Content
2008, Volume 4, Issue 6
- 383-387 Exchange rates and fractional integration revisited
by P. Sephton - 389-393 On the functional form of PPP: the case of nine new EU countries
by Yu Hsing - 395-398 Style drift and fund performance in up and down markets: Australian evidence
by Kathryn Holmes & Robert Faff - 399-401 Disaggregating ‘accounting earnings’ to better explain UK dividends
by Abdallah Atieh & Simon Hussain - 403-407 Long-term asymmetry in the USD-DEM spot exchange rate volatility process
by Bernard Bollen - 409-415 Generating innovations in economic variables
by Vitor Leone & Lawrence Leger - 417-417 Erratum to ON the variance of the error associated to the squared return as proxy of volatility: [, 2007, 3, 255–7]
by Umberto Triacca - 419-423 SPEC model selection algorithm for ARCH models: an options pricing evaluation framework
by Stavros Degiannakis & Evdokia Xekalaki - 425-431 Value-at-risk in US stock indices with skewed generalized error distribution
by Ming-Chih Lee & Jung-Bin Su & Hung-Chun Liu - 433-437 Long memory in international equity markets: revisited
by Ata Assaf - 439-442 The equity premium and inflation
by John Beirne & Gabe de Bondt - 443-449 Size and stock market integration: a study of Canadian firms
by Lucie Samson - 451-456 The impact of WTO on international interdependence degree among United States, Korea and China
by Chia-Hsing Huang & Shu-Shian Lin - 457-460 Application of the auction theory to the overpricing phenomenon in a corporate bond underwriting market
by Kenji Matsui - 461-467 Stock market returns and the temperature effect: new evidence from Europe
by Christos Floros
2008, Volume 4, Issue 5
- 307-310 The causal relationship between domestic and outward foreign investment: evidence for Italy
by Dierk Herzer - 311-314 A nonparametric approach tothe noise density in stochastic volatility models
by Simone Alfarano & Friedrich Wagner & Mishael Milaković - 315-318 Are stock repurchases more flexible than dividends? The caseof Japanese firms
by Naohiko Baba & Yoichi Ueno - 319-325 Price matching for multiple rescindable options and European options
by Nikolai Dokuchaev - 327-330 Efficiency of the South African equity market
by David McMillan & Pako Thupayagale - 331-335 A note on the general elections and long memory: evidence from the London Stock Exchange
by Cheah Eng Tuck & Lee Yoong Hon - 337-339 A threshold model for the Hong Kong warrant prices
by Kin Ming Wong & Terence Tai-Leung Chong - 341-345 An ordered probit model of Morningstar individual stock ratings
by Robert Brooks & Shelley Claire Naylor - 347-350 Some properties of absolute returns as a proxy for volatility
by David Giles - 351-354 Firm survival and time aggregation bias
by Costas Siriopoulos & Dionysis Antonios Lalountas - 355-361 An alternative method for measuring risk compensation of event jumps
by Shu-Hsien Chen & Ming-Shann Tsai & Fang-Ling Liao - 363-367 Decomposition of mutual fund underperformance
by Jin-Li Hu & Tzu-Pu Chang - 369-373 The stock market's valuationof R&D externalities
by Hironobu Miyazaki & Hiroyuki Aman - 375-377 Does the rule for voluntary disclosure induce truthful disclosure?
