This paper thoroughly investigates the price dynamics of carbon spot and futures returns for the first commitment period ranging from 2008 to 2012 with the aim to develop an adequate spot-returns-model. We apply a broad spectrum of various GARCH models including different distributions for model innovations. Both time series, spot and futures returns, exhibit asymmetric behavior in their varian...

this study focused to identify the likelihood factors affecting on farmers’ higher gain from paddy marketing in the north central province of sri lanka, where the main paddy cultivation area of the country. the required data was drawn from the field survey carried out in three irrigation systems covering 257 farmers during july to august 2010. the empirical logit model was used to assess factor...

This study examines the effect of corporate liquidity and investor protection on the relation between financial distress and equity returns using a European sample over the 2002-2016 period. The results show that returns are hump-shaped and decreasing for increasing default risk. This can be rationalized by corporate liquidity indicating that higher cash holdings decrease liquidity risk. Moreov...

We examine the shareholder wealth effects associated with 97 global equity offerings made by foreign firms in the United States. Although on average these global offerings are not associated with a negative stock price response, firms located in emerging markets have negative abnormal returns while those located in developed markets have positive abnormal returns. In addition, we find that the ...

This paper contributes to characterizing the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting some flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power (EP), and Asymmetric Exponential Power (AEP), and comparing their goodness of fit. The α-stable and th...

Recent research has documented the existence of common factors in individual asset’s idiosyncratic variances or squared idiosyncratic returns. We provide an Arbitrage Pricing Theory that leads to a linear factor structure for prices of squared excess returns. This pricing representation allows us to study the interplay of factors at the return level with those in idiosyncratic variances. We doc...