Template-Type: ReDIF-Article 1.0
Author-Name: Mike Adams 
Author-X-Name-First: Mike 
Author-X-Name-Last: Adams 
Title: The determinants of actuarial costs in the New Zealand life insurance industry 
Abstract:
  The financial economics literature suggests that the extent to which
 surrogate monitors such as actuaries are employed by owners of the firm
 depends upon organizationspecific factors such as size and ownership
 structure. Using 1991-1993 data drawn from New Zealand's life insurance
 industry, an empirical examination is conducted to see whether the demand
 for actuarial services is distinguished by the characteristics of life
 insurance firms. The empirical results indicate that, consistent with
 expectations, expenditure on actuarial services was positively associated
 with large and multiproduct firms and those with high underwriting risk.
 However, organizational form and the substitutive effects of auditing on
 actuarial costs, were found not to be statistically significant. 
Journal: Applied Financial Economics 
Pages: 1-7 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333790 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333790
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:1-7




Template-Type: ReDIF-Article 1.0
Author-Name: R. D. Brooks 
Author-X-Name-First: R. D. 
Author-X-Name-Last: Brooks 
Author-Name: R. W. Faff 
Author-X-Name-First: R. W. 
Author-X-Name-Last: Faff 
Author-Name: M. A. M. Gangemi 
Author-X-Name-First: M. A. M. 
Author-X-Name-Last: Gangemi 
Author-Name: J. H. H. Lee 
Author-X-Name-First: J. H. H. 
Author-X-Name-Last: Lee 
Title: A further examination of the effect of diversification on the stability of portfolio betas 
Abstract:
  Although many studies have found a non-trivial incidence of beta
 instability for individual common stocks, there exists controversy over
 the beta stability characteristics to expect in portfolios formed from
 these stocks. The extent is examined to which portfolio formation can
 diversify away beta instability. Specifically, although a constant beta
 for the market portfolio is acknowledged as the trivial limiting case,
 particular attention is devoted to shedding light on the speed with which
 diversification can deliver a reasonable expectation of stable portfolio
 betas. The issue is examined by forming portfolios which mix together
 constant beta stocks and varying beta stocks. The evidence is generally
 consistent with the presence of a diversification effect, but as the
 portfolio size increases, results do show a greater proportion of constant
 beta stocks are needed to maintain the relative stability of the
 portfolio. 
Journal: Applied Financial Economics 
Pages: 9-14 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333808 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333808
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:9-14




Template-Type: ReDIF-Article 1.0
Author-Name: Kate Phylaktis 
Author-X-Name-First: Kate 
Author-X-Name-Last: Phylaktis 
Author-Name: Yiannis Kassimatis 
Author-X-Name-First: Yiannis 
Author-X-Name-Last: Kassimatis 
Title: Black and official exchange rate volatility and foreign exchange controls 
Abstract:
  Autoregressive conditionally heteroscedastic (ARCH) and generalized ARCH
 (GARCH) models are applied to foreign currencies that are traded in both
 official and black markets using monthly rates in a group of Pacific Basin
 countries. It is shown that (i) in contrast to the observation of other
 studies using monthly rates, ARCH/GARCH processes characterize all
 exchange rate series in both markets; (ii) the relaxation of foreign
 exchange controls increased the volatility of exchange rates in official
 markets as implied by theoretical analysis; and (iii) the persistence of
 volatility is reduced when account is taken of the discrete change in
 policy on foreign exchange controls. 
Journal: Applied Financial Economics 
Pages: 15-24 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333817 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333817
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:15-24




Template-Type: ReDIF-Article 1.0
Author-Name: Issam Abdalla 
Author-X-Name-First: Issam 
Author-X-Name-Last: Abdalla 
Author-Name: Victor Murinde 
Author-X-Name-First: Victor 
Author-X-Name-Last: Murinde 
Title: Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines 
Abstract:
  Interactions are investigated between exchange rates and stock prices in
 the emerging financial markets of India, Korea, Pakistan and the
 Philippines. The motivation is to establish the causal linkages between
 leading prices in the foreign exchange market and the stock market; the
 linkages have implications for the ongoing attempts to develop stock
 markets in emerging economies simultaneously with a policy shift towards
 independently floating exchange rates. Some recent econometric techniques
 are applied to a bivariate vector autoregressive model using monthly
 observations on the IFC stock price index and the real effective exchange
 rate over 1985:01-1994:07. The results show unidirectional causality from
 exchange rates to stock prices in all the sample countries, except the
 Philippines. This finding has policy implications; it suggests that
 respective governments should be cautious in their implementation of
 exchange rate policies, given that such policies have ramifications on
 their stock markets. 
Journal: Applied Financial Economics 
Pages: 25-35 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333826 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333826
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:25-35




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Hardwick 
Author-X-Name-First: Philip 
Author-X-Name-Last: Hardwick 
Title: Measuring cost inefficiency in the UK life insurance industry 
Abstract:
  To identify likely gainers and losers and to examine the effects of
 increasing competition on the structure of the UK life insurance industry,
 the cost inefficiency of UK life insurance companies is analysed. A
 flexible stochastic cost frontier is estimated for the industry using a
 sample of 54 companies over five years. The estimated frontier is then
 used to compute measures of 'economic', 'scale' and 'total' inefficiency
 for different company size groups. The results show that, on average,
 larger life insurance companies are less inefficient than smaller
 companies, but there are substantial variations in the degree of
 inefficiency within size groups. 
Journal: Applied Financial Economics 
Pages: 37-44 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333835 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333835
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:37-44




Template-Type: ReDIF-Article 1.0
Author-Name: Joseph Cheng 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Cheng 
Title: A switching regression approach to the stationarity of systematic and non-systematic risks: the Hong Kong experience 
Abstract:
  The switching regression method of Goldfeld and Quandt (Technique for
 estimating switching regressions, in Studies in Nonlinear Regression, ed.
 S. M. Goldfeld and R. E. Quandt, Ballinger, Cambridge MA, 1976) is used to
 examine the stationarity of systematic and non-systematic risks of Hong
 Kong's common stocks via the stability of the market model parameters for
 six industry portfolios and four family portfolios. Empirical evidence for
 the industry portfolios suggests that the systematic risk component is
 fairly stable throughout the sample period. However, non-systematic risk
 tends to decline over the 13-year horizon from February 1980 to December
 1992. This may also imply a reduction in the industry's unique risk
 proportion relative to its total risk level. Hence, security analysts may
 as well direct relatively more efforts and resources towards analysing the
 overall market performance rather than focusing extensively on individual
 industry. Similar findings emerge concerning the non-systematic component
 of the family portfolios. The evidence of a reduction in industry as well
 as family-specific risk may further suggest that the benefits of
 diversifying across different industry sectors or across different family
 groups may have been diminishing over the past decade. However, the shifts
 in the structure of systematic and nonsystematic risks of the family
 portfolios do not appear to have drastically affected the pay-off from
 analysing and monitoring stocks of individual families. 
Journal: Applied Financial Economics 
Pages: 45-57 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333844 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333844
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:45-57




Template-Type: ReDIF-Article 1.0
Author-Name: Abul Masih 
Author-X-Name-First: Abul 
Author-X-Name-Last: Masih 
Author-Name: Rumi Masih 
Author-X-Name-First: Rumi 
Author-X-Name-Last: Masih 
Title: A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages 
Abstract:
  The patterns of dynamic linkages are examined among national stock prices
 of four Asian Newly Industrializing Countries stock markets - Taiwan,
 South Korea, Singapore and Hong Kong - in models incorporating the
 established markets of Japan, USA, UK and Germany. Recent time-series
 techniques are employed, including unit root testing, multivariate
 cointegration, vector error-correction modelling (VECM), forecast error
 variance decomposition (VDC) and impulse response functions (IRFs). The
 results consistently appear to suggest the relatively leading role of all
 established markets in driving fluctuations in the NIC stock markets. In
 other words, all established markets and Hong Kong, consistently were the
 initial receptors of exogenous shocks to the (long-term) equilibrium
 relationships and the other NIC markets, particularly the Singaporean and
 Taiwanese markets had to bear most of the burden of short-run adjustment
 to re-establish the long-term equilibrium relationship. In comparison to
 all other NIC markets, Taiwan and Singapore appear as the most endogenous,
 with Taiwan providing evidence of its short-term vulnerability to shocks
 from the established markets. 
Journal: Applied Financial Economics 
Pages: 59-74 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333853 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333853
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:59-74




Template-Type: ReDIF-Article 1.0
Author-Name: Kevin Keasey 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Keasey 
Author-Name: Helen Short 
Author-X-Name-First: Helen 
Author-X-Name-Last: Short 
Title: Equity retention and initial public offerings: the influence of signalling and entrenchment effects 
Abstract:
  Within the context of initial public offerings (IPOs) the value of firms
 at the point of flotation appears to be positively and significantly
 related to the amount of equity retained by the original owners. But
 certain theoretical arguments and some limited empirical evidence suggest
 that the form of the relationship between firm value and retained equity
 may need further consideration. UK data is used for the first time to
 examine the relationship between equity retention and firm value at
 flotation. Empirical results indicate that the relationship is not
 significantly positive across the whole range of possible values. Firm
 value is found to be positively and significantly related to low and
 medium levels of equity retention, but not to high levels of retained
 equity. This adds to the evidence for other markets and casts further
 doubt over whether the retained equity variable is acting as a signal or
 has quite such a uniform effect as is commonly suggested in the
 literature. 
Journal: Applied Financial Economics 
Pages: 75-85 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333862 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333862
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:75-85




Template-Type: ReDIF-Article 1.0
Author-Name: Stefan Norrbin 
Author-X-Name-First: Stefan 
Author-X-Name-Last: Norrbin 
Author-Name: Kevin Reffett 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Reffett 
Author-Name: Yaohua Ji 
Author-X-Name-First: Yaohua 
Author-X-Name-Last: Ji 
Title: Using a VECM to test exogeneity and forecastability in the PPP condition 
Abstract:
  The possibility is explored that purchasing power parity (PPP) can be
 useful in forecasting exchange rates and/or prices. The first step shows
 that the spot exchange rate is statistically exogenous in the PPP
 relationship. The next step investigates the forecastability of the
 variables in the PPP condition. The results show that a VECM can beat a
 random walk only in the case of the US price level. 
Journal: Applied Financial Economics 
Pages: 87-95 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333871 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333871
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:87-95




Template-Type: ReDIF-Article 1.0
Author-Name: idhar Sundaram 
Author-X-Name-First: idhar 
Author-X-Name-Last: Sundaram 
Author-Name: Ike Mathur 
Author-X-Name-First: Ike 
Author-X-Name-Last: Mathur 
Author-Name: Indudeep Chhachhi 
Author-X-Name-First: Indudeep 
Author-X-Name-Last: Chhachhi 
Title: The valuation effects of the Mexican debt crisis: a re-examination 
Abstract:
  The valuation effects of the Mexican debt crisis are re-examined in a new
 way. Instead of concentrating upon the announcement of the Mexican debt
 moratorium, like some previous work, the valuation effects are
 investigated for eight major events that occurred over a period of two
 years, events which characterized the entire crisis. A multivariate
 regression model is applied to three portfolios of returns: high Mexican
 debt-exposure banks, low debt-exposure banks, and banks without less
 developed country (LDC) debt exposure. Significant wealth effects are
 observed for all three portfolios for various events. There is a
 significant increase (decrease) in the beta for the high exposure (no
 exposure) banks subsequent to the announcement of a debt-restructuring
 agreement between Mexico and its major creditor banks. Similar results are
 also observed for the residual variance, suggesting that the Mexican debt
 crisis may have contributed to changes in the risk of high-exposure,
 low-exposure and no-exposure banks. 
Journal: Applied Financial Economics 
Pages: 97-106 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333880 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333880
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:97-106




Template-Type: ReDIF-Article 1.0
Author-Name: Tony Wirjanto 
Author-X-Name-First: Tony 
Author-X-Name-Last: Wirjanto 
Title: Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints 
Abstract:
  This paper estimates and tests several versions of the consumption-based
 asset pricing model extended to allow for time-nonseparable preferences
 and/or liquidity constraint proxies, using Canadian aggregate data. It is
 found that a habit-persistence effect uncovered in the time-nonseparable
 preference model is due to the model's misspecification and that liquidity
 constraints have significant effects on an individual's intertemporal
 consumption behaviour. 
Journal: Applied Financial Economics 
Pages: 107-114 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333899 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333899
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:107-114




Template-Type: ReDIF-Article 1.0
Author-Name: Ahmet Enis Kocagil 
Author-X-Name-First: Ahmet Enis 
Author-X-Name-Last: Kocagil 
Title: Does futures speculation stabilize spot prices? Evidence from metals markets 
Abstract:
  An attempt is made to test empirically the hypothesis that increased
 speculation in futures markets stabilizes spot price volatility in metals
 markets. This is confirmed not by an ad hoc volatility ratio test but by
 generalizing the framework of Driskill et al. (Driskill, R., McCafferty,
 S. and Sheffrin, S., 1991. Speculative intensity and spot futures price
 variability, Economic Inquiry, 29, 737-751) and Kawai (Kawai, M. 1983.
 Price volatility of storable commodities under rational expectations in
 spot and futures markets, International Economic Review, 24, 1313-1317).
 The hypothesis is tested using a critical condition generated by the
 model: the test is based on data from the copper, gold, silver and
 aluminium markets. The significance of the estimated coefficients is
 analysed by Monte Carlo methods. The empirical results, which are based on
 these four metals markets for the period 1980-1990, reject the hypothesis
 that an increase in the intensity of futures speculation tends to decrease
 the spot price volatility, and thus stabilizes spot markets. 
Journal: Applied Financial Economics 
Pages: 115-125 
Issue: 1 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333907 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333907
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:115-125




Template-Type: ReDIF-Article 1.0
Author-Name: Nicolaas Groenewold 
Author-X-Name-First: Nicolaas 
Author-X-Name-Last: Groenewold 
Author-Name: Gregory O'Rourke 
Author-X-Name-First: Gregory 
Author-X-Name-Last: O'Rourke 
Author-Name: Stephen Thomas 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Thomas 
Title: Stock returns and inflation: a macro analysis 
Abstract:
  A negative relationship between stock returns and (expected) inflation is
 frequently observed in empirical work and is considered a puzzle since it
 is expected that stocks are a good hedge against inflation, so that their
 real rate of return (actual or expected) ought to be unaffected by changes
 in inflation. Various attempts have been made to resolve this puzzle
 empirically but have tended to use single equations of a partial
 equilibrium nature which have been ad hoc to a greater or lesser extent.
 This paper examines the puzzle in the framework of a small empirical
 macroeconomic model. The negative sign survives the extension to the full
 model and the source of the puzzle is found in the macroeconomic
 interactions: a rise in the expected inflation rate raises equilibrium
 real output which has a negative impact on stock returns. 
Journal: Applied Financial Economics 
Pages: 127-136 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333691 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333691
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:127-136




Template-Type: ReDIF-Article 1.0
Author-Name: Anders Loflund 
Author-X-Name-First: Anders 
Author-X-Name-Last: Loflund 
Author-Name: Kim Nummelin 
Author-X-Name-First: Kim 
Author-X-Name-Last: Nummelin 
Title: On stocks, bonds and business conditions 
Abstract:
  This paper examines the relations between Finnish and Swedish asset
 returns and conditional industrial production growth and risk,
 respectively, after controlling for the stage-of-the-business-cycle. We
 find that the analysis of the links between asset markets and the real
 economy is significantly enriched after controlling for local and global
 business conditions. We report significant links between asset returns and
 conditional production growth moments. The relations are also frequently
 state-dependent. As expected, bonds and stocks seem to react differently
 to real activity. 
Journal: Applied Financial Economics 
Pages: 137-146 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333709 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333709
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:137-146




Template-Type: ReDIF-Article 1.0
Author-Name: Michael McKenzie 
Author-X-Name-First: Michael 
Author-X-Name-Last: McKenzie 
Title: ARCH modelling of Australian bilateral exchange rate data 
Abstract:
  A comprehensive examination is undertaken of Australian exchange rate
 data utilizing the ARCH family of models. Various econometric tests are
 performed in an attempt to identify the presence of ARCH effects in 21
 daily Australian bilateral exchange rate series. Where appropriate, a
 number of ARCH models have been fitted and the results presented. Several
 issues are also addressed. The presence of asymmetry in the ARCH effects
 is tested, although little evidence is found of any such asymmetry, as
 well as criteria for selecting an optimal ARCH model from among those
 fitted. The ARCH effects present in less frequently sampled data are
 thought to diminish and this is tested for using a number of indicators.
 Finally, the impact is tested of modelling higher-order autocorrelation
 for the fitted ARCH models. 
Journal: Applied Financial Economics 
Pages: 147-164 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333718 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333718
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:147-164




Template-Type: ReDIF-Article 1.0
Author-Name: Donald Fraser 
Author-X-Name-First: Donald 
Author-X-Name-Last: Fraser 
Author-Name: John Groth 
Author-X-Name-First: John 
Author-X-Name-Last: Groth 
Author-Name: Steven Byers 
Author-X-Name-First: Steven 
Author-X-Name-Last: Byers 
Title: Listing and the liquidity of bank stocks: revisited 
Abstract:
  This paper investigates the association between listing and liquidity
 over the January 1991-December 1994 period for a large number of bank
 stocks. An empirical model is developed in which liquidity (using a
 measure that reflects the volume-price effects of demand and supply in
 market price) is a function of listing and certain other (ceteris paribus)
 variables. The model is virtually identical to the one employed in the
 previous study of the topic. The empirical results of the current study
 are compared to those of the prior one. Despite enormous changes in the
 structure of the financial system and in the banking system, the empirical
 results are consistent with those of the prior study: listed bank stocks
 do not appear to have greater liquidity than unlisted bank stocks. In
 fact, the results suggest that listing adversely affects liquidity.
 Various potential reasons for this finding are presented in the paper. 
Journal: Applied Financial Economics 
Pages: 165-172 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333727 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333727
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:165-172




Template-Type: ReDIF-Article 1.0
Author-Name: Nabeel Al-Loughani 
Author-X-Name-First: Nabeel 
Author-X-Name-Last: Al-Loughani 
Author-Name: David Chappell 
Author-X-Name-First: David 
Author-X-Name-Last: Chappell 
Title: On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange 
Abstract:
  The validity of the weak form of the efficient markets hypothesis (EMH)
 is tested for the FTSE 30 share index during a period when government
 economic policy towards the financial markets was relatively unchanging.
 The EMH would suggest random walk behaviour but this does not occur;
 instead the data series has significant heteroscedasticity. The series is
 successfully explained by a GARCH M(1, 1) model. We use the BDS test to
 show that the residuals from this model are IID. 
Journal: Applied Financial Economics 
Pages: 173-176 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333736 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333736
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:173-176




Template-Type: ReDIF-Article 1.0
Author-Name: Huntley Schaller 
Author-X-Name-First: Huntley 
Author-X-Name-Last: Schaller 
Author-Name: Simon Van Norden 
Author-X-Name-First: Simon 
Author-X-Name-Last: Van Norden 
Title: Regime switching in stock market returns 
Abstract:
  An extension of Hamilton's Markov switching techniques (Hamilton, J. B.,
 1989, A new approach to the economic analysis of nonstationary time series
 and the business cycle, Econometrica, 57, 357-84) is used to describe and
 analyse stock market returns. Using new tests, very strong evidence is
 found for switching behaviour. A major innovation is to use a multivariate
 specification that allows examination of whether the price/dividend ratio
 has marginal predictive power for stock market returns after accounting
 for state-dependent switching. We find strong evidence of predictability.
 The response of returns to the past price/dividend ratio is strongly
 asymmetric - about four times larger in the low-return state than in the
 high-return state. A second innovationis to allow the probability of
 transitions from one regime to another to depend on economic variables;
 again there is an asymmetric response to the past price/dividend ratio. 
Journal: Applied Financial Economics 
Pages: 177-191 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333745 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333745
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:177-191




Template-Type: ReDIF-Article 1.0
Author-Name: Pin-Huang Chou 
Author-X-Name-First: Pin-Huang 
Author-X-Name-Last: Chou 
Title: A test of relative efficiency between two sets of securities 
Abstract:
  Based on a Markov chain Monte Carlo method, namely the Gibbs sampler, a
 simple approach is proposed to compare the potential performances between
 two sets of securities. The maximum attainable Sharpe measure is used to
 measure the potential performance of a set of securities. The procedure is
 easy to implement and does not require large samples. 
Journal: Applied Financial Economics 
Pages: 192-195 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333754 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333754
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:192-195




Template-Type: ReDIF-Article 1.0
Author-Name: Paul Westhead 
Author-X-Name-First: Paul 
Author-X-Name-Last: Westhead 
Author-Name: David Storey 
Author-X-Name-First: David 
Author-X-Name-Last: Storey 
Title: Financial constraints on the growth of high technology small firms in the United Kingdom 
Abstract:
  Irrespective of the chosen measure of technological sophistication for a
 sample of independent high technology firms, the most technologically
 sophisticated appeared much more likely to report that a continual
 financial constraint had impeded firm growth, compared with the less
 technologically sophisticated. 
Journal: Applied Financial Economics 
Pages: 197-201 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333763 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333763
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:197-201




Template-Type: ReDIF-Article 1.0
Author-Name: Fabio Fornari 
Author-X-Name-First: Fabio 
Author-X-Name-Last: Fornari 
Author-Name: Antonio Mele 
Author-X-Name-First: Antonio 
Author-X-Name-Last: Mele 
Title: Asymmetries and non-linearities in economic activity 
Abstract:
  Industrial production is analysed for three countries. A GARCH framework
 is employed to model the conditional variances of the cycles, which are
 found to react asymmetrically to shocks of opposite sign; one of the three
 cases exhibits long-memory features. The ability of GARCH models at
 capturing all the heteroscedasticity of the data is tested against the
 null of deterministic chaos. 
Journal: Applied Financial Economics 
Pages: 203-206 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333772 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333772
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:203-206




Template-Type: ReDIF-Article 1.0
Author-Name: Jussi Keppo 
Author-X-Name-First: Jussi 
Author-X-Name-Last: Keppo 
Title: Calling for the true margin 
Abstract:
  This paper derives a fixed risk level margin calculation model for a
 derivatives clearing house. The model enables the calculation of net
 margin requirements of customer's portfolios from the clearing house's
 perspective. First, the probability distribution of the value of the
 customer's portfolio is characterized. Second, the loss distribution of
 the clearing house is derived from this probability distribution and the
 default probability of the exchange member. Finally, the margin
 requirement of the investor is set based on the clearing house's loss
 distribution. 
Journal: Applied Financial Economics 
Pages: 207-212 
Issue: 2 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333781 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333781
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:2:p:207-212




Template-Type: ReDIF-Article 1.0
Author-Name: Ashok Parikh 
Author-X-Name-First: Ashok 
Author-X-Name-Last: Parikh 
Author-Name: David Lovatt 
Author-X-Name-First: David 
Author-X-Name-Last: Lovatt 
Title: A multivariate cointegration approach to the determination of reserves and money balances in India 
Abstract:
  The objective of this paper is to estimate both long-run reserves and
 long-run money demand equations using the multivariate cointegration
 approach. An economic model is constructed, based on the monetary approach
 to the balance of payments, in which the monetary authorities can control
 the money supply through changes in bank credit. The vector autoregressive
 methodology is used to derive latent equilibrium relationships and the
 short-run error correction equations are estimated for both nominal money
 stock and reserves. The monthly data for the period 1980 to 1994 are used
 for several macro variables of the Indian economy in the approach
 popularized by Johnson (1972). 
Journal: Applied Financial Economics 
Pages: 213-221 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333565 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333565
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:213-221




Template-Type: ReDIF-Article 1.0
Author-Name: Athanasios Noulas 
Author-X-Name-First: Athanasios 
Author-X-Name-Last: Noulas 
Title: Productivity growth in the Hellenic banking industry: state versus private banks 
Abstract:
  This paper investigates the productivity growth of the Hellenic banking
 industry employing the Malmquist productivity index on data for 1991 and
 1992. The results indicate that although productivity has increased for
 both state and private banks, the sources of this growth are different.
 State banks' productivity growth comes from technological progress while
 private banks', from increased efficiency. 
Journal: Applied Financial Economics 
Pages: 223-228 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333574 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333574
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:223-228




