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Taylor and Francis Journals

Applied Financial Economics Letters

Contact information of Taylor and Francis Journals:
Web page: http://www.tandf.co.uk/journals/titles/17446546.asp

This journal is no longer published by Taylor and Francis Journals. For a followup journal, see Applied Economics Letters, published by Taylor and Francis Journals.
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Web: http://www.tandf.co.uk/journals/titles/17446546.asp
Pricing information: individual rates available on request
Editor:
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:taf:apfelt

More pages of listings: 0|1

2008, Volume 4, Issue 6

383-387 Exchange rates and fractional integration revisited
by P. Sephton [Downloadable! (restricted)]
389-393 On the functional form of PPP: the case of nine new EU countries
by Yu Hsing [Downloadable! (restricted)]
395-398 Style drift and fund performance in up and down markets: Australian evidence
by Kathryn Holmes & Robert Faff [Downloadable! (restricted)]
399-401 Disaggregating 'accounting earnings' to better explain UK dividends
by Abdallah Atieh & Simon Hussain [Downloadable! (restricted)]
403-407 Long-term asymmetry in the USD-DEM spot exchange rate volatility process
by Bernard Bollen [Downloadable! (restricted)]
409-415 Generating innovations in economic variables
by Vitor Leone & Lawrence Leger [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
419-423 SPEC model selection algorithm for ARCH models: an options pricing evaluation framework
by Stavros Degiannakis & Evdokia Xekalaki [Downloadable! (restricted)]
425-431 Value-at-risk in US stock indices with skewed generalized error distribution
by Ming-Chih Lee & Jung-Bin Su & Hung-Chun Liu [Downloadable! (restricted)]
433-437 Long memory in international equity markets: revisited
by Ata Assaf [Downloadable! (restricted)]
439-442 The equity premium and inflation
by John Beirne & Gabe de Bondt [Downloadable! (restricted)]
443-449 Size and stock market integration: a study of Canadian firms
by Lucie Samson [Downloadable! (restricted)]
451-456 The impact of WTO on international interdependence degree among United States, Korea and China
by Chia-Hsing Huang & Shu-Shian Lin [Downloadable! (restricted)]
457-460 Application of the auction theory to the overpricing phenomenon in a corporate bond underwriting market
by Kenji Matsui [Downloadable! (restricted)]
461-467 Stock market returns and the temperature effect: new evidence from Europe
by Christos Floros [Downloadable! (restricted)]

2008, Volume 4, Issue 5

307-310 The causal relationship between domestic and outward foreign investment: evidence for Italy
by Dierk Herzer [Downloadable! (restricted)]
311-314 A nonparametric approach tothe noise density in stochastic volatility models
by Simone Alfarano & Friedrich Wagner & Mishael Milakovic [Downloadable! (restricted)]
315-318 Are stock repurchases more flexible than dividends? The caseof Japanese firms
by Naohiko Baba & Yoichi Ueno [Downloadable! (restricted)]
319-325 Price matching for multiple rescindable options and European options
by Nikolai Dokuchaev [Downloadable! (restricted)]
327-330 Efficiency of the South African equity market
by David McMillan & Pako Thupayagale [Downloadable! (restricted)]
331-335 A note on the general elections and long memory: evidence from the London Stock Exchange
by Cheah Eng Tuck & Lee Yoong Hon [Downloadable! (restricted)]
337-339 A threshold model for the Hong Kong warrant prices
by Kin Ming Wong & Terence Tai-Leung Chong [Downloadable! (restricted)]
341-345 An ordered probit model of Morningstar individual stock ratings
by Robert Brooks & Shelley Claire Naylor [Downloadable! (restricted)]
347-350 Some properties of absolute returns as a proxy for volatility
by David Giles [Downloadable! (restricted)]
351-354 Firm survival and time aggregation bias
by Costas Siriopoulos & Dionysis Antonios Lalountas [Downloadable! (restricted)]
355-361 An alternative method for measuring risk compensation of event jumps
by Shu-Hsien Chen & Ming-Shann Tsai & Fang-Ling Liao [Downloadable! (restricted)]
363-367 Decomposition of mutual fund underperformance
by Jin-Li Hu & Tzu-Pu Chang [Downloadable! (restricted)]
369-373 The stock market's valuationof R&D externalities
by Hironobu Miyazaki & Hiroyuki Aman [Downloadable! (restricted)]
375-377 Does the rule for voluntary disclosure induce truthful disclosure?
by Chen-Wen Chen & Victor Liu [Downloadable! (restricted)]
379-382 Foreign exchange intervention and central bank independence: the Latin American experience
by Mauricio Nunes & Sergio Da Silva [Downloadable! (restricted)]

