does the bond market predict bankruptcy settlements this study shows the extent to which deviations from the absolute priority rule increase or decrease the bankruptcy emergence payoff to traded i e usually junior claimants bondholders the data indicate that on average bondholders benefit albeit slightly from absolute priority rule apr violations this paper also examines the degree to which the bond market in the bankruptcy filing month anticipates departures from the apr and other influences on the payoff to bondholders in other words we investigate the informational efficiency of the market for bankrupt bonds overall despite the complex and lengthy nature of bankruptcy proceedings the results support efficiency the finance literature has traditionally assumed that when a firm enters bankruptcy the creditors become the owners and the value of the firm is distributed according to the absolute priority rule apr the apr states that senior creditors should be fully compensated before junior creditors receive any portion of the bankrupt firm s value and junior creditors should receive full payment before shareholders receive any compensation in practice formal bankruptcy proceedings are complex processes that often violate the apr brown 1989 captures some of the intricacies of this process in a game theoretic model showing that the solution to the bargaining process in bankruptcy can involve deviations from the apr although the solution

international technology transfer and the technology gap abstract we build a quality ladders product cycle model that explores how the quality of technology transferred through foreign direct investment fdi is linked to innovation and imitation when the absorptive capacity of ldcs is limited successful imitation of low quality levels makes fdi involving high quality levels possible through reduction of the technology gap a subsidy to imitation or a tax on low quality fdi production encourages imitation relative to innovation thus releasing the constraint faced by foreign firms seeking to produce in the south these forces that stimulate high quality fdi raise southern welfare through lower prices faster innovation and higher wages

oil prices and the stock prices of alternative energy companies energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements while it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices in this paper a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices technology stock prices oil prices and interest rates our results show technology stock prices and oil prices each individually granger cause the stock prices of alternative energy companies simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices these results should be of use to investors managers and policy makers

incentives for foreign direct investment under imitation we study the symmetric mixed strategy equilibrium of a dynamic model where at each instant two exporting firms choose their probability of foreign direct investment f1di the first firm s fdi generates cost lowering spillovers for the second and leads to local imitation thereby intensifying competition while an increase in imitation risk usually makes fdi less likely there exist parameter values for which the converse holds the key point is that by delaying the second firm s switch to fdi an increase in imitation risk can increase the value of being first to invest thereby increasing the equilibrium probability of fidi jel classification f23 f12 l13 incitation a l investissement direct a etranger quand il y a imitation les auteurs etudient 1 equilibre de strategies mixtes symetriques dans un modele dynamique ou a chaque instant deux firmes exportatrices choisissent leur probabilite d investissement direct a 6tranger l investissement direct a 1 etranger de la premiere firme engendre des effets de retomb6e qui reduisent le couits pour la seconde et engendre un effet d imitation au niveau local ce qui a pour effet d augmenter le degre de concurrence alors que l accroissement du risque d imitation reduit la probabilite d investissement direct a l etranger il existe des valeurs des parametres pour lesquels c est l inverse qui se produit le point central est que en faisant en sorte de reporter le recours a l investissement direct a l etranger par la seconde firme un accroissement du risque d imitation peut accroitre l avantage d avoir et6 le premier a investir a l etranger et donc accroitre la probabilite d equilibre d un investissement direct a 1 tranger

foreign direct investment and spillovers gradualism may be better the standard argument says that in the presence of positive spillovers foreign direct investment should be promoted and subsidized in contrast this paper claims that the very existence of spillovers may require temporarily restricting fdi our argument is based on two features of spillovers they are limited by the economy s absorptive capacity and they take time to materialize by letting in capital more gradually initial investment has the time to create spillovers and upgrade the economy s absorptive capacity before further investment occurs the economy converges to a steady state with a superior technology and a greater capital stock l argument conventionnel suggere que l investissement direct de l etranger ide devrait etre promu et subventionne si des effets de retombee positifs existent a contrario ce memoire suggere que l existence meme de ces retombees peut necessiter qu on restreigne temporairement les ide cette argumentation se fonde sur deux caracteristiques des retombees ces retombees sont limitees par la capacite de l economie receptrice a les absorber et elles prennent du temps a se materialiser en laissant entrer ce capital graduellement l investissement initial a le temps de creer des retombees et d ameliorer la capacite d absorption de l economie nationale avant que d autres investissements se produisent l economie nationale converge alors vers un regime permanent dote d une technologie superieure et d un stock de capital plus important