Template-Type: ReDIF-Article 1.0
Author-Name: Yen-Sheng Huang 
Author-X-Name-First: Yen-Sheng 
Author-X-Name-Last: Huang 
Title: An empirical test of the risk-return relationship on the Taiwan Stock Exchange 
Abstract:
  This paper examines the risk - return relationship for stocks listed on
 the Taiwan Stock Exchange over the period 1971-93. Contrary to the
 prediction of the CAPM, the results indicate an inverse relationship
 between returns and systematic risk, unique risk, and total risk
 respectively. The results remain unchanged when firm size is controlled
 for. Moreover, the inverse risk - return relationship cannot be attributed
 to monthly seasonality. 
Journal: Applied Financial Economics 
Pages: 229-239 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333583 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333583
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:229-239




Template-Type: ReDIF-Article 1.0
Author-Name: Patricia Fraser 
Author-X-Name-First: Patricia 
Author-X-Name-Last: Fraser 
Author-Name: David Power 
Author-X-Name-First: David 
Author-X-Name-Last: Power 
Title: Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets 
Abstract:
  Using weekly share return data from a sample of five Pacific Rim and the
 UK and US stock markets over the period 1 January 1988-14 October 1994,
 this paper examines the relationship between conditional return
 volatility, market performance and news arrival at the market-place. Our
 results suggest substantial asymmetries in the dynamics of price changes
 both within and across markets. 
Journal: Applied Financial Economics 
Pages: 241-253 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333592 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333592
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:241-253




Template-Type: ReDIF-Article 1.0
Author-Name: Lucio Sarno 
Author-X-Name-First: Lucio 
Author-X-Name-Last: Sarno 
Title: Exchange rate and interest rate volatility in the European Monetary System: some further results 
Abstract:
  The work of Artis and Taylor (1989a, 1994) is extended to examine the
 volatility of exchange rates and interest rates of countries participating
 in the Exchange Rate Mechanism (ERM) of the European Monetary System
 (EMS). In particular, a test is undertaken for a shift in the volatility
 of nominal and real exchange rates across two sets of countries, an ERM
 group and a non-ERM group. A non-parametric technique reveals that a
 significant reduction in exchange rate volatility has occurred during the
 period of operation of the ERM across the member countries, providing
 further support to the idea of a 'new' and harder EMS in the second half
 of its operation. The exchange rate stability has not generated any
 'volatility transfer' onto the interest rate. Nevertheless, the 'new EMS'
 1986 effect, reported by Artis and Taylor, is rejected when the data
 series is lengthened. 
Journal: Applied Financial Economics 
Pages: 255-263 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333600 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333600
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:255-263




Template-Type: ReDIF-Article 1.0
Author-Name: Tony Caporale 
Author-X-Name-First: Tony 
Author-X-Name-Last: Caporale 
Author-Name: Chulho Jung 
Author-X-Name-First: Chulho 
Author-X-Name-Last: Jung 
Title: Inflation and real stock prices 
Abstract:
  A time series measure of expectations is used to demonstrate the
 existence of an inverse relationship between inflation and real stock
 prices, even after controlling for output shocks. This provides some
 evidence against Fama's famous conjecture (Fama, E., 1981, Stock returns,
 real activity, inflation, and money, American Economic Review, Sept, 545 -
 565). 
Journal: Applied Financial Economics 
Pages: 265-266 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333619 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333619
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:265-266




Template-Type: ReDIF-Article 1.0
Author-Name: Harold Bierman 
Author-X-Name-First: Harold 
Author-X-Name-Last: Bierman 
Title: The dividend reinvestment plan puzzle 
Abstract:
  It is a rare Fortune 500 firm that does not offer its shareholders the
 opportunity to participate in a dividend reinvestment plan (a DRIP). There
 are a wide variety of plans but the typical plan has zero transaction cost
 for the investors. Some plans offer a price discount from the market
 price. The puzzle is, 'Why do dividend reinvestment plans exist?' If tax
 effects are ignored, the dividend policy of a firm does not matter. If
 taxes are considered and there are significant taxes, both retention and
 share repurchase are more desirable than the payment of dividends.
 Arguments are offered that dividends reduce risk, act as discipline on
 management, and supply information to the market. But all three of those
 objectives can be obtained in alternative ways. In some situations a
 dividend payment might reduce the transaction costs incurred by investors
 who want cash flow from the firm, but normally the saving in transaction
 costs is not significant. Thus most academics interested in finance argue
 in favour of either constant dividends or reducing them to zero. Most
 corporations that can afford to pay dividends, pay them. It is
 conventional corporate finance policy to increase dividends
 systematically. On top of this dividend policy puzzle we now have the
 dividend reinvestment plan puzzle. If investors want to reinvest in a
 firm, why does the firm not retain earnings? 
Journal: Applied Financial Economics 
Pages: 267-271 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333628 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333628
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:267-271




Template-Type: ReDIF-Article 1.0
Author-Name: C. D. Sinclair 
Author-X-Name-First: C. D. 
Author-X-Name-Last: Sinclair 
Author-Name: D. M. Power 
Author-X-Name-First: D. M. 
Author-X-Name-Last: Power 
Author-Name: A. A. Lonie 
Author-X-Name-First: A. A. 
Author-X-Name-Last: Lonie 
Author-Name: P. A. Avgoustinos 
Author-X-Name-First: P. A. 
Author-X-Name-Last: Avgoustinos 
Title: A note on the stability of relationships between returns from emerging stock markets 
Abstract:
  Several of the larger emerging stock markets are focused upon. It is
 demonstrated that the intertemporal covariances between returns of
 different emerging markets may be insufficiently stable to permit the
 exploitation of the theoretical gains available from international
 diversification based upon ex post information. However, it is also
 suggested that, by using a simple strategy for forecasting covariance
 matrices, it is possible for many of the gains which appear to be
 available in ex post studies also to be achieved on an ex ante basis. 
Journal: Applied Financial Economics 
Pages: 273-280 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333637 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333637
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:273-280




Template-Type: ReDIF-Article 1.0
Author-Name: Paul Kofman 
Author-X-Name-First: Paul 
Author-X-Name-Last: Kofman 
Author-Name: James Moser 
Author-X-Name-First: James 
Author-X-Name-Last: Moser 
Title: Spreads, information flows and transparency across trading systems 
Abstract:
  This paper analyses the relative merits of an automated versus an open
 outcry trading system for a derivatives contract which is traded
 simultaneously at two competing exchanges. The only characterizing
 difference between these exchanges is the mode of operation. The domestic
 exchange (listing the underlying asset) operates by automated trading, the
 foreign exchange uses open outcry. Investigations are made to determine
 whether this operational competition supports a trading system
 segmentation hypothesis. First, quote setting is investigated to determine
 whether or not it is related to the transparency of the trading system.
 Second, analysis is carried out to determine whether the transparency of
 the trading system influences the lead/lag relationship in returns and
 volatility between the two markets. Both hypotheses are empirically tested
 for the Bund futures contract as it is traded in London (LIFFE) and
 Frankfurt (DTB). 
Journal: Applied Financial Economics 
Pages: 281-294 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333646 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333646
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:281-294




Template-Type: ReDIF-Article 1.0
Author-Name: Pedro Gonzalez 
Author-X-Name-First: Pedro 
Author-X-Name-Last: Gonzalez 
Author-Name: Geraldo Vasconcellos 
Author-X-Name-First: Geraldo 
Author-X-Name-Last: Vasconcellos 
Author-Name: Richard Kish 
Author-X-Name-First: Richard 
Author-X-Name-Last: Kish 
Author-Name: Jonathan Kramer 
Author-X-Name-First: Jonathan 
Author-X-Name-Last: Kramer 
Title: Cross-border mergers and acquisitions: maximizing the value of the firm 
Abstract:
  In recent years, increasing international merger and acquisition activity
 has captured the attention of not only the business press but also of
 academia and policymakers. The effects of this 'mergermania' are felt by
 many (i.e. managers, stockholders, regulators, and consumers), and the
 dollar amounts are significant. However, little has been done to find out
 the financial characteristics of the US and foreign firms participating in
 the cross-border merger and acquisition activity. The main objective of
 this study is to gain a better understanding of the characteristics of
 firms involved in the international market for corporate control. To meet
 this objective, the firm-specific financial variables of both foreign
 companies and US companies have been investigated and the effect that
 these variables have on the probability of a successful acquisition has
 been assessed. In addition, despite the fact that foreign acquisitions of
 US firms have outnumbered US acquisitions overseas, it is thought relevant
 to look into the financial characteristics of US companies acquiring
 foreign companies. This gives a more complete picture of the cross-border
 takeover phenomenon. Under the assumption that the goal of corporate
 managers is the maximization of shareholders' wealth, analysis is
 conducted within the neoclassical theoretical framework of maximization of
 the value of the firm. If the acquisition of a US company is a project
 with a net present value (NPV) larger than zero, then there is an increase
 in the shareholders' wealth of the acquiring company. Thus, financial
 variables were chosen on the basis of their hypothesized effect on value
 using the NPV criterion. It was found that six out the eight financial
 variables studied affect the NPV measure in the predicted direction. 
Journal: Applied Financial Economics 
Pages: 295-305 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333655 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333655
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:295-305




Template-Type: ReDIF-Article 1.0
Author-Name: Oyvind Bohren 
Author-X-Name-First: Oyvind 
Author-X-Name-Last: Bohren 
Title: Risk components and the market model: a pedagogical note 
Abstract:
  Teaching modern finance involves familiarizing the student with terms
 like total risk, systematic risk, unique risk, beta, and R2. Although each
 of these concepts may be relatively easy to communicate and digest one by
 one, it is harder to see their internal links. Using the logic of the
 market model, this note offers a simple framework for presenting the basic
 risk concepts in an integrated way. 
Journal: Applied Financial Economics 
Pages: 307-310 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333664 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333664
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:307-310




Template-Type: ReDIF-Article 1.0
Author-Name: Yue-Cheong Chan 
Author-X-Name-First: Yue-Cheong 
Author-X-Name-Last: Chan 
Title: Multivariate testing of the capital asset pricing model in the Hong Kong stock market 
Abstract:
  The paper provides a multivariate testing of the Sharpe-Lintner and Black
 Capital Asset Pricing Model (CAPM) for the Hong Kong stock market.
 Adopting the multivariate approach has many advantages, such as
 elimination of the error in variables problem encountered in the
 univariate approach as well as provision of an efficiency gain in the
 parameter estimates. The estimation results reject both versions of CAPM.
 The source of rejection seems to come from the firm size effect as it is
 found that small firms (which also have small betas) have earned returns
 higher than the CAPM has predicted. Furthermore, the estimated return of
 the zero beta portfolio in the Black CAPM is found to be statistically
 insignificant. 
Journal: Applied Financial Economics 
Pages: 311-316 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333673 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333673
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:311-316




Template-Type: ReDIF-Article 1.0
Author-Name: Gawon Yoon 
Author-X-Name-First: Gawon 
Author-X-Name-Last: Yoon 
Title: Further analysis of official and black market exchange rates in Brazil: data transformations and structural changes 
Abstract:
  This paper extends the previous results in Bessler and Yu (1994) on the
 official and black market exchange rates in Brazil. Rather than taking
 instantaneous data transformations to produce a stable long-run
 equilibrium relationship as Bessler and Yu did, the possibility of
 structural changes in the long-run relationship was considered. It is
 found that the two approaches have quite different implications on the
 long-run dynamics of the data series. It is claimed that to fully
 understand the dynamics of the exchange rate data series, it is necessary
 to consider the possibility of structural change and explicitly model it. 
Journal: Applied Financial Economics 
Pages: 317-325 
Issue: 3 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333682 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333682
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:317-325




Template-Type: ReDIF-Article 1.0
Author-Name: Yijian He 
Author-X-Name-First: Yijian 
Author-X-Name-Last: He 
Author-Name: Subhash Sharma 
Author-X-Name-First: Subhash 
Author-X-Name-Last: Sharma 
Title: Currency substitution and exchange rate determination 
Abstract:
  The objectives of this paper are twofold. First, the monetary exchange
 rate model of Frenkel-Bilson and Dornbusch-Frankel is extended to allow
 for the currency substitution between two countries, i.e. the domestic
 residents to hold the foreign money and the foreign residents to hold the
 domestic money. Second, by using the exchange rates from 1978.Q4 to
 1991.Q2 between the US dollar and the Canadian dollar, US dollar and
 Japanese yen, US dollar and UK pound, and US dollar and German mark, we
 test if the new model is a long run exchange rate determination model and
 if currency substitution is a significant factor in influencing the
 long-run exchange rate. This is achieved by applying the techniques of
 cointegration and error correction analysis and the ten period out of
 sample forecasting performance of the extended model. In general, the
 US-Canada, US-Germany, US-Japan and US-UK extended models outperform the
 random walk model. 
Journal: Applied Financial Economics 
Pages: 327-336 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333448 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333448
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:327-336




Template-Type: ReDIF-Article 1.0
Author-Name: K. M. Hawtrey 
Author-X-Name-First: K. M. 
Author-X-Name-Last: Hawtrey 
Title: The Fisher effect and Australian interest rates 
Abstract:
  The Fisher hypothesis states that price inflation is fully reflected in
 nominal interest rates, implying that the underlying real rate is
 constant. This hypothesis is tested for Australian short and long-term
 interest rates using the Johansen methodology of cointegration testing, on
 both a pre- and post-tax basis. It is found that while the Fisher effect
 fails prior to the financial deregulation of the 1980s, there is evidence
 following deregulation that the relationship is restored. 
Journal: Applied Financial Economics 
Pages: 337-346 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333457 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333457
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:337-346




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: John Lee 
Author-X-Name-First: John 
Author-X-Name-Last: Lee 
Title: The stability of ARCH models across Australian financial futures markets 
Abstract:
  The applicability is explored of using ARCH/GARCH models to investigate
 Australian financial futures data. The extent to which the parameters of
 the models change over time is examined through analysing the data
 contract by contract. The results do vary over time and simple models such
 as the ARCH(1) model provide a reasonably good fit to the data. 
Journal: Applied Financial Economics 
Pages: 347-359 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333466 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333466
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:347-359




Template-Type: ReDIF-Article 1.0
Author-Name: A. Antoniou 
Author-X-Name-First: A. 
Author-X-Name-Last: Antoniou 
Author-Name: N. Ergul 
Author-X-Name-First: N. 
Author-X-Name-Last: Ergul 
Author-Name: P. Holmes 
Author-X-Name-First: P. 
Author-X-Name-Last: Holmes 
Author-Name: R. Priestley 
Author-X-Name-First: R. 
Author-X-Name-Last: Priestley 
Title: Technical analysis, trading volume and market efficiency: evidence from an emerging market 
Abstract:
  Although there is a widespread belief that stock markets are weak-form
 efficient, technical analysis is a pervasive activity. The extent is
 examined to which this apparent paradox can be explained by conditioning
 the past sequence of prices on the past sequence of volume. A unique data
 set from an emerging market reveals that, for a number of companies in the
 sample, returns appear to conform to the weak-form version of the
 efficient markets hypothesis. However, when returns are conditioned on
 past levels of volume, current returns on over half of these companies
 exhibit predictability. This is particularly true from companies with low
 trading volumes. 
Journal: Applied Financial Economics 
Pages: 361-365 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333475 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333475
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:361-365




Template-Type: ReDIF-Article 1.0
Author-Name: George Matysiak 
Author-X-Name-First: George 
Author-X-Name-Last: Matysiak 
Author-Name: Gerald Brown 
Author-X-Name-First: Gerald 
Author-X-Name-Last: Brown 
Title: A time-varying analysis of abnormal performance of UK property companies 
Abstract:
  The investment selection ability of property company managers is
 investigated. The specialized nature of commercial property portfolio
 holdings presents the opportunity for added value and, therefore, for
 abnormal performance. It is argued that property company share investment
 performance should be undertaken using time-varying abnormal performance
 measures; in particular, a time-varying measure of Jenen's excess
 performance. Furthermore, because of the changing structure of both the
 composition of the underlying property portfolios held by property
 companies and the levels of gearing, the analytical framework should also
 employ a time-varying beta measure. Over the period of analysis,
 1980-1995, the majority of property companies analysed exhibited an
 enduring risk-adjusted underperformance profile, although this was not
 found to be statistically distinguishable from zero. For the few companies
 delivering a positive abnormal performance it did not prove statistically
 significant. The implication is that the total returns delivered by
 property companies are not significantly different from a random
 buy-and-hold strategy. This may be indicative of the indifferent
 performance of the underlying direct property portfolio holdings, with the
 implication that property company managers have not demonstrated any
 property selection skills by exploiting their specialist knowledge in
 identifying underpriced investment opportunities. If property selection
 ability does exist in the direct commercial property market then, in the
 main, it is not reflected in risk-adjusted outperformance in property
 company share prices. If investors believe there are inefficiencies in the
 direct commercial property market, and therefore opportunities for
 outperformance, it does not appear to be possible to exploit such
 inefficiencies indirectly by investing in property company shares. 
Journal: Applied Financial Economics 
Pages: 367-377 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333484 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333484
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:367-377




Template-Type: ReDIF-Article 1.0
Author-Name: Marc Saez 
Author-X-Name-First: Marc 
Author-X-Name-Last: Saez 
Title: Option pricing under stochastic volatility and stochastic interest rate in the Spanish case 
Abstract:
  Among the underlying assumptions of the Black-Scholes option pricing
 model, the largest empirical biases are caused by those with a fixed
 volatility of the underlying asset and a constant short-term riskless
 interest rate. Only recently has attention been paid to the simultaneous
 effects of the stochastic nature of both variables on the pricing of
 options. Using a discrete approach an attempt is made to estimate the
 effects of a stochastic volatility and a stochastic interest rate in the
 Spanish option market; symmetric and asymmetric GARCH models were tried.
 The presence of in-the-mean and seasonality effects was allowed. Also
 estimated were the stochastic processes for the MIBOR90, a Spanish
 short-term interest rate, from 19 March 1990 to 31 May 1994 and the
 stochastic processes for the volatility of the returns of the most
 important Spanish stock index (IBEX-35) from 1 October 1987 to 20 January
 1994. These estimators were used on pricing call options on the stock
 index, from 30 November 1993 to 30 May 1994. Hull-White and Amin-Ng
 pricing formulas were used. These prices were compared with actual prices
 and with those derived from the Black-Scholes formula, trying to detect
 the biases reported previously in the literature. Whereas the conditional
 variance of the MIBOR90 interest rate seemed to be free of ARCH effects,
 an asymmetric GARCH with in-the-mean and seasonality effects and some
 evidence of persistence in variance, IEGARCH(1,2)-M-S, was found to be the
 model that best represent the behaviour of the stochastic volatility of
 the IBEX-35 stock returns. All the biases reported previously in the
 literature were found. All the formulas overpriced the options in
 near-the-money case and underpriced the options otherwise. Furthermore, in
 most option trading, Black-Scholes overpriced the options and, because of
 the time-to-maturity effect, implied volatility computed from the
 Black-Scholes formula underestimated the actual volatility. 
Journal: Applied Financial Economics 
Pages: 379-394 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333493 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333493
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:379-394




Template-Type: ReDIF-Article 1.0
Author-Name: M. O. Odedokun 
Author-X-Name-First: M. O. 
Author-X-Name-Last: Odedokun 
Title: Dynamics of inflation in Sub-Saharan Africa: the role of foreign inflation, official and parallel market exchange rates, and monetary growth 
Abstract:
  The study investigates the effects of monetary growth; rates of
 depreciation of domestic currency in both the official and black markets;
 and foreign inflation rate on domestic (consumer price) inflation in
 Sub-Saharan Africa. The lags in the effects of these variables are also
 analysed. Quarterly data over 1980:1 to 1991:4 pooled across 32 countries
 are employed and separate analyses are conducted for the CFA and non-CFA
 groups of countries. Our findings suggest that the variables tested for
 exert significant effects on the inflation rates in the non-CFA countries
 while only the foreign inflation rate and, to a smaller extent, the rate
 of depreciation of domestic currency in the parallel market have affected
 the inflation rates in the CFA countries. 
Journal: Applied Financial Economics 
Pages: 395-402 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333501 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333501
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:395-402




Template-Type: ReDIF-Article 1.0
Author-Name: Arjun Chatrath 
Author-X-Name-First: Arjun 
Author-X-Name-Last: Chatrath 
Author-Name: Sanjay Ramachander 
Author-X-Name-First: Sanjay 
Author-X-Name-Last: Ramachander 
Author-Name: Frank Song 
Author-X-Name-First: Frank 
Author-X-Name-Last: Song 
Title: International linkages in bank lending and borrowing markets: evidence from six industrialized countries 
Abstract:
  This study employs cointegration analysis to examine the long-run
 relationships in Prime and CD rates across the US, Canada, Japan, Germany,
 France and the UK. The nature and strength of the results are found to be
 contingent on the time periods investigated. While we are unable to reject
 the null hypothesis of noncointegration for the January 1972-December 1979
 interval, there is substantial evidence of cointegration for the more
 recent January 1980-October 1989 interval. These results are indicative of
 a pattern of increasing integration among the international bank lending
 and borrowing markets, coinciding with the trend towards the globalization
 of banking activity. The evidence from the error correction model suggests
 that the US and Germany are the dominant countries in the bank lending and
 borrowing markets. The Prime and CD rates for these countries are seen to
 cause (in the Granger sense) the rates of other countries. 
Journal: Applied Financial Economics 
Pages: 403-411 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333510 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333510
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:403-411




Template-Type: ReDIF-Article 1.0
Author-Name: Wee-Beng Gan 
Author-X-Name-First: Wee-Beng 
Author-X-Name-Last: Gan 
Author-Name: Lee-Ying Soon 
Author-X-Name-First: Lee-Ying 
Author-X-Name-Last: Soon 
Title: On the unbiasedness of the forward rate in the Singapore foreign exchange market 
Abstract:
  This paper evaluates the extent to which the forward exchange rate serves
 as an 'unbiased' predictor of the future spot rate, premised on a
 framework that is independent of the assumption of risk neutrality and
 rational expectation. The results show that daily Singapore Dollar/US
 Dollar spot and forward exchange rates are cointegrated and the estimated
 cointegrating vectors satisfy the unbiased forward rate hypothesis
 restriction. 
Journal: Applied Financial Economics 
Pages: 413-417 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333529 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333529
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:413-417




Template-Type: ReDIF-Article 1.0
Author-Name: Eva Liljeblom 
Author-X-Name-First: Eva 
Author-X-Name-Last: Liljeblom 
Author-Name: Marianne Stenius 
Author-X-Name-First: Marianne 
Author-X-Name-Last: Stenius 
Title: Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data 
Abstract:
  The relationship is analysed between conditional stock market volatility
 and macroeconomic volatility using monthly data for Finland from 1920 to
 1991. Conditional monthly volatility is measured as simple weighted moving
 averages, and also obtained from GARCH estimations. The results are
 surprisingly strong as compared to those on US data. Significant results
 are obtained from stock market volatility as a predictor for macroeconomic
 volatility, as well as the converse. Tests of the joint and simultaneous
 explanatory power of the macroeconomic volatilities indicate that between
 one-sixth to above two-thirds of the changes in aggregate stock volatility
 might be related to macroeconomic volatility. Some evidence of a negative
 relationship between stock market volatility and trading volume growth was
 also detected. This result could either be interpreted as an effect of
 idiosyncratic demand shifts cancelling out as the thickness of the market
 is increasing, or as a sign of volume growth being some proxy for the
 level of economic activity. 
Journal: Applied Financial Economics 
Pages: 419-426 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333538 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333538
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:419-426




Template-Type: ReDIF-Article 1.0
Author-Name: Glenn Boyle 
Author-X-Name-First: Glenn 
Author-X-Name-Last: Boyle 
Author-Name: Kelly Eckhold 
Author-X-Name-First: Kelly 
Author-X-Name-Last: Eckhold 
Title: Capital structure choice and financial market liberalization: evidence from New Zealand 
Abstract:
  The extensive 1980's deregulation of New Zealand financial markets is
 exploited to provide a unique test of capital structure theory.
 Specifically, debt choices of New Zealand corporate firms during
 pre-reform (1982-1985) and post-reform (1986-1989) periods are analysed
 and compared. However, consistent with evidence from other countries,
 existing hypotheses are able to explain relatively little of the
 cross-sectional variation in either long- or short-term debt usage. More
 significantly, this lack of explanatory power is consistent across pre-
 and post-reform periods. 
Journal: Applied Financial Economics 
Pages: 427-437 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333547 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333547
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:427-437




