This paper derives accurate inferences about the contribution of a high-dimensional set of option and stock characteristics to the cross-sectional variation in delta-hedged option returns. Unlike the extant literature that is largely focused on the construction of predictive models, we apply...

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies (CRAs)' sovereign credit re-ratings on European stock and currency return distributions via their first four realized...

We examine the linkages both within and between stock and foreign exchange (FX) markets via three higher moments of return distributions (volatility, skewness and kurtosis). We find FX market linkages (in the 2nd and 4th moments) are relatively more prominent in developed markets. Cross-asset...

We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the...

We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further...

The problem of decomposing bond portfolio holding period returns is addressed in this paper. Bond holding period returns are decomposed into four main components, the non-random horizon component, the spread component, the base-rate component, and an interaction component. The horizon component...

We assess the stock market volatility spillover between three closely related countries, United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is...

Rational strategic planning has long been used as an instrument to improve financial performance. With the increasing complexity of the business environment, this positive impact has decreased. As a result, there have been several calls for more work focusing on investigating and understanding...

We examine the relationship between the Samuelson hypothesis and carry arbitrage. The empirical-based Samuelson hypothesis states that futures price volatility will increase with approaching expiration. The existing empirical evidence related to the Samuelson hypothesis is mixed. The...