Analyst recommendations are one of the types of information whose appearance on the market can have an influence on security prices. In this paper, I study the impact of analyst recommendations on stocks listed on the WIG20 Index, using event-study methodology and linear regression models. The...

This study investigates the effectiveness of six of the key international indices in estimating Saudi financial market (TADAWUL) index (TASI) movement. To investigate the relationship between TASI and other variables, six equations were built using two independent variables of time and...

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...