2008, Volume 4, Issue 4

233-240 Mood and UK equity pricing
by Michael Dowling & Brian Lucey [Downloadable! (restricted)]
241-248 Credit default swap rates and stock prices
by Marco Realdon [Downloadable! (restricted)]
249-251 Econometric analysis of interest rate pass-through
by Steven Cook [Downloadable! (restricted)]
253-258 Style analysis, customized benchmarks, and managed funds: new evidence
by Kathryn Holmes & Robert Faff [Downloadable! (restricted)]
259-267 Do large hedgers and speculators react to events? A stability and events analysis
by Ikhlaas Gurrib [Downloadable! (restricted)]
269-275 Fractional return and fractional CAPM
by Reza Raei & Shapour Mohammadi [Downloadable! (restricted)]
277-282 Are stock returns related toshort-term and long-term past returns? Australian evidence
by Philip Gharghori & Ronald Lee & Madhu Veeraraghavan [Downloadable! (restricted)]
283-285 Measuring the US social discount rate: reply to Azar
by Martin Lally [Downloadable! (restricted)]
287-292 Demonstrating error-correction modelling for intraday statistical arbitrage
by Brian Jacobsen [Downloadable! (restricted)]
293-297 Global takeover premiums - country vs. industry impact
by Andreas Dombret & Ferdinand Mager & Timo Reinschmidt [Downloadable! (restricted)]
299-302 Estimating the value of victory: English football
by Kent Hickman & Stuart Cooper & Sam Agyei-Ampomah [Downloadable! (restricted)]
303-306 Risk aversion, regional welfare state and private pension plans
by Marco Percoco [Downloadable! (restricted)]

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 [Downloadable! (restricted)]
163-170 Assessing Italian Government bonds' term structure with CIR model in the aftermath of EMU
by Bernardo Maggi & Fabrizio Infortuna [Downloadable! (restricted)]
171-176 Provincial co-movement in Chinese stock returns
by Udomsak Wongchoti & Fei Wu [Downloadable! (restricted)]
177-182 The future of credit unions in the United States: evidence from quantitative extrapolations
by Kostantinos Nikolopoulos & Michael Handrinos [Downloadable! (restricted)]
183-186 Financial distress, relative performance and takeovers as drivers for abnormal accruals
by Lingyan Zuo & Simon Hussain [Downloadable! (restricted)]
187-191 Systematic liquidity in the long run
by Charly Sujoto & Petko Kalev & Robert Faff [Downloadable! (restricted)]
193-197 Deregulation and productivity changes in banking: evidence from European unification
by Alexander Kondeas & Steven Caudill & Daniel Gropper & Jennie Raymond [Downloadable! (restricted)]
199-203 Credit risk and Basel II: are nonprofit firms financially different?
by Barbara Luppi & Massimiliano Marzo & Antonello Scorcu [Downloadable! (restricted)]
205-207 Fixed income securities with a zero Macaulay duration: senior life settlements
by Carlos Ortiz & Charles Stone & Anne Zissu [Downloadable! (restricted)]
209-212 The Bootstrap Maximum Likelihood Estimator: the case of logit
by Athanasios Tsagkanos [Downloadable! (restricted)]
213-216 Test of a quadratic relationship between the yield of TIPS and the federal funds rate
by Yu Hsing [Downloadable! (restricted)]
217-219 Value-neutral tradeoffs between failure risk and growth
by Sherrill Shaffer [Downloadable! (restricted)]
221-224 Does foreign exchange intervention reduces the exchange rate volatility?
by Takeshi Hoshikawa [Downloadable! (restricted)]
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 [Downloadable! (restricted)]

