In this paper, we study the history of Telecom Italia, the sixth biggest world telecommunication company for turnover, to evaluate how changes in control affected minority protection. Telecom Italia was privatized in 1997 and it has been the target of two takeovers in 1999 by Olivetti and 2001...

We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in the literature to detect jumps in financial assets using high-frequency data. We evaluate size and power properties of the procedures under alternative sampling frequencies, persistence in...

We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in the literature to detect jumps in financial assets using high-frequency data. We evaluate size and power properties of the procedures under alternative sampling frequencies, persistence in...

In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

Our data on investment in Central and Eastern European economies reveal that, though investment rates were typically high in the 1970s, the marginal efficiency of investment was low. Investment shares begun to decline in the 1980s, before the collapse of the communist system, but there was some...