financialization in commodity markets a passing trend or the new normal abstract in this paper we show that large inflows into commodity investments a recent phenomenon known as financialization has changed the behavior and dependence structure between commodities and the general stock market the common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007 2009 financial crisis we show that financial distress alone cannot explain the size and persistence of comovements instead we argue that commodities have become an investment style for institutional investors given that institutional investors continue to target funds into commodities we predict spillovers between commodities and the stock market to remain high in the future

oil market conditions and sovereign risk in mena oil exporters and importers abstract we analyze for the first time how various levels of oil returns and oil volatility changes affect sovereign risk in static and time varying settings empirical analyses involve daily data from february 14 2011 to november 23 2018 covering a sample of mena oil exporters and importers the results from a quantile based approach show that the sovereign risk of mena oil exporters and importers is directionally predicted by shocks in oil prices and oil volatility especially during the oil crash of 2014 2016 overall the impact of oil returns and volatility changes occur in a very short time span that is within one day lag and the quantile specific reactions of sovereign risk spreads are time varying the impact of oil returns is asymmetric across quantiles the results hold when we control for stock market returns the findings have implications for investors in terms of portfolio and risk management importantly the findings are useful to policymakers for sovereign risk management decisions the cost of sovereign borrowing and the market timing of debt issuance finally the findings matter to bankers given that central and domestic banks hold large amounts of sovereign debt which makes banking systems particularly exposed to their own sovereign stress

forty years of oil price fluctuations why the price of oil may still surprise us it has been forty years since the oil crisis of 1973 74 this crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks in recent years a large literature on the economic determinants of oil price fluctuations has emerged drawing on this literature we first provide an overview of the causes of all major oil price fluctuations between 1973 and 2014 we then discuss why oil price fluctuations remain difficult to predict despite economists improved understanding of oil markets unexpected oil price fluctuations are commonly referred to as oil price shocks we document that in practice consumers policymakers financial market participants and economists may have different oil price expectations and that what may be surprising to some need not be equally surprising to others

the behavior of the common stock of bankrupt firms the event of reorganization or liquidation will be determined by a court to the extent such legal decisions are insensitive to general market movements perhaps the market risk of the firm s shares is reduced it could be the case that most corporate bankruptices are so fully anticipated that little or no new information is released when bankruptcies are filed casual observation suggests that major corporate bankruptcies do not come as complete surprises trading in listed stocks usually is halted some time before bankruptcy filings stories that a corporation is about to file a bankruptcy petition sometimes appear in the financial press several days prior to the filing more conclusive evidence that the market anticipates corporate bankruptcies has been presented in previous empirical studies the findings of westerfield 4 and aharony jones and swary 1 demonstrated that shareholders experience abnormal losses over periods of from four to six years prior to bankruptcy one of westerfield s cumulative performance measures indicated that shareholders of bankrupt companies lost on average 76 percent of their wealth relative to returns on securities of equivalent risk during the seventy one months preceding the announcement of bankruptcy of course large shareholder losses prior to bankruptcy do not guarantee that additional large losses will not be suffered when bankruptcy is announced to date only limited evidence supporting the existence of a bankruptcy announcement effect has been reported altman 2 found that shareholders suffered an average capital loss of approximately 26 percent during the period from one month before to one month after bankruptcy announcements unfortunately a two month interval is too long to provide a clear measure of the market s reaction to bankruptcy announcements it is possible that most or all of the shareholder losses detected by altman occurred during the month preceding the announcements

