Learn More
Aidan Vining and three anonymous referees. Additionally, we appreciate comments received from participants at the The political and economic policy of privatization, broadly defined as the deliberate sale by a government of state-owned enterprises (SOEs) or assets to private economic agents, is now in use worldwide. Since its introduction by Britain's(More)
We examine tracking errors and performance of 31 European bond exchange traded funds (ETFs) during 2007-2010. On average, ETFs outperform their respective benchmarks. Our findings, contradicts recent results from international equity markets that suggest ETFs' underperformance. The average over-performance during the sample period varies from 10 basis(More)
This paper examines common risk factors in Euro-denominated corporate bond returns before and after recent financial crisis. Our results suggest that level and slope of interest rate and default spread term structures significantly improve the explanatory power of asset pricing models for the cross-section of corporate bonds. Further, we demonstrate that(More)
European volatility markets exhibit differences consistent with institutional clusters identified in the previous literature. The degree of integration between leading markets, however, is very high and shocks on the implied volatility spread die out within few days. Our Markov switching model distinguishes three volatility regimes. In the high volatility(More)
This document is made available in accordance with publisher policies and may differ from the published version or from the version of record. If you wish to cite this item you are advised to consult the publisher's version. Please see the URL above for details on accessing the published version. Copyright and all moral rights to the version of the paper(More)
We document a negative and asymmetric contemporaneous relation of European stock and implied volatility returns. The negative relation is significantly more pronounced at the highest quantile of the stock market return distribution (i.e. largest price decrease). The relation between stock returns and implied volatility exhibits differences consistent with(More)