The effects of scheduled macroeconomic announcements on the real‐time intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday jumps...

Using singular spectrum analysis (SSA), we model the realized volatility and logarithmic standard deviations of two important futures return series. The realized volatility and logarithmic standard deviations are constructed following the methodology of Andersen et al. [J. Am. Stat. Ass. 96...

In this paper we investigate the relation of the anomalies on accruals and net stock issues with the value/glamour anomaly. Our findings reveal, that hedge strategies on retained earnings, total accruals, net operating assets (accrual proxies), cash distributions to equity holders (net stock...

In this paper, we investigate the informational content of retained and distributed earnings for future profitability and market mispricing. We find that investors act as if the components of retained earnings (current operating accruals, non current operating accruals and retained cash flows)...

This paper examines the probability of returns exceeding a threshold, extending earlier work of Christoffersen and Diebold (2006) on volatility dynamics and sign predictability. We find that the choice of the threshold matters and that a zero threshold (leading to sign predictions) does not lead...

In this paper, we use option based measures of financial performance that utilise market information in a binary probit regression to examine their informational context and properties as distress indicators and to estimate default probabilities for listed firms. We then enrich them with...

In this paper, we use option based measures of financial performance that utilise market information in a binary probit regression to examine their informational context and properties as distress indicators and to estimate default probabilities for listed firms. We then enrich them with...

In this paper we explore the extent of exchange rate pass-through for the USA, UK and Japan using a post-Bretton Woods industry-level dataset. We investigate how different channels of exchange rate pass-through affect domestic and import prices. Our analysis is suggestive of two channels of...

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on...