35 Stirling Highway
Crawley, WA Western Australia 6009
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
University of Western Australia
in Total Papers Downloads
asset pricing, skewness, kurtosis, size, book-to-market, momentum
Trading activity, realized volatility, order imbalance
fractionally integrated VAR, bootstrap, generalized impulse response, spillovers, higher moments, intraday data
Asset Pricing, Banking Risk Factor, Mimicking Portfolio, Bank Size
sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact
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Banking crisis, crisis dates, Markov switching, three regimes, Banking system stock return
Intraday data, higher moments, Markov regime switching, long memory, sovereign credit rating, credit rating agency
intraday data, higher moments, information theory, long memory, fractional integrated VAR, generalized impulse response
generalized impulse response, fractionally integrated VAR model, long memory
insider regulatory cost/benefits, media and insider trading, insiders and intangibles, adverse trading costs and Sarbanes-Oxley
Retail fuel pricing, ULP, Diesel, Western Australia
asset pricing, IBES analyst target price, realized returns, expected annual returns
Insider Trading, Short-Sales, SHO Regulation, Banks, CDS Trading
Corporate Governance; Insider Trading; Day of Week; Directorial Position; Earnings Management
Bid-ask spread, foreign exchange, inventory-holding premium, microstructure
Longstaff-Schwartz two-factor model, multi-country test, real yield data, term structure
ex-ante recession fears, ex-ante recession probability assessment, ex-ante stock market and output, recession fear effects
common information, foreign exchange market, stochastic volatility, trading hours, volatility spillover
credit default swap, credit spread, default risk, liquidity, Merton model
bank ratings, ordered response model
Markov switching, Asset linkages, Flight to quality, Flight from quality, Contagion
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