Publisher Summary Research in finance over the past 10 to 15 years has revealed stock
price behavior that is inconsistent with the predictions of familiar models. This chapter …

Using a new dataset of environmental, social and corporate governance (ESG) company
ratings and state-of-the-art statistical methodology, this article analyses the performance of …

1.1 Introduction Research into time series models of changing variance and covariance,
which I will collectively call volatility models, has exploded in the last ten years. This activity …

内容提要:“利好” 和“利空” 信息对股票市场具有不平衡性的影响, 研究这一现象对资产定价,
投资组合构造及风险头寸确定都有重要作用. 而新信息的出现对股票市场的影响应该区分股市所 …

The existing literature contains conflicting evidence regarding the relative quality of stock
market volatility forecasts. Evidence can be found supporting the superiority of relatively …

The transmission mechanism of price and volatility spillovers across the New York, Tokyo
and London stock markets is investigated. The asymmetric impact of good news (market …

The increasing availability of financial market data at intraday frequencies has not only led to
the development of improved volatility measurements but has also inspired research into …

Using a new dataset of environmental, social, and corporate governance company ratings
for the European market, this article examines whether socially responsible stock selection …

We investigate interdependencies between stock returns and exchange rate changes for six
industrialised countries, namely the US, the UK, Japan, Germany, France and Canada, by …

New evidence is provided on price and volatility spillovers among the Danish, Norwegian,
Swedish, and Finnish stock markets. The impact of good news (market advances) and bad …