by Chen-Wen Chen & Victor Liu - 379-382 Foreign exchange intervention and central bank independence: the Latin American experience
by Mauricio Nunes & Sergio Da Silva
2008, Volume 4, Issue 4
- 233-240 Mood and UK equity pricing
by Michael Dowling & Brian Lucey - 241-248 Credit default swap rates and stock prices
by Marco Realdon - 249-251 Econometric analysis of interest rate pass-through
by Steven Cook - 253-258 Style analysis, customized benchmarks, and managed funds: new evidence
by Kathryn Holmes & Robert Faff - 259-267 Do large hedgers and speculators react to events? A stability and events analysis
by Ikhlaas Gurrib - 269-275 Fractional return and fractional CAPM
by Reza Raei & Shapour Mohammadi - 277-282 Are stock returns related toshort-term and long-term past returns? Australian evidence
by Philip Gharghori & Ronald Lee & Madhu Veeraraghavan - 283-285 Measuring the US social discount rate: reply to Azar
by Martin Lally - 287-292 Demonstrating error-correction modelling for intraday statistical arbitrage
by Brian Jacobsen - 293-297 Global takeover premiums – country vs. industry impact
by Andreas Dombret & Ferdinand Mager & Timo Reinschmidt - 299-302 Estimating the value of victory: English football
by Kent Hickman & Stuart Cooper & Sam Agyei-Ampomah - 303-306 Risk aversion, regional welfare state and private pension plans
by Marco Percoco
2008, Volume 4, Issue 3
- 157-161 Dynamic modelling of bank profits
by J. Mukuddem-Petersen & M. A. Petersen & I. M. Schoeman & B. A. Tau - 163-170 Assessing Italian Government bonds’ term structure with CIR model in the aftermath of EMU
by Bernardo Maggi & Fabrizio Infortuna - 171-176 Provincial co-movement in Chinese stock returns
by Udomsak Wongchoti & Fei Wu - 177-182 The future of credit unions in the United States: evidence from quantitative extrapolations
by Kostantinos Nikolopoulos & Michael C. Handrinos - 183-186 Financial distress, relative performance and takeovers as drivers for abnormal accruals
by Lingyan Zuo & Simon Hussain - 187-191 Systematic liquidity in the long run
by Charly Sujoto & Petko Kalev & Robert Faff - 193-197 Deregulation and productivity changes in banking: evidence from European unification
by Alexander G. Kondeas & Steven B. Caudill & Daniel M. Gropper & Jennie E. Raymond - 199-203 Credit risk and Basel II: are nonprofit firms financially different?
by Barbara Luppi & Massimiliano Marzo & Antonello E. Scorcu - 205-207 Fixed income securities with a zero Macaulay duration: senior life settlements
by Carlos E. Ortiz & Charles A. Stone & Anne Zissu - 209-212 The Bootstrap Maximum Likelihood Estimator: the case of logit
by Athanasios Tsagkanos - 213-216 Test of a quadratic relationship between the yield of TIPS and the federal funds rate
by Yu Hsing - 217-219 Value-neutral tradeoffs between failure risk and growth
by Sherrill Shaffer - 221-224 Does foreign exchange intervention reduces the exchange rate volatility?
by Takeshi Hoshikawa - 225-231 Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange
by Christos Alexakis & Dimitris Balios
2008, Volume 4, Issue 2
- 77-79 A note on the effects of debt buybacks in the MM world
by Mark Schaub - 81-86 Incomplete temporal overlap and cross-sectional independence in event studies
by Imre Karafiath - 87-91 Firm size, sector and market valuation of R&D expenditures
by Syed Zulfiqar Ali Shah & Andrew W. Stark & Saeed Akbar - 93-96 The oil price exposure of global oil companies
by Perry Sadorsky - 97-101 The usual suspects: the effects of attention on journalists’ stock recommendations
by Alexander G. Kerl & Andreas Walter - 103-107 The Buncefield oil depot explosion: where there's smoke, there's (stock market) fire?
by Gunther Capelle-Blancard & Marie-Aude Laguna - 109-113 Money market fund investors’ response to fund company mergers
by Luis Ferruz & Cristina Ortiz & Luis Vicente - 115-120 Day of the week seasonality in African stock markets
by Paul Alagidede - 121-125 Productivity in the retail industry: does insider ownership of shares matter?
by Vasanthakumar N. Bhat - 127-131 What determines the forward exchange rate of the euro?
