… Because the evidence for the existence of such random shocks is consistently present for
the commodities examined (see Milonas, 1984), we develop a methodology which alleviates …

This article examines managerial ownership structure and return premia on corporate bonds.
It is argued that when managerial ownership is low, an increase in managerial ownership …

This paper examines the price and volatility behaviour of two similar commodities (Brent
Crude Oil and West Texas Intermediate) and attempts to identify the variables that affect their …

In this paper we examine the proposition that small investor sentiment, measured by the change
in the discount/premium on closed‐end funds, is an important factor in stock returns. We …

… every trading date, the implication of the theoretical arguments of Milonas-Thomadakis and
… as well as the hypothesis advanced by Heinkel et al. and Milonas/Thomadakis. Indeed, for all …

In this paper we study the performance and the trading characteristics of a sample of 36 Swiss
Exchange Traded Funds during the period 2001-2006. Using daily data we find that Swiss …

We investigate the impact of wind and solar power generation on the level and volatility of
wholesale electricity prices in the Greek electricity market from August 2012 to December 2018…

This paper examines the impact of the introduction of electricity futures on the spot-price
volatility of the French (Powernext) and German (EEX) electricity markets, as well as the degree …

This paper analyzes the ex-dividend day stock price behavior in the Chinese stock market.
This market allows to examine the impact of tax effects while keeping any microstructure …

Recent studies on spot (stock, bonds, commodities) as well as on futures markets have stirred
academic interest on the effect of the economic impact of public announcements on prices. …