systematic share price fluctuations after bankruptcy filings and the investors who drive them beginning in the 1990s firms often continue to trade on the major national exchanges after chapter 11 bankruptcy filings for bankruptcies filed from 1993 2003 we find that the more negative the filing period price reaction the more favorable the immediate post filing returns on average this reversal is not attributable to bid ask bounce it holds after controlling for other factors associated with post filing returns and it appears more attributable to the activities of large traders than to small traders supplementary tests reveal that the pattern of post filing returns differs significantly for bankruptcies filed in bull versus bear markets bankruptcies filed during the 1993 to 1999 bull market enjoy substantial but short lived reversals averaging one third of the filing period price plunge these reversals are inconsistent with efficient assimilation of the bankruptcy information in contrast we find no evidence of post filing reversals for bankruptcies filed from 2000 to 2003

directional predictability from oil market uncertainty to sovereign credit spreads of oil exporting countries evidence from rolling windows and crossquantilogram analysis abstract given the recent collapse of oil prices this study investigates the directional predictability from the oil market uncertainty to the sovereign credit default swap cds spreads of four oil exporting gcc countries bahrain qatar saudi arabia and united arab emirates and five other oil exporting countries brazil mexico norway russia and venezuela using the modified bootstrap rolling window approach the empirical results reveal a significant directional predictability from oil uncertainty to the cds spreads of most of those oil exporting countries during the subperiods 2010 2011 and 2014 2015 that is during the periods when oil volatility follows a rising trend the most significant directional predictability is found for qatar bahrain saudi arabia and norway particularly during the 2014 2015 oil price collapse subperiod whereas there is no directional predictability found in the case of brazil for mexico the oil market uncertainty predicts cds spreads mostly during 2014 and for venezuela the directional predictability flows are highly impactful and concentrated during 2011 13 to check the robustness of our estimations we use a novel quantile dependence measure called the cross quantilogram that was developed by han et al 2016 the estimation results of this approach confirm our main findings and indicate that the surge in oil volatility predicts the cds spreads in different quantiles overall the findings highlight that the sovereign credit risk of the gcc and the other oil exporting countries is at least partially driven or directionally predicted by the oil volatility shocks this has important implications for investment and policy decisions

the boundaries of multinational enterprises and the theory of international trade this paper begins with a review of empirical evidence on multinational firms conceptual underpinnings of a theory are developed relying in particular on the notion of knowledge capital as a mobile joint input into geographically separated production facilities this idea is embedded in a simple two country general equilibrium model that supports multinational production in equilibrium under conditions consistent with the empirical evidence the final section examines internalization and shows why certain properties of knowledge capital also imply a preference for transferring technologies internally within the firm rather than through arm s length markets

the information content of bankruptcy filing on securityholders of the bankrupt firm an empirical investigation this paper captures the information content of bankruptcy announcements on stockholders and three different classes of debtholders using daily excess returns significant negative stock price reaction to the filing announcement is documented more interestingly the secured debtholders are unaffected by the announcement however the unsecured and the convertible debt classes exhibit significant adverse price reaction during the event period the secured debt group gains significantly while all other classes experience substantial losses cross sectional analysis reveals that the complexity of the reorganization process the security of the debt issue and to some degree the anticipation of the bankruptcy filing are important determinants of bond excess returns it is also found that leverage plays a significant role in preserving firm value by forcing the firm to confront reorganization sooner

oil shocks and their impact on energy related stocks in china abstract this paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in china after conditioning for structural instability the results show a much stronger relation following the 2008 financial crisis we argue that this reflects the fact that investors in the chinese stock market especially for energy related stocks are more sensitive to the shocks in international crude oil market

spillovers from good news and other bankruptcies real effects and price responses abstract we model debt restructurings that could endogenously end in bankruptcy and study spillovers to competitors operating decisions profits restructuring outcomes and security prices we show that while bankruptcy could cause the firm s share price to drop bankruptcy always signals good news about the firm we identify the conditions under which a bankruptcy also signals good news about competitors we demonstrate that when a firm s bankruptcy costs are relatively small bankruptcy raises its share price while lowering the prices of competitors shares and debt as well as boosting the probability that they will enter bankruptcy when there is little information asymmetry about the firm s prospects or the information asymmetry is about industry prospects bankruptcy raises competitors share and debt prices and lowers their probability of bankruptcy