by Costas Karfakis - 133-136 The effects of asymmetries and regime switching on optimal futures hedging
by Hsiang-Tai Lee - 137-139 The minimum required rate of return
by Samih Antoine Azar - 141-149 Optimal mortgage refinancing: application of bond valuation tools to household risk management
by Andrew J. Kalotay & Deane Yang & Frank J. Fabozzi - 151-155 Asymmetry in the price–volume relation: evidence based on individual company stocks traded in an emerging stock market
by Khalid Al-Saad & Imad A. Moosa
2008, Volume 4, Issue 1
- 1-3 Find a penny and pick it up: capitalizing on mutual fund rounding
by Lee Redding - 5-8 Underpricing of initial public offerings in Bangladesh
by Tanweer Hasan & Shakil Quayes - 9-12 Comovement in the FTSE 100 Index
by Bryan Mase - 13-18 Consumption, wealth and expected stock returns in Australia: some further results
by Lance A. Fisher - 19-24 The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM
by Hui-Na Lin & Shu-Mei Chiang & Kun-Hong Chen - 25-27 Estimating the uncertainty of relative risk aversion
by Karl-Heinz Tödter - 29-33 Pensions in a perfect storm: financial behaviour of Dutch pension funds (2002–2005)
by Jan Kakes - 35-39 Sectoral impact of shocks: empirical evidence from the Malaysian stock market
by Kian-Ping Lim - 41-44 Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis
by Robert D. Brooks & Elizabeth A. Maharaj & Breanna Pellegrini - 45-48 Long memory and nonlinearity in stock markets
by Derek Bond & Kenneth A. Dyson - 49-51 Signalling and jump bidding in takeover auctions
by Anna Dodonova - 53-57 Emerging markets mutual funds: regional exposure and stock selection ability
by Javier Rodriguez & Jimmy Torrez - 59-63 Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests
by Steven Cook - 65-69 Do acquirer company returns improve after a takeover? Empirical evidence for Australia
by Stuart Dullard & Kim Hawtrey - 71-75 Transmission of shocks among health care stock index returns
by Bradley T. Ewing & Jamie B. Kruse & Mark A. Thompson
2007, Volume 3, Issue 6
- 349-357 Valuation effects of international joint venture formation: Hong Kong listed companies
by Wing-Fai Leung & Fanny S. L. Cheung - 359-363 Measuring the macroeconomic impact of workers’ remittances in a data-rich environment
by Carlos Vargas-Silva - 365-371 Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets
by Aktham I. Maghyereh - 373-379 Firms’ growth opportunities and profitability: a nonlinear relationship
by Zèlia Serrasqueiro & Paulo Macas Nunes & Sequeira Tiago Neves Sequeira - 381-384 Structural breaks in financial ratios: evidence for nine international markets
by David G. McMillan - 385-389 Time-varying nonlinear exchange rate exposure
by Renatas Kizys & Christian Pierdzioch - 391-396 To be euro or not to be euro: a comparative analysis of banking systems
by Mark Bertus & John S. Jahera & Keven Yost - 397-401 Assessing dependence changes using nonparametric methods
by Param Silvapulle & Xibin Zhang - 403-408 A requiem for the use of the geometric mean in evaluating portfolio performance
by Spyros Missiakoulis & Dimitrios Vasiliou & Nikolaos Eriotis - 409-414 A duration-based equity premium
by Samih Antoine Azar
2007, Volume 3, Issue 5
- 281-286 Stock market risk and dollarization in Ecuador
by Dennis W. Jansen & Maria Caridad Ortiz - 287-293 ESOPs and earnings management: an empirical note
by Pornsit Jiraporn - 295-299 The costs of raising equity capital for closed-end fund IPOs