2008, Volume 4, Issue 2

77-79 A note on the effects of debt buybacks in the MM world
by Mark Schaub [Downloadable! (restricted)]
81-86 Incomplete temporal overlap and cross-sectional independence in event studies
by Imre Karafiath [Downloadable! (restricted)]
87-91 Firm size, sector and market valuation of R&D expenditures
by Syed Zulfiqar Ali Shah & Andrew Stark & Saeed Akbar [Downloadable! (restricted)]
93-96 The oil price exposure of global oil companies
by Perry Sadorsky [Downloadable! (restricted)]
97-101 The usual suspects: the effects of attention on journalists' stock recommendations
by Alexander Kerl & Andreas Walter [Downloadable! (restricted)]
103-107 The Buncefield oil depot explosion: where there's smoke, there's (stock market) fire?
by Gunther Capelle-Blancard & Marie-Aude Laguna [Downloadable! (restricted)]
109-113 Money market fund investors' response to fund company mergers
by Luis Ferruz & Cristina Ortiz & Luis Vicente [Downloadable! (restricted)]
115-120 Day of the week seasonality in African stock markets
by Paul Alagidede [Downloadable! (restricted)]
121-125 Productivity in the retail industry: does insider ownership of shares matter?
by Vasanthakumar Bhat [Downloadable! (restricted)]
127-131 What determines the forward exchange rate of the euro?
by Costas Karfakis [Downloadable! (restricted)]
133-136 The effects of asymmetries and regime switching on optimal futures hedging
by Hsiang-Tai Lee [Downloadable! (restricted)]
137-139 The minimum required rate of return
by Samih Antoine Azar [Downloadable! (restricted)]
141-149 Optimal mortgage refinancing: application of bond valuation tools to household risk management
by Andrew Kalotay & Deane Yang & Frank Fabozzi [Downloadable! (restricted)]
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 [Downloadable! (restricted)]

2008, Volume 4, Issue 1

1-3 Find a penny and pick it up: capitalizing on mutual fund rounding
by Lee Redding [Downloadable! (restricted)]
5-8 Underpricing of initial public offerings in Bangladesh
by Tanweer Hasan & Shakil Quayes [Downloadable! (restricted)]
9-12 Comovement in the FTSE 100 Index
by Bryan Mase [Downloadable! (restricted)]
13-18 Consumption, wealth and expected stock returns in Australia: some further results
by Lance Fisher [Downloadable! (restricted)]
19-24 The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM
by Hui-Na Lin & Shu-Mei Chiang & Kun-Hong Chen [Downloadable! (restricted)]
25-27 Estimating the uncertainty of relative risk aversion
by Karl-Heinz Todter [Downloadable! (restricted)]
29-33 Pensions in a perfect storm: financial behaviour of Dutch pension funds (2002-2005)
by Jan Kakes [Downloadable! (restricted)]
35-39 Sectoral impact of shocks: empirical evidence from the Malaysian stock market
by Kian-Ping Lim [Downloadable! (restricted)]
41-44 Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis
by Robert Brooks & Elizabeth Maharaj & Breanna Pellegrini [Downloadable! (restricted)]
45-48 Long memory and nonlinearity in stock markets
by Derek Bond & Kenneth Dyson [Downloadable! (restricted)]
49-51 Signalling and jump bidding in takeover auctions
by Anna Dodonova [Downloadable! (restricted)]
53-57 Emerging markets mutual funds: regional exposure and stock selection ability
by Javier Rodriguez & Jimmy Torrez [Downloadable! (restricted)]
59-63 Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests
by Steven Cook [Downloadable! (restricted)]
65-69 Do acquirer company returns improve after a takeover? Empirical evidence for Australia
by Stuart Dullard & Kim Hawtrey [Downloadable! (restricted)]
71-75 Transmission of shocks among health care stock index returns
by Bradley Ewing & Jamie Kruse & Mark Thompson [Downloadable! (restricted)]