wavelet based test of co movement and causality between oil and renewable energy stock prices abstract we studied co movement and causality between oil and renewable energy stock prices using continuous and discrete wavelets firstly to obtain information on dynamic correlations over time and for different time scales from wavelet coherence and secondly to obtain information on linear and non linear granger causality in the time frequency domain for general and sectoral renewable energy indices for the period 2006 2015 our findings indicate that dependence between oil and renewable energy returns in the short run was weak but gradually strengthened towards the long run mainly for the period 2008 2012 our causality tests provide evidence against linear causality at higher frequencies and in favour of unidirectional and bidirectional linear causality at lower frequencies in contrast we found consistent evidence of non linear causality running from renewable energy indices to oil prices at different time horizons and mixed evidence of causality running from oil to renewable energy prices these results have potential implications for investors in terms of hedging and for policymakers in terms of policy support decisions regarding the development of renewable energy

time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices abstract this paper examines the time and frequency dynamics of connectedness among stock prices of u s clean energy companies crude oil prices and a number of key financial variables using the methodology developed by barunik and krehlik 2018 this approach allows measuring the dynamics of return and volatility connectedness over time and across frequencies simultaneously the empirical results show that most of return and volatility connectedness is generated in the very short term i e movements up to five days while the long term plays a minor role our analysis further reveals a greater degree of interconnectedness across crude oil and financial markets since the onset of the u s subprime mortgage crisis in summer of 2007 consistent with the view of a global re pricing of risk triggered by the recent worldwide financial crisis crude oil prices do not appear as a key driver of the stock market performance of renewable energy companies in the short term or the long term which suggests a decoupling of the alternative energy industry from the traditional energy market moreover crude oil prices are a net receiver of financial shocks supporting the financialization of the commodity markets since the early 2000s in addition a significant pairwise connectedness is found mainly in the short term between clean energy and technology stock prices indicating that these two types of stocks are perceived by investors as similar assets these results can have important practical implications for investors and policy makers with different time horizons

oil price uncertainty and clean energy stock returns new evidence from crude oil volatility index abstract earlier studies evidence that oil price shocks have significant impacts on clean energy stock returns while the previous literature uses traditional oil price series to investigate such effects we aim to assess whether the variance of alternative energy stock returns can be explained using the information content of crude oil volatility index ovx an indicator of oil price uncertainty to serve our purpose we employ several measures to frame the realized volatility rv of alternative energy sector equity returns in particular we use three different range based rv estimators recommended by parkinson 1980 rogers and satchell 1991 and alizadeh et al 2002 respectively our findings reveal that clean energy stock market returns are highly sensitive to ovx shocks thus oil market uncertainty measured by ovx embodies a crucial role in modeling the volatility of renewable energy equity returns in addition we find a strong indication that ovx provides additional information beyond what is contained in the historical volatilities of equity returns we also document that the magnitude of the effect of ovx is much bigger than that of the realized variance of wti oil spot prices finally we find that the information content of crude oil volatility index improves the volatility forecasts for the clean energy equity market

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

hedging emerging market stock prices with oil gold vix and bonds a comparison between dcc adcc and go garch while much research uses multivariate garch to model volatility dynamics and risk measures one particular type of multivariate garch model go garch has been underutilized this paper uses dcc adcc and go garch to model volatilities and conditional correlations between emerging market stock prices oil prices vix gold prices and bond prices a rolling window analysis is used to construct out of sample one step ahead forecasts of dynamic conditional correlations and optimal hedge ratios in most of the situations we study oil is the best asset to hedge emerging market stock prices hedge ratios from the adcc model are preferred most effective for hedging emerging market stock prices with oil vix or bonds hedge ratios estimated from the go garch are most effective for hedging emerging market stock prices with gold in some instances these results are reasonably robust to choice of model refits forecast length and distributional assumptions