Template-Type: ReDIF-Article 1.0
Author-Name: Arjun Chatrath 
Author-X-Name-First: Arjun 
Author-X-Name-Last: Chatrath 
Author-Name: Sanjay Ramchander 
Author-X-Name-First: Sanjay 
Author-X-Name-Last: Ramchander 
Author-Name: Frank Song 
Author-X-Name-First: Frank 
Author-X-Name-Last: Song 
Title: Stock prices, inflation and output: evidence from India 
Abstract:
  A negative relationship between stock market returns and inflationary
 trends has been widely documented for developed economies in Europe and
 North America. This study provides similar evidence for India. This
 relationship is investigated in light of Fama's explanation that centres
 around linkages between inflation and real activity, and between stock
 returns and real activity. Specifically, the study tests whether the
 negative stock return-inflation relationship is explained by a negative
 relationship between inflation and real economic activity, and a positive
 relationship between real activity and stock returns. The results from the
 heteroscedasticity and autocorrelation corrected models provide only
 partial support for Fama's hypothesis. The relationship between real
 activity and inflation does not account for the negative relationship
 between real stock returns and the unexpected component of inflation. 
Journal: Applied Financial Economics 
Pages: 439-445 
Issue: 4 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333556 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333556
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:439-445




Template-Type: ReDIF-Article 1.0
Author-Name: Vanitha Ragunathan 
Author-X-Name-First: Vanitha 
Author-X-Name-Last: Ragunathan 
Author-Name: Albert Peker 
Author-X-Name-First: Albert 
Author-X-Name-Last: Peker 
Title: Price variability, trading volume and market depth: evidence from the Australian futures market 
Abstract:
  This study investigates the nature of the relationship between volume,
 price variability and market depth for four futures contracts traded on
 the Sydney Futures Exchange. This study is not limited to the
 determination of the relationship between volatility and volume but also
 considers the likely effect that open interest, a proxy for market depth,
 has on volatility. This is achieved by partitioning volume and open
 interest into expected and unexpected components based on one-step-ahead
 forecast errors. The results of this study confirm the empirical findings
 of other studies conducted on this area of futures markets. 
Journal: Applied Financial Economics 
Pages: 447-454 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333303 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333303
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:447-454




Template-Type: ReDIF-Article 1.0
Author-Name: Zainudin Arsad 
Author-X-Name-First: Zainudin 
Author-X-Name-Last: Arsad 
Author-Name: J. Andrew Coutts 
Author-X-Name-First: J. Andrew 
Author-X-Name-Last: Coutts 
Title: Security price anomalies in the London International Stock Exchange: a 60 year perspective 
Abstract:
  This paper investigates the existence of security price anomalies, or
 'calendar effects' in the Financial Times Industrial Ordinary Shares Index
 over a 60 year period: 1 July 1935 through 31 December 1994. Our results
 broadly support similar evidence documented for many countries concerning
 stock market anomalies, as the weekend, January and holiday effects all
 appear, to some extent, to be present in our data set. We conclude, that
 even if these anomalies are persistent in their occurrence and magnitude,
 the cost of implementing any potential 'trading rules' may be prohibitive
 due to the illiquidity of the market and 'round trip' transactions costs.
 This is of course perfectly consistent with the notion of market
 efficiency, in that no strategy exists that will consistently yield
 abnormal returns. 
Journal: Applied Financial Economics 
Pages: 455-464 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333312 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333312
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:455-464




Template-Type: ReDIF-Article 1.0
Author-Name: Guglielmo Maria Caporale 
Author-X-Name-First: Guglielmo Maria 
Author-X-Name-Last: Caporale 
Author-Name: Nikitas Pittis 
Author-X-Name-First: Nikitas 
Author-X-Name-Last: Pittis 
Title: Domestic and external factors in interest rate determination 
Abstract:
  This paper develops a theoretical framework which allows for both
 domestic and external factors in the determination of interest rates. We
 argue that if capital controls are imposed, or if the risk premium is a
 function of disequilibria in the money market, domestic factors should
 also play a role. We assess empirically the role of both domestic monetary
 conditions and open economy factors in the US, Japan and Germany, France
 and Switzerland. Our results suggest the following. Concerning external
 factors, monetary policy in Germany affects significantly both US and
 Japanese interest rates; Germany, on the other hand, is rather responsive
 to developments in continental Europe, in spite of its 'dominance' of the
 EMS. As for domestic influences, inflationary expectations are an
 important factor in explaining interest rate behaviour in Japan, and the
 budget deficit plays a role in the US. Also, the US monetary authorities
 adopt a more accommodating policy than the Bundesbank. 
Journal: Applied Financial Economics 
Pages: 465-471 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333321 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333321
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:465-471




Template-Type: ReDIF-Article 1.0
Author-Name: Howard Chan 
Author-X-Name-First: Howard 
Author-X-Name-Last: Chan 
Title: The effect of volatility estimates in the valuation of underwritten rights issues 
Abstract:
  The focus of this study is the effect of volatility estimates in the
 valuation of underwritten rights issues. Previous studies on the valuation
 of rights issues found that underwriters overpriced the risk of
 underwriting that they provide to companies for rights issues. This paper,
 in its examination of Australian rights issues from 1987 to 1993, provides
 evidence that the degree of overpricing, if any, is dependent on the
 volatility that is used in the option model to value the underwritten
 rights issue. This paper shows that if the volatility is adjusted for the
 problem of thin trading, then the volatility in the pre-announcement
 period is significantly different from the volatility in the underwriting
 period. If previous studies used a pre-announcement volatility as the
 volatility in the underwriting period, the model used for valuation would
 be underpricing the actual underwritten rights issue or overpricing the
 returns earned by the underwriters. This result of underpricing of the
 option model when a historical volatility was used is consistent with that
 found by other researchers with regard to the valuation of exchange-traded
 options using a historical volatility estimate. 
Journal: Applied Financial Economics 
Pages: 473-480 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333330 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333330
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:473-480




Template-Type: ReDIF-Article 1.0
Author-Name: Manuel Espitia 
Author-X-Name-First: Manuel 
Author-X-Name-Last: Espitia 
Author-Name: Francisco-Javier Ruiz 
Author-X-Name-First: Francisco-Javier 
Author-X-Name-Last: Ruiz 
Title: Ex&#x2014;dividend day stock price falls on the Spanish stock market 
Abstract:
  In this paper the relative valuation of dividends and capital gains in
 the Spanish stock market is investigated by testing if the ex-dividend
 price fall equals the dividend amount. This study deals with the
 ex-dividend price behaviour considering as database the most
 representative shares in the Madrid Stock Exchange throughout the period
 1980-92. On analysing the ex-dividend price fall ratio and the ex-dividend
 price ratio, the results lead us to conclude that in the Spanish capital
 market the ex&#x2014;dividend price fall, in average terms, is
 significantly lower than the dividend amount, showing a clear preference
 for capital gains in relation to dividends. 
Journal: Applied Financial Economics 
Pages: 481-492 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333349 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333349
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:481-492




Template-Type: ReDIF-Article 1.0
Author-Name: Peter Huber 
Author-X-Name-First: Peter 
Author-X-Name-Last: Huber 
Title: Stock market returns in thin markets: evidence from the Vienna Stock Exchange 
Abstract:
  This paper uses the multiple variance ratio test procedure developed by
 Chow and Denning (1993) to test for a random walk of stock returns on the
 Vienna Stock Exchange. I find that with daily data the test rejects the
 random walk hypothesis at all conventional significance levels for each
 and every title and for both indices tested. Testing the hypothesis on a
 subsample running from 1990 to 1992 suggests that, as the market becomes
 institutionally more mature and more liquid, returns approach a random
 walk. Individual shares seem to follow a random walk when weekly returns
 are considered, while the hypothesis is rejected for both indices. 
Journal: Applied Financial Economics 
Pages: 493-498 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333358 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333358
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:493-498




Template-Type: ReDIF-Article 1.0
Author-Name: Paul Brockman 
Author-X-Name-First: Paul 
Author-X-Name-Last: Brockman 
Author-Name: Mustafa Chowdhury 
Author-X-Name-First: Mustafa 
Author-X-Name-Last: Chowdhury 
Title: Deterministic versus stochastic volatility: implications for option pricing models 
Abstract:
  The Black-Scholes (1973) option pricing model (BSOPM) rests on the
 assumption that the variance of stock returns is deterministic. However,
 if stock return volatility is a stochastic process, then the present form
 of commonly used option pricing models is misspecified and arbitrage-based
 arguments are invalid. The purpose of this paper is to investigate whether
 implied stock return volatility is deterministic (with non-linear
 dependencies) or stochastic. Correlation dimensions are computed using the
 method of Grassberger and Procaccia (1983) and simple bootstrapping
 techniques are applied in order to distinguish stochastic from
 deterministic systems. Results reported herein add support to the growing
 literature on preference-based stochastic volatility models and generally
 reject the notion of deterministic volatility. 
Journal: Applied Financial Economics 
Pages: 499-505 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333367 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333367
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:499-505




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitris Georgoutsos 
Author-X-Name-First: Dimitris 
Author-X-Name-Last: Georgoutsos 
Author-Name: Georgios Kouretas 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Kouretas 
Title: The monetary model of the exchange rate and the Greek drachma in the 1920s 
Abstract:
  The monetary model of exchange rate determination is tested by means of
 cointegration analysis for three bilateral drachma exchange rates over the
 period September 1919 to April 1928. Strong evidence is obtained for the
 drachma-US dollar case of a long-run relationship which is identified with
 the monetary model. This implies that market fundamentals accounted for
 the substantial loss of the external value of the drachma over the period
 under examination. The failure to identify this model in the other two
 cases, namely, Drachma-pound sterling and Drachma-French franc, is
 explained by the monetary policy pursued by Greece during that period. 
Journal: Applied Financial Economics 
Pages: 507-515 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333376 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333376
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:507-515




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Clare 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Clare 
Author-Name: Ian Garrett 
Author-X-Name-First: Ian 
Author-X-Name-Last: Garrett 
Author-Name: Greg Jones 
Author-X-Name-First: Greg 
Author-X-Name-Last: Jones 
Title: Testing for seasonal patterns in conditional return volatility: evidence from Asia-Pacific markets 
Abstract:
  Several previous studies have focused upon seasonal patterns in the
 unconditional volatility of intraday and daily returns data. But these
 investigations could be misleading without considering a fuller structural
 model of the time series properties of return volatility. The seasonal
 pattern in the volatility of five Asia-Pacific stock markets is
 investigated using the unconditional modified Levene statistic (Ho, Y. K.
 and Cheung, Y. L., 1994, Seasonal pattern in volatility in Asian stock
 markets, Applied Financial Economics, 4, 61-67) and by estimating the
 conditional variance of each market using an ARCH procedure. 
Journal: Applied Financial Economics 
Pages: 517-523 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333385 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333385
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:517-523




Template-Type: ReDIF-Article 1.0
Author-Name: Van Son Lai 
Author-X-Name-First: Van Son 
Author-X-Name-Last: Lai 
Author-Name: M. Kabir Hassan 
Author-X-Name-First: M. Kabir 
Author-X-Name-Last: Hassan 
Title: An empirical investigation of asset-liability management of small US commercial banks 
Abstract:
  A simultaneous equation model is developed that jointly determines net
 interest margin and various maturity gaps. Using annual data for the
 majority of the population of insured commercial banks, this model is
 estimated for the years 1984 to 1987 (the only years for which repricing
 data were collected). For banks with assets of less than $300 million, it
 is found that net interest margin is significantly associated with various
 maturity gaps. This framework is highly relevant to thousands of small
 banks for which accounting flows (such as net interest income) are the
 primary indicators of the effectiveness of asset liability management. One
 policy implication of this study is that the Federal Reserve may resume
 collecting repricing data (its collection was discontinued after 1987), at
 least for small banks with assets less than $300 million because repricing
 data reveals important information about small banks exposure to interest
 rate risk, and these banks are less subject to market discipline. 
Journal: Applied Financial Economics 
Pages: 525-536 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333394 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333394
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:525-536




Template-Type: ReDIF-Article 1.0
Author-Name: Kevin Campbell 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Campbell 
Author-Name: Robin Limmack 
Author-X-Name-First: Robin 
Author-X-Name-Last: Limmack 
Title: Long-term over-reaction in the UK stock market and size adjustments 
Abstract:
  This study tests for long-term reversals in the abnormal returns of UK
 companies classified as 'winners' and 'losers' over the period from
 January 1979 to December 1990 using publicly available data from the
 London Business School (LBS) Risk Measurement Service. In the first part
 of the study we find that in the 12 months following portfolio formation
 'loser' companies continued to experience negative abnormal returns and
 'winner' companies persisted in generating positive abnormal returns, thus
 appearing to contradict the findings of US studies which support the
 'winner-loser' effect. The possible influence of firm size was examined by
 splitting the 'winner' and 'loser' portfolios into groups based on equity
 market capitalization. It was found that the very smallest 'loser'
 companies did experience a reversal in their abnormal returns over the
 following 12 months, but that no such reversal existed for the smallest
 'winner' companies. When the study was extended to cover the five-year
 period following portfolio formation, it was found that a reversal in the
 abnormal returns of winner and loser portfolios was experienced over each
 of years 2-5, thus lending support to the winner-loser effect. Returns of
 sufficient magnitude were generated from the strategy of short-selling
 winners and buying losers over this extended period to suggest that the
 winner-loser effect is an exploitable anomaly. The excess returns remained
 when companies were matched with control portfolios of similar size, thus
 suggesting that the long-term 'over-reaction phenomenon' in the UK is not
 simply a manifestation of the well documented size effect. However, this
 latter result is also a function of the length of sample selection period.
 Finally, we report the results of tests which suggest that the phenomenon
 is seasonal in nature, with the most significant return reversals
 occurring in January and April for small companies in the loser portfolio.
 The latter result provides support for the tax-loss selling hypothesis. 
Journal: Applied Financial Economics 
Pages: 537-548 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333402 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333402
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:537-548




Template-Type: ReDIF-Article 1.0
Author-Name: Jati Sengupta 
Author-X-Name-First: Jati 
Author-X-Name-Last: Sengupta 
Author-Name: Yijuan Zheng 
Author-X-Name-First: Yijuan 
Author-X-Name-Last: Zheng 
Title: Estimating skewness persistence in market returns 
Abstract:
  The conditional returns series for mutual funds and the S&P 500 are
 analysed to test whether there is persistence in skewness. Three groups of
 statistical models of market volatility are estimated over the period
 September 1988 to April 1993 and the empirical evidence provides valuable
 insights into the skewness persistence. 
Journal: Applied Financial Economics 
Pages: 549-558 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333411 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333411
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:549-558




Template-Type: ReDIF-Article 1.0
Author-Name: Param Silvapulle 
Author-X-Name-First: Param 
Author-X-Name-Last: Silvapulle 
Author-Name: Robert Pereira 
Author-X-Name-First: Robert 
Author-X-Name-Last: Pereira 
Author-Name: John Lee 
Author-X-Name-First: John 
Author-X-Name-Last: Lee 
Title: The impact of inflation rate announcements on interest rate volatility: Australian evidence 
Abstract:
  Australian interest rate volatility is modelled to examine the effect of
 quarterly inflation rate announcements on interest rate volatility. The
 data used in this empirical analysis consists of the daily closing rates
 for 90 day Australian treasury bills from 3 July 1985 to 31 December 1993.
 Using model selection and various diagnostic procedures, an integrated
 EGARCH&#x2014; M model is found to be the appropriate process to explain
 the time&#x2014;varying volatility of interest rates. The results in this
 study suggest there is a significant news effect on interest rate
 volatility, apparently due to the unanticipated component of the inflation
 rate announcement. Evidence is provided in support of the efficient
 markets hypothesis. 
Journal: Applied Financial Economics 
Pages: 559-566 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333420 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333420
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:559-566




Template-Type: ReDIF-Article 1.0
Author-Name: Aigbe Akhigbe 
Author-X-Name-First: Aigbe 
Author-X-Name-Last: Akhigbe 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Alan Tucker 
Author-X-Name-First: Alan 
Author-X-Name-Last: Tucker 
Title: Long-term valuation effects of shareholder activism 
Abstract:
  The objective is to measure how the values of firms are affected when
 experiencing shareholder activism. According to several researchers, firms
 can benefit from increased monitoring. If activism prompts managers to
 focus more closely on shareholder goals, it could enhance firm value over
 time. Strong positive valuation effects are found for firms following
 shareholder activism. The valuation effects accumulated to 23% on average
 by the end of the third year following shareholder activism. The effects
 appear to be somewhat more pronounced following activism initiated by
 individual shareholders. 
Journal: Applied Financial Economics 
Pages: 567-573 
Issue: 5 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/096031097333439 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333439
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:567-573




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Kunst 
Author-X-Name-First: Robert 
Author-X-Name-Last: Kunst 
Title: Augmented ARCH models for financial time series: stability conditions and empirical evidence 
Abstract:
  The class of conditionally heteroscedastic models known as 'augmented
 ARCH' encompasses most liear 'ARCH'-type models found in the literature
 and, in particular, two basic ARCH variants for autocorrelated series:
 Engle (1982) explains conditional variance by lagged errors, Weiss (1984)
 also by lagged observations. The framework permits an evaluation of
 whether the restrictions evolving from the Engle or the Weiss models are
 valid in practice. Time series of stock market indexes for some major
 stock exchanges yield empirical examples. In most cases, the statistical
 approximation to actual dynamic behaviour is improved substantially by
 considering augmented ARCH structures 
Journal: Applied Financial Economics 
Pages: 575-586 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533849 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533849
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:575-586




Template-Type: ReDIF-Article 1.0
Author-Name: Angelos Kanas 
Author-X-Name-First: Angelos 
Author-X-Name-Last: Kanas 
Title: The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis 
Abstract:
  This paper examines whether the monetary exchange rate model represents a
 long-run relationship among nominal exchange rates, money supplies,
 interest rates and real incomes of five countries that participate in the
 ERM. Cointegration tests are conducted using the method suggested by
 Johansen and Juselius (1990). The results strongly support the hypothesis
 of cointegration for all ten ERM country-pairs considered. Furthermore,
 multiple cointegrating vectors are found for all cases. These results can
 be interpreted as evidence that the monetary model represents a stable
 long-run relationship for all ERM countries considered. Finally, the
 monetary model is used as a basis for testing the German dominance
 hypothesis. The results support this hypothesis only for one country 
Journal: Applied Financial Economics 
Pages: 587-598 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533850 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533850
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:587-598




Template-Type: ReDIF-Article 1.0
Author-Name: Terence Mills 
Author-X-Name-First: Terence 
Author-X-Name-Last: Mills 
Title: Stylized facts on the temporal and distributional properties of daily FT-SE returns 
Abstract:
  This paper investigates the temporal and distributional properties of the
 London Stock Exchange FT-SE daily indices by examining the
 autocorrelations and distributions of a family of return transformations.
 Power transformations of absolute returns are more highly autocorrelated
 than actual returns, with the strongest autocorrelation occurring for
 powers around unity. Such transformed returns do not, however, display
 long-term memory. Absolute returns, after outlier reduction, are
 approximately exponentially distributed and the analysis suggests that
 they could be modelled by asymmetric GARCH processes 
Journal: Applied Financial Economics 
Pages: 599-604 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533851 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533851
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:599-604




Template-Type: ReDIF-Article 1.0
Author-Name: Ken Nyholm 
Author-X-Name-First: Ken 
Author-X-Name-Last: Nyholm 
Title: Estimation of the bid/ask spread on Danish stocks, an evaluation of Roll's estimator 
Abstract:
  This paper presents the first empirical study of the bid/ask spread based
 on intra-daily transactions data from the Danish stock market. The
 technique developed by Roll (1984) for inferring the bid/ask spread is
 implemented and evaluated on samples of data from January, February and
 March 1993. In particular, since quoted spreads are available, it is
 possible to make a direct evaluation of the Roll estimator. The conclusion
 of the paper is twofold. First, the Roll estimator captures a large part
 of the actual quoted spread. Secondly, the average Danish bid/ask spread
 is larger than the 0.3% presented by Roll for the US market. 
Journal: Applied Financial Economics 
Pages: 605-610 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533852 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533852
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:605-610




Template-Type: ReDIF-Article 1.0
Author-Name: Imad Moosa 
Author-X-Name-First: Imad 
Author-X-Name-Last: Moosa 
Author-Name: Razzaque Bhatti 
Author-X-Name-First: Razzaque 
Author-X-Name-Last: Bhatti 
Title: Does speculation play any role in determining the forward exchange rate? 
Abstract:
  This paper examines the role of spot and forward speculation in
 determining the forward exchange rate. The evidence reveals that neither
 spot nor forward speculation plays any role in determining the forward
 exchange rate in three currency combinations, lending support to covered
 interest parity. This finding is plausible as financial deregulation has
 created an environment in which deviations from CIP pale into
 insignificance even in domestic money markets 
Journal: Applied Financial Economics 
Pages: 611-617 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533853 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533853
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:611-617




Template-Type: ReDIF-Article 1.0
Author-Name: Yih-Luan Chyi 
Author-X-Name-First: Yih-Luan 
Author-X-Name-Last: Chyi 
Title: Nonlinear dynamics and daily stock returns on the Taiwan Stock Exchange 
Abstract:
  This paper studies the nonlinear dynamics of the stock returns on the
 Taiwan Stock Exchange. A fuzzy system modelling approach is introduced to
 fit and forecast the stock returns on the TSE. The result of the BDS test
 implies that we may have a good chance to fit and forecast more accurately
 the daily stock returns by using a fuzzy system model 
Journal: Applied Financial Economics 
Pages: 619-634 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533854 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533854
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:619-634




Template-Type: ReDIF-Article 1.0
Author-Name: John Barkoulas 
Author-X-Name-First: John 
Author-X-Name-Last: Barkoulas 
Author-Name: Christopher Baum 
Author-X-Name-First: Christopher 
Author-X-Name-Last: Baum 
Title: A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency 
Abstract:
  We re-examine Sephton and Larsen's (1991) conclusion that
 cointegration-based tests for market efficiency suffer from temporal
 instability. We improve upon their research by i) including a drift term
 in the vector error correction model (VECM) in the Johansen procedure, ii)
 correcting the likelihood ratio test statistic for finite-sample bias, and
 iii) fitting the model over longer data sets. We show that instability of
 the Johansen cointegration tests mostly disappears after accounting for
 these two factors. The evidence is even more stable in favour of no
 cointegration when we apply our analysis to longer data sets 
Journal: Applied Financial Economics 
Pages: 635-643 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533855 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533855
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:635-643




Template-Type: ReDIF-Article 1.0
Author-Name: Nicolaas Groenewold 
Author-X-Name-First: Nicolaas 
Author-X-Name-Last: Groenewold 
Title: Share market efficiency: tests using daily data for Australia and New Zealand 
Abstract:
  This paper reports the results of various tests of the efficient markets
 hypothesis (EMH) using daily observations on the Statex Actuaries' Price
 Index for Australia and the NZSE-40 Index for New Zealand for the period
 1975-92. The weak form of the EMH is examined by testing the log of the
 price for each country for stationarity and by examining the
 autocorrelation structure of returns. The autocorrelations provide
 evidence of return predictability, although the stationarity results are
 consistent with the weak form of the EMH. Results are similar across
 countries. Semi-strong efficiency is addressed by testing for
 cointegration between Australian and New Zealand share prices and for
 Granger causality between the two countries' rates of return. Robustness
 of the results is assessed in various ways. First, similar tests are
 carried out for both weekly and monthly data. Second, similar tests are
 conducted for various subsamples of the original sample and by trimming
 outlying observations. Third, the expected euilibrium return is modelled
 using interest rates as an alternative to the common assumption of
 constancy. Finally, several alternative indexes are used: the Statex
 Actuaries' Accumulation Index and the All Ordinaries Price and
 Accumulation Indexes in place of the Statex Actuaries' Price Index and the
 NZ Gross Index in place of the NZSE-40 
Journal: Applied Financial Economics 
Pages: 645-657 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533856 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533856
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:645-657