2007, Volume 3, Issue 6

349-357 Valuation effects of international joint venture formation: Hong Kong listed companies
by Wing-Fai Leung & Fanny Cheung [Downloadable! (restricted)]
359-363 Measuring the macroeconomic impact of workers' remittances in a data-rich environment
by Carlos Vargas-Silva [Downloadable! (restricted)]
365-371 Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets
by Aktham Maghyereh [Downloadable! (restricted)]
373-379 Firms' growth opportunities and profitability: a nonlinear relationship
by Zelia Serrasqueiro & Paulo Macas Nunes & Sequeira Tiago Neves Sequeira [Downloadable! (restricted)]
381-384 Structural breaks in financial ratios: evidence for nine international markets
by David McMillan [Downloadable! (restricted)]
385-389 Time-varying nonlinear exchange rate exposure
by Renatas Kizys & Christian Pierdzioch [Downloadable! (restricted)]
391-396 To be euro or not to be euro: a comparative analysis of banking systems
by Mark Bertus & John Jahera & Keven Yost [Downloadable! (restricted)]
397-401 Assessing dependence changes using nonparametric methods
by Param Silvapulle & Xibin Zhang [Downloadable! (restricted)]
403-408 A requiem for the use of the geometric mean in evaluating portfolio performance
by Spyros Missiakoulis & Dimitrios Vasiliou & Nikolaos Eriotis [Downloadable! (restricted)]
409-414 A duration-based equity premium
by Samih Antoine Azar [Downloadable! (restricted)]

2007, Volume 3, Issue 5

281-286 Stock market risk and dollarization in Ecuador
by Dennis W. Jansen & Maria Caridad Ortiz [Downloadable! (restricted)]
287-293 ESOPs and earnings management: an empirical note
by Pornsit Jiraporn [Downloadable! (restricted)]
295-299 The costs of raising equity capital for closed-end fund IPOs
by William Dimovski & Robert Brooks & Antonie van Eekelen [Downloadable! (restricted)]
301-306 Stock price patterns
by Brian J. Jacobsen [Downloadable! (restricted)]
307-312 An examination of conditional asset pricing models in the Australian equities market
by Annette Nguyen & Robert Faff & Philip Gharghori [Downloadable! (restricted)]
313-317 On the quadratic approximation to the value of American put options: a note
by Andreas Andrikopoulos [Downloadable! (restricted)]
319-325 PPP over a century: cointegration and structural change
by Ekaterini Panopoulou [Downloadable! (restricted)]
327-334 Sectoral cointegration and causality analyses of the UAE financial markets
by Jay Squalli [Downloadable! (restricted)]
335-341 Multivariate test of Sharpe-Lintner CAPM with time-varying beta
by P.-S. Wu & J.-S. Chiou [Downloadable! (restricted)]
343-347 Interest rate fluctuations and the UK financial services industry
by Panayiotis G. Artikis & Elena Kalotychou & Sotiris K. Staikouras [Downloadable! (restricted)]

