The main focus of this paper is to study empirically the impact of terrorism on the behavior of
stock, bond and commodity markets. We consider terrorist events that took place in 25 …

Economists have long recognized the importance of information veracity in valuing risky
securities. Market participants concerned about the credibility of information measures may …

In this paper, we show (i) that the risk-return characteristics of our sample of 17 developed
stock markets of the world have converged significantly toward each other during our study …

This paper examines the performance of 358 European diversified equity mutual funds
controlling for gender diversity. Fund performance is evaluated against funds' designated …

We examine the role of fundamental accounting information in shaping portfolio
performance. Using a conditional performance approach, we address the concern that the …

We define a battery of Sharpe performance measures, which differ by the information taken
into account in their computation, but also by the potential use of the fund by the investor …

There is a growing literature that employs nonparametric frontier methods in order to
evaluate the performance of investment funds. This paper proposes an integrated approach …

Several recent finance articles use the Omega measure (Keating and Shadwick, 2002),
defined as a ratio of potential gains out of possible losses, for gauging the performance of …

We examine the ability of one-and two-factor regime switching models to describe US,
developed, and emerging market mutual fund returns. We find that a two-factor fixed …

Bond skewness and coskewness (ie, bond return comovement with market volatility) are
both time varying, with cross‐sectional variation driven by maturity and credit rating. Other …