Taylor and Francis Journals
Applied Financial Economics Letters
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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: [Applied Financial Economics Letters, 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 Milakovic - 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 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 Kondeas & Steven Caudill & Daniel Gropper & Jennie Raymond - 199-203 Credit risk and Basel II: are nonprofit firms financially different?
by Barbara Luppi & Massimiliano Marzo & Antonello Scorcu - 205-207 Fixed income securities with a zero Macaulay duration: senior life settlements
by Carlos Ortiz & Charles 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 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 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 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 Kalotay & Deane Yang & Frank 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 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 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 Todter - 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 Brooks & Elizabeth Maharaj & Breanna Pellegrini - 45-48 Long memory and nonlinearity in stock markets
by Derek Bond & Kenneth 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 Ewing & Jamie Kruse & Mark Thompson
2007, Volume 3, Issue 6
- 349-357 Valuation effects of international joint venture formation: Hong Kong listed companies
by Wing-Fai Leung & Fanny 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 Maghyereh - 373-379 Firms' growth opportunities and profitability: a nonlinear relationship
by Zelia Serrasqueiro & Paulo Macas Nunes & Sequeira Tiago Neves Sequeira - 381-384 Structural breaks in financial ratios: evidence for nine international markets
by David 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 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 Gutierrez & Jesus 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
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
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 Middleton & Suzanne Fifield & David 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 Bilson & Richard Heaney & John 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 5
- 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
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 - 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 - 165-171 Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence
by Nevin Yörük & Cumhur Erdem & Meziyet Sema Erdem - 173-177 The profitability of momentum strategies using stock futures contracts in small markets
by Pilar Corredor & Luis Muga & Rafael Santamaria - 179-182 The equity premium puzzle and decreasing relative risk aversion
by Maurice J. Roche - 183-188 A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH
by Ming-Chih Lee & Jer-Shiou Chiou & Cho-Min Lin - 189-192 Hedging or speculation in derivative markets: the case of energy futures contracts
by Cetin Ciner - 193-197 Testing for weekday anomaly in international stock index returns with non-normal errors
by Mikael Linden & Mika Louhelainen - 199-204 Two unconditionally implied parameters and volatility smiles and skews
by Nikolai Dokuchaev - 205-209 Option pricing: back to the thinking of Bachelier
by Cokki Versluis
2006, Volume 2, Issue 2
- 71-75 The response of sub-sector REIT returns to shocks in fundamental state variables
by James E. Payne - 77-86 Empirical investigation on the relationship between Japanese and Asian emerging equity markets
by Ramaprasad Bhar & Shigeyuki Hamori - 87-94 Chinese equity market and the efficient frontier
by Radu Tunaru & Frank Fabozzi & Tony Wu - 95-97 About the cost of portfolio financing in Black-Scholes call option valuation
by Cokki Versluis - 99-103 Market trader heterogeneity and high frequency volatility dynamics: further evidence from intra-day FTSE-100 futures data
by David G. McMillan & Alan E. H. Speight - 105-109 Stock return volatility and the internet phenomenon
by Virginia Liu & Francis Tapon & Yiguo Sun - 111-114 The measure of relative risk aversion in the consumption CAPM with power utility
by Andrei Semenov - 115-121 Overreactions in the options markets in Japan
by Chikashi Tsuji - 123-130 Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
by Monica Billio & Massimiliano Caporin & Michele Gobbo - 131-137 The best-beta CAPM
by Liang Zou
2006, Volume 2, Issue 1
- 1-7 Random walk versus multiple trend breaks in stock prices: evidence from 15 European markets
by Paresh Kumar Narayan & Russell Smyth - 9-12 Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
by Guglielmo Maria Caporale & Luis A. Gil-Alana - 13-17 Modelling catastrophic risk in international equity markets: an extreme value approach
by John Cotter - 19-23 The influence of performance on the flows into Spanish equity funds
by Luis Ferruz & Cristina Ortiz & Jose? L. Sarto - 25-30 Long memory properties of real interest rates for 16 countries
by Jeremy Couchman & Rukmani Gounder & Jen-Je Su - 31-36 The application of an intervention model to the Taiwan stock exchange price limits policy
by Min-Tsung Cheng & Yeong-Jia Goo - 37-41 Domestic portfolio choice amid political instability
by Shu-Hsien Chen & Ming-Shu Hua & Richard Stuetz