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 [Downloadable! (restricted)]
215-220 Assessing the stability of Gaussian mixture models for monthly returns of the S&P 500 index
by Andreas Behr [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
225-230 Credit risk pricing with both expected and unexpected default
by Marco Realdon [Downloadable! (restricted)]
231-236 Testing for stock market integration in a developing economy: Colombia
by Luis Gutierrez & Jesus Otero [Downloadable! (restricted)]
237-242 Portfolio allocation with heavy-tailed returns
by Arnab Kumar Laha & Divyajyoti Bhowmick & Bharathy Subramaniam [Downloadable! (restricted)]
243-246 Threshold adjustment in the long-run relationship between stock prices and economic activity
by Steven Cook [Downloadable! (restricted)]
247-250 An evaluation of professional forecasts of US corporate profits
by Hamid Baghestani [Downloadable! (restricted)]
251-254 Bankruptcy and the Nash solution
by Jacques A. Schnabel [Downloadable! (restricted)]
255-257 On the variance of the error associated to the squared return as proxy of volatility
by Umberto Triacca [Downloadable! (restricted)]
259-262 Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks
by Andrew C. Worthington & Mosayeb Pahlavani [Downloadable! (restricted)]
263-267 Investment information content in Bollinger Bands?
by C. Lento & N. Gradojevic & C. S. Wright [Downloadable! (restricted)]
269-273 Political orientation of government and stock market returns
by Jedrzej Bialkowski & Katrin Gottschalk & Tomasz Piotr Wisniewski [Downloadable! (restricted)]
275-278 Underwriting spread and the investment of security company-affiliated venture capital
by Katsushi Suzuki [Downloadable! (restricted)]

2007, Volume 3, Issue 3

141-146 Refunding efficiency: a generalized approach
by Andrew J. Kalotay & Deane Yang & Frank J. Fabozzi [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
155-159 Effects of the intended and unintended federal funds rates on the Treasury yield curve during the Greenspan era
by Yu Hsing [Downloadable! (restricted)]
161-164 Transactions, volume and volatility: evidence from an emerging market
by Cetin Ciner & William H. Sackley [Downloadable! (restricted)]
165-168 Project selection and equivalent CAPM-based investment criteria
by Carlo Alberto Magni [Downloadable! (restricted)]
169-179 Investors reaction to dividend announcements: parametric versus nonparametric approach
by Walid Saleh [Downloadable! (restricted)]
181-185 The determinants of cross-border equity flows: a dynamic panel data reassessment
by Pandej Chintrakarn [Downloadable! (restricted)]
187-190 Prophets of future corporate profits: a role for leading indicators in the information sets of security analysts?
by Simon Hussain [Downloadable! (restricted)]
191-195 Stock returns, exchange rate movements and central bank interventions
by Daniel Hartmann & Christian Pierdzioch [Downloadable! (restricted)]
197-199 A global network of stock markets and home bias puzzle
by Masaru Konishi [Downloadable! (restricted)]
201-208 Modelling financial observable-volatility using long memory models
by Chin Wen Cheong & Zaidi Isa & Abu Hassan Shaari Mohd Nor [Downloadable! (restricted)]

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 [Downloadable! (restricted)]
77-83 Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model
by Chikashi Tsuji [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
91-94 The monetary approach to exchange rate determination for Malaysia
by Lee Chin & M. Azali & K. G. Matthews [Downloadable! (restricted)]
95-98 Financial impact of risk on municipal earnings
by Camilo Sarmiento [Downloadable! (restricted)]
99-102 The decision to voluntarily provide an IPO prospectus earnings forecast
by Chris Bilson & Richard Heaney & John Powell & Jing Shi [Downloadable! (restricted)]
103-108 Spurious results in testing mutual fund performance persistence: evidence from the Greek market
by Vassilios Babalos & Alexandros Kostakis & Nikolaos Philippas [Downloadable! (restricted)]
109-113 Bond pricing and two unconditionally implied parameters inferred from option prices
by Nikolai Dokuchaev [Downloadable! (restricted)]
115-119 Are limit hits industry-specific?
by Haitham Nobanee [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
129-132 Are conditional Value-at-Risk models justifiable?
by A. Sfetsos & L. Kalyvas [Downloadable! (restricted)]
133-136 The effect of US and European stock exchanges on Greece's stock market: a VAR approach
by Nikolaos Veraros & Evangelia Kasimati [Downloadable! (restricted)]
137-140 Project valuation and investment decisions: CAPM versus arbitrage
by Carlo Alberto Magni [Downloadable! (restricted)]