Template-Type: ReDIF-Article 1.0
Author-Name: Tom Engsted 
Author-X-Name-First: Tom 
Author-X-Name-Last: Engsted 
Author-Name: Jesper Lund 
Author-X-Name-First: Jesper 
Author-X-Name-Last: Lund 
Title: Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors 
Abstract:
  Based on a cointegrated VAR model, a joint test of the within-country and
 crosscountry low-frequency implications of the present value model of
 stock prices is derived and applied to postwar annual stock market data
 from four European countries. Following Johansen (1995) and Johansen and
 Juselius (1994) the test is formulated as a test of overidentifying
 restrictions on multiple cointegration vectors. The analysis is similar in
 spirit to the analysis carried out by Kasa (1992). However, whereas Kasa
 analyses prices and dividends in two separate VAR models and does not test
 restrictions implied by the present value model on the cointegration
 vectors, we perform the analysis within one comprehensive VAR model and
 test the full set of within-country and cross-country implications by a
 single likelihood ratio test. The empirical results indicate the presence
 of common trends among dividends in the four countries; how many is,
 however, difficult to judge. Furthermore, the results of the tests of the
 overidentifying restrictions are not clearcut. If dividends share one or
 two common trends the restrictions are not rejected at standard
 significance levels. However, if dividends share three common trends, the
 restrictions are strongly rejected. 
Journal: Applied Financial Economics 
Pages: 659-665 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533857 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533857
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:659-665




Template-Type: ReDIF-Article 1.0
Author-Name: Steve Beveridege 
Author-X-Name-First: Steve 
Author-X-Name-Last: Beveridege 
Author-Name: Cyril Oickle 
Author-X-Name-First: Cyril 
Author-X-Name-Last: Oickle 
Title: Long memory in the Canadian stock market 
Abstract:
Journal: Applied Financial Economics 
Pages: 667-672 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533858 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533858
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:667-672




Template-Type: ReDIF-Article 1.0
Author-Name: Costas Karfakis 
Author-X-Name-First: Costas 
Author-X-Name-Last: Karfakis 
Title: The demand for international liquidity: a cointegration approach 
Abstract:
  This paper first examines the existence of a long-run demand for foreign
 reserve holdings in Greece and second, tests for its temporal instability
 using time series techniques. Cointegration tests reveal the existence of
 a systematic long-run relationship between real reserves, real income,
 average propensity to import and the eurodollar interest rate. An
 interesting aspect of the cointegration analysis is the evidence that the
 demand for international liquidity is not characterized by economies of
 scale. The Hansen&#x2014;Johansen (1993) recursive analysis results
 indicated that the cointegrating equation was stable over the nominal
 exchange rate targeting period 1988-92, implying that the reserve holdings
 play a significant role in the balance of payments adjustment process. 
Journal: Applied Financial Economics 
Pages: 673-678 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533859 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533859
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:673-678




Template-Type: ReDIF-Article 1.0
Author-Name: A. D. Clare 
Author-X-Name-First: A. D. 
Author-X-Name-Last: Clare 
Author-Name: R. Priestley 
Author-X-Name-First: R. 
Author-X-Name-Last: Priestley 
Author-Name: S. H. Thomas 
Author-X-Name-First: S. H. 
Author-X-Name-Last: Thomas 
Title: Stock return predictability or mismeasured risk? 
Abstract:
  We investigate the predictable component of excess returns in German,
 Japanese, UK and US aggregate stock indices, finding evidence to suggest
 that the frequently documented predictable component in excess returns is
 predominantly due to a failure in previous research to consider risk. 
Journal: Applied Financial Economics 
Pages: 679-687 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533860 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533860
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:679-687




Template-Type: ReDIF-Article 1.0
Author-Name: Dong Li 
Author-X-Name-First: Dong 
Author-X-Name-Last: Li 
Author-Name: Shao-King Lin 
Author-X-Name-First: Shao-King 
Author-X-Name-Last: Lin 
Author-Name: Chulin Li 
Author-X-Name-First: Chulin 
Author-X-Name-Last: Li 
Title: The impact of settlement time on the volatility of stock markets 
Abstract:
  In this paper we investigate the impact of the switching from the
 same-day settlement to the following-day settlement on the market
 volatility and its structure. Using the Levene tests and bootstrap
 procedures, we find that the switching causes a drastic decrease in the
 stock market volatility. In addition, using a modified GARCH model, we
 also find a substantial change in the volatility structure, which implies
 that the markets become less efficient after the switching since the
 volatility shocks are less quickly assimilated in the stock markets. 
Journal: Applied Financial Economics 
Pages: 689-694 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533861 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533861
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:689-694




Template-Type: ReDIF-Article 1.0
Author-Name: R. J. Cebula 
Author-X-Name-First: R. J. 
Author-X-Name-Last: Cebula 
Title: An exploratory empirical analysis of the impact of the Federal Deposit Insurance Corporation Improvement Act of 1991 on bank failures in the United States 
Abstract:
  This study examines the impact of the Federal Deposit Insurance
 Corporation Improvement Act of 1991 on bank failures in the United States.
 After summarizing a number of the most important provisions in this
 legislation and presenting certain relevant data, the study provides an
 exploratory empirical analysis that allows for variables such as the cost
 of deposits and other interest rates, capital/asset ratios, federal
 deposit insurance coverage, real GDP growth, and increased competition
 within the industry. The reduced-form estimates find that the statute in
 question appears to have reduced the failure rate of commercial banks in
 the United States 
Journal: Applied Financial Economics 
Pages: 695-701 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533862 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533862
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:695-701




Template-Type: ReDIF-Article 1.0
Author-Name: IKE Mathur 
Author-X-Name-First: IKE 
Author-X-Name-Last: Mathur 
Author-Name: Sridhar Sundaram 
Author-X-Name-First: Sridhar 
Author-X-Name-Last: Sundaram 
Title: Reaction of bank stock prices to the multiple events of the Brazilian debt crisis 
Abstract:
  Rather than assessing the market reaction to individual dates associated
 with the Brazilian debt crisis, eight significant dates associated with
 the crisis are studied simultaneously. The results show a systematic shift
 in the returns generating process, caused by the debt crisis. The beta of
 the money centre bank portfolio increased significantly subsequent to the
 agreement on the rescheduling of Brazilian debt, while the beta for banks
 without LDC debt decreased significantly after the agreement. Contagion
 effects associated with the announcement of the Citicorp loan loss
 reserves were also observed 
Journal: Applied Financial Economics 
Pages: 703-710 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533863 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533863
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:703-710




Template-Type: ReDIF-Article 1.0
Author-Name: Chyng-Hua Shen 
Author-X-Name-First: Chyng-Hua 
Author-X-Name-Last: Shen 
Title: Testing for foreign exchange market efficiency - a trivariate vector autoregressive approach 
Abstract:
  The speculative efficiency of the forward exchange market for the British
 pound, Canadian dollar, German mark, Japanese yen and Swiss franc is
 evaluated in this study. The conventional approach of selecting spot and
 one-forward exchange rates is extended towards spot and two-forward
 exchange rates to consider the interactions among exchange rates of
 different contracts of different maturities. The possible cointegration of
 three series forms an error correction mechanism. Thus Campbell and
 Shiller's (1987) bivariate vector autoregressive model is extended to a
 trivariate VAR (TVAR) based on the error correction mechanism. A Wald test
 (with and without considering heteroscedasticity) is finally performed to
 examine the validity of the cross-equation restrictions. The speculative
 efficient market is rejected for the forward exchange market for the five
 currencies under study. 
Journal: Applied Financial Economics 
Pages: 711-719 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533864 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533864
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:711-719




Template-Type: ReDIF-Article 1.0
Author-Name: Lakshman Alles 
Author-X-Name-First: Lakshman 
Author-X-Name-Last: Alles 
Author-Name: Ramaprasad Bhar 
Author-X-Name-First: Ramaprasad 
Author-X-Name-Last: Bhar 
Title: The information on inflation in the Australian term structure 
Abstract:
  In this paper we examine the information on inflation contained in the
 term spread of the Australian term structure in a model in which we allow
 the expected real term spread to vary with time. Previously, Mishkin
 (1990) assumed a constant expected real term spread in a similar inflation
 forecasting model. We further extend the model by allowing the coefficient
 of the nominal yield spread also to vary with time. Results show that the
 model based on the time-varying expected real rate, estimated with the
 Kalman filter, is more suitable than the model based on the constant real
 rate. Also, the term spread lagged one period has more information on
 future inflation than the contemporaneous term. Finally, the forecasting
 power of a model with a randomly time-varying yield spread is inferior to
 the other versions examined. 
Journal: Applied Financial Economics 
Pages: 721-730 
Issue: 6 
Volume: 7 
Year: 1997 
X-DOI: 10.1080/758533865 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/758533865
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:721-730




Template-Type: ReDIF-Article 1.0
Author-Name: Arnold Cheng 
Author-X-Name-First: Arnold 
Author-X-Name-Last: Cheng 
Title: International correlation structure of financial market movements - the evidence from the UK and the US 
Abstract:
  This paper provides new empirical evidence on the international
 transmission mechanism of the UK and the US stock market movements and the
 relationship between the UK and the US economic indicators by using factor
 analytic approach and canonical correlation analysis. The results show
 that the UK and the US economies are closely related. The US economic
 cycle seems to lead those in the UK, as the US economy is more influential
 than the UK economy. This is in accordance with the results supporting
 high international integration between the UK and the US stock markets.
 There seems to be a statistically significant relation between the UK and
 the US stocks. Significant evidence for feedback relationships between the
 two stock markets is also found. Overall, support is offered to the
 finding that the US financial market and US economy seem to have more
 effect on the behaviour of the UK counterpart than vice versa. 
Journal: Applied Financial Economics 
Pages: 1-12 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333195 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333195
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:1-12




Template-Type: ReDIF-Article 1.0
Author-Name: Jean-Jacques Lilti 
Author-X-Name-First: Jean-Jacques 
Author-X-Name-Last: Lilti 
Author-Name: Helene Rainelli-Le Montagner 
Author-X-Name-First: Helene Rainelli-Le 
Author-X-Name-Last: Montagner 
Title: Beta, size and returns: a study on the French Stock Exchange 
Abstract:
  The aim of this paper is to test the relationship between average returns
 and beta of French stocks over the last six years (1990-1995). Numerous
 and contradictory studies recently published in the American literature
 have cast doubts as to whether beta plays a role at all when it comes to
 explaining average returns on the American Stock Exchange (e.g. Fama and
 French, 1992; Pettengill et al., 1995). As the results obtained seem to
 depend upon the methodology used, we propose to implement some of the
 methodological advances advocated in these recent papers to test for the
 usefulness of beta as a determinant of returns on the French Stock
 Exchange. This subject has not been dealt with in recent literature. 
Journal: Applied Financial Economics 
Pages: 13-20 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333203 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333203
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:13-20




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: Howard Chan 
Author-X-Name-First: Howard 
Author-X-Name-Last: Chan 
Title: A multifactor model of gold industry stock returns: evidence from the Australian equity market 
Abstract:
  The empirical literature suggests that several different variables are
 potentially important in explaining the return on gold stocks beyond that
 of a market factor. The primary aim of this paper is to examine the
 empirical performance of a specification which incorporates into one
 multifactor model three such variables - gold prices, interest rates and
 foreign exchange rates. This paper applies this model to the return of
 gold stocks in the Australian equity market over the period 1979 to 1992.
 Contrary to other studies which have examined incomplete specifications
 relative to this framework, we find that the only variables of significant
 explanatory power are the market and gold price factors. Consequently,
 this has important implications for studies which examine the pricing
 behaviour of gold industry stocks. 
Journal: Applied Financial Economics 
Pages: 21-28 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333212 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333212
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:21-28




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Firth 
Author-X-Name-First: Michael 
Author-X-Name-Last: Firth 
Title: IPO profit forecasts and their role in signalling firm value and explaining post-listing returns 
Abstract:
  The study examines the role of profit forecasts published in the
 prospectuses of initial public offerings. While it is very rare to see
 such forecasts in American IPOs, the practice is pervasive in some other
 countries. For example, Singaporean new issue prospectuses have an
 established history of providing point estimates of post-listing earnings
 and, since 1993, profit forecasts have been mandated by the Stock
 Exchange. Earnings forecasts are hypothesized to be a signal of company
 value and the accuracy of the forecasts are hypothesized to explain
 post-listing returns. Using data from new issues in Singapore during the
 period 1979-1992, various tests are employed to examine the relationships
 between profit forecasts appearing in prospectuses and market valuations.
 The results indicate that the earnings forecasts are a major signal of IPO
 value and that they are more important than other signalling mechanisms
 such as the retained share ownership of the entrepreneurs. The accuracies
 of the forecasts are positively related to post-listing stock returns.
 Stock returns in the three years after listing are close to zero and this
 contrasts with results from many other countries that find significant and
 substantial negative returns. The three-year post-listing stock returns
 are positively associated with IPO profitability. 
Journal: Applied Financial Economics 
Pages: 29-39 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333221 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333221
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:29-39




Template-Type: ReDIF-Article 1.0
Author-Name: Kursat Aydogan 
Author-X-Name-First: Kursat 
Author-X-Name-Last: Aydogan 
Author-Name: Gulnur Muradoglu 
Author-X-Name-First: Gulnur 
Author-X-Name-Last: Muradoglu 
Title: Do markets learn from experience? Price reaction to stock dividends in the Turkish market 
Abstract:
  In this paper we provide an empirical analysis of the announcement and
 implementation of rights issues and stock dividends in the thinly traded
 Istanbul Stock Exchange. The efficiency of the Turkish market with respect
 to this information set is tested at different time horizons characterized
 by different development levels of the market. Evidence is detected of
 different price reactions for the different development phases of the
 market as well as for the board meeting and actual implementation
 information. As the market matures, neither the board meeting nor the
 actual implementation of stock dividends-rights offerings cause
 significant price reactions. Besides the traditional event study
 methodology, non-parametric tests such as sign and rank tests are also
 employed but are found to be unsuitable for this particular case. 
Journal: Applied Financial Economics 
Pages: 41-49 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333230 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333230
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:41-49




Template-Type: ReDIF-Article 1.0
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Author-Name: Shin-Ichi Kitasaka 
Author-X-Name-First: Shin-Ichi 
Author-X-Name-Last: Kitasaka 
Title: A numerical analysis of the monetary aspects of the Japanese economy: the cash-in-advance approach 
Abstract:
  This paper analyses the monetary aspects of the Japanese economy based on
 the cash-in-advance (CIA) model. The Svensson (1985) model and the Lucas
 and Stokey (1987) model are examined by calibration. The Euler equations
 obtained from the representative agent's optimization behaviour stand for
 a non-linear relationship including some random variables. We approximate
 a generating process of exogenous variables using the quadrature-based
 method developed by Tauchen and Hussey (1991) and apply the numerical
 method proposed in Hodrick et al. (1991) to the results. Several moments
 of monetary variables are calculated to satisfy the theoretical
 consistency of the CIA model. Comparing the theoretical values with actual
 sample statistics, we examine the validity of the CIA model in Japan. The
 numerical results show that theoretical moments generated by the Lucas and
 Stokey model are consistent with sample moments in the 1980s. 
Journal: Applied Financial Economics 
Pages: 51-59 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333249 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333249
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:51-59




Template-Type: ReDIF-Article 1.0
Author-Name: Junsoo Lee 
Author-X-Name-First: Junsoo 
Author-X-Name-Last: Lee 
Author-Name: Jen-Chi Cheng 
Author-X-Name-First: Jen-Chi 
Author-X-Name-Last: Cheng 
Author-Name: Chyongchiou Lin 
Author-X-Name-First: Chyongchiou 
Author-X-Name-Last: Lin 
Author-Name: Cliff Huang 
Author-X-Name-First: Cliff 
Author-X-Name-Last: Huang 
Title: The market efficiency hypothesis on stock prices: international evidence in the 1920s 
Abstract:
  This paper conducts the goodness of fit test of Bartlett (1954) on the
 stock prices of 12 countries during the period from January 1921 to
 December 1930 to examine the market efficiency hypothesis. The market
 efficiency hypothesis is not rejected for most European countries, but it
 is rejected for non-European countries. This finding is consistent with
 the documented active speculation that movements of the stock prices in
 the 1920s were highly volatile, perhaps due to the immaturity of the
 Canadian and US financial markets. 
Journal: Applied Financial Economics 
Pages: 61-65 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333258 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333258
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:61-65




Template-Type: ReDIF-Article 1.0
Author-Name: Ralf Ostermark 
Author-X-Name-First: Ralf 
Author-X-Name-Last: Ostermark 
Title: Multivariate Granger causality in international asset pricing: evidence from the Finnish and Japanese financial economies 
Abstract:
  The present study combines the test of causality in multiple time series
 with a rolling framework. The algorithm generates the time pattern of
 causality of the underlying vector process. The algorithm is applied to
 testing whether the Japanese stock market Granger causes the Finnish
 derivatives market. The Japanese stock market is seen to Granger cause the
 Finnish derivatives market at distinct time intervals within the sample
 period, possibly during periods of regime switches, trend changes or major
 global disturbances. 
Journal: Applied Financial Economics 
Pages: 67-72 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333267 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333267
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:67-72




Template-Type: ReDIF-Article 1.0
Author-Name: G. Geoffrey Booth 
Author-X-Name-First: G. Geoffrey 
Author-X-Name-Last: Booth 
Author-Name: Paul Brockman 
Author-X-Name-First: Paul 
Author-X-Name-Last: Brockman 
Author-Name: Yiuman Tse 
Author-X-Name-First: Yiuman 
Author-X-Name-Last: Tse 
Title: The relationship between US and Canadian wheat futures 
Abstract:
  The purpose of this paper is to investigate the relationship between US
 and Canadian wheat futures prices in order to analyse the degree of
 information spillover between the futures exchanges of both countries.
 Although considerable research has focused on the relationship between US
 and Canadian equity markets, little work has been conducted on their
 respective future markets. The increase in market-oriented trade
 agreements and the decrease of governmental presence in the agricultural
 sector adds to the importance and timeliness of such a study. The results
 show that both the US and Canadian wheat futures prices are an integrated
 series of order one, and that the two series are cointegrated. Although
 the evidence shows an equilibrium relationship in the long run, short-run
 dynamics exhibit no such dependencies. These results are relevant for
 various market participants, including farmers, grain merchants,
 speculators, exchanges, and regulatory agencies. 
Journal: Applied Financial Economics 
Pages: 73-80 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333276 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333276
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:73-80




Template-Type: ReDIF-Article 1.0
Author-Name: Ross Guest 
Author-X-Name-First: Ross 
Author-X-Name-Last: Guest 
Author-Name: Alan McLean 
Author-X-Name-First: Alan 
Author-X-Name-Last: McLean 
Title: New evidence on the expectations theory of the term structure of Australian Commonwealth Government Treasury yields 
Abstract:
  This paper seeks new evidence on the expectations theory of the term
 structure of Australian Commonwealth Government Treasury yields. The paper
 contributes to the existing literature in two ways. First, the traditional
 regression tests of the expectations hypothesis are respecified to allow
 for coupon payments on one- and two-year securities. The paper shows that
 failing to respecify the traditional estimating equations for the coupon
 effect biases the results. The regression tests provide evidence for a
 time-varying term premium in the term structure for one- and two-year
 yields and, also, for short-term (13- and 26-week) yields. Second, we test
 for cointegration in short and long rates using two approaches: the
 approach in Engle and Granger (1987) using ADF tests and the approach
 developed by Hansen (1992) in which tests of parameter stability in the
 presence of integrated processes can be interpreted as tests of
 cointegration. We find conflicting evidence that long and short rates are
 cointegrated and cannot, therefore, find firm support for the expectations
 hypothesis as a long-run relation. 
Journal: Applied Financial Economics 
Pages: 81-87 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333285 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333285
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:81-87




Template-Type: ReDIF-Article 1.0
Author-Name: Hiroshi Izawa 
Author-X-Name-First: Hiroshi 
Author-X-Name-Last: Izawa 
Author-Name: Yoshiro Tsutsui 
Author-X-Name-First: Yoshiro 
Author-X-Name-Last: Tsutsui 
Title: Managerial objectives in Japanese banking: a test of the expense preference hypothesis 
Abstract:
  Starting from the argument that profits are not paramount for Japanese
 banks, their managerial objectives are investigated by testing the expense
 preference hypothesis (EPH). The validity is questioned for previous
 studies which tested EPH as a joint hypothesis with the market structure
 performance hypothesis and/or the hypothesis that organizational
 structures have an effect on the presence of an expense preference because
 of their assumption of the linear utility function. The method adopted in
 most of these studies is shown to be invalid when the utility functions
 are not linear. A valid method is proposed which can test EPH as a single
 hypothesis. Empirical results show (1) the restriction of the linearity on
 the utility function is rejected, implying that the previous method is
 invalid and (2) neither profit maximization nor expense preference
 behaviour is found in Japanese banking. 
Journal: Applied Financial Economics 
Pages: 89-99 
Issue: 1 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333294 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333294
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:89-99




Template-Type: ReDIF-Article 1.0
Author-Name: Maria Asuncion Prats Albentosa 
Author-X-Name-First: Maria Asuncion Prats 
Author-X-Name-Last: Albentosa 
Author-Name: Arielle Beyaert 
Author-X-Name-First: Arielle 
Author-X-Name-Last: Beyaert 
Title: Testing the expectations theory in a market of short-term financial assets 
Abstract:
  The aim of this paper is to test the Rational Expectations Theory for the
 term structure of interest rates in a short-term asset market. Campbell
 and Shiller (1987) apply cointegration theory to present value models to
 test that theory for the case of very long run financial assets. In this
 paper, we reformulate their methodology in order to adapt it to the case
 of short-run assets. We then apply it to the Spanish interbank market over
 the period 1986-1992, obtaining some evidence in favour of the theory. The
 results ratify the institutional measures, that were taken in Spain in the
 second half of the 1980s, aimed at improving the channels of monetary
 transmission. 
Journal: Applied Financial Economics 
Pages: 101-109 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333078 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333078
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:101-109




Template-Type: ReDIF-Article 1.0
Author-Name: Chen Guo 
Author-X-Name-First: Chen 
Author-X-Name-Last: Guo 
Title: A decomposition of the term structure model of Heath, Jarrow and Morton 
Abstract:
  This paper demonstrates that the term structure model of Heath, Jarrow
 and Morton (HJM, 1992) can be decomposed into two component functions,
 such that if one can represent the observed initial forward rate curve,
 then the other is the dynamic evolution of the forward rates. This
 decomposition simplifies the practical implementation of the HJM model for
 allowing the parameters of the model to be estimated from the initial
 forward rate function, since the evolution of the forward function has the
 same parameters. Because the estimation is essentially a cross-sectional
 curvefitting to which the treasury securities are sufficient, interest
 rate contingent claims are not required for the calibration of the HJM
 model; thus, the costly path-dependent computation can be completely
 avoided. Utilizing the functionality of the HJM model, this paper derives
 a simple and accurate estimation procedure. The empirical results show
 that a three-factor HJM specification is a consistent representation of
 the term structure of interest rates. 
Journal: Applied Financial Economics 
Pages: 111-118 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333087 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333087
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:111-118




Template-Type: ReDIF-Article 1.0
Author-Name: Ruth Seow Kuan Tan 
Author-X-Name-First: Ruth Seow Kuan 
Author-X-Name-Last: Tan 
Author-Name: Wong Nee Tat 
Author-X-Name-First: Wong Nee 
Author-X-Name-Last: Tat 
Title: The diminishing calendar anomalies in the stock exchange of Singapore 
Abstract:
  This study examines the daily stock returns in the Singapore market over
 a 20 year period from 1975 to 1994. Results indicate the existence of four
 calendar anomalies. They are the January effect, the day-of-the-week
 effect, the turn-of-the-month effect and the holiday effect. Subperiod
 analysis, however, reveals a weakening of these anomalies over time. 
Journal: Applied Financial Economics 
Pages: 119-125 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333096 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333096
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:119-125




