The demand for electronic books (e-books) and the e-book readers are complementary. On the one hand, the emergence of e-book readers such as Amazon’s Kindle has triggered the recent growth of the e-book market. On the other hand, several issues in the e-book market can affect the future of the e-book reader market. Considering this complementarity, this paper quantifies the impact of digital ri...

If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets. We find that stocks with high downs...

If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of expected returns across assets and is significant even when factors based on size and book-to-market ar...

S ize and book-to-market ratios have emerged as the two prominent variables that are significantly related to stock returns. Fama and French [1992] find that stock returns are negatively related to size and positively related to book-to-market ratios. They also find that the relationship between stock returns and beta is not statistically significant. The Fama and French research caps earlier s...

This paper explores the ability of theoretically-based asset pricing models such as the CAPM and the consumption CAPM referred to jointly as the (C)CAPM to explain the cross-section of average stock returns. Unlike many previous empirical tests of the (C)CAPM, we specify the pricing kernel as a conditional linear factor model, as would be expected if risk premia vary over time. Central to our a...

This paper studies the determinants of bank charter value and its disciplining effect on bank risktaking in the period since the mid-1980s. Due to significant macro developments in the banking industry, including legislation and regulation, consolidation, and technological advances, we find the magnitude, determinants, and the disciplining effect of bank charter value changed quite substantiall...

English language teaching market (ELT) inundated with course book packages containing astudent’s book, a teacher’s guide, workbooks, CD’s, videos, and test materials. A host ofresearchers have focused on course book evaluation and analysis and considered the selectionand evaluation of materials as an essential procedure in order to enhance out comes for thelearners who use them. This study thru...

This paper studies the link between the main sources of fundamental risk and asset returns by using the common components of a large number of macroeconomic time series variables as factors in a pricing model. A three-factor model with two common components and the market return as factors is found to explain the crosssection of size and book-to-market sorted stock portfolios better than standa...

This paper analyses the ability of some structural models to predict corporate bankruptcy. The study extends the existing empirical work on default risk in three ways. First, it estimates the expected default probabilities and computes default correlations using a copula function for a sample of bankrupt in the US. Second, it extracts common or latent factors that drive companies’ default corre...