2007, Volume 3, Issue 1

1-4 The analysis of interest rate swap spreads in Japan
by Takayasu Ito [Downloadable! (restricted)]
5-9 Forecasting exchange rates using an evolutionary neural network
by Marcos Alvarez-Diaz & Alberto Alvarez [Downloadable! (restricted)]
11-14 On central bank interventions and transaction taxes
by Frank H. Westerhoff [Downloadable! (restricted)]
15-18 New vs. used capital investment decisions under liquidity constraints
by Konstantinos Drakos & Eleftherios Goulas & Christos Kallandranis [Downloadable! (restricted)]
19-24 Is George Bailey Dead?
by Jessica A. Holmes & Jonathan T. Isham & Paul M. Sommers [Downloadable! (restricted)]
25-29 Nonlinear mean reversion in stock prices: evidence from Asian markets
by Kian-Ping Lim & Venus Khim-Sen Liew [Downloadable! (restricted)]
31-37 Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes
by Stavros Degiannakis & Evdokia Xekalaki [Downloadable! (restricted)]
39-46 The effects of the exchange rate movements on the Istanbul stock exchange
by Nukhet Dogan & Yeliz Yalcin [Downloadable! (restricted)]
47-50 Corporate valuations and the Merton model
by Andrea Gheno [Downloadable! (restricted)]
51-54 Analysis of exchange rate fluctuations in Estonia: test of the interest parity condition and the open economy model
by Yu Hsing [Downloadable! (restricted)]
55-62 Multi-factor SUR in event study analysis: evidence from M&A in Singapore's financial industry
by Enrico Tanuwidjaja [Downloadable! (restricted)]
63-66 Measuring the US social discount rate
by Samih Antoine Azar [Downloadable! (restricted)]
67-70 The market impact of corporate alliance announcements: value-weighted versus equally weighted portfolio returns
by Bruce Burton [Downloadable! (restricted)]

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 [Downloadable! (restricted)]
337-340 Nonlinear forecast of financial time series through dynamical calendar correction
by Alexandros Leontitsis & Costas Siriopoulos [Downloadable! (restricted)]

2006, Volume 2, Issue 4

211-215 Insurance intermediaries and contractual relations
by Rajeev K. Goel [Downloadable! (restricted)]
217-222 GARCH, heteroscedasticity-consistent covariance matrix estimation and (non)linear unit root testing
by Steven Cook [Downloadable! (restricted)]
223-227 A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis
by Haitham A. Al-Zoubi & Dana A. Al-Zoubi & Aktham I. Maghyereh [Downloadable! (restricted)]
229-232 Evidence on the relationship between Takaful insurance and fundamental perception of Islamic principles
by Ramin Cooper Maysami & John Joseph Williams [Downloadable! (restricted)]
233-237 Statistical analysis of municipal bond ratings under spatial correlation
by Camilo Sarmiento [Downloadable! (restricted)]
239-241 On signalling and debt maturity choice
by Robert Lensink & Pham Thi Thu Tra [Downloadable! (restricted)]
243-245 Hedging under price and output uncertainty: revisited
by Moawia Alghalith [Downloadable! (restricted)]
247-249 The impact of capital controls on Malaysian banking industry betas
by Robert D. Brooks & Lye Chee Shoung [Downloadable! (restricted)]
251-256 Security analysts and 'bad news’: a note on 9/11
by Simon Hussain [Downloadable! (restricted)]
257-260 A micro-econometric model of the UK property-liability insurance industry
by Emmanouel Mamatzakis & Christos Staikouras [Downloadable! (restricted)]
265-273 The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test
by Aktham Maghyereh [Downloadable! (restricted)]
275-278 Floor information and common variations in liquidity
by Mohsen M. Saad [Downloadable! (restricted)]

