We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We explored which model specification and distributional...

Purpose: The aim of our paper is twofold. First, we examine the predictive ability of log bookmarket, dividend-price, earnings-price and dividend-earnings ratios on the most recent data set of the strongest securities in the UK economy; unlike the majority of the studies in this data set, our...

Purpose: The aim of our paper is twofold. First, we examine the predictive ability of log bookmarket, dividend-price, earnings-price and dividend-earnings ratios on the most recent data set of the strongest securities in the UK economy; unlike the majority of the studies in this data set, our...

This study investigates board characteristics best practices in the particular context of European listed companies. The theoretical grounding of the paper is done by discussing board composition and board compensation related studies, mainly belonging to the corporate governance literature. The...

This study investigates board characteristics best practices in the particular context of European listed companies. The theoretical grounding of the paper is done by discussing board composition and board compensation related studies, mainly belonging to the corporate governance literature. The...

Special mathematical techniques have been developed in order to analyze conflict-competition situations. Game theory provides a formal analytical framework with a set of mathematical tools to study the complex intersections among rational players (Osborne, 2004). The purpose of developing this...

Purpose This paper aims to investigate and compare the sustainability reporting practices of companies in the two most successful Western economies, the USA and the UK, as per Global reporting initiative framework. Design/methodology/approach Content analysis has been applied on a sample of 136...

This paper describes the cointegration-based technologies commonly used to assess the relative price discovery across markets, namely the Hasbrouck information shares and Gonzalo-Granger long memory common factor weights, and presents a new metric denominated contemporaneous information...

Because environmental information reporting remains voluntary on an international scale, there are major difference in terms of quality and quantity of environmental information, reported by entities from varied sectors and countries. Within this study, I have focused on internal...

Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic biases that are most pronounced during volatile periods. For instance, differences of 10-20 percentage points would have been observed on fair-value index variance swap rates...

Purpose – This study seeks to investigate the likely adoption of integrated reporting (IR), in addition to highlighting the limitations of current reporting practices. In particular, the analysis in this study used the characteristics of diffusion of innovation theory to investigate how...

Purpose – The purpose of this paper is to empirically test dynamic hedging, using data from the FTSE-100 and Standard & Poor’s (S&P) 500 futures indices. Design/methodology/approach – The authors introduce a dynamic continuous-time hedging model in futures markets. The authors further...

This paper examines the partial adjustment factors of FTSE 100 stock index and stock index futures. Using high frequency data since January 15, 1997 until March 17, 2000, it aims to assess the informational impact of the new electronic trading systems recently implemented at London Stock...

The uncertainty about the market’ evolutions are one striking characteristic of the financial crisis. The objective of this paper is to find some evidences for the pre/ crisis periods actual shifting in volatility for some major European markets. The methodology is based on two particular...

We employ the Barberis et al. (2005) methodology to investigate the impact of changes to the FTSE 100 index on return comovement 1992-2002. For FTSE entries, the average weekly increase in the beta coefficient is 0.38 in univariate regressions and 0.60 in bivariate regressions that control for...

When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge...

We examine the effect of the appointment of directors on the share price of FTSE companies. We find that the share price reaction to the appointment of directors suggests that gender is not an issue in the appointment of nonexecutive directors, but it does have an effect on the market reaction...

This article examines the partial adjustment factors of Financial Times Stock Exchange (FTSE) 100 stock index and stock index futures. Using high frequency data from 15 January 1997 to 17 March 2000, it aims to assess the informational impact of the electronic trading systems implemented at the...

This paper examines the different factors that may influence the quantity of firms' disclosures about derivatives usage. The analysis focuses on the disclosures that were mandated by Financial Reporting Standard (FRS) 13 and examines these for a sample of UK firms' corporate reports. The study...