Template-Type: ReDIF-Article 1.0
Author-Name: Stilianos Fountas 
Author-X-Name-First: Stilianos 
Author-X-Name-Last: Fountas 
Author-Name: Jyh-Lin Wu 
Author-X-Name-First: Jyh-Lin 
Author-X-Name-Last: Wu 
Title: Tests for interest rate convergence and structural breaks in the EMS 
Abstract:
  We use a new test for cointegration that allows for structural breaks in
 the cointegrating relationship to test for bilateral interest rate
 convergence in the European Monetary System. Contrary to previous studies
 that employed standard cointegration tests, we find strong evidence for
 convergence between German nominal interest rates and interest rates in
 four other EMS countries in the 1979-1995 period. 
Journal: Applied Financial Economics 
Pages: 127-132 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333104 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333104
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:127-132




Template-Type: ReDIF-Article 1.0
Author-Name: Barbara McKiernan 
Author-X-Name-First: Barbara 
Author-X-Name-Last: McKiernan 
Title: Monetary disturbance or financial market collapse: tests of two theories of the Great Depression 
Abstract:
  The monetary disturbance theory of the Depression, explained by Friedman
 and Schwartz (1963) asserts that the Depression was so deep and long
 because the Federal Reserve pursued a tight monetary policy. More
 recently, Bernanke (1983) has shown that financial market crisis also
 lowered output in the 1930s. It is probable that the decline in the money
 supply caused the credit market problems, but this may not be the main or
 the only avenue through which the money supply affected output. This paper
 shows that monetary aggregates have substantial explanatory power over
 output once the credit market collapse has been taken into account. 
Journal: Applied Financial Economics 
Pages: 133-144 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333113 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333113
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:133-144




Template-Type: ReDIF-Article 1.0
Author-Name: Olan Henry 
Author-X-Name-First: Olan 
Author-X-Name-Last: Henry 
Title: Modelling the asymmetry of stock market volatility 
Abstract:
  Recent studies suggest that a negative shock to stock prices will
 generate more volatility than a positive shock of equal magnitude. This
 paper uses daily data from the Hong Kong Stock Exchange to illustrate the
 nature of stock market volatility. Regression-based tests for integration
 in variance are applied, providing contrasting results to the usual test
 based on the Wald statistic. A partially non-parametric model of the
 relationship between news and volatility is estimated and used in
 conjunction with tests for the sensitivity to both the size and sign of a
 shock as a metric to judge various candidate characterizations of the
 underlying data generating process. 
Journal: Applied Financial Economics 
Pages: 145-153 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333122 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333122
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:145-153




Template-Type: ReDIF-Article 1.0
Author-Name: O. David Gulley 
Author-X-Name-First: O. David 
Author-X-Name-Last: Gulley 
Author-Name: Jahangir Sultan 
Author-X-Name-First: Jahangir 
Author-X-Name-Last: Sultan 
Title: Consumer confidence announcements: do they matter? 
Abstract:
  This paper examines the response of financial markets to consumer
 confidence announcements during 1980-93. Several hypotheses are tested to
 examine the impact of consumer confidence announcements on the conditional
 mean and the conditional volatility of stock, bond and foreign exchange
 prices. Despite a plethora of causal empiricism in the popular press,
 consumer confidence appears to influence only the Dow Jones Industrial
 Average, and not bond or other stock indexes. However, changes in the
 consumer confidence index are found to have asymmetric effects on the
 dollar exchange rates of five major currencies. Finally, we find that the
 impact of the consumer confidence index on the conditional volatility is
 not uniform across five major currencies. 
Journal: Applied Financial Economics 
Pages: 155-166 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333131 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333131
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:155-166




Template-Type: ReDIF-Article 1.0
Author-Name: Nikitas Niarchos 
Author-X-Name-First: Nikitas 
Author-X-Name-Last: Niarchos 
Author-Name: Christos Alexakis 
Author-X-Name-First: Christos 
Author-X-Name-Last: Alexakis 
Title: Stock market prices, 'causality' and efficiency: evidence from the Athens stock exchange 
Abstract:
  During the last few years there has been growing evidence against the
 Efficient Market Hypothesis. In this study we investigate the hypothesis
 using stock prices of common and preferred stocks from the Athens Stock
 Exchange. In Greece, preferred shares are regarded as part of the equity
 capital of the Greek companies and they are not considered as part of the
 borrowed funds. Under the Efficient Market Hypothesis their price
 behaviour, as far as the speed of adjustment to news is concerned, should
 be the same. However, our empirical evidence contradicts the above
 proposition. It seems that in the Greek market there are factors, other
 than news, which influence the price behaviour of the two categories of
 stocks. 
Journal: Applied Financial Economics 
Pages: 167-174 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333140 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333140
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:167-174




Template-Type: ReDIF-Article 1.0
Author-Name: Ram Mudambi 
Author-X-Name-First: Ram 
Author-X-Name-Last: Mudambi 
Author-Name: Carmela Nicosia 
Author-X-Name-First: Carmela 
Author-X-Name-Last: Nicosia 
Title: Ownership structure and firm performance: evidence from the UK financial services industry 
Abstract:
  Theory tells us that managerial ownership of shares in a firm generates
 two conflicting effects on management behaviour, i.e. the convergence
 effect whereby increased managerial ownership can improve corporate
 performance, and the entrenchment effect which counters it. A number of
 studies have sought to evaluate these effects empirically. The results in
 the literature are not uniformly in agreement. In this paper, we
 distinguish between measures of ownership and measures of control implied
 by this ownership. Furthermore, we provide evidence supporting the
 entrenchment and convergence effects using UK data. 
Journal: Applied Financial Economics 
Pages: 175-180 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333159 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333159
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:175-180




Template-Type: ReDIF-Article 1.0
Author-Name: G. C. Lim 
Author-X-Name-First: G. C. 
Author-X-Name-Last: Lim 
Author-Name: C. R. McKenzie 
Author-X-Name-First: C. R. 
Author-X-Name-Last: McKenzie 
Title: Testing the rationality of expectations in the Australian foreign exchange market using survey data with missing observations 
Abstract:
  This paper is concerned with testing the rationality of exchange rate
 expectations in the Australian foreign exchange market when there are
 missing observations in the survey data on expectations due to National or
 other holidays. The survey data analysed contains weekly observations on
 1-week and 4-week ahead forecasts of the $US/$A and the Yen/$US exchange
 rates. The analysis proceeds by (i) examining the time series properties
 of the actual and expected exchange rates; (ii) investigating whether the
 cointegrating relationship between the actual and expected exchange rates
 suggested by the rational expectations hypothesis is satisfied; and (iii)
 for those cases where the appropriate cointegrating relationship is
 observed, testing for rationality using the forecast errors. In each of
 these steps, the problem of missing observations is addressed. Kalman
 filter techniques suggested by Harvey and Pierse (1984) are used to
 estimate the appropriate ARIMA models in each step. Results in steps (i) -
 (iii) are presented for two cases: when the problem of missing
 observations is ignored; and when appropriate techniques are used to deal
 with missing observations. 
Journal: Applied Financial Economics 
Pages: 181-190 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333168 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333168
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:181-190




Template-Type: ReDIF-Article 1.0
Author-Name: Joaquin Maudos 
Author-X-Name-First: Joaquin 
Author-X-Name-Last: Maudos 
Title: Market structure and performance in Spanish banking using a direct measure of efficiency 
Abstract:
  This paper analyses the relationship between market structure and
 performance within the Spanish banking industry. Three different
 stochastic measures of efficiency are used (based on three alternative
 distributional assumptions for inefficiency: half-normal, normal-truncated
 and exponential). The results obtained support the 'modified efficient
 structure' hypothesis since, even though efficiency is the main
 determinant of profitability, market power (as reflected in a market share
 variable), also affects profitability. The results obtained also show that
 market share is an inadequate proxy for efficiency. 
Journal: Applied Financial Economics 
Pages: 191-200 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333177 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333177
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:191-200




Template-Type: ReDIF-Article 1.0
Author-Name: Nicholas Taylor 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Taylor 
Title: Precious metals and inflation 
Abstract:
  This paper provides evidence in favour of the hypothesis that precious
 metals (gold, silver, platinum) act as short-run and long-run hedges
 against inflation. Using robust estimation techniques, this ability to
 hedge inflation is concentrated in the period before 1939 and around the
 second OPEC oil shock in 1979. During no other period could precious
 metals be used to hedge inflation. 
Journal: Applied Financial Economics 
Pages: 201-210 
Issue: 2 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333186 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333186
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:201-210




Template-Type: ReDIF-Article 1.0
Author-Name: Ahmet Kara 
Author-X-Name-First: Ahmet 
Author-X-Name-Last: Kara 
Author-Name: Karen Craft Denning 
Author-X-Name-First: Karen Craft 
Author-X-Name-Last: Denning 
Title: A model and empirical test of the strong form efficiency of US capital markets: more evidence of insider trading profitability 
Abstract:
  This manuscript develops a model of security market trading and uses
 binomial probabilities to examine insider trading behaviour. The informed
 trader is stylized as a corporate insider who possesses privileged
 information by virtue of his position. We assume insiders are risk averse
 and information acquisition costs are effectively zero. The model shows
 that in an efficient, competitive market where traders do not earn profits
 in excess of the level commensurate with the assumed risks and costs, the
 elasticities of trading profits with respect to degree of risk aversion
 and transaction costs are equal to one. This simple proposition extends to
 test empirically, using a log-linear regression, whether US security
 markets are strong form efficient. We then extend the competitive market
 model by relaxing various assumptions. The result of this extension is
 that the elasticities of the insiders' profit with respect to risk
 aversion and transaction costs are not jointly equal to one. This
 hypothesis is examined using US SEC recorded insider purchases and sales
 of securities and transactions market data. There are numerous assumptions
 in the model development and empirical execution, that may have
 implications for generalizing these results. However, the null hypothesis
 that US security markets are strong form efficient is easily rejected.
 This can be interpreted as more evidence of profit potential for insider
 traders, despite the fact that approximately 40% of the insider
 transactions examined here were deemed unprofitable. 
Journal: Applied Financial Economics 
Pages: 211-220 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332970 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332970
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:211-220




Template-Type: ReDIF-Article 1.0
Author-Name: Said Elfakhani 
Author-X-Name-First: Said 
Author-X-Name-Last: Elfakhani 
Title: The expected favourableness of dividend signals, the direction of dividend change and the signalling role of dividend announcements 
Abstract:
  This paper proposes that corporate private information is transmitted to
 the market in two complementary phases. The accounting information is
 released first, followed by a dividend change announcement. Hence,
 investors assess the dividend signal only after consideration of
 accounting information. The analysis suggests that the dividend signal has
 three components: the expected favourableness of a dividend signal (good,
 bad, or ambiguous), the direction of dividend change (+ or -) and the role
 of the dividend signal (confirmatory, clarificatory or unclear) in
 clearing corporate uncertainty. The mechanism of classifying the signal
 according to the three components is presented and tested. Consistent with
 the dividend literature, dividend change announcements are found to
 influence share prices. Also, the role of dividend signals has a
 distinguishable effect on the firm's share price. Nevertheless, the
 expected favourableness of a dividend signal emerges as the dominant
 factor among the three signalling components. 
Journal: Applied Financial Economics 
Pages: 221-230 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332989 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332989
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:221-230




Template-Type: ReDIF-Article 1.0
Author-Name: John Barkoulas 
Author-X-Name-First: John 
Author-X-Name-Last: Barkoulas 
Author-Name: Nickolaos Travlos 
Author-X-Name-First: Nickolaos 
Author-X-Name-Last: Travlos 
Title: Chaos in an emerging capital market? The case of the Athens Stock Exchange 
Abstract:
  This paper investigates the existence of a deterministic nonlinear
 structure in the stock returns of the Athens Stock Exchange (Greece), an
 emerging capital market. The analysis utilizes the concepts of correlation
 dimension and Kolmogorov entropy, and it also includes a forecasting
 experiment. Application of the BDS statistical test to raw and filtered
 returns series suggests the presence of nonlinearities. The findings
 provide very weak, at best, evidence in support of a nonlinear
 deterministic data generating process. 
Journal: Applied Financial Economics 
Pages: 231-243 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332998 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332998
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:231-243




Template-Type: ReDIF-Article 1.0
Author-Name: Angelos Kanas 
Author-X-Name-First: Angelos 
Author-X-Name-Last: Kanas 
Title: Volatility spillovers across equity markets: European evidence 
Abstract:
  This paper examines the issue of volatility spillovers across the three
 largest European stock markets, namely London, Frankfurt and Paris. The
 Exponential Generalized Autoregressive Conditional Heteroscedasticity
 model is used to capture potential asymmetric effects of innovations on
 volatility. During the period from 01/01/84 to 07/12/93, reciprocal
 spillovers are found to exist between London and Paris, and between Paris
 and Frankfurt, and unidirectional spillovers from London to Frankfurt. In
 almost all cases, spillovers are asymmetric in the sense that bad news in
 one market has a greater effect on the volatility of another market than
 good news. An analysis for the pre-crash (01/01/84 - 15/09/87) and
 post-crash (15/11/87 - 07/12/93) periods suggests that more spillovers and
 spillovers with higher intensity exist during the latter period. These
 findings suggest that these markets became more interdependent during the
 post-crash period. 
Journal: Applied Financial Economics 
Pages: 245-256 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333005 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333005
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:245-256




Template-Type: ReDIF-Article 1.0
Author-Name: Seppo Pynnonen 
Author-X-Name-First: Seppo 
Author-X-Name-Last: Pynnonen 
Author-Name: Johan Knif 
Author-X-Name-First: Johan 
Author-X-Name-Last: Knif 
Title: Common long-term and short-term price memory in two Scandinavian stock markets 
Abstract:
  This paper expands the recent empirical studies of international capital
 market integration in mainly three aspects. First, the study focuses on
 two Scandinavian markets, the Finnish and the Swedish, that are receiving
 more and more attention by international analysts in light of the ongoing
 European integration. For investors, these new markets offer interesting
 diversification opportunities. Secondly, the study covers a very long time
 span from January 1920 to December 1994. Thirdly, using a variety of
 approaches the paper clarifies previously published confusing results
 regarding the lead - lag structure between these markets. The results
 indicate that no evident cointegration or even fractional cointegration
 between the markets exist. An analysis of short-term dynamics indicates
 that virtually all shock impulses are absorbed in both markets within one
 month. Sub-period analyses reveal increasing instantaneous causality
 between the markets in the passage of time, whereas no meaningful
 Granger-causality is found. 
Journal: Applied Financial Economics 
Pages: 257-265 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333014 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333014
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:257-265




Template-Type: ReDIF-Article 1.0
Author-Name: Peter Buhlmann 
Author-X-Name-First: Peter 
Author-X-Name-Last: Buhlmann 
Title: Extreme events from the return-volume process: a discretization approach for complexity reduction 
Abstract:
  We propose the discretization of real-valued financial time series into
 few ordinal values and use sparse Markov chains within the framework of
 generalized linear models for such categorical time series. The
 discretization operation causes a large reduction in the complexity of the
 data. We analyse daily return and volume data and estimate the probability
 structure of the process of lower extreme, upper extreme and the
 complementary usual events. Knowing the whole probability law of such
 ordinalvalued vector processes of extreme events of return and volume
 allows us to quantify non-linear associations. In particular, we find a
 new kind of asymmetry in the return - volume relationship. Estimated
 probabilities are also used to compute the MAP predictor whose power is
 found to be remarkably high. 
Journal: Applied Financial Economics 
Pages: 267-278 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333023 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333023
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:267-278




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Worthington 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Worthington 
Title: The determinants of non-bank financial institution efficiency: a stochastic cost frontier approach 
Abstract:
  A two-stage estimation procedure is employed to evaluate non-bank
 financial institution efficiency. In the first stage, maximum-likelihood
 estimates of an econometric cost function are obtained for a cross-section
 of 150 Australian credit unions. The results indicate that a typical
 credit union's costs in 1995 were only some 7% above what could be
 considered efficient. The second stage uses limited dependent variable
 regression techniques to relate credit union efficiency scores to
 structural and institutional considerations. The results indicate that
 non-core commercial activities are not a significant influence on the
 level of cost inefficiency, although asset size, capital adequacy
 regulation, and branch and agency networks are significant. A primary
 influence on credit union efficiency would appear to be the industrial or
 community associational bond under which they were created, and to a
 lesser extent the state-based regulatory framework. 
Journal: Applied Financial Economics 
Pages: 279-287 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333032 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333032
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:279-287




Template-Type: ReDIF-Article 1.0
Author-Name: Ana Lozano-Vivas 
Author-X-Name-First: Ana 
Author-X-Name-Last: Lozano-Vivas 
Title: Efficiency and technical change for Spanish banks 
Abstract:
  Frontier cost efficiency and technical change are examined for separate
 panels of Spanish commercial and savings banks over 1985-91, a period in
 which interest rates were totally deregulated and geographical
 restrictions were removed. Deregulation was supposed to provide an
 opportunity for the Spanish banking industry to become more efficient
 prior to the removal of competitive barriers between countries within the
 EEC. Two previous studies have estimated production frontiers for the
 operating cost component of Spanish savings banks using a non-parametric
 (DEA) approach, finding a decrease in relative efficiency plus the
 equivalent of higher frontier costs. Operating cost accounts for only 40%
 of total cost. By including all costs, financial as well as operating, we
 determine the total cost efficiency of Spanish commercial and savings
 banks and their total response to deregulation. Cost efficiency is
 determined using a thick frontier approach while shifts in the cost
 frontier are determined using a time trend analysis. Our results suggest
 that deregulation was associated with a decrease in relative cost
 efficiency for commercial banks but no change for savings banks. The cost
 frontier shifted up for both types of institutions over 1985-91. Overall,
 our efficiency results paint a more positive picture regarding the effects
 of deregulation on the Spanish banking industry than obtained previously,
 although we still find similar negative effects for technical change. 
Journal: Applied Financial Economics 
Pages: 289-300 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333041 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333041
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:289-300




Template-Type: ReDIF-Article 1.0
Author-Name: Kamhon Kan 
Author-X-Name-First: Kamhon 
Author-X-Name-Last: Kan 
Title: Credit spreads on government bonds 
Abstract:
  The paper considers the estimation of credit spreads for government bonds
 relative to supranational bonds. Two approaches are used for the
 estimation, namely, the hedonic regression method and the yield curve
 estimation method. The results reveal that there exists a substantial
 yield spread associated with Italian government bonds relative to bond
 yields of some supranational organizations. For bonds issued by the
 governments of Germany, France and the UK, the credit spreads are
 virtually zero relative to supranational bonds. 
Journal: Applied Financial Economics 
Pages: 301-313 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333050 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333050
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:301-313




Template-Type: ReDIF-Article 1.0
Author-Name: Yochanan Shachmurove 
Author-X-Name-First: Yochanan 
Author-X-Name-Last: Shachmurove 
Title: Portfolio analysis of South American stock markets 
Abstract:
  This paper analyses the optimal investment strategy in the stock markets
 of a selected group of South American countries: Mexico, Brazil, Argentina
 and Chile. The Markowitz efficiency frontiers are derived based on daily
 stock market index returns expressed in US dollars, for the period of 1
 January 1988 through 23 December 1993. In addition to the Markowitz
 algorithm, the low partial moment algorithm is used. The benefits of
 international diversification are studied from the perspectives of an
 American investor who can invest both in the US and in the South American
 stock markets. The paper assesses the risks and rewards of investing in
 these countries based on both foreign exchange as well as sovereign risks.
 It is shown that the optimal portfolio derived provides a risk-adjusted
 return that is better or, as good as, the return realizable from investing
 in stock markets with lesser degrees of risk. The optimal portfolio is
 calculated based on daily stock-market returns for the emerging South
 American countries mentioned, with the S&P 500 Index incorporated into the
 analysis. The portfolio's performance is then measured using various
 portfolio evaluation techniques. 
Journal: Applied Financial Economics 
Pages: 315-327 
Issue: 3 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098333069 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098333069
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:315-327




Template-Type: ReDIF-Article 1.0
Author-Name: Yiuman Tse 
Author-X-Name-First: Yiuman 
Author-X-Name-Last: Tse 
Title: Fractional cointegration tests with GARCH 
Abstract:
  This paper examines the GARCH effects on the Geweke and Porter-Hudak
 (GPH) and modified rescaled range (MRR) tests for the analysis of the
 deviations from the cointegrating relationship among series. The Monte
 Carlo results show that the MRR test is very robust to the GARCH effects.
 The GPH test tends to over-reject the null hypothesis of no (fractional)
 cointegration. but the bias is not very serious except when the variance
 processes are integrated. 
Journal: Applied Financial Economics 
Pages: 329-332 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332853 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332853
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:329-332




Template-Type: ReDIF-Article 1.0
Author-Name: W. Jos Jansen 
Author-X-Name-First: W. Jos 
Author-X-Name-Last: Jansen 
Title: The mean-variance model with capital controls and expectations formation. A test on German portfolio data 
Abstract:
  The static mean-variance (MV) portfolio model is extended with capital
 controls and tested on quarterly data for German private net wealth.
 Investors have to learn about the forecasting model using the available
 information. Estimation takes place in two stages: for each period an
 up-to-date forecasting model is estimated to compute time-varying first
 and second moments, which are then used to estimate the degree of risk
 aversion and capital control effects. The MV-restrictions are strongly
 rejected. Poor measurement of expectations could partly explain this
 finding as expected next-period returns hardly affect asset demand. In
 contrast, a strong link exists between asset holdings and long-term
 expected returns. 
Journal: Applied Financial Economics 
Pages: 333-346 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332862 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332862
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:333-346




Template-Type: ReDIF-Article 1.0
Author-Name: Mikiyo Kii Niizeki 
Author-X-Name-First: Mikiyo Kii 
Author-X-Name-Last: Niizeki 
Title: Empirical tests of short-term interest rate models: a nonparametric approach 
Abstract:
  Short-term interest rate models are investigated using daily data for
 both the US and Japan over the period October 1989 to January 1994. A
 nonparametric method is used to estimate the conditional mean and variance
 (volatility) of the short-term interest rate changes and to estimate their
 partial derivatives. In contrast to the Japanese interest rate, US
 interest rates exhibit mean reverting drift which is found to be
 nonlinear. The conditional variances of both US and Japanese interest rate
 changes are found to depend on the level of the interest rate nonlinearly. 
Journal: Applied Financial Economics 
Pages: 347-352 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332871 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332871
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:347-352




Template-Type: ReDIF-Article 1.0
Author-Name: David Bell 
Author-X-Name-First: David 
Author-X-Name-Last: Bell 
Author-Name: Eric Levin 
Author-X-Name-First: Eric 
Author-X-Name-Last: Levin 
Title: What causes intra-week regularities in stock returns? Some evidence from the UK 
Abstract:
  The calendar anomaly associated with negative stock returns over the
 weekend is investigated. It is argued that such effects may be caused by a
 number of institutional features. Using Datastream's daily stock returns
 index for the UK over the period 1980-1993, it is shown that after
 allowing for three institutional factors there is no residual weekend
 anomaly to be explained. These factors are: (i) financing discontinuities
 associated with the account settlement period; (ii) the relative scarcity
 of funds while finance is held in banks suspense and transmission accounts
 on Settlement Day; and (iii) firms reluctance to hold money during
 non-trading periods. 
Journal: Applied Financial Economics 
Pages: 353-357 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332880 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332880
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:353-357




Template-Type: ReDIF-Article 1.0
Author-Name: Gordon Tang 
Author-X-Name-First: Gordon 
Author-X-Name-Last: Tang 
Title: The intertemporal stability of the covariance and correlation matrices of Hong Kong stock returns 
Abstract:
  The intertemporal stability of the covariance matrix of stock returns is
 important in using ex-post factor structures on the APT and in portfolio
 optimization, while that of the correlation matrix is important in
 examining the ex-ante diversification benefits and stock return
 co-movements. By using Box's M test and an extension of the test, the
 intertemporal stability of the covariance and correlation matrices,
 respectively, of Hong Kong stock returns during the 1981-1992 time period
 are studied. Empirical results show that the covariance matrix of stock
 returns is less stable intertemporally than the corresponding correlation
 matrix and the results are robust across four different investment
 horizons. In general, the longer the investment horizon, the larger is the
 degree of intertemporal stability on both the covariance and correlation
 matrices of stock returns. 
Journal: Applied Financial Economics 
Pages: 359-365 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332899 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332899
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:359-365




