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Purpose – The purpose of this paper is to focus on the performance of three alternative value‐at‐risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time...
Purpose – The purpose of this paper is to re‐examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found that...
Purpose – The purpose of this paper is to investigate factors that safeguard or hinder the proper use of derivatives, with evidence from active users and controllers of derivatives. Design/methodology/approach – An online panel of 420 users and controllers of derivatives responded to a...
Purpose – There is empirical evidence that a firm's addition to S&P 500 results in significant abnormal returns and an increase in a stock's liquidity. The purpose of this paper is to argue that changes in the information environment after the year 2000 due to the implementation of Regulation...
Purpose – The purpose of this paper is to add to the literature on the impact of the Morningstar ratings by examining the impact of individual stock ratings in the Hare and Tortoise portfolios. Design/methodology/approach – This study uses an event study approach, where the effect of the...
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