security pricing and deviations from the absolute priority rule in bankruptcy proceedings claims ultimately awarded to shareholders of firms in reorganization were examined for a sample of 30 filings under the 1978 bankruptcy reform act we measured the amount paid to shareholders in excess of that which they would have received under the absolute priority rule and found that this amount represents on average 7 6 of the total awarded to all claimants evidence is also reported that common share values reflect a significant proportion of value ultimately received in violation of absolute priority suggesting that deviations from the rule were expected by the equity markets the absolute priority rule hereafter apr states that a bankrupt firm s value is to be distributed to suppliers of capital such that senior creditors are fully satisfied before any distributions are made to junior creditors and junior creditors are paid in full before common shareholders bankruptcy reorganization proceedings however are leaving shareholders and junior creditors with valuable assets even when senior claimants receive only partial settlements as barrett and sullivan 1988 noted traditionally shareholders have been last in line their claims on a troubled company s assets have had the lowest priority and their impact on the course of bankruptcy code proceedings generally has been next to nil but lately the balance of power has been shifting warner 1977 provided one of the early discussions of the implications of deviations from the apr baldwin and mason 1983 pp 510 511 examined the resolution of claims in the massey ferguson reorganization and provided no support for the hypothesis that the market believes absolute priority rules will be enforced if the firm defaults on its financial obligations franks and torous 1989 analyzed a sample of bankruptcies that occurred during the period 1970 through 1984 and found that 21 of 27 sample cases exhibited departures from the apr more recently weiss 1990 examined 37 firms that filed for bankruptcy between 1980 and 1986 and reported that 27 of the cases involved apr violations

the economic effects of energy price shocks large fluctuations in energy prices have been a distinguishing characteristic of the u s economy since the 1970s turmoil in the middle east rising energy prices in the u s and evidence of global warming recently have reignited interest in the link between energy prices and economic performance this paper addresses a number of the key issues in this debate what are energy price shocks and where do they come from how responsive is energy demand to changes in energy prices how do consumers expenditure patterns evolve in response to energy price shocks how do energy price shocks affect u s real output inflation and stock prices why do energy price increases seem to cause recessions but energy price decreases do not seem to cause expansions why has there been a surge in the price of oil in recent years why has this new energy price shock not caused a recession so far have the effects of energy price shocks waned since the 1980s and if so why as the paper demonstrates it is critical to account for the endogeneity of energy prices and to differentiate between the effects of demand and supply shocks in energy markets when answering these questions

the resolution of claims in financial distress the case of massey ferguson when a firm s business deteriorates to the point where it cannot meet its financial obligations the firm is said to have entered the state of financial distress the first signals of distress are usually violations of debt covenants coupled with the omission or reduction of dividends some financially distressed firms eventually go bankrupt others recover or manage to settle the claims against them out of court 1 the behavior of firms in financial distress is interesting for two reasons first the costs of financial distress are an important element in capital structure theory in many models 2 these costs are hypothesized to counteract the tax benefits of leverage and lead to an internal optimum for the capital structure of the firm second financial distress has come to be recognized as a state in which contractual claims are incompletely specified standard terms of the debt equity contract are violated when the firm enters financial distress and claimants may then decide not to act according to previously agreed upon rules or legal formulas recent history has provided a number of examples of firms in financial distress including massey ferguson international harvester chrysler and braniff the resolution of claims in these situations often differs from what is predicted by legal rules or standard theoretical models this paper examines the actual resolution of claims in the reorganization of massey ferguson ltd in part i we use time series data on daily stock returns to test different specifications of priority rules for debt and equity claims in part ii we consider whether massey ferguson avoided deadweight costs of financial distress through the restructuring of claims negotiated among creditors during the winter of 1980 81