by William Dimovski & Robert Brooks & Antonie van Eekelen - 301-306 Stock price patterns
by Brian J. Jacobsen - 307-312 An examination of conditional asset pricing models in the Australian equities market
by Annette Nguyen & Robert Faff & Philip Gharghori - 313-317 On the quadratic approximation to the value of American put options: a note
by Andreas Andrikopoulos - 319-325 PPP over a century: cointegration and structural change
by Ekaterini Panopoulou - 327-334 Sectoral cointegration and causality analyses of the UAE financial markets
by Jay Squalli - 335-341 Multivariate test of Sharpe–Lintner CAPM with time-varying beta
by P.-S. Wu & J.-S. Chiou - 343-347 Interest rate fluctuations and the UK financial services industry
by Panayiotis G. Artikis & Elena Kalotychou & Sotiris K. Staikouras
2007, Volume 3, Issue 4
- 211-214 Analysis of dependence in the G11 countries' financial markets: simulation and empirical evidence
by Param Silvapulle & Mohammad N. Azam & Mahbuba Yeasmin - 215-220 Assessing the stability of Gaussian mixture models for monthly returns of the S&P 500 index
by Andreas Behr - 221-224 The roles of the exchange rate and the foreign interest rate in Estonia's money demand function and policy implications
by Yu Hsing - 225-230 Credit risk pricing with both expected and unexpected default
by Marco Realdon - 231-236 Testing for stock market integration in a developing economy: Colombia
by Luis Gutiérrez & Jesús Otero - 237-242 Portfolio allocation with heavy-tailed returns
by Arnab Kumar Laha & Divyajyoti Bhowmick & Bharathy Subramaniam - 243-246 Threshold adjustment in the long-run relationship between stock prices and economic activity
by Steven Cook - 247-250 An evaluation of professional forecasts of US corporate profits
by Hamid Baghestani - 251-254 Bankruptcy and the Nash solution
by Jacques A. Schnabel - 255-257 On the variance of the error associated to the squared return as proxy of volatility
by Umberto Triacca - 259-262 Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks
by Andrew C. Worthington & Mosayeb Pahlavani - 263-267 Investment information content in Bollinger Bands?
by C. Lento & N. Gradojevic & C. S. Wright - 269-273 Political orientation of government and stock market returns
by Jedrzej Bialkowski & Katrin Gottschalk & Tomasz Piotr Wisniewski - 275-278 Underwriting spread and the investment of security company-affiliated venture capital
by Katsushi Suzuki - 279-279 Corrigendum
by The Editors
2007, Volume 3, Issue 3
- 141-146 Refunding efficiency: a generalized approach
by Andrew J. Kalotay & Deane Yang & Frank J. Fabozzi - 147-153 Relationship between systematic-risk measured in the second-order and third-order co-moments in the downside framework
by Don U. A. Galagedera - 155-159 Effects of the intended and unintended federal funds rates on the Treasury yield curve during the Greenspan era
by Yu Hsing - 161-164 Transactions, volume and volatility: evidence from an emerging market
by Cetin Ciner & William H. Sackley - 165-168 Project selection and equivalent CAPM-based investment criteria
by Carlo Alberto Magni - 169-179 Investors reaction to dividend announcements: parametric versus nonparametric approach
by Walid Saleh - 181-185 The determinants of cross-border equity flows: a dynamic panel data reassessment
by Pandej Chintrakarn - 187-190 Prophets of future corporate profits: a role for leading indicators in the information sets of security analysts?
