This paper evaluates the performance of various factor models with firm-specific variables in forecasting correlation matrices at the German stock market. We investigate forecasts of correlations for a comprehensive sample and a sample of blue chips and analyze the impact of stock market crashes...

We examine the relation between correlation and variance in a conditional time and state varying framework. Using a switching ARCH (SWARCH) technique we document the finding that the correlations between the U.S. and other world stock markets are on average 2 to 3.5 times higher when the U.S....

English Abstract: A commonly-accepted retirement goal for a healthy pension is for it to sustain the relatively higher standard-of-living of the latter part of one’s working life throughout retirement. A recent innovation implemented by Brazil in January 2023 might provide a solution to the...

This paper examines the behavior of ski resort property in a major New England market over the last 25 years. A constructed property price series reveals that nominal prices are quite volatile and only slightly higher today than in 1980. These fluctuations and trends are investigated with a time...

Financial reporting and disclosure are potentially important means for management to communicate firm performance and governance to outside investors. We provide a framework for analyzing managers' reporting and disclosure decisions in a capital markets setting, and identify key research...

Rendleman Jones and Latane (1987) and Bernard and Thomas (1990) report evidence supporting their hypothesis that investors use a quot;naivequot; seasonal random walk model in forming expectations of quarterly earnings. Using the Bernard and Thomas (1990) data we show that the market acts as if...

Kim and Verrecchia (1994) provide a model of trade to explain trading volume around public disclosure which is assumed to be earnings announcement. However, their characterization of information is too general and has no relationship with the accounting information structure. Ohlson (1995)...

Previous research on international mergers and acquisitions has not looked at the valuation consequences of international acquisitions by firms from a developing economy. This study examines the announcement effect and the post-acquisition long-term performance of 96 Indian international...

While accounting research has shown that earnings response coefficients vary across firms many short-window accounting studies estimate earnings response coefficients using a pooled cross-sectional regression model which implicitly assumes that coefficients are identical across firms. We study...

This paper shows that greater disclosure requirements may induce firms to reduce strictly their value relevant disclosures. In the absence of segment reporting requirements, an incumbent firm may voluntarily disclose value relevant information because it can use other, value irrelevant,...