Template-Type: ReDIF-Article 1.0
Author-Name: Burak Saltoglu 
Author-X-Name-First: Burak 
Author-X-Name-Last: Saltoglu 
Title: Speed of adjustment to the long-run equilibrium: an application with US Stock Price and Dividend data 
Abstract:
  The speed of adjustment parameters of the long-run relationship between
 stock prices and dividends are estimated. By using a recent technique
 called 'persistence profiles', the short-run dynamics of the simple
 present discount value relationship for the US annual data between 1878
 and 1987 is investigated. Estimates of the persistence profiles implied
 that system-wide shocks to the cointegrating relationship between stock
 prices and dividends take around 16 years to die out completely. The
 results obtained in this study can be interpreted with the existence of
 transaction costs in the financial markets or market inefficiencies. 
Journal: Applied Financial Economics 
Pages: 367-375 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332907 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332907
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:367-375




Template-Type: ReDIF-Article 1.0
Author-Name: Bjorn Hansson 
Author-X-Name-First: Bjorn 
Author-X-Name-Last: Hansson 
Author-Name: Peter Hordahl 
Author-X-Name-First: Peter 
Author-X-Name-Last: Hordahl 
Title: Testing the conditional CAPM using multivariate GARCH-M 
Abstract:
  The relation between expected return and time varying risk on the Swedish
 stock market for the period 1977 to 1990 is examined. Using a parsimonious
 multivariate GARCH-M model, the conditional Sharpe - Lintner - Mossin CAPM
 is tested against six alternative hypotheses, including the zero-beta
 version of CAPM, a conditional residual risk model, and models which nest
 the international CAPM and the consumption CAPM. The hypotheses are tested
 using beta-ranked, size-ranked, and industry-sorted portfolios. The
 estimates for the null hypothesis show that the price of risk is positive
 and significant for all portfolio groupings. Using robust LM-tests, the
 null hypothesis cannot be rejected in favour of any of the alternative
 hypotheses. In contrast to international evidence, where the traditional
 CAPM very often is rejected in favour of asset pricing models that rely on
 more general measures of risk, these results provide strong support for
 the Sharpe - Lintner - Mossin version of the conditional CAPM. 
Journal: Applied Financial Economics 
Pages: 377-388 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332916 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332916
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:377-388




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Hudson 
Author-X-Name-First: Robert 
Author-X-Name-Last: Hudson 
Author-Name: Kevin Keasey 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Keasey 
Author-Name: Mike Dempsey 
Author-X-Name-First: Mike 
Author-X-Name-Last: Dempsey 
Title: Share prices under Tory and Labour governments in the UK since 1945 
Abstract:
  Given the recent political landscape of the UK with the Labour Party
 forming a government for the first time since 1979, it is hardly
 surprising that the performance of the stock market under Tory and Labour
 governments is a topic of media and general interest. The primary purpose
 of this paper is to analyse the movement of the UK stock market over the
 post-war period against the background of different political parties
 being in power. The evidence presented concerning short-term share price
 movements indicates that the stock market responds both to the findings of
 opinion polls in the run up to elections and to elections themselves.
 Furthermore, the results from elections (inclusive of 'surprise'
 elections) indicate that there is a clear preference for a Tory
 government. In terms of share price movements across the period of a
 government's office, however, there is no statistically significant
 evidence (at commonly accepted confidence levels) to suggest that the
 stock market has performed better in either nominal or real terms under
 Tory government. In addition, via a simple comparison of share prices for
 the first and second halves of political terms of office, there is no
 evidence that either party is able to manipulate the economy and/or the
 market for election purposes. Given that longer-term share price movements
 do not support the short-term share price movements around elections, a
 number of key economic variables are examined. These indicate that Tory
 governments are not associated with superior performance in either real
 increases in GDP or company profits but that they have seen statistically
 significant lower levels of average inflation and higher average levels of
 real interest rates. As for share prices the paper considers whether the
 economic variables differ between the first and second halves of political
 terms of office; the results do not provide support for the management of
 economic variables for election purposes. Such a conclusion is supported
 by a more detailed analysis of GDP across political terms of office. 
Journal: Applied Financial Economics 
Pages: 389-400 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332925 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332925
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:389-400




Template-Type: ReDIF-Article 1.0
Author-Name: K. Ben Nowman 
Author-X-Name-First: K. Ben 
Author-X-Name-Last: Nowman 
Title: Continuous-time short term interest rate models 
Abstract:
  A number of continuous time models of the short-term interest rate are
 estimated using recently developed Gaussian estimation methods on four
 currencies interest rates. Results indicate that for the US and Japanese
 currencies currently used models perform well in capturing the adjustment
 of the interest rate process. It is also found that for the French and
 Italian currencies the dependence of volatility on the level of the
 interest rate is significantly higher than is usually assumed by
 well-known models. 
Journal: Applied Financial Economics 
Pages: 401-407 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332934 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332934
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:401-407




Template-Type: ReDIF-Article 1.0
Author-Name: Ching-Cheng Chang 
Author-X-Name-First: Ching-Cheng 
Author-X-Name-Last: Chang 
Author-Name: Tsung-Chuan Hsieh 
Author-X-Name-First: Tsung-Chuan 
Author-X-Name-Last: Hsieh 
Title: The economic efficiency of the Credit Department of Farmers' Associations in Taiwan 
Abstract:
  The efficiency performance of the Credit Department of Farmers
 Associations (CDFAs) in Taiwan is examined using a nonparametric
 programming approach. The findings show that most CDFAs are highly scale
 efficient, but the performance on technical and allocative efficiencies is
 not satisfactory. ANOVA and &#x3c7;2 tests are used to examine the impact
 of environmental factors measured by an urbanization index, while Tobit
 analysis is used to identify the association between the efficiency
 indices and the accounting-based financial performance ratios. While some
 of the statistical inferences are consistent with the stated hypothesis,
 others are not. This implies that the increased competition created by
 financial deregulation could improve CDFA performance through changes in
 portfolio management decision making. On the other hand, the
 risk-efficiency trade-off should be taken into consideration by regulatory
 agencies to monitor the performance of the CDFAs. 
Journal: Applied Financial Economics 
Pages: 409-418 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332943 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332943
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:409-418




Template-Type: ReDIF-Article 1.0
Author-Name: Jun Cai 
Author-X-Name-First: Jun 
Author-X-Name-Last: Cai 
Title: The long-run performance following Japanese rights issues 
Abstract:
  Japanese firms conducting 260 rights issues on the Tokyo Stock Exchange
 between 1971 and 1986 have subsequently performed poorly. The long-term
 downward drift is remarkably similar to those following Japanese initial
 public offerings and seasoned equity offerings, accompanied by a reliable
 pattern of post-issue deterioration of accounting profitability. The
 evidence therefore reinforces the 'windows of opportunity' explanation for
 the new issue puzzle, since rights issues involve much fewer changes in
 corporate ownership structure. 
Journal: Applied Financial Economics 
Pages: 419-434 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332952 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332952
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:419-434




Template-Type: ReDIF-Article 1.0
Author-Name: Lennart Berg 
Author-X-Name-First: Lennart 
Author-X-Name-Last: Berg 
Author-Name: Johan Lyhagen 
Author-X-Name-First: Johan 
Author-X-Name-Last: Lyhagen 
Title: Short and long-run dependence in Swedish stock returns 
Abstract:
  The behaviour of Swedish stock returns over short and long-run horizons
 is analysed. Using monthly data from 1919 to 1995 and, weekly and daily
 data for the 1980s and first part of the 1990s little evidence of long-run
 dependence was found. Using three different tests that are robust to
 short-term dependence and conditional hetroscedasticity it was found that
 the modified R/S (rescaled range) test and ARFIMA-GARCH tests provided no
 support for long-run memory in Swedish stock returns. Only the fractional
 differencing test, GPH, gave a significant result in two cases: for
 monthly real and nominal stock returns for the full and the first half of
 the sample at rather high frequency for the spectral analysis. 
Journal: Applied Financial Economics 
Pages: 435-443 
Issue: 4 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332961 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332961
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:435-443




Template-Type: ReDIF-Article 1.0
Author-Name: Theodor Kohers 
Author-X-Name-First: Theodor 
Author-X-Name-Last: Kohers 
Author-Name: Gerald Kohers 
Author-X-Name-First: Gerald 
Author-X-Name-Last: Kohers 
Author-Name: Vivek Pandey 
Author-X-Name-First: Vivek 
Author-X-Name-Last: Pandey 
Title: The contribution of emerging markets in international diversification strategies 
Abstract:
  New investment opportunities provided by emerging markets have intrigued
 investors striving to obtain a better risk - return combination for their
 international portfolios. With this expanded opportunity set, however,
 come some important questions: to take full advantage of international
 diversification benefits in a growing global market arena, must investors
 design comprehensive portfolios involving numerous countries and complex
 weighting schemes or do smaller portfolios using simplified weighting
 strategies perform as well? Furthermore, are emerging markets really a
 valuable component of these internationally diversified portfolios, or is
 an investor better off avoiding these markets in favour of the more
 established developed markets? Using theoretical portfolios which
 incorporate emerging markets to different extents and which reflect
 varying degrees of portfolio breadth and different weighting schemes, this
 study finds that the incremental benefits of broad-scale diversification
 efforts using complex weighting strategies is small. Furthermore, in these
 relatively small, yet well-performing portfolios, emerging markets play a
 critical role. Overall, equally weighted portfolios which include some
 emerging markets that have positive economic forecasts and low
 correlations with the other countries in the portfolio can provide
 diversification benefits which are comparable to portfolios with more
 breadth and more complex weighting schemes. 
Journal: Applied Financial Economics 
Pages: 445-454 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332736 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332736
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:445-454




Template-Type: ReDIF-Article 1.0
Author-Name: C. W. Jefferson 
Author-X-Name-First: C. W. 
Author-X-Name-Last: Jefferson 
Author-Name: J. E. Spencer 
Author-X-Name-First: J. E. 
Author-X-Name-Last: Spencer 
Title: A note on Credit Union reserve ratios and asset growth 
Abstract:
  The rapid growth of the British Credit Union movement in the 1990s has
 been accompanied by low and declining levels of reserves relative to
 assets. This has occurred even though the movement has more than fulfilled
 its statutory obligations to contribute to reserves out of surplus. A
 model of credit union accounts is developed to illustrate the negative
 relationship between the change in savings and the dividend rate. It also
 considers lags in the use of new savings as a further factor. The analysis
 supports the conclusion of the Chief Registrar of Friendly Societies that
 the only way for British Credit Unions to achieve the statutory minimum
 reserve ratio within a reasonable period is to cut back on dividend
 payments. 
Journal: Applied Financial Economics 
Pages: 455-458 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332745 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332745
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:455-458




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Worthington 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Worthington 
Title: Efficiency in Australian building societies: an econometric cost function approach 
Abstract:
  Maximum-likelihood estimates of a stochastic cost frontier function
 incorporating efficiency effects are obtained for 22 Australian building
 societies in the period 1992-1995. Cost inefficiency scores indicate that
 building societies' costs were 20% above what could be considered
 necessary. The results also indicate that capital adequacy restrictions
 are not a significant influence on the level of inefficiency, though
 branch and agency networks, asset size, and non-core commercial activities
 are. At the industry level that there has been an improvement in the level
 of cost efficiency of Australian building societies during the period in
 question. 
Journal: Applied Financial Economics 
Pages: 459-467 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332754 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332754
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:459-467




Template-Type: ReDIF-Article 1.0
Author-Name: R. D. Rossiter 
Author-X-Name-First: R. D. 
Author-X-Name-Last: Rossiter 
Title: Identifying credit and liquidity effects using a rank condition 
Abstract:
  The paper investigates whether credit and liquidity views of monetary
 policy transmission can be identified as separate elements of a system
 which has multiple cointegration vectors. Likelihood ratio analysis is
 used to determine the empirical validity of the commercial paper -
 Treasury bill spread and Johansen's rank condition tests identification
 restrictions for individual cointegration vectors. By imposing structural
 restrictions on a system of income, M2 and short-term interest rates, it
 is possible to generically identify individual cointegration vectors
 representing the credit and liquidity views, respectively, while a third
 vector is identified as a stationary relationship of short-term rates. 
Journal: Applied Financial Economics 
Pages: 469-475 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332763 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332763
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:469-475




Template-Type: ReDIF-Article 1.0
Author-Name: David Walsh 
Author-X-Name-First: David 
Author-X-Name-Last: Walsh 
Author-Name: Glenn Yu-Gen Tsou 
Author-X-Name-First: Glenn Yu-Gen 
Author-X-Name-Last: Tsou 
Title: Forecasting index volatility: sampling interval and non-trading effects 
Abstract:
  A detailed comparison is made of volatility forecasting techniques on
 Australian value-weighted indices. The techniques compared are the naive
 approach (historical volatility), an improved extreme-value method (IEV),
 the ARCH/GARCH class of models and an exponentially weighted moving
 average (EWMA) of volatility. The study suggests that the EWMA technique
 appears to be the best volatility forecasting technique, closely followed
 by the appropriate GARCH specification. Both the IEV and historical
 volatility approaches are poor by comparison. The diversification benefit
 that arises from indices with larger numbers of stocks appears to make
 forecasting the volatility of larger indices more accurate. However, as
 the sampling interval is reduced, the non-trading effects evident in the
 larger indices start to counteract this benefit. 
Journal: Applied Financial Economics 
Pages: 477-485 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332772 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332772
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:477-485




Template-Type: ReDIF-Article 1.0
Author-Name: Mike Adams 
Author-X-Name-First: Mike 
Author-X-Name-Last: Adams 
Author-Name: Philip Hardwick 
Author-X-Name-First: Philip 
Author-X-Name-Last: Hardwick 
Title: Determinants of the leasing decision in United Kingdom listed companies 
Abstract:
  The study tests empirically whether the leasing decision of United
 Kingdom companies is determined by four company-specific characteristics.
 The findings suggest that there is a positive relationship between the
 propensity to lease and both leverage and ownership structure. The study
 offers only limited support for the view that the propensity to lease is
 likely to fall as company size increases, and provides no support for the
 hypothesis that companies with more growth options in their investment
 opportunity sets will be more likely to lease than companies with more
 assets-in-place. 
Journal: Applied Financial Economics 
Pages: 487-494 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332781 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332781
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:487-494




Template-Type: ReDIF-Article 1.0
Author-Name: Alan King 
Author-X-Name-First: Alan 
Author-X-Name-Last: King 
Title: Uncovered interest parity: New Zealand' s post-deregulation experience 
Abstract:
  The uncovered interest parity (UIP) condition has been the subject of a
 considerable amount of research. Many of these studies, however, have
 either measured exchange rate expectations indirectly and/or have not
 considered the issue of data stationarity. Both of these issues have the
 potential to render tests of UIP problematical. This paper tests for the
 presence of UIP between New Zealand and four of its key trading partners
 using an approach that addresses both of the above issues. Strong evidence
 is found that UIP held between New Zealand and Australia in the period
 following the removal of capital controls, indicating that the capital
 markets of these two countries are now highly integrated. 
Journal: Applied Financial Economics 
Pages: 495-503 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332790 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332790
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:495-503




Template-Type: ReDIF-Article 1.0
Author-Name: Mikiyo Kii Niizeki 
Author-X-Name-First: Mikiyo Kii 
Author-X-Name-Last: Niizeki 
Title: A comparison of short-term interest rate models: empirical tests of interest rate volatility 
Abstract:
  This paper investigates short-term interest rate models using daily data
 for both the US and Japan over the five years October 1989 to January
 1994. A nonparametric method is used to estimate the volatility of the
 short-term interest rate and the results are compared with those from a
 parametric method. Three important features are found. First, a two-factor
 model can capture the behaviour of the interest rate better than a
 one-factor model. Second, although the US interest rate does not exhibit
 the mean reverting property, the Japanese interest rate does. Third, in
 contrast to the Japanese interest rate, the conditional variance of US
 interest rate changes is found to depend on the level of the interest
 rate. 
Journal: Applied Financial Economics 
Pages: 505-512 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332808 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332808
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:505-512




Template-Type: ReDIF-Article 1.0
Author-Name: John Thornton 
Author-X-Name-First: John 
Author-X-Name-Last: Thornton 
Title: Real stock prices and the long-run demand for money in Germany 
Abstract:
  The Johansen procedure of cointegration is used to test the hypothesis of
 a stationary relationship between real money balances, real income,
 interest rates and real stock prices in Germany for the period 1960-89,
 and an error correction representation of the data is used to explain the
 short-run dynamics of the demand for money. Results indicate that: real
 stock prices have a significant and positive wealth effect on the long-run
 demand for real M1 balances; there are feedback effects between real money
 balances and interest rates; and unidirectional Granger-causality runs
 from real income to interest rates, from interest rates to real stock
 prices, and from real money balances to real income. 
Journal: Applied Financial Economics 
Pages: 513-517 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332817 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332817
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:513-517




Template-Type: ReDIF-Article 1.0
Author-Name: Anthony Boardman 
Author-X-Name-First: Anthony 
Author-X-Name-Last: Boardman 
Author-Name: Z. Stuart Liu 
Author-X-Name-First: Z. Stuart 
Author-X-Name-Last: Liu 
Author-Name: Marshall Sarnat 
Author-X-Name-First: Marshall 
Author-X-Name-Last: Sarnat 
Author-Name: Ilan Vertinsky 
Author-X-Name-First: Ilan 
Author-X-Name-Last: Vertinsky 
Title: The effectiveness of tightening illegal insider trading regulation: the case of corporate takeovers 
Abstract:
  The impact of tightening the regulation of illegal insider trading in the
 United States is analysed. It is argued that more effective regulation
 will reduce the price run-up in target companies prior to takeover
 announcements. By comparing stock price responses to takeover
 announcements during two distinct regulatory regimes - a regime of lax
 regulation, prior to 1985, and a regime of stricter regulation, 1989-1991
 - inferences are made about the effectiveness of changes in illegal
 insider trading regulation. Using this approach, strong evidence is found
 that stricter regulation was effective in reducing illegal insider
 trading. Tightening the regulation had a greater impact on negotiated
 takeovers than on those initiated by bidding. Evidence also indicates
 that, for negotiated takeovers, but not for takeovers initiated by
 bidding, insiders associated with acquiring firms sought fewer but more
 profitable takeovers after the effective tightening of regulation,
 possibly to compensate them for the reduction in the profit opportunities
 from illegal insider trading. 
Journal: Applied Financial Economics 
Pages: 519-531 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332826 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332826
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:519-531




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Molyneux 
Author-X-Name-First: Philip 
Author-X-Name-Last: Molyneux 
Author-Name: Rama Seth 
Author-X-Name-First: Rama 
Author-X-Name-Last: Seth 
Title: Foreign banks, profits and commercial credit extension in the United States 
Abstract:
  The determinants of foreign bank profitability and commercial credit
 extension in the United States between 1987 and 1991 are simultaneously
 modelled. Overall the results indicate that capital strength, commercial
 and industrial loan growth and assets composition were important factors
 in determining foreign banks' return-on-assets in the period under study.
 Capital strength stands out as being the most important factor influencing
 foreign bank return on shareholders equity. US demand also appeared to be
 important in determining foreign bank performance but it had no
 significant impact on growth in commercial lending. There is also little
 evidence to suggest that the largest foreign banks are significantly more
 profitable than their smaller counterparts. In general, it appears that
 capital strength will be one of the most important factors determining
 foreign bank performance in the United States over the coming years. As a
 consequence, we tentatively suggest that capital considerations may well
 outweigh other factors when foreign bank expansion plans are considered in
 the United States especially in the light of the 1997 nationwide branch
 banking deregulation. 
Journal: Applied Financial Economics 
Pages: 533-539 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332835 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332835
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:533-539




Template-Type: ReDIF-Article 1.0
Author-Name: Joseph Plasmans 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Plasmans 
Author-Name: William Verkooijen 
Author-X-Name-First: William 
Author-X-Name-Last: Verkooijen 
Author-Name: Hennie Daniels 
Author-X-Name-First: Hennie 
Author-X-Name-Last: Daniels 
Title: Estimating structural exchange rate models by artificial neural networks 
Abstract:
  No theory of structural exchange rate determination has yet been found
 that performs well in prediction experiments. Only very seldom has the
 simple random walk model been significantly outperformed. Referring to
 three, sometimes highly nonlinear, monetary and nonmonetary structural
 exchange rate models, a feedforward artificial neural network
 specification is investigated to determine whether it improves the
 prediction performance of structural and random walk exchange rate models.
 A new test for univariate nonlinear cointegration is also derived.
 Important nonlinearities are not detected for monthly data of US dollar
 rates in Deutsche marks, Dutch guilders, British pounds and Japanese yens. 
Journal: Applied Financial Economics 
Pages: 541-551 
Issue: 5 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332844 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332844
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:5:p:541-551




Template-Type: ReDIF-Article 1.0
Author-Name: Paul Newbold 
Author-X-Name-First: Paul 
Author-X-Name-Last: Newbold 
Author-Name: Toni Rayner 
Author-X-Name-First: Toni 
Author-X-Name-Last: Rayner 
Author-Name: Neil Kellard 
Author-X-Name-First: Neil 
Author-X-Name-Last: Kellard 
Author-Name: Christine Ennew 
Author-X-Name-First: Christine 
Author-X-Name-Last: Ennew 
Title: Is the dollar/ECU exchange rate a random walk? 
Abstract:
  Monthly data on the $US/ECU exchange rate are analysed in light of the
 random walk hypothesis. A battery of tests, including procedures that are
 robust to conditional heteroscedasticity, are applied against linear
 alternatives to departures from the random walk. These tests are all based
 on the sample autocorrelations of the series of first differences of the
 logarithm of the monthly exchange rate. They were applied to the full
 sample of available data, and also to a subsample consisting of the most
 recent observations. On the whole, these tests provided just modest
 evidence against the random walk hypothesis. 
Journal: Applied Financial Economics 
Pages: 553-558 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332583 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332583
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:553-558




Template-Type: ReDIF-Article 1.0
Author-Name: Abdol Soofi 
Author-X-Name-First: Abdol 
Author-X-Name-Last: Soofi 
Title: A fractional cointegration test of purchasing power parity: the case of selected members of OPEC 
Abstract:
  In recent years, analysts have used cointegration tests in determining
 whether the residuals of the purchasing power parity (PPP) model are
 mean-reverting. Cointegration methods, however, rest on the binary
 selection of the series as either stationary or integrated of degree one.
 This approach excludes a class of long-memory stochastic processes with a
 fractional differencing parameter which also have mean-reverting
 characteristics. Fractional cointegration method tests the mean-reverting
 property of a series which is based on this class of stochastic processes.
 This paper uses cointegration and fractional cointegration methods in
 determining the mean-reverting properties of the parallel market exchange
 rates for several members of the Organization of Petroleum Producing
 Countries. The Geweke and Porter-Hudak (GPH) test results suggest that the
 PPP models for Algeria, Ecuador, Saudi Arabia and Venezuela are
 fractionally cointegrated. Moreover, according to the Augmented
 Dickey-Fuller (ADF) test, the PPP models for all countries under study,
 appear not to have a cointegrating vector. 
Journal: Applied Financial Economics 
Pages: 559-566 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332592 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332592
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:559-566




Template-Type: ReDIF-Article 1.0
Author-Name: Chulho Jung 
Author-X-Name-First: Chulho 
Author-X-Name-Last: Jung 
Author-Name: K. Doroodian 
Author-X-Name-First: K. 
Author-X-Name-Last: Doroodian 
Author-Name: Robert Albarano 
Author-X-Name-First: Robert 
Author-X-Name-Last: Albarano 
Title: The unbiased forward rate hypothesis: a re-examination 
Abstract:
  This paper attempts to reconcile the differences in previous studies of
 the tests of foreign exchange market efficiency. The results show that the
 market efficiency tests depend on the choice of model between the level
 and the percentage change specifications. Cointegration testing results
 and estimated error correction models provide the evidence of market
 inefficiency. 
Journal: Applied Financial Economics 
Pages: 567-575 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332600 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332600
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:567-575




