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Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, we study the inter-temporal stability of the covariance and correlation matrices of credit spread changes. Within a multivariate framework, the Box and Jennrich tests are most commonly used test statistics in the(More)
The purpose of this paper is to identify ex ante fund statistics that can be related to future performance of European equity funds. In an efficient market setting, actively managed portfolios cannot outperform a passive benchmark strategy. However, purely by chance, some funds outperform their benchmark ex post, making the identification of performance(More)
Acknowledgment The interest for credit risk from academics and practitioners is booming. The up till now available literature on this subject, however, concentrates almost uniquely on US markets. While these markets play a major role in the world economy European bond markets are experiencing an ongoing growth and a trend towards maturity. How credit risk(More)
Correspondence to: Jan Annaert, Ghent University, St. Pietersplein 4-5, 9000 Ghent, Belgium, Phone: 32/9/264.89.79; E-mail: jan.annaert@rug.ac.be; Julien van den Broeck, University of Antwerp, Middelheimlaan 1, 2020 Antwerp, Belgium, Phone: 32/3/218.07.38; E-mail: julvdb@ruca.ua.ac.be; Rudi Vander Vennet, Ghent University, St. Pietersplein 4-5, 9000 Ghent,(More)
Nonparametric Analysis of Household Labor Supply: Goodness-of-Fit and Power of the Unitary and the Collective Model We compare the empirical performance of unitary and collective labor supply models, using representative data from the Dutch DNB Household Survey. We conduct a nonparametric analysis that avoids the distortive impact of an erroneously(More)
The empirical verification of one-factor and multifactor asset pricing models attempts to identify the risk factors that should be used by investors to value risky cash flows and tries to distinguish models which are able to estimate expected returns without misspecification. In this paper we evaluate different model specifications for European stock market(More)
This paper investigates whether the stock returns of banks with different risk profiles exhibit different risk factor sensitivities over the business cycle. More specifically, we investigate whether or not high levels of capital adequacy or functional diversification provide banks with a structural hedge against a deterioration in the prevailing credit(More)
The localized form of pigmented villonodular synovitis is characterized by a limited involvement of synovium. Although the knee is the joint that is commonly affected, bone changes in this location are not usual. We report the case of a histologically proven localized form of this entity in the knee, which mimicked a benign bone tumor on the basis of an MR(More)
  • Jan Annaert, Nico Valckx, Suomen Pankin, keskustelualoitteita
  • 2001
It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators. Both risk-return analysis and the theory of investment under uncertainty provide a rationale for this extension. The results for the(More)
The evaluation of investment performance has received considerable interest in the finance literature. However, academic studies mainly focus on the performance of homogeneous domestic equity portfolios and attempt to measure abnormal performance using a return-based regression methodology. To date, remarkably little is known empirically about the(More)