This paper studies the impact of modelling time-varying variances of stock returns in terms of risk measurement and extreme risk spillover. Using a general class of regime-dependent models, we find that volatility can be disaggregated into distinct components: a persistent stable process with...

Stock return predictability by investor sentiment has been subject to constant updating, but reaching a decisive conclusion seems rather challenging as academic research relies heavily on US data. We provide fresh evidence on stock return predictability in an international setting and show that...

This paper examines the extent that public information, available prior to the initial public offering of shipping companies, is only partially incorporated in the final offer price set by the underwriters. The sample includes 51 shipping US initial public offerings that took place in the period...