We study a non-traditional cooperative game where returns from coalitions are nondeterministic. The long-standing concept of core can be generalized to reflect players' contentment with their allocations. It is now imperative to formalize the restrictions, such as those pertaining to...

This paper investigates the determinants of credit spread changes on bonds denominated in euro. The analysis is carried out using a panel data on euro bonds. We try to asses the relative importance of market and idiosyncratic factors in explaining the movements in credit spread. Because credit...

The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...

This paper considers a stylized asset pricing model where the returns from exchange rates, stocks and bonds are linked by basic risk-arbitrage relationships. Employing GMM estimation and monthly data for 18 economies and the US (treated as the domestic country), we identify through a simple test...

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Given the well-documented effects of public policy on financial markets, one would expect political insiders to be capable of enriching themselves through savvy investing. Consistent with this, two prior studies of stock trades in Congress conclude that members of both the House and Senate...

We take into consideration an innovative database of observations, focusing its attention on European data of different countries since the beginning of the Euro area. Our study introduces new control variables to the state variables used by Fama and French. This research considers the impact of...

In this paper, I examine the relations between risk management disclosures, governance, and the market pricing of the fair value gains and losses (FVGL) for US commercial bank holding companies (banks). I find that banks with strong corporate governance disclose more about their risk management...

Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy's financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen...