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Content
October 2011, Volume 8, Issue 2
- 1-26 Fund Performance Robustness An Evaluation Using European Large-Cap Equity Funds
by Kenneth Högholm1, Johan Knif, Seppo Pynnönen - 27-48 Giffen Goods in a Transition Economy: Subsistence Consumption in Russia
by Yochanan Shachmurove, Janusz Szyrmer - 49-88 Risk in Emerging Stock Markets from Brazil and Mexico: Extreme Value Theory and Alternative Value at Risk Models
by Raúl de Jesús, Edgar Ortiz - 89-111 Dynamic Copulas and Long Range Dependence
by Beatriz Vaz de Melo Mendes, Silvia Regina Costa Lopes - 112-135 M1, M2, and the U.S. Equity Exchanges
by Ali M. Parhizgari, Duong Nguyen - 136-152 Real Interest Rate and Growth Rate: Theory and Empirical Evidence
by Jean-Marie Le Page
April 2011, Volume 8, Issue 1
- 1-16 The Association Between Firm Characteristics and the Use of a Comprehensive Corporate Hedging Strategy: An Ordered Probit Analysis
by Hue Hwa Au Yong, Robert Faff,Hoa Nguyen - 17-42 Hedging with Derivatives and Value Creation : an Empirical Examination in the Insurance Industry
by Luis Otero González, Sara Fernández López, Onofre Martorell Cunill - 43-68 The Skew Pattern of Implied Volatility in the DAX Index Options Market
by Silvia Muzzioli - 69-87 Quantitative vs. Qualitative Criteria for Credit Risk Assessment
by João O. Soares, Joaquim P. Pina, Manuel S. Ribeiro, Margarida Catalão-Lopes - 88-110 Models for Moody’s Bank Ratings
by Anatoly Peresetsky, Alexander Karminsky
October 2010, Volume 7, Issue 2
- 1-37 Should Minimum Portfolio Sizes Be Prescribed for Achieving Sufficiently Well-Diversified Equity Portfolios?
by Lawrence Kryzanowski, Shishir Singh - 38-68 Are All Individual Investors Equally Prone to the Disposition Effect All the Time? New Evidence from a Small Market
by Cristiana Cerqueira Leal, Manuel J. Rocha Armada, João L. C. Duque - 69-89 Would You Follow MM or a Profitable Trading Strategy?
by Brian Baturevich, Gulnur Muradoglu - 90-124 Size, Book-to-Market, Volatility and Stock Returns: Evidence from Amman Stock Exchange (ASE)
by Walid Saleh - 125-137 An Examination of Life Insurers’ Risk Attitudes
by Yaffa Machnes - 138-182 Can Market Actors Help Monitor European Banks?
by Anissa Naouar
April 2010, Volume 7, Issue 1
- 1-20 The Two-Parameter Long-Horizon Value-at-Risk
by Guy Kaplanski, Haim Levy - 21-33 Mitigation of Foreign Direct Investment Risk and Hedging
by Jack E. Wahl, Udo Broll - 34-59 Evaluation and Comparison of Market and Rating Based Country Default Risk Assessment
by Alexander Karmann, Dominik Maltritz - 60-81 To Outsource or Not To Outsource in North-South Trade
by E. Kwan Choi, Jai-Young Choi - 82-100 Financial Deregulation, Private Foreign Borrowing and the Risk of Sovereign Default: A Political-Economic Analysis
by Oya Celasun, Philipp Harms
October 2009, Volume 6, Issue 2
- 1-45 Further Evidence on the Impact of Economic News on Interest Rates
by Dominique Guégan,Florian Ielpo - 46-66 Private Equity Firms’ Behaviours in Western Europe: Does Country Matter?
by Abdesselam Rafik,Bastié Françoise,Cieply Sylvie - 67-95 Money Supply in a Simple Economic Growth Model and Multiple Steady States Equilibria
by Laurent Augier, Jalloul Sghari - 101-119 Consumer Welfare in the Deregulated Swedish Electricity Market
by Jens Lundgren - 120-139 Electricity Traffic over the Barriers of Networks: The Case of Germany and The Netherlands
by Hans Andeweg, André Dorsman, Kees van Montfort - 140-180 Restructuring the European Energy Market through M&As – An Application of the Model of Economic Dominance
by Wassim Benhassine
April 2009, Volume 6, Issue 1
- 1-25 Computational Efficiency and Accuracy in the Valuation of Basket Options
by Pengguo Wang - 26-50 Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy
by Cyril Caillault, Dominique Guégan - 51-72 A Note on Stakeholder Theory and Risk: Implications for Corporate Cash Holdings and Dividend Policy
by Gerhard Speckbacher, Paul Wentges - 73-92 The Mid 1990s Peso Crisis in Mexico: An Application of the Girton-Roper Model
by Edward E. Ghartey - 118-154 Opportunity Cost, Excess Profit, and Counterfactual Conditionals
by Carlo Alberto Magni - 155-174 Why Do Monetary Policymakers Lean With the Wing During Asset Price Booms?
by Wolfram Berger, Friedrich Kissmer
October 2008, Volume 5, Issue 2
- 1-25 First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights
by Martina Nardon - 26-55 Using Weekly Empirical Probabilities in Currency Analysis and Forecasting
by Andrew C Pollock, Alex Macaulay, Mary E Thomson, Dilek Önkal - 56-71 Financing and Valuation of a Marginal Project by a Firm Facing Various Tax Rates
by Axel Pierru - 72-108 Dynamic Copula Modelling for Value at Risk
by Dean Fantazzini
April 2008, Volume 5, Issue 1
- 1-26 Fundamental Capital Valuation for IT Companies: A Real Options Approach
by Chung Baek, Arun J Prakash, Bruce Dupoyet - 27-45 Statistical Inference for Risk-Adjusted Performance Measure
by Miranda Lam - 46-84 Intra-Day Stock Returns and Close-End Price Manipulation in the Istanbul Stock Exchange
by Güray Küçükkocaoglu - 85-105 Relationship Between Implied and Ralized Volatility of S&P CNX Nifty Inde in India
by Siba Prasada Panda, Niranjan Swain, D.K. Malhotra - 106-130 The Determinant of Commercial Bank Interest Margin and Profitability: Evidence from Tunisia
by Samy Bennaceur, Mohamed Goaied
December 2007, Volume 4, Issue 2
- 1-33 Introduction to the European Internal Market - An Abstract of the Present Development of the European Internal Market
by Dr. Wolfgang Berger, DDr. Marian Wakounig, Mag. Caroline Kindl - 34-46 The Impact of Value Added Tax on Financial Services and Insurances - the Law of Unintended Consequences?
by Arthur Kerrigan - 47-74 Economic Growth and Indirect Financial Taxes, Empirical Evidence from Greece, Spain and Portugal
by Athena K. Kaliva, Radu Tunaru - 75-91 The Causal Relationship Between Indirect Taxes and Expenditures: a Comparative Investigation of Greece, Spain and Portugal
by Athena K. Kaliva, Radu Tunaru - 92-101 Corporate Taxation and Futures-Hedging
by Udo Broll, Jack E. Wahl - 102-131 Comparing Effective Corporate Tax Rates
by Gaëtan Nicodème - 132-152 The Impact of EU Law on National Dividend Tax Systems
by Evgenia Chatziioakeimidou
June 2007, Volume 4, Issue 1
- 1-34 Marginal Conditional Stochastic Dominance Between Value and Growth
by K. Victor Chow, Bih-Shuang Huang, Ou Hu - 35-64 Call an Put Implied Volatilities and the Derivation of Option Implied Trees
by V. Moriggia, S. Muzzioli, C. Torricelli - 65-90 Multicriteria Framework for the Prediction of Corporate Failure in the UK
by Constantin Zopounidis, Michael Doumpos, Fotios Pasiouras - 91-124 The Information Content of Cross-sectional Volatility for Future Market Volatility: Evidence from Australian Equity Returns
by Md. Arifur Rahman - 125-143 The Effect of Price Limits on Unconditional Volatility: The Case of CASE
by Medhat Hassanein, Eskandar A. Tooma
December 2006, Volume 3, Issue 2
- 1-17 Stock Market Reaction to Unexpected Changes in Interest Rates
by Gitit G. Gershgoren, Shmuel Hauser - 18-54 The Long-Run Performance of UK Rights Issuers
by Abdullah Iqbal, Susanne Espenlaub, Norman Strong - 55-69 Has the Stock Market Integration Between the Asian and OECD Countries Improved After the Asian Crisis?
by Girijasankar Mallik - 70-94 Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
by Mohamed El Hedi Arouri - 95-112 Portfolio Theory and Portfolio Management: a Synthetic View
by Dipasri Ghosh, Dilip K. Ghosh - 113-121 Hedging of Exchange Rate Risk: a Note
by Udo Broll, Stefan Schubert
June 2006, Volume 3, Issue 1
- 1-28 Option Pricing with Long-Short Spreads
by Pengguo wang - 29-48 Exchange Rate Determination from Monetary Fundamentals: an Aggregation Theoretic Approach
by William A. Barnett, Chang Ho Kwag - 49-68 International Portfolio Formation, Skewness & the Role of Gold
by Brian M Lucey, Valerio Poti, Edel Tully - 69-78 Interdependence of ASEAN Business Cycles
by Hway-Boon Ong, Chin-Hong Puah, Muzafar Shah Habibullah - 79-102 Crisis Anticipation at a Micro-Level: Mexico 1995-1996
by Karen Watkins - 103-129 Zelig and the Art of Measuring Excess Profit
by Carlo Alberto Magni
December 2005, Volume 2, Issue 2
- 1-32 Frontiers of Financially Constrained and Unconstrained Firms: a New Development in Finance
by Monica H. Maestro, Alberto de Miguel, Julio Pindado - 33-58 Attitudes with Regard to Risk: Risk Aversion, Prudence and Temperance
by Octave Jokung N. - 59-66 Additional Panel Data Evidence on the Savings-Investment Relationship and Foreign Aid in LDCs
by Risa Kumazawa, James E. Payne - 67-78 The Kraus and Litzenberger Quadratic Characteristic Line and Event Studies
by Arun J. Prakash, Suchismita Mishra, Dispari Ghosh - 79-105 The Product Life Cycle and the Real Option of Waiting
by Oscar Gutiérrez
June 2005, Volume 2, Issue 1
- 1-17 Military Spending and Economic Growth in Greece, Portugal and Spain
by J Paul Dunne, Eftychia Nikolaidou - 18-30 Manufacturing Labour Demand, Technological Progress and Military Expenditure
by J Paul Dunne, Duncan Watson - 31-52 The Evolution of European and US Aerospace and Defence Markets
by Vasilis Zervos - 53-67 Revolution in the Defence Electronics Markets? An Economic Analysis of Sectoral Change
by Paul Dowdall, Derek Braddon - 68-81 What Lies Beneath? Who Owns British Defence Contractors and Does It Matter?
by Derek Braddon, Jonathan Bradley
December 2004, Volume 1, Issue 2
- 70-84 Canadian Mutual Fund Flows and Capital Market Movements
by Roger B. Atindéhou, Jean-Pierre Gueyié - 85-100 Parametric and Non-Parametric Analysis of Performance Persistence in Spanish Investment Funds
by Luis Ferruz, José L. Sarto, Maria Vargas - 101-115 An Empirical Analysis of Kenyan Daily Returns Using EGARCH Models
by Georges Ogum, Francisca M. Beer, Geneviève Nouyrigat - 116-140 Real Options, Uncertainty and Firm Value
by Gema Pastor Agustin, Manuel Espitia Escuer - 141-156 Parametric and Non-Parametric Measures of Volatility : Risk Estimation via the Gini Decompostion and Comparison with the Value-at-Risk
by Stéphane MUssard, Virginie Terraza
June 2004, Volume 1, Issue 1
- 1-16 Corporate Governance, Market Valuation and Dividend Policy in Brazil
by André Carvalhal-da-Silva, Ricardo Leal - 17-36 The Effects of Decision Flexibility in the Hierarchical Investment Decision Process
by Winfried Hallerbach, Haikun Ning, Jaap Spronk - 37-45 Random Walk as a Universal Test of Weak-Form Foreign Exchange Market Efficiency : A Proof
by Edward E. Ghartey - 46-56 Credit Exposure & Sovereign Risk Analysis : The Case of South America
by Elena Kalotychou, Sotiris K. Staikouras - 57-69 Strategic Conduct and Access Discrimination, in the Semi-Liberalized Electricity Sector in Mexico
by Alejandro Ibarra-Yunez