Outputs (17)

The relationship between equity and bond returns: An empirical investigation (2017)
Journal Article

© 2017 Elsevier B.V. The correlation between equity and corporate debt is ambiguous. News affecting the value of a firm's assets induces a positive correlation, whereas an increase in the volatility of a firm's assets induces a negative correlation.... Read More about The relationship between equity and bond returns: An empirical investigation.

The connectedness between crude oil and financial markets: Evidence from implied volatility indices (2016)
Journal Article

In this paper we exploit newly introduced implied volatility indexes to investigate the directional risk transfer from oil to US equities, Euro/Dollar exchange rates, precious metals and agricultural commodities. We find significant volatility transm... Read More about The connectedness between crude oil and financial markets: Evidence from implied volatility indices.

Some extensions of the CAPM for individual assets (2016)
Journal Article

© 2016 Elsevier Inc. There is ample evidence that stock returns exhibit non-normal distributions with high skewness and excess kurtosis. Experimental evidence has shown that investors like positive skewness, dislike extreme losses and show high level... Read More about Some extensions of the CAPM for individual assets.

Accounting data and the credit spread: An empirical investigation (2015)
Journal Article

© 2015 Elsevier B.V. Measures of credit risk based on Merton (1974) rely upon information available in the market prices of securities. Under the Efficient Market Hypothesis market prices should reflect all available information and, hence, make redu... Read More about Accounting data and the credit spread: An empirical investigation.

Yes, the CAPM is testable (2014)
Journal Article

It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are likely to be inefficient ex ante, which could lead to spurious results even in the absence of sampling errors. This problem has le... Read More about Yes, the CAPM is testable.

The efficacy of high performance work practices in the Middle East: evidence from Algerian firms (2013)
Journal Article

Although there is developing evidence on the effectiveness of global HRM best practices in emerging and developing economies, little is known about the efficacy of those practices in the Middle East. This study examines the impact of high performance... Read More about The efficacy of high performance work practices in the Middle East: evidence from Algerian firms.

A net beta test of asset pricing models (2010)
Journal Article

While many recent empirical studies of the CAPM have used conditional beta tests, this technique has recently been shown to have several weaknesses. Here we introduce a new, more robust, net beta test which shares a number of characteristics with con... Read More about A net beta test of asset pricing models.