We extract individual and company profiles from BoardEx to identify the executive board network and investigate the relationship between social links and asset returns. Our study documents a cross-predictability effect on returns for firms linked through executive board members. Specifically,...

We implement a recursive out-of-sample method to examine anomalies-based ex-ante predictability in the cross-section of stock returns. We obtain a series of simulated out-of-sample returns, consistent with investors using only prior information when choosing predictor variables. We find that, by...

Using quantile regression this paper explores predictability of the stock and bond return distributions as a function of economic state variables. The use of quantile regression allows us to examine specific parts of the return distribution such as the tails and the center, and for a...

Recent literature show that leverage has a negative effect on stock returns, which is contradicting with influential finance theories and models. Based on the time-period 1966-2015, the five-factor model and an international dataset, this thesis sets the focus on the question what kind of effect...

This paper analyzes the role played by financial assets, direct real estate, and the Fama and French factors in explaining EREIT returns and examines the usefulness of these variables in forecasting returns. Four models are analyzed and their predictive potential is assessed by comparing three...

This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies´ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive...

I examine whether directors' superior access to information and resources through their board network improves the quality of firms' forecasting. Managers may benefit from well-connected directors (i.e., greater board centrality) as, even though managers have firm specific knowledge, they may...

Earlier research has shown that it is very hard to outperform the random walk model with respect to forecasting exchange rates. In this paper we propose an extension to the regular regime-switching model in order to capture the exchange rate dynamics. The model is extended by including...

This paper investigates how political and legal institutions affect the governance role of auditors for a sample of firms originating in 42 countries. Prior studies focus on investor protection, but I focus on political rights as well. Specifically, I investigate how institutions and audit...

This paper aims to test the accuracy of three well-known equity valuation models for the period 1990 to 2006. This was done to a sample of German listed firms which diverge from the US market in accounting standards, market maturity and corporate governance culture (bank-based in contrast to the...