Recent research has identified several industry-related patterns that standard asset pricing models cannot explain effectively. This paper investigates whether industry commodity dependence affects the cross section of stock returns, using the case of oil industry. The results show that in the...

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor's, Moody's, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation...