Investigating if the market is efficient is an old issue as market efficiency is imperative for channeling investments to best-valued projects and its importance endures. There is contradictory evidence in the literature provided by empirical researches. The primary purpose of this research has...

Terrorist attacks tend to happen concomitantly, begetting widespread violence, perturb individual routine life, bring dire effect on the economy and ultimately cause volatility in stock prices. This research tries to assess the impact of substantial terrorist incidents that took place in the...

We investigate the relationship between hybrid tail covariance risk (HTCR) and expected return over the last four decades. Despite a significant positive HTCR-expected return relationship in Bali et al. (2014), we find that this relationship is not significant at least during average market...