market behavior in the region. We use a plain vanilla time-series regression approach as well as various GARCH models. Although results...

We examine the performance of several types of the consumption-based CAPM (C-CAPM) models to explore if consumption factors matter for determining excess returns across 17 MSCI country indexes. While the classic world C-CAPM does exhibit some power in explaining cross-sectional variations of...

Cooper et al. (2006) find support for the "other January" effect in the US market over the period from January 1940 to December 2003 whereby the 11-month holding period returns following positive January returns are on average higher than those 11 months following negative January returns. Under...

It is generally recognized that international portfolio diversification may generate substantial reduction in systematic risk. Previous studies assume stability of the systematic risk measure, beta, and hence assume the permanence of risk reduction generated from international diversification....

This paper investigates the determinants of capital structure for 515 U.S. based multinational and domestic corporations for the 1973-1992 period. Key determinants include variables capturing the unlevered effective corporate tax rate, the intensity of use of non-debt tax shelters, and the...

There are fundamental differences between assets held by closed and open-end funds. Past research indicates that closed-end funds are less liquid than open-end funds. For example, a larger percentage of closed-end funds hold less liquid international securities. This paper surveys the existing...