Template-Type: ReDIF-Article 1.0
Author-Name: Ashok Parikh 
Author-X-Name-First: Ashok 
Author-X-Name-Last: Parikh 
Author-Name: Geoffrey Williams 
Author-X-Name-First: Geoffrey 
Author-X-Name-Last: Williams 
Title: Modelling real exchange rate behaviour: a cross-country study 
Abstract:
  The paper examines the behaviour of bilateral real exchange rates between
 Germany and fourteen major economies for the period January 1972 to
 December 1994. Time series techniques are used to consider a number of
 hypotheses including whether the real exchange rate is mean reverting;
 whether deviations follow a stable time series process; whether the
 underlying process can be modelled adequately and whether there is any
 evidence of risk premia. Evidence is provided that relationships of these
 sort can indeed be established for a selection of economies and that
 despite economic policy directed towards exchange rate stability,
 significant risk premia are present in the bilateral real exchange rates
 examined. 
Journal: Applied Financial Economics 
Pages: 577-587 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332619 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332619
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:577-587




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Hans Franses 
Author-X-Name-First: Philip Hans 
Author-X-Name-Last: Franses 
Author-Name: Paul van Homelen 
Author-X-Name-First: Paul 
Author-X-Name-Last: van Homelen 
Title: On forecasting exchange rates using neural networks 
Abstract:
  The paper considers the modelling, description and forecasting of four
 daily exchange rate returns relative to the Dutch guilder using artificial
 neural network models (ANNs). Based on simulations it is argued (i) that
 neglected GARCH does not lead to spuriously successful ANNs and (ii) that
 if there is some form of nonlinearity other than GARCH, ANNs will exploit
 this for improved forecasting. For the sample data it is found that ANNs
 do not yield favourable in-sample fits or forecasting performance. These
 results are interpreted as indicating that the nonlinearity often found in
 exchange rates is most likely due to GARCH and therefore ANNs are
 recommended as a diagnostic for mean nonlinearity. 
Journal: Applied Financial Economics 
Pages: 589-596 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332628 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332628
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:589-596




Template-Type: ReDIF-Article 1.0
Author-Name: Colm Kearney 
Author-X-Name-First: Colm 
Author-X-Name-Last: Kearney 
Author-Name: Kevin Daly 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Daly 
Title: The causes of stock market volatility in Australia 
Abstract:
  The paper examines the extent to which the conditional volatility of
 stock market returns in a small, internationally integrated stock market
 are related to the conditional volatility of financial and business cycle
 variables. It employs a low frequency monthly dataset for Australia
 including stock market returns, interest rates, inflation, the money
 supply, industrial production and the current account deficit over the
 period from July 1972 to January 1994. A novel feature of the analysis is
 the estimation strategy employed to overcome the generated regressors
 problem which pervades some recent related research. Specifically, the
 procedure of employing a two-stage estimation process to first estimate
 conditional volatilities and then model their interrelationships yields
 inefficient estimates, introduces bias into a number of diagnostic test
 statistics and generates potentially invalid inferences. This problem is
 overcome in the current paper by jointly estimating the equation for the
 conditional volatility of stock market returns together with the equations
 determining the conditional volatilities of all variables included in the
 model using the generalized least squares (GLS) estimation procedure
 together with the Hendry general-to-specific modelling strategy. Among the
 most important determinants of the conditional volatility of the
 Australian stock market are found to be the conditional volatilities of
 inflation and interest rates which are directly associated with stock
 market volatility, and the conditional volatilities of industrial
 production, the current account deficit and the money supply which are
 indirectly associated with stock market conditional volatility. Among
 these variables, the strongest effect is found to be from the conditional
 volatility of the money supply to the conditional volatility of the stock
 market. By contrast, no evidence is found of volatility spillover from the
 foreign exchange market to the stock market in Australia. 
Journal: Applied Financial Economics 
Pages: 597-605 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332637 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332637
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:597-605




Template-Type: ReDIF-Article 1.0
Author-Name: Angelos Kanas 
Author-X-Name-First: Angelos 
Author-X-Name-Last: Kanas 
Title: Linkages between the US and European equity markets: further evidence from cointegration tests 
Abstract:
  The paper employs the multivariate trace statistic P-super-&#x2c6;z, the
 Johansen method, and the recently proposed Bierens nonparametric approach
 to test for pairwise cointegration between the US and each of the six
 largest European equity markets, namely those of the UK, Germany, France,
 Switzerland, Italy, and the Netherlands. The analysis covers the period
 03/01/83-29/11/96. The results from these tests are robust and consistent
 in suggesting that the US market is not pairwise cointegrated with any of
 the European markets, which is in contrast to previous evidence on the
 linkages between the US and European markets. This finding implies that
 there exist potential long-run benefits in risk reduction from
 diversifying in US stocks and stocks in any of the major European markets. 
Journal: Applied Financial Economics 
Pages: 607-614 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332646 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332646
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:607-614




Template-Type: ReDIF-Article 1.0
Author-Name: Guglielmo Maria Caporale 
Author-X-Name-First: Guglielmo Maria 
Author-X-Name-Last: Caporale 
Author-Name: Nikitas Pittis 
Author-X-Name-First: Nikitas 
Author-X-Name-Last: Pittis 
Title: Term structure and interest differentials as predictors of future inflation changes and inflation differentials 
Abstract:
  The paper tests the unbiasedness of interest differentials and term
 structure as predictors of inflation differentials and inflation changes,
 respectively, using three-, six- and twelve-month maturities in eight
 major industrial countries over the period 1981-1992. The first hypothesis
 requires rational expectations (RE) and equality of ex-ante real interest
 rates, which in turn holds only in the presence of uncovered interest
 parity (UIP) and ex-ante purchasing power parity (PPP). The second is
 correct if, in addition to RE, the Fisher hypothesis and constancy of
 ex-ante real rates are satisfied. The empirical results lead to the
 rejection of both null hypotheses, although interest differentials and
 term structure do appear to be relatively useful for forecasting purposes.
 In particular, the interest differential model performs better than simple
 ARMA models at the shortest end of the maturity spectrum in out-of-sample
 forecasting. 
Journal: Applied Financial Economics 
Pages: 615-625 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332655 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332655
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:615-625




Template-Type: ReDIF-Article 1.0
Author-Name: Chay Fisher 
Author-X-Name-First: Chay 
Author-X-Name-Last: Fisher 
Author-Name: Bruce Felmingham 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Felmingham 
Title: The Australian yield curve as a leading indicator of consumption growth 
Abstract:
  The purpose of the reported research is to determine if Australia's real
 consumption growth is predicted by real and/or nominal yield spreads. To
 this end, a model of the relationship between consumption growth and
 interest rates is derived from neoclassical, utility maximizing premises.
 This theoretical foundation is applied to quarterly Australian data over
 the period 1983:4 to 1995:4. The time series on real consumption and yield
 spreads is stationary. Initial OLS estimates are subjected to the Newey
 West transformation and show that all 'real' spreads from one quarter to
 two years are significant, but at the short end these are of the wrong
 sign. Nominal spreads of one and two year length influence real
 consumption growth. The model provides accurate out-of-sample predictions.
 GMM estimation of the relationship between real spreads and real
 consumption are significant and of the correct sign at the longer end of
 the yield curve. Policy implications are indicated. 
Journal: Applied Financial Economics 
Pages: 627-635 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332664 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332664
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:627-635




Template-Type: ReDIF-Article 1.0
Author-Name: Babak Eftekhari 
Author-X-Name-First: Babak 
Author-X-Name-Last: Eftekhari 
Title: Lower partial moment hedge ratios 
Abstract:
  Some investors may benefit from using measures of risk other than the
 variance in their investment decisions, specially if they are concerned
 with minimizing the downside risk of their portfolios. An accessible
 numerical method for calculating hedge ratios given any measure of risk is
 presented. The method is applied to the FTSE-100 index and the futures on
 FTSE-100, using a downside risk measure, namely the lower partial moment.
 The results show that lower partial moment hedge ratios are effective in
 reducing downside risk and increasing returns. 
Journal: Applied Financial Economics 
Pages: 645-652 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332682 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332682
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:645-652




Template-Type: ReDIF-Article 1.0
Author-Name: J. Colin Glass 
Author-X-Name-First: J. Colin 
Author-X-Name-Last: Glass 
Author-Name: Donal McKillop 
Author-X-Name-First: Donal 
Author-X-Name-Last: McKillop 
Author-Name: Yukio Morikawa 
Author-X-Name-First: Yukio 
Author-X-Name-Last: Morikawa 
Title: Intermediation and value-added models for estimating cost economies in large Japanese banks 1977-93 
Abstract:
Journal: Applied Financial Economics 
Pages: 653-661 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332691 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332691
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:653-661




Template-Type: ReDIF-Article 1.0
Author-Name: C. John McDermott 
Author-X-Name-First: C. John 
Author-X-Name-Last: McDermott 
Title: Testing the expectations model of the term structure in times of financial transition 
Abstract:
  The efficient market theory of the term structure (expectations theory
 plus rational expectations) is tested using cointegration methods and a
 long time span of historical data. The data are from eighteenth century
 England. The data set is intriguing in that it covers many sub-periods of
 financial transition. The contribution of this paper lies crucially on
 this historical period with its changing economic and political
 environment. For this reason considerable effort has gone into dealing
 with structural or transitional changes using modern econometric methods.
 Evidence supporting the efficient market theory is found conditional on
 the existence of a regime transition in the last decade of the eighteenth
 century. 
Journal: Applied Financial Economics 
Pages: 663-669 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332709 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332709
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:663-669




Template-Type: ReDIF-Article 1.0
Author-Name: Ronald Mahieu 
Author-X-Name-First: Ronald 
Author-X-Name-Last: Mahieu 
Author-Name: Rob Bauer 
Author-X-Name-First: Rob 
Author-X-Name-Last: Bauer 
Title: A Bayesian analysis of stock return volatility and trading volume 
Abstract:
  The relationship between stock return volatility and trading volume is
 analysed by using the modified mixture model (MMM) framework proposed by
 Andersen (1996). This theory postulates that price changes and volumes are
 driven by a common latent information process, which is commonly
 interpreted as the volatility. Using GMM estimation Andersen finds that
 the persistence in this latent process falls when a bivariate model of
 returns and volume, i.e. the MMM, is estimated instead of a univariate
 model for returns. This empirical finding is inconsistent with the MMM. As
 opposed to Andersen's study we apply recently developed simulation
 techniques based on Markov Chain Monte Carlo (MCMC). A clear advantage of
 MCMC methods is that estimates of volatility are readily available for use
 in, for example, dynamic portfolio allocation and option pricing
 applications. Using Andersen's data for IBM we find that the persistence
 of volatility remains high in the bivariate case. This suggests that the
 choice of the estimation technique could be important in testing the
 validity of the MMM. 
Journal: Applied Financial Economics 
Pages: 671-687 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332718 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332718
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:671-687




Template-Type: ReDIF-Article 1.0
Author-Name: C. Edward Chang 
Author-X-Name-First: C. Edward 
Author-X-Name-Last: Chang 
Author-Name: Iftekhar Hasan 
Author-X-Name-First: Iftekhar 
Author-X-Name-Last: Hasan 
Author-Name: William Hunter 
Author-X-Name-First: William 
Author-X-Name-Last: Hunter 
Title: Efficiency of multinational banks: an empirical investigation 
Abstract:
  This paper conducts a comparative analysis of the productive efficiency
 of foreign-owned and US-owned multinational commercial banks operating in
 the US. A multiproduct translog stochastic-cost frontier model approach is
 used to estimate cost inefficiency scores. Ordinary Least Squares and
 Tobit regressions are used to identify the key factors associated with
 inefficiency. The results indicate that foreign-owned multinational banks
 operating in the US are significantly less efficient than their US-owned
 counterparts and that large multinational banks in holding company
 networks carrying fewer foreign assets tend to be more efficient. 
Journal: Applied Financial Economics 
Pages: 689-696 
Issue: 6 
Volume: 8 
Year: 1998 
X-DOI: 10.1080/096031098332727 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332727
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:689-696




Template-Type: ReDIF-Article 1.0
Author-Name: Robert-Jan Gerrits 
Author-X-Name-First: Robert-Jan 
Author-X-Name-Last: Gerrits 
Author-Name: Ayse Yuce 
Author-X-Name-First: Ayse 
Author-X-Name-Last: Yuce 
Title: Short- and long-term links among European and US stock markets 
Abstract:
  Recently, national economies have become more internationalized because
 of increased trade and increased cooperation between national governments
 leading to removal of barriers to free flow of goods and services, and
 financial, physical and human capital. The relationship between equity
 markets in various countries has been examined extensively in the
 literature. This study tests the interdependence between stock prices in
 Germany, the UK, the Netherlands and the US, using daily closing prices
 for the period between March 1990 and October 1994. Results of the tests
 show that the US exerts a significant impact on European markets.
 Moreover, the three European markets influence each other in the short and
 long run. Therefore, diversification among these national stock markets
 will not greatly reduce the portfolio risk without sacrificing the
 expected return. 
Journal: Applied Financial Economics 
Pages: 1-9 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332483 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332483
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:1-9




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Simper 
Author-X-Name-First: Richard 
Author-X-Name-Last: Simper 
Title: Economies of scale in the Italian saving bank industry 
Abstract:
  The Italian saving bank industry has undergone fundamental changes in its
 operational structure due to new competitive pressures. The gradual
 opening up of the European banking market has meant that a study of
 different banking cultures within the EEC is both warranted and needed.
 This paper is concerned with a sample of Italian saving banks during the
 1980s and the deregulation of the industry in line with increasing EEC
 competition. A translog cost function is constructed and economies of
 scale and elasticities are estimated to enable an evaluation of this
 important overregulated market in the run up to near total deregulation.
 Overall, significant economies of scale and technological change during
 the period 1982 to 1989 are found. 
Journal: Applied Financial Economics 
Pages: 11-19 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332492 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332492
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:11-19




Template-Type: ReDIF-Article 1.0
Author-Name: David Walsh 
Author-X-Name-First: David 
Author-X-Name-Last: Walsh 
Title: Uncertain information release and informed trading 
Abstract:
  The effect of uncertainty about the exact public release time of a
 private signal is studied. In showing that an equilibrium trading strategy
 for informed traders and an equilibrium pricing rule for the market maker
 exist, the trade-off between this uncertainty and informed trader
 competition can be studied for different types of information, and its
 impact on information release policies of firms. As expected, uncertainty
 with regard to the release date (on its own or with competition between
 informed traders) induces increased price informativeness and trading
 intensity by informed traders. Implications of this include an increase in
 price informativeness and a decrease in informed trader profits in the
 following circumstances: (i) for unpredictable information release dates
 rather than predictable; (ii) for good news rather than bad news; and
 (iii) if a firm chooses stochastic rather than constant release dates for
 predictable information releases. 
Journal: Applied Financial Economics 
Pages: 21-30 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332500 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332500
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:21-30




Template-Type: ReDIF-Article 1.0
Author-Name: A. Mazaheri 
Author-X-Name-First: A. 
Author-X-Name-Last: Mazaheri 
Title: Convenience yield, mean reverting prices, and long memory in the petroleum market 
Abstract:
  The paper analyses convenience yields in the petroleum market. The
 implied convenience yield for petroleum and petroleum products is found to
 be driven by a non-stationary and mean reverting long memory process. The
 theoretical implication of this finding is established. It is suggested
 that this might be attributed to the fact that the market is expecting
 mean reversion in the spot prices. It is demonstrated that crude oil and
 unleaded gasoline are driven by similar mean reversion processes whereas
 heating oil exhibits a more seasonal pattern. This suggests that the
 market expects a more seasonal fluctuation in heating oil than crude oil
 or unleaded gasoline prices. Furthermore, the volatility process and its
 relation with the mean process has been found to be in accordance with the
 prediction of the theory of storage, i.e. positive convenience yields tend
 to be more volatile. In addition, it is argued that, consistent with
 implications of the theory of storage, higher convenience yields tend to
 cause higher volatility. However, the asymmetric nature of this causality
 implies that positive convenience yields are more likely to cause higher
 volatility than negative. 
Journal: Applied Financial Economics 
Pages: 31-50 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332519 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332519
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:31-50




Template-Type: ReDIF-Article 1.0
Author-Name: Bing-Huei Lin 
Author-X-Name-First: Bing-Huei 
Author-X-Name-Last: Lin 
Author-Name: Ren-Raw Chen 
Author-X-Name-First: Ren-Raw 
Author-X-Name-Last: Chen 
Author-Name: Jian-Hsin Chou 
Author-X-Name-First: Jian-Hsin 
Author-X-Name-Last: Chou 
Title: Pricing and quality option in Japanese government bond futures 
Abstract:
  An empirical study of the Hull - White model for pricing Treasury bond
 futures contracts with quality option is presented. Japanese long-term
 Government Bond (JGB) futures contracts are chosen, because unlike US
 Treasury bond futures contracts, which embed both the quality and timing
 options, the JGB contracts contain only the quality option. Interest rate
 model parameters are estimated using a simple regression technique and the
 yield curve is smoothed by B-spline functions with a correction for
 heteroscedasticity. By applying a discrete trinomial tree approach
 proposed by Hull and White, the quality option embedded in the JGB futures
 is then determined by the difference between the theoretical futures
 prices for contracts with and without allowing multiple deliverable
 grades. Without the addition of other timing options, the value of the
 pure quality option is less significant compared to those of other
 empirical studies. It is approximately 0.02 percentage points of par three
 months prior to delivery. In this study, it is demonstrated that the Hull
 - White model is simple and computationally efficient. 
Journal: Applied Financial Economics 
Pages: 51-65 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332528 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332528
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:51-65




Template-Type: ReDIF-Article 1.0
Author-Name: J. Andrew Coutts 
Author-X-Name-First: J. Andrew 
Author-X-Name-Last: Coutts 
Author-Name: Peter Hayes 
Author-X-Name-First: Peter 
Author-X-Name-Last: Hayes 
Title: The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994 
Abstract:
  In recent years financial economists have provided much evidence of
 regularities in security market returns, and consequently the notion of
 market efficiency has been questioned. In the paper the so called 'weekend
 effect' is investigated for daily returns from the Financial Times
 Industrial Ordinary Shares Index. Empirical results suggest that a weekend
 effect does indeed exist, but that it is not as strong as has been
 previously documented for other major UK indices. Upon consideration of
 the operation of the stock exchange account, it is suggested that the
 weekend effect is in part a settlement effect. Finally, it is concluded
 that results do not contest the notion of market efficiency. 
Journal: Applied Financial Economics 
Pages: 67-71 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332537 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332537
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:67-71




Template-Type: ReDIF-Article 1.0
Author-Name: Yin-Wong Cheung 
Author-X-Name-First: Yin-Wong 
Author-X-Name-Last: Cheung 
Author-Name: Kon Lai 
Author-X-Name-First: Kon 
Author-X-Name-Last: Lai 
Title: Macroeconomic determinants of long-term stock market comovements among major EMS countries 
Abstract:
  Long-term comovements of national stock markets in three EMS (European
 Monetary System) countries - France, Germany and Italy - are examined. The
 EMS stock markets are found to display long-term comovements governed by
 two common permanent components. To identify some interpretable sources of
 such long-term market comovements, the study explores whether they can be
 linked to similar comovements in macroeconomic variables, including the
 money supply, dividends and industrial production. Like stock prices, two
 common permanent components are found driving the comovements in each of
 these variables. Further analysis suggests that the long-term comovements
 in stock prices can be partly attributable to those in the macroeconomic
 variables, especially for the post-1987 period. The results confirm at
 least a limited role of these macroeconomic variables in accounting for
 the stock market comovements among the EMS countries. 
Journal: Applied Financial Economics 
Pages: 73-85 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332546 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332546
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:73-85




Template-Type: ReDIF-Article 1.0
Author-Name: Luca Stanca 
Author-X-Name-First: Luca 
Author-X-Name-Last: Stanca 
Author-Name: Domenico Delli Gatti 
Author-X-Name-First: Domenico Delli 
Author-X-Name-Last: Gatti 
Author-Name: Mauro Gallegati 
Author-X-Name-First: Mauro 
Author-X-Name-Last: Gallegati 
Title: Financial fragility, heterogeneous agents, and aggregate fluctuations: evidence from a panel of US firms 
Abstract:
  This paper describes an empirical study of the implications of agents'
 heterogeneity for theories of macroeconomic fluctuations based on the role
 of financial variables. Models of explicit distribution dynamics are
 applied to company account data from a panel of US manufacturing firms to
 investigate the dynamics of the entire crosssection distribution of firms'
 financial positions and the interactions with aggregate activity. It is
 found that the pattern of cyclical co-movements is consistent with models
 where aggregate fluctuations are endogenously and jointly determined with
 financial conditions. The dynamics of different parts of the leverage
 distribution contain significant predictive information for aggregate
 investment growth. The distribution dynamics reveal substantial
 intra-distribution mobility, although there is little evidence of
 significant interactions with aggregate economic activity.
 Intra-distribution mobility is higher for small firms than for large
 firms, and displays asymmetric patterns across business cycle phases. 
Journal: Applied Financial Economics 
Pages: 87-99 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332555 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332555
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:87-99




Template-Type: ReDIF-Article 1.0
Author-Name: Adusei Jumah 
Author-X-Name-First: Adusei 
Author-X-Name-Last: Jumah 
Author-Name: Sohbet Karbuz 
Author-X-Name-First: Sohbet 
Author-X-Name-Last: Karbuz 
Author-Name: Gerhard Runstler 
Author-X-Name-First: Gerhard 
Author-X-Name-Last: Runstler 
Title: Interest rate differentials, market integration, and the efficiency of commodity futures markets 
Abstract:
  Tests for the efficiency of commodity arbitrage typically fail to find
 cointegration relationships between spot and futures prices and between
 markets. The reported study investigates the issue for spot and futures
 prices of cocoa on New York and London markets by means of the Johansen
 maximum likelihood approach adding interest rates as conditioning
 variables. The results indicate that interest rates may play an important
 role in establishing the hypothesized relationships. It is further found
 that futures prices Granger-cause spot prices, but not vice versa. This is
 interpreted as evidence for spot prices reacting slowly to new
 information. 
Journal: Applied Financial Economics 
Pages: 101-108 
Issue: 1 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332564 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332564
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:101-108




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Parkes 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Parkes 
Author-Name: Andreas Savvides 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Savvides 
Title: Purchasing power parity in the long run and structural breaks: evidence from real sterling exchange rates 
Abstract:
  The paper contributes to the growing evidence in favour of mean reversion
 in real exchange rates of industrial countries. The sequential regression
 model is used to search for endogenous structural breaks in long-term
 annual sterling exchange rates for the G-7. Any structural breaks thus
 detected are introduced into a system of univariate autoregressions of the
 real exchange rate estimated jointly via restricted GLS. Multivariate unit
 root tests reject the null hypothesis decisively. Our evidence, however,
 shows that reversion of long-term sterling exchange rates is towards a
 mean that (for some exchange rates) experiences a structural shift at an
 endogenously determined date. 
Journal: Applied Financial Economics 
Pages: 117-127 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332384 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332384
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:117-127




Template-Type: ReDIF-Article 1.0
Author-Name: Liam Gallagher 
Author-X-Name-First: Liam 
Author-X-Name-Last: Gallagher 
Title: A multi-country analysis of the temporary and permanent components of stock prices 
Abstract:
  The paper investigates the mean-reverting components in real stock prices
 for 16 countries. The temporary and permanent components of real stock
 prices are identified through appropriate restrictions on a vector
 autoregression of real stock returns and inflation. The multivariate time
 series technique identifies the size and significance of the
 mean-reverting component. The evidence supports the mean-reversion
 hypothesis that stock prices are not random walks. A significant temporary
 component in real stock prices of magnitude between 7 and 64% of the
 variation of quarterly real stock price movements is found. For a number
 of countries there is evidence of persistence in the temporary component. 
Journal: Applied Financial Economics 
Pages: 129-142 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332393 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332393
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:129-142




Template-Type: ReDIF-Article 1.0
Author-Name: Salvatore Terregrossa 
Author-X-Name-First: Salvatore 
Author-X-Name-Last: Terregrossa 
Title: Combining analysts' forecasts with causal model forecasts of earnings growth 
Abstract:
  In combination forecasting the conventional approach is to combine the
 experts or the analysts forecast with a time-series model forecast. An
 alternative approach is to combine the analysts forecast with a causal
 model forecast. The major component of the proposed expected-return/causal
 model is the Capital Asset Pricing Model (CAPM). It is found that
 combining financial analysts consensus forecasts with CAPM simulated
 ex-ante forecasts consistently leads to superior forecasts of five-year
 earnings-per-share growth rates, on average, relative to either component
 forecast. This result holds over four adjacent five-year time horizons,
 ending in 1990, the last year of the study. 
Journal: Applied Financial Economics 
Pages: 143-153 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332401 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332401
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:143-153