by Simon Hussain - 191-195 Stock returns, exchange rate movements and central bank interventions
by Daniel Hartmann & Christian Pierdzioch - 197-199 A global network of stock markets and home bias puzzle
by Masaru Konishi - 201-208 Modelling financial observable-volatility using long memory models
by Chin Wen Cheong & Zaidi Isa & Abu Hassan Shaari Mohd Nor - 209-209 Corrigendum
by The Editors
2007, Volume 3, Issue 2
- 71-76 The risk-adjusted trading rule profits in currency spot cross-rates
by Terence Tai-Leung Chong & Thomas Chun-Sing Shik - 77-83 Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model
by Chikashi Tsuji - 85-90 Examining the nature of the gains from investment in the emerging stock markets of the Central and Eastern European region
by Calum A. J. Middleton & Suzanne G. M. Fifield & David M. Power - 91-94 The monetary approach to exchange rate determination for Malaysia
by Lee Chin & M. Azali & K. G. Matthews - 95-98 Financial impact of risk on municipal earnings
by Camilo Sarmiento - 99-102 The decision to voluntarily provide an IPO prospectus earnings forecast
by Chris M. Bilson & Richard A. Heaney & John G. Powell & Jing Shi - 103-108 Spurious results in testing mutual fund performance persistence: evidence from the Greek market
by Vassilios Babalos & Alexandros Kostakis & Nikolaos Philippas - 109-113 Bond pricing and two unconditionally implied parameters inferred from option prices
by Nikolai Dokuchaev - 115-119 Are limit hits industry-specific?
by Haitham Nobanee - 121-127 An empirical study of realized and long-memory GARCH standardized stock-return
by Chin Wen Cheong & Abu Hassan Shaari Mohd Nor & Zaidi Isa - 129-132 Are conditional Value-at-Risk models justifiable?
by A. Sfetsos & L. Kalyvas - 133-136 The effect of US and European stock exchanges on Greece's stock market: a VAR approach
by Nikolaos Veraros & Evangelia Kasimati - 137-140 Project valuation and investment decisions: CAPM versus arbitrage
by Carlo Alberto Magni
2007, Volume 3, Issue 1
- 1-4 The analysis of interest rate swap spreads in Japan
by Takayasu Ito - 5-9 Forecasting exchange rates using an evolutionary neural network
by Marcos Alvarez-Diaz & Alberto Alvarez - 11-14 On central bank interventions and transaction taxes
by Frank H. Westerhoff - 15-18 New vs. used capital investment decisions under liquidity constraints
by Konstantinos Drakos & Eleftherios Goulas & Christos Kallandranis - 19-24 Is George Bailey Dead?
by Jessica A. Holmes & Jonathan T. Isham & Paul M. Sommers - 25-29 Nonlinear mean reversion in stock prices: evidence from Asian markets
by Kian-Ping Lim & Venus Khim-Sen Liew - 31-37 Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes
by Stavros Degiannakis & Evdokia Xekalaki - 39-46 The effects of the exchange rate movements on the Istanbul stock exchange
by Nukhet Dogan & Yeliz Yalcin - 47-50 Corporate valuations and the Merton model
by Andrea Gheno - 51-54 Analysis of exchange rate fluctuations in Estonia: test of the interest parity condition and the open economy model
by Yu Hsing - 55-62 Multi-factor SUR in event study analysis: evidence from M&A in Singapore's financial industry
by Enrico Tanuwidjaja - 63-66 Measuring the US social discount rate
by Samih Antoine Azar - 67-70 The market impact of corporate alliance announcements: value-weighted versus equally weighted portfolio returns
by Bruce Burton
2006, Volume 2, Issue 6
- 347-351 The impact of the Sarbanes-Oxley Act: early evidence from earnings management
by Craig A. Depken II & Bo Ouyang - 353-359 Does investors’ sentiment predict stock price changes? With analyses of naive extrapolation and the salience hypothesis in Japan
by Chikashi Tsuji - 361-364 Estimating long memory in the mark–dollar exchange rate with high frequency data
by Claudio Morana - 365-370 The centre and periphery relations in international stock markets
by Hakan Berument & Nergiz Dinçer & Hasan Olgun - 371-374 Speculative opportunities for currency exchange under soft peg
by Nikolai Dokuchaev - 375-381 Testing for the existence of the ‘January effect’ in transition economies
by Dimitrios Asteriou & Georgios Kavetsos - 383-387 Open market share repurchases in the UK: evidence on the agency theory of free cash flow
by Magnus Hjelmstad & Andrew Marshall & Thomas Walmsley - 389-394 Volatility filters for FX portfolios trading: the impact of alternative volatility models
by Jia Miao & Christian L. Dunis - 395-400 Integration of smaller European equity markets: a time-varying integration score analysis
by Gregory Birg & Brian M. Lucey - 401-406 Profitability of the Directional Indicators
by Wing-Shing Lam & Terence Tai-Leung Chong - 407-411 A sectoral efficiency analysis of the Amman Stock Exchange
by Mufeed Rawashdeh & Jay Squalli
2006, Volume 2, Issue 5
- 279-284 The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment?