on the diffusion of new technology a game theoretic approach this paper is an attempt at a rigorous albeit not exceedingly general analysis of the diffusion of new technology in particular consider an industry composed of two firms each using the current best practice technology the firms are assumed to be operating at nash equilibrium output levels generating a market price given demand and profit allocations when a cost reducing innovation is announced each firm must determine when if ever to adopt it based in part upon the discounted cost of implementing the new technology and in part upon the behavior of the rival firm if either firm adopts before the other it can expect to make substantial profits at the expense of the other firm on the other hand the discounted sum of purchase price and adjustment costs may decline with the lengthening of the adjustment period as various quasi fixed factors become more easily variable therefore although waiting costs the firm more in terms of foregone profits it may save money on the cost of purchasing the new technology thus the firm must weigh the costs and benefits of delaying adoption as well as take account of its rival s strategic behavior

stock prices of clean energy firms oil and carbon markets a vector autoregressive analysis recent discussions of energy security and climate change have attracted significant attention to clean energy we hypothesize that rising prices of conventional energy and or placement of a price on carbon emissions would encourage investments in clean energy firms the data from three clean energy indices show that oil prices and technology stock prices separately affect the stock prices of clean energy firms however the data fail to demonstrate a significant relationship between carbon prices and the stock prices of the firms

information effects in financial distress the case of seabrook station abstract in 1972 a group of electric utilities announced plans to construct seabrook station a nuclear generating facility in 1988 the lead partner in the venture public service company of new hampshire psnh filed for bankruptcy examination of the stock price effects of a variety of financial events preceding the bankruptcy filing shows that information about cash flows paid to psnh security holders affected the common stock prices of psnh and its seabrook partners whereas information about investment and operating cash flows had little or no effect

preemption and rent equalization in the adoption of new technology we study the adoption of a new technology to illustrate the effects of preemption in games of timing we show that the threat of preemption equalizes rents in a duopoly but that this result does not extend to the general oligopoly game if the gain to preemption is sufficiently small then the optimal symmetric outcome which involves late adoption is an equilibrium this contrasts with reinganum s result that in precommitment equilibria there must be diffusion we develop a new and richer formalism for modeling games of timing which permits a continuoustime representation of the limit of discrete time mixed strategy equilibria

cross quantilogram based correlation and dependence between renewable energy stock and other asset classes abstract we study the cross quantile dependence of renewable energy re stock returns on aggregate stock returns changes in oil and gold prices and exchange rates applying a recently developed cross quantilogram approach we provide two novel findings first although prior studies show that re stock returns have a positive dependence on changes in oil prices and in the aggregate stock index we find that the relationship is not symmetric across quantiles and that this asymmetry is higher in longer lags second while the extant literature provides evidence that exchange rates and gold returns exert a positive influence on aggregate stock returns we report that this positive influence on re stock returns is observed only during extreme market conditions these results are robust i even after controlling for economic policy and equity market uncertainties as well as ii in both a time static full sample and recursive subsamples

global factors uncertainty weather conditions and energy prices on the drivers of the duration of commodity price cycle phases abstract we investigate the role of global factors in explaining the length of commodity price cycle phases using a continuous time weibull duration model and data for a panel of 33 countries over the period 1980q1 2015q4 we find evidence of increasing constant positive duration dependence for commodity price booms and busts normal time spells global macroeconomic conditions in particular inflation economic policy uncertainty and monetary policy actions significantly affect the duration of all commodity price cycle phases global environmental conditions also impact the duration of commodity price booms with a rise in average temperature rainfall increasing reducing their length a rise in the number of military conflicts around the globe is associated with shorter booms and busts finally we find that a rise in oil prices is linked with longer booms and shorter busts

is there dependence and systemic risk between oil and renewable energy stock prices abstract we study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value at risk as a measure of systemic risk we found significant time varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30 to downside and upside risk of renewable energy companies these results have important implications for risk management and renewable energy policies

modeling asymmetric comovements of asset returns existing time varying covariance models usually impose strong restrictions on how past shocks affect the forecasted covariance matrix in this article we compare the restrictions imposed by the four most popular multivariate garch models and introduce a set of robust conditional moment tests to detect misspecification we demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices like estimating the optimal hedge ratio or deriving the risk minimizing portfolio we therefore introduce a general model which nests these four models and their natural asymmetric extensions the new model is applied to study the dynamic relation between large and small firm returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies