The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where trading information is not readily available and market liquidity is lower compared to the developed equity markets. Using daily data from December 1995 to April 2001 and...

Ferguson and Shockley (2003. Equilibrium 'anomalies'.Journal of Finance 58:2549-2580) develop a theoretical model and argue that size and book-to-market(B/M) effects in stock returns derive their cross-sectional explanatory powerbecause they proxy for leverage and financial distress. Using UK...

The article provides evidence of the key determinants of the sovereign credit spreads by including some unique variables which proxy credit risk, country-specific risk, and international risk for 10 European Monetary Union (EMU) member countries. The findings suggest that though both...

This article examines the influence of foreign investors in explaining short-run dynamics and long-run relationship of the emerging Indian equity market with global equity markets. Using daily return series and equity portfolio investments made by foreign institutional investors, we conclude...

The paper examines the influence of investor protection on international equity portfolio investments. Using bilateral portfolio holdings data for 36 countries for 2001–2006, the study demonstrates that the investor protection measures are important determinants of foreign equity portfolio...

Using data from the transparent Indian IPO setting, the paper examines retail investors’ participation, their influence on IPO pricing and the returns they make on IPO investment. The transparency in the mechanism, which allows investors to observe prior investors’ participation, leads to...