by James E. Payne - 285-293 The behaviour of share prices in the run-up to and aftermath of stock splits: evidence for ‘share subdivisions’ in Hong Kong 2003–2005
by Paul B. McGuinness & Thomas Birtch - 295-299 The role of internal financing in a Ramsey model with financial intermediation
by Karl-Heinz Tödter - 301-303 What liquidity do hypothetical price impact curves measure?
by Matei Demetrescu - 305-309 Determinants of UK swap spreads
by Andrew Marshall & Chai Ni Ho - 311-315 Explaining aggregate private saving behaviour: new evidence from a panel of OECD countries
by Julián Ramajo & Agustín García & Montserrat Ferré - 317-321 Mutual fund performance and benchmark choice: the Spanish case
by Jorge Sainz & Pilar Grau & Luis Miguel Doncel - 323-327 Overpricing of new issues in the Japanese straight bond market
by Kenji Matsui - 329-332 Do Federal Reserve policy surprises affect the risk perception in the emerging markets?
by Onur Ince & Umit Ozlale - 333-336 WTP–WTA disparity among competitive and non-competitive subjects – an experimental study
by Tal Shavit & Shosh Shahrabani & Uri Benzion - 337-340 Nonlinear forecast of financial time series through dynamical calendar correction
by Alexandros Leontitsis & Costas Siriopoulos - 341-345 Measuring relative risk aversion
by Samih Antoine Azar
2006, Volume 2, Issue 4
- 211-215 Insurance intermediaries and contractual relations
by Rajeev K. Goel - 217-222 GARCH, heteroscedasticity-consistent covariance matrix estimation and (non)linear unit root testing
by Steven Cook - 223-227 A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis
by Haitham A. Al-Zoubi & Dana A. Al-Zoubi & Aktham I. Maghyereh - 229-232 Evidence on the relationship between Takaful insurance and fundamental perception of Islamic principles
by Ramin Cooper Maysami & John Joseph Williams - 233-237 Statistical analysis of municipal bond ratings under spatial correlation
by Camilo Sarmiento - 239-241 On signalling and debt maturity choice
by Robert Lensink & Pham Thi Thu Tra - 243-245 Hedging under price and output uncertainty: revisited
by Moawia Alghalith - 247-249 The impact of capital controls on Malaysian banking industry betas
by Robert D. Brooks & Lye Chee Shoung - 251-256 Security analysts and ‘bad news’: a note on 9/11
by Simon Hussain - 257-260 A micro-econometric model of the UK property-liability insurance industry
by Emmanouel Mamatzakis & Christos Staikouras - 261-263 The impact of portfolio re-financing on Black–Scholes call option valuation
by Cokki Versluis & Tom Hillegers - 265-273 The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test
by Aktham Maghyereh - 275-278 Floor information and common variations in liquidity
by Mohsen M. Saad
2006, Volume 2, Issue 3
- 141-146 Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors
by James E. Payne - 147-150 Risk-return tradeoffs from investing in the Australian cash management industry
by Jenny Diggle & Robert Brooks - 151-154 Economic value added and systemic value added: symmetry, additive coherence and differences in performance
by Roberto Ghiselli Ricci & Carlo Alberto Magni - 155-158 Empirical relationship between the dividend and investment decision: do emerging market firms behave differently?
by Saumitra N. Bhaduri & S. Raja Sethu Durai - 159-163 The liquidity effect across the short end of the term structure
by Garett Jones