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 [Downloadable! (restricted)]
147-150 Risk-return tradeoffs from investing in the Australian cash management industry
by Jenny Diggle & Robert Brooks [Downloadable! (restricted)]
151-154 Economic value added and systemic value added: symmetry, additive coherence and differences in performance
by Roberto Ghiselli Ricci & Carlo Alberto Magni [Downloadable! (restricted)]
155-158 Empirical relationship between the dividend and investment decision: do emerging market firms behave differently?
by Saumitra N. Bhaduri & S. Raja Sethu Durai [Downloadable! (restricted)]
159-163 The liquidity effect across the short end of the term structure
by Garett Jones [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
173-177 The profitability of momentum strategies using stock futures contracts in small markets
by Pilar Corredor & Luis Muga & Rafael Santamaria [Downloadable! (restricted)]
179-182 The equity premium puzzle and decreasing relative risk aversion
by Maurice J. Roche [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
189-192 Hedging or speculation in derivative markets: the case of energy futures contracts
by Cetin Ciner [Downloadable! (restricted)]
193-197 Testing for weekday anomaly in international stock index returns with non-normal errors
by Mikael Linden & Mika Louhelainen [Downloadable! (restricted)]
199-204 Two unconditionally implied parameters and volatility smiles and skews
by Nikolai Dokuchaev [Downloadable! (restricted)]
205-209 Option pricing: back to the thinking of Bachelier
by Cokki Versluis [Downloadable! (restricted)]

2006, Volume 2, Issue 2

71-75 The response of sub-sector REIT returns to shocks in fundamental state variables
by James E. Payne [Downloadable! (restricted)]
77-86 Empirical investigation on the relationship between Japanese and Asian emerging equity markets
by Ramaprasad Bhar & Shigeyuki Hamori [Downloadable! (restricted)]
87-94 Chinese equity market and the efficient frontier
by Radu Tunaru & Frank Fabozzi & Tony Wu [Downloadable! (restricted)]
95-97 About the cost of portfolio financing in Black-Scholes call option valuation
by Cokki Versluis [Downloadable! (restricted)]
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 [Downloadable! (restricted)]
105-109 Stock return volatility and the internet phenomenon
by Virginia Liu & Francis Tapon & Yiguo Sun [Downloadable! (restricted)]
111-114 The measure of relative risk aversion in the consumption CAPM with power utility
by Andrei Semenov [Downloadable! (restricted)]
115-121 Overreactions in the options markets in Japan
by Chikashi Tsuji [Downloadable! (restricted)]
123-130 Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
by Monica Billio & Massimiliano Caporin & Michele Gobbo [Downloadable! (restricted)]
131-137 The best-beta CAPM
by Liang Zou [Downloadable! (restricted)]

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 [Downloadable! (restricted)]
9-12 Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
by Guglielmo Maria Caporale & Luis A. Gil-Alana [Downloadable! (restricted)]
13-17 Modelling catastrophic risk in international equity markets: an extreme value approach
by John Cotter [Downloadable! (restricted)]
19-23 The influence of performance on the flows into Spanish equity funds
by Luis Ferruz & Cristina Ortiz & Jose? L. Sarto [Downloadable! (restricted)]
25-30 Long memory properties of real interest rates for 16 countries
by Jeremy Couchman & Rukmani Gounder & Jen-Je Su [Downloadable! (restricted)]
31-36 The application of an intervention model to the Taiwan stock exchange price limits policy
by Min-Tsung Cheng & Yeong-Jia Goo [Downloadable! (restricted)]
37-41 Domestic portfolio choice amid political instability
by Shu-Hsien Chen & Ming-Shu Hua & Richard Stuetz [Downloadable! (restricted)]

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