The direction of price movements are analysed under an ordered probit framework, recognising the importance of accounting for discreteness in price changes. By extending the work of Hausman et al. (1972) and Yang and Parwada (2012),This paper focuses on improving the forecast performance of the...

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

This paper examines the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using a linear and non- linear quantile regression approach. Our goal is to demonstrate that the relationship between the volatility and market return, as quantied...

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

This paper analyses takeover effects on the Thai stock market in terms of their impact on the bidding firms' shareholders. We apply a comprehensive analysis of shareholder wealth effects using multiple methods. Our results conform with prior studies: see Jensen and Ruback (1983), Agrawal and...

The paper reports the residis of an investigation of the extent to which a sample of listed Australian, British and Japanese companies maintain spare borrowing capacity. Unused debt capacity is not directly observable and can be in various forms, including committed and uncommitted lines of...

This paper reports the results of an investigation of financial managers' perceptions of the broad determinants of listed Australian company capital structure decisions. The research method involves a series of field interviews undertaken with the company secretaries and senior financial...

An approach recently developed by Fama and French (2000) is applied to the study of whether UK company profitability is mean-reverting. A sample of roughly 987 firms per year for a period from 1982-2000 is used, drawn from Datastream. In a simple partial adjustment model convergence towards the...