Purpose – The objective of this study is to examine the relative contribution of three groups of factors that are associated with working capital at risk. These factors are grouped as firm-level, industry-level and country level variables. Working capital at risk is treated as the Value at...

This paper examines the relationships between the changes in the firm's capital structure and their effects on the firm's market value for three different levels of systematic risk. The underlying assumption of signaling is that when a firm changes its capital structure, its market value might...

Model-selection uncertainty corresponds to the uncertainty about the true lag order of the autoregressive process that should be picked. This paper shows that all model-selection criteria perform poorly in small samples. Model-selection uncertainty adds to the bias and variability in the...

In the spring of 1996, the first working version of the FRB/US model replaced the venerable Monetary Policy System (MPS) model for forecasting and policy analysis in the US. The agents in the economy use a VAR-based expectation model, auxiliary to the large and complicated FRB/US model. This...

Based on asset pricing theory, reward/risk ratios vary positively with maturity of Treasury securities. We study the effect of increasing Treasury bonds' maturity on ex-post and ex-ante returns and risks in developed and emerging countries. As maturity increases, we show that ex-post and ex-ante...

The literature on the relation between dividends and stock risks include mixed results. The related studies have reached either insignificant, or positive, or negative results. The authors offer a mathematical structure that addresses potential mutual benefits of dividends signaling under...