Template-Type: ReDIF-Article 1.0
Author-Name: Ralf Ostermark 
Author-X-Name-First: Ralf 
Author-X-Name-Last: Ostermark 
Author-Name: Jaana Aaltonen 
Author-X-Name-First: Jaana 
Author-X-Name-Last: Aaltonen 
Title: Comparison of univariate and multivariate Granger causality in international asset pricing. Evidence from Finnish and Japanese financial economies 
Abstract:
  The study compares multivariate and univariate tests of causality in a
 rolling framework in testing whether the Japanese stock market 'causes'
 the Finnish cash and derivatives markets in the Granger sense. The
 multivariate algorithm generates the time pattern of causality of the
 underlying vector process. Significant causality is observed at distinct
 time intervals within the sample period, possibly during periods of regime
 switches, trend changes or major global disturbances. The multivariate
 causality is then decomposed into four univariate causality tests. The
 effect of each univariate causality pattern on the multivariate causality
 is tested by a recursive least squares regression (RLS) method. 
Journal: Applied Financial Economics 
Pages: 155-165 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332410 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332410
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:155-165




Template-Type: ReDIF-Article 1.0
Author-Name: Roberto Fernandes Guimaraes-Filho 
Author-X-Name-First: Roberto Fernandes 
Author-X-Name-Last: Guimaraes-Filho 
Title: Does purchasing power parity hold after all? Evidence from a robust test 
Abstract:
  The paper tests the purchasing power parity (PPP) hypothesis using the
 Brazilian (versus US) real exchange rate from 1855 to 1990. The novelty of
 the approach pursued here is methodological. Instead of relying on
 traditional unit roots and cointegration tests found elsewhere, a robust
 unit root test recently proposed by Hasan and Koenker is applied. Contrary
 to traditional least squares based tests, the robust test used here is
 more powerful under non-Gaussian disturbances. The more conventional ADF,
 PP and KPSS tests are also applied to the series in question. Contrary to
 most studies that employ longer samples, the unit root hypothesis cannot
 be rejected, thus, weakening the validity of PPP as a long-run concept.
 The inability to reject the unit root hypothesis with more than a century
 of data poses serious questions for the profession's consensus that PPP
 holds in the long run. 
Journal: Applied Financial Economics 
Pages: 167-172 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332429 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332429
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:167-172




Template-Type: ReDIF-Article 1.0
Author-Name: Hans Dewachter 
Author-X-Name-First: Hans 
Author-X-Name-Last: Dewachter 
Author-Name: Geert Gielens 
Author-X-Name-First: Geert 
Author-X-Name-Last: Gielens 
Title: Setting futures margins: the extremes approach 
Abstract:
  Using a cost minimizing approach it can be shown that futures margins are
 set optimally when the cost rate induced by the margin equals the
 probability of default. Empirically this implies that extreme value
 analysis should be used since cost rates are, most likely, very small.
 Application of this approach to NYSE composite futures for the period
 1982-1990 shows that actual margins are too invariable and too low,
 especially before the stock market crash of October 1987. 
Journal: Applied Financial Economics 
Pages: 173-181 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332438 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332438
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:173-181




Template-Type: ReDIF-Article 1.0
Author-Name: Colin Fyfe 
Author-X-Name-First: Colin 
Author-X-Name-Last: Fyfe 
Author-Name: John Paul Marney 
Author-X-Name-First: John Paul 
Author-X-Name-Last: Marney 
Author-Name: Heather Tarbert 
Author-X-Name-First: Heather 
Author-X-Name-Last: Tarbert 
Title: Technical analysis versus market efficiency - a genetic programming approach 
Abstract:
  In the paper the authors maintain that the prevalence of technical
 analysis in professional investment argues that such techniques should
 perhaps be taken more seriously by academics. The new technique of genetic
 programming is used to investigate a long time series of price data for a
 quoted property investment company, to discern whether there are any
 patterns in the data which could be used for technical trading purposes. A
 successful buy rule is found which generates returns in excess of what
 would be expected from the best-fitting null time-series model.
 Nevertheless, this turns out to be a more sophisticated variant of the buy
 and hold rule, which the authors term timing specific buy and hold.
 Although the rule does outperform simple buy and hold, it really does not
 provide sufficient grounds for the rejection of the efficient market
 hypothesis, though it does suggest that further investigation of the
 specific conditions of applicability of the EMH may be appropriate. 
Journal: Applied Financial Economics 
Pages: 183-191 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332447 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332447
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:183-191




Template-Type: ReDIF-Article 1.0
Author-Name: Victoria Hoogenveen 
Author-X-Name-First: Victoria 
Author-X-Name-Last: Hoogenveen 
Author-Name: Elmer Sterken 
Author-X-Name-First: Elmer 
Author-X-Name-Last: Sterken 
Title: Parameterization of model-consistent expectations in monetary policy models 
Abstract:
  The paper discusses a parameterization of model-consistent expectations
 in nonlinear dynamic monetary policy growth models. Two models that cannot
 be solved analytically due to the inclusion of a stochastic process are
 discussed. In the first one, money provides services as a means of payment
 that eases purchasing goods and is incorporated in the utility function.
 In the second model the holding of money by a producer favours production
 through the effect liquidity has on investment possibilities. In both
 models, the inflation rates are generated by an exogenous stochastic
 process. The objective of this paper is to address the impact of inflation
 on consumption and money. In the solution method iterative least squares
 were applied combined with simulation. It is shown that a change in the
 variance of the inflation process affects the density functions of both
 consumption and real money balances. 
Journal: Applied Financial Economics 
Pages: 193-200 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332456 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332456
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:193-200




Template-Type: ReDIF-Article 1.0
Author-Name: Yen-Sheng Huang 
Author-X-Name-First: Yen-Sheng 
Author-X-Name-Last: Huang 
Title: The price behaviour of initial public offerings on the Taiwan Stock Exchange 
Abstract:
  The paper examines the stock price behaviour of 311 initial public
 offerings (IPOs) on the Taiwan Stock Exchange for the period 1971-95. The
 IPOs are significantly underpriced. The initial risk-adjusted excess
 return is 42.6% from the listed day until the first non-limit trading day.
 The initial risk-adjusted return is positively related to the
 ovesubscription ratio, which is consistent with Rock's model. The
 aftermarket performance is consistent with the efficient market
 hypothesis. The cumulative abnormal return estimated by the market model
 is not statistically significant after the initial trading. Further, the
 long-run performance of IPOs is not related to the initial risk-adjusted
 return. 
Journal: Applied Financial Economics 
Pages: 201-208 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332465 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332465
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:201-208




Template-Type: ReDIF-Article 1.0
Author-Name: Sadhana Alangar 
Author-X-Name-First: Sadhana 
Author-X-Name-Last: Alangar 
Author-Name: Scott Hein 
Author-X-Name-First: Scott 
Author-X-Name-Last: Hein 
Title: Nominal interest rates, expected inflation and varying marginal income tax rates 
Abstract:
  This paper reconsiders the empirical work of Tanzi which examines the
 link between nominal interest rates and expected inflation. Tanzi did not
 undertake a direct test of the Darby relationship, as a result of a
 specification flaw. This paper provides evidence correcting for this flaw.
 It still remains the case, however, that evidence of fiscal illusion
 persists. The paper further provides evidence that there is important
 information in the empirical specification of the Fisher relationship, the
 Darby relationship, and the Tanzi relationship which is not included in
 either of the other two models. This evidence suggests a general model
 incorporating aspects of all three specifications. Most interestingly, the
 evidence from the general model suggests a fiscal perversion, in which
 interest rates are less responsive to changes in expected inflation, the
 higher the marginal tax rate. 
Journal: Applied Financial Economics 
Pages: 209-214 
Issue: 2 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332474 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332474
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:209-214




Template-Type: ReDIF-Article 1.0
Author-Name: D. E. Allen 
Author-X-Name-First: D. E. 
Author-X-Name-Last: Allen 
Author-Name: N. J. Morkel-Kingsbury 
Author-X-Name-First: N. J. 
Author-X-Name-Last: Morkel-Kingsbury 
Author-Name: W. Piboonthanakiat 
Author-X-Name-First: W. 
Author-X-Name-Last: Piboonthanakiat 
Title: The long-run performance of initial public offerings in Thailand 
Abstract:
  This paper analyses the long-run performance of initial public offerings
 (IPOs) on the Thai Stock Exchange. It uses a sample of 150 IPOs listed on
 the Thai Stock Exchange Main Board between 1985 and 1992. The initial
 return is 63.49%. The cumulative adjusted return at the end of the
 three-year anniversary is 10.02%. This result contrasts with those of most
 of the studies of long-run IPO performance in developed markets. This
 result, however, appears sensitive to outlying observations. Whilst there
 is no significant evidence that the IPOs underperform the market in the
 long run, removal of outliers from cross-sectional analysis suggest that
 Thai IPOs may underperform the market in the long run. Further research,
 including more recent data may help clarify this issue. 
Journal: Applied Financial Economics 
Pages: 215-232 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332294 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332294
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:215-232




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Chung 
Author-X-Name-First: Richard 
Author-X-Name-Last: Chung 
Author-Name: Lawrence Kryzanowski 
Author-X-Name-First: Lawrence 
Author-X-Name-Last: Kryzanowski 
Title: Accuracy of consensus expectations for top-down earnings per share forecasts for two S&P indexes 
Abstract:
  In this paper, we examine the top-down forecast accuracy and divergence
 of market strategists for quarterly Earnings Per Share (EPS) forecasts for
 the S&P400 and S&P500 Indexes using the I/B/E/S summary database. We find
 that such forecasts are, on average, optimistically biased, and that the
 bias increases with an increase in the number of reporting market
 strategists and the coefficient of variation of such forecasts. We find
 that our nondirectional measure of forecast accuracy indicates that
 accuracy deteriorates with increasing default and term premia (two priced
 APT factors). Our findings have implications for the asset allocation
 decisions and markettiming practices of professional fund managers. 
Journal: Applied Financial Economics 
Pages: 233-238 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332302 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332302
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:233-238




Template-Type: ReDIF-Article 1.0
Author-Name: George Papachristou 
Author-X-Name-First: George 
Author-X-Name-Last: Papachristou 
Title: Stochastic behaviour of the Athens Stock Exchange: a case of institutional nonsynchronous trading 
Abstract:
  In this paper it is shown that sequential trading in the Athens Stock
 Exchange prior to 1989 introduces deterministic nonsynchronicity and
 causes market returns to exhibit first-order serial correlation even
 though the underlying price generation process may be a martingale. The
 effect of deterministic nonsynchronicity is analogous to the effect of
 stochastic nonsynchronicity examined in Scholes and Williams (1977) with
 the important exception that it pertains only to portfolio returns and not
 to single security returns. A test of short run martingale behaviour
 performed on daily market returns prior to 1989 fails to distinguish
 between spurious time dependence and nonmartingale behaviour. However,
 additional evidence based on single security returns points to
 nonmartingale behaviour. 
Journal: Applied Financial Economics 
Pages: 239-250 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332311 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332311
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:239-250




Template-Type: ReDIF-Article 1.0
Author-Name: Keith Lam 
Author-X-Name-First: Keith 
Author-X-Name-Last: Lam 
Title: Some evidence on the distribution of beta in Hong Kong 
Abstract:
  This paper investigates the stochastic properties of the beta
 distribution in Hong Kong for the period 1980-93. We test the distribution
 of beta for one-year and two-year nonoverlapping betas, and for the
 cumulative overlapping betas within our sample. We find similar results
 for both the distribution of the nonoverlapping and overlapping betas. Our
 results show that our beta distributions for the overall 14 one-year
 betas, seven two-year betas and the 14 cumulative betas are not stable.
 However, the distributions are all stable within the pre-86 (1980-85) and
 the post-86 (1986-93) subperiods. A test for a weaker form of stability on
 the distribution of any two periods suggests that the distribution of all
 possible pairs of betas exhibit short and median term stability. However,
 the pairs do not show any sign of long term stability, especially those
 that span across the two subperiods, pre-86 and post-86 subperiods. The
 finding of long term instability of the beta distribution in the sample
 periods casts doubt on the validity of results in certain event study
 tests which span across the pre-86 and post-86 periods. But, on the other
 hand, the findings of short and median term stability of the beta
 distribution do suggest that betas are practically useful and reliable in
 tests which rely on cumulative betas. 
Journal: Applied Financial Economics 
Pages: 251-262 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332320 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332320
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:251-262




Template-Type: ReDIF-Article 1.0
Author-Name: Olan Henry 
Author-X-Name-First: Olan 
Author-X-Name-Last: Henry 
Title: The volatility of US term structure term premia 1952 - 1991 
Abstract:
  Recent studies suggest that the term premia within the US Term Structure
 of Interest Rates may be adequately characterized as univariate GARCH(1,
 1)-M processes, with highly persistent or even potentially explosive
 conditional variances. Tzavalis and Wickens (Economics Letters, 49, 1995)
 using data over the period 1970-1986 argue that such findings may be the
 result of the failure of the GARCH-M model to allow for the 1979-82 change
 in US monetary policy. Using an alternative approach, the results in this
 paper suggest that the conclusion of Tzavalis and Wickens may not be
 independent of the sample period considered. However the GARCH-M model
 provides implausible estimates of the term premia when estimated over the
 full sample period. 
Journal: Applied Financial Economics 
Pages: 263-271 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332339 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332339
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:263-271




Template-Type: ReDIF-Article 1.0
Author-Name: Begona Basarrate 
Author-X-Name-First: Begona 
Author-X-Name-Last: Basarrate 
Author-Name: Gonzalo Rubio 
Author-X-Name-First: Gonzalo 
Author-X-Name-Last: Rubio 
Title: Nonsimultaneous prices and the evaluation of managed portfolios in Spain 
Abstract:
  This work analyses the empirical consequences for the evaluation of
 managed portfolios of employing nonsimultaneous prices for the calculation
 of net asset values and benchmarks. The underestimation of risk found
 under nonsimultaneity has serious consequences for performance evaluation
 of mutual funds. Moreover, the conditional framework of performance
 evaluation is shown to have some implications for the previously accepted
 predicting ability of past performance. In particular, it seems that
 predictability of past performance is not as strong as suggested in
 previous literature. 
Journal: Applied Financial Economics 
Pages: 273-281 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332348 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332348
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:273-281




Template-Type: ReDIF-Article 1.0
Author-Name: W. David Walls 
Author-X-Name-First: W. David 
Author-X-Name-Last: Walls 
Title: Volatility, volume and maturity in electricity futures 
Abstract:
  This paper appears to be the first empirical investigation of the market
 for electricity futures. We examine fourteen electricity futures contracts
 for evidence of maturity effects. We find strong evidence of increasing
 volatility as contract maturity approaches even when controlling for the
 volume of trade. The maturity effects in electricity futures appear to be
 stronger than for other energy futures such as crude oil, heating oil and
 unleaded gasoline. 
Journal: Applied Financial Economics 
Pages: 283-287 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332357 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332357
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:283-287




Template-Type: ReDIF-Article 1.0
Author-Name: A. F. Darrat 
Author-X-Name-First: A. F. 
Author-X-Name-Last: Darrat 
Author-Name: R. N. Dickens 
Author-X-Name-First: R. N. 
Author-X-Name-Last: Dickens 
Title: On the interrelationships among real, monetary, and financial variables 
Abstract:
  Results from multivariate cointegration and error-correction models
 consistently reject the dichotomy conclusion of a recent paper in this
 Journal and reveal instead strong evidence of pronounced linkages among
 real, monetary, and financial sectors of the US economy. The results
 further indicate that the stock market is a key leading indicator of both
 monetary policy and real economic activity. 
Journal: Applied Financial Economics 
Pages: 289-293 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332366 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332366
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:289-293




Template-Type: ReDIF-Article 1.0
Author-Name: Fariborz Moshirian 
Author-X-Name-First: Fariborz 
Author-X-Name-Last: Moshirian 
Author-Name: Toan Pham 
Author-X-Name-First: Toan 
Author-X-Name-Last: Pham 
Title: Cost of capital and Australia's banking investment abroad 
Abstract:
  As foreign direct investment in banking is part of trade in financial
 services and as the prospects of Australia's trade in financial services
 to Asian countries has increased, this paper intends to analyse and
 measure Australia's foreign direct investment in banking. The paper
 distinguishes between banks' activities abroad and investors' (banks and
 nonbanks) FDI in banking. The flow model of FDI in banking based on the
 eclectic theory of FDI identifies those factors which are most relevant to
 financial services as opposed to manufacturing. The empirical results of
 this study indicate that the relative cost of capital, the size of the
 foreign banking market, the exchange rate, relative economic growth, FDI
 in manufacturing and Australia's banks' foreign assets are the major
 determinants of her FDI in banking. 
Journal: Applied Financial Economics 
Pages: 295-303 
Issue: 3 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332375 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332375
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:295-303




Template-Type: ReDIF-Article 1.0
Author-Name: Balasingham Balachandran 
Author-X-Name-First: Balasingham 
Author-X-Name-Last: Balachandran 
Author-Name: John Cadle 
Author-X-Name-First: John 
Author-X-Name-Last: Cadle 
Author-Name: Michael Theobald 
Author-X-Name-First: Michael 
Author-X-Name-Last: Theobald 
Title: Analysis of price reactions to interim dividend reductions &#x2014; a note 
Abstract:
  Price reactions to interim dividend reductions are empirically analysed.
 Initial interim dividend reductions lead to a more strongly negative price
 reaction than for interim dividend reductions following an earlier final
 dividend reduction. When the subsequent interim dividend reduction is
 reduced proportionately more than the preceding final dividend reduction,
 the price reaction is stronger than when the proportionate reduction is
 less. The magnitude of price reactions to interim dividend reductions is
 found to be statistically significantly related to the size of the
 dividend reduction, the gearing ratio, the industrial classification, the
 incidence of a prior dividend cut and the actual change in interim
 earnings. 
Journal: Applied Financial Economics 
Pages: 305-314 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332195 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332195
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:305-314




Template-Type: ReDIF-Article 1.0
Author-Name: Kiseok Lee 
Author-X-Name-First: Kiseok 
Author-X-Name-Last: Lee 
Title: Unexpected inflation, inflation uncertainty, and stock returns 
Abstract:
  This paper advances a hypothesis that the negative correlation between ex
 post real returns and unexpected inflation is induced by the negative
 correlation between ex post real returns and the uncertainty premium. The
 hypothesis is based on an uncertainty-adjusted present value model in
 which future dividends are more heavily discounted as uncertainty
 increases. Using an economic model which suggests the time-varying
 dividend uncertainty is mainly driven by the time-varying inflation
 uncertainty, this paper presents supportive empirical evidence using two
 different approaches. In the first approach, parametric models are
 developed for the conditional variance of inflation and its associated
 uncertainty premium. The results show that both conditional variance and
 uncertainty premium are negatively correlated with real returns, and their
 negative correlations dominate the negative correlation between unexpected
 inflation and real returns. The second approach uses a regression model in
 which frequency components of unexpected inflation are used as indicators
 of varying degrees of inflation uncertainty. The regressions reveal that
 the higher the uncertainty associated with a frequency component of
 unexpected inflation, the stronger the negative correlation with real
 returns. 
Journal: Applied Financial Economics 
Pages: 315-328 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332203 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332203
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:315-328




Template-Type: ReDIF-Article 1.0
Author-Name: Reza Yamora Siregar 
Author-X-Name-First: Reza Yamora 
Author-X-Name-Last: Siregar 
Title: Real exchange rate targeting and inflation in Indonesia: theory and empirical evidence 
Abstract:
  Looking at the period of January 1987 to July 1995, this study shows that
 the monetary authority in Indonesia had actively intervened the foreign
 exchange market to ensure the stability of rupiah real exchange rate.
 Strong evidences of real exchange rate targeting were even more
 significant during the period of January 1990-February 1993. The study
 also shows that the real exchange rate targeting policy in Indonesia had
 been inflationary, particularly during the period of January 1990-July
 1995. The last finding supports the results of early studies that showed
 exchange rate policy which targets a faster rate of depreciation of the
 domestic currency contributes to a higher inflation rate. 
Journal: Applied Financial Economics 
Pages: 329-336 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332212 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332212
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:329-336




Template-Type: ReDIF-Article 1.0
Author-Name: Imad Moosa 
Author-X-Name-First: Imad 
Author-X-Name-Last: Moosa 
Author-Name: Jolanta Kwiecien 
Author-X-Name-First: Jolanta 
Author-X-Name-Last: Kwiecien 
Title: The nominal interest rate as a predictor of inflation: a re-examination of the underlying model 
Abstract:
  This paper examines the viability of using short-term interest rates to
 forecast inflation as implied by the Fisher hypothesis. A major problem
 with this approach is the implicit assumption that the real interest rate
 is constant and that the relationship between inflation and interest rate
 does not change over time. We demonstrate, using US quarterly data, that
 the relaxation of these assumptions produces a model with a higher degree
 of forecasting accuracy and efficiency. 
Journal: Applied Financial Economics 
Pages: 337-341 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332221 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332221
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:337-341




Template-Type: ReDIF-Article 1.0
Author-Name: Abdullah Al-Obaidan 
Author-X-Name-First: Abdullah 
Author-X-Name-Last: Al-Obaidan 
Title: Net economic gain from diversification in the commercial banking industry 
Abstract:
  During the last two decades, banks have acquired new powers to expand the
 scope of their operations. Given these opportunities, the evolving
 structure of the banking industry will depend largely on the extent of
 product-mix efficiency available to commercial banks. Those banks that
 adopt the most efficient product mix are in a position to exploit the
 relative cost advantages and to continue to grow. This empirical study
 provides comprehensive measures of the economic impact of diversification
 in the commercial banking industry. Diversifying a bank's operation is not
 a costless endeavour. The empirical findings suggest, ceteris paribus,
 that while diversification reduces technical efficiency by approximately
 28%, it improves allocative efficiency by 4% and increases scale
 efficiency by 39%. The overall economic gain from diversification in the
 commercial banking industry is approximately 1%. The optimal strategy of a
 commercial bank is to internalize market transactions to the margin where
 benefits are equal to cost. The empirical results suggest that this
 strategy is generally sustained in the commercial banking industry. 
Journal: Applied Financial Economics 
Pages: 343-354 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332230 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332230
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:343-354




Template-Type: ReDIF-Article 1.0
Author-Name: Elias Tzavalis 
Author-X-Name-First: Elias 
Author-X-Name-Last: Tzavalis 
Title: A common shift in real interest rates across countries 
Abstract:
  This paper documents common shifts in the behaviour of real interest
 rates across different countries following the announcement of monetary
 policy regime changes of US Federal Reserve procedures in October 1979.
 This evidence suggests that the observed, big fluctuations in real
 interest rates in the seventies and eighties across countries may be
 linked to the changes of the US monetary policy. It also emphasizes the
 international effects of US monetary policy on ex ante real interest rates
 across countries. 
Journal: Applied Financial Economics 
Pages: 365-369 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332258 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332258
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:365-369




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Pastor 
Author-X-Name-First: Jose 
Author-X-Name-Last: Pastor 
Title: Efficiency and risk management in Spanish banking: a method to decompose risk 
Abstract:
  The single market programme has substantially increased the level of
 competition in the Spanish Banking System (SBS). This greater competition,
 though driving firms to improve their efficiency, may also encourage them
 to orient their businesses towards activities, sectors, and/or clients of
 higher risk. However, in spite of the importance of jointly evaluating
 efficiency and risk, the traditional measurements of efficiency do not
 take risk into account. Furthermore, the few studies that attempt to
 include risk do not separate the part of risk that is due to poor
 management (internal) from that which originates in the economic
 environment (external). This article proposes a new sequential DEA
 procedure to break down the main indicator of banking risk provision for
 loan losses (PLL)&#x2014; into internal and external components, in order
 subsequently to obtain measurements of efficiency adjusted for risk. The
 analysis is illustrated by application to the SBS where deregulation,
 imposed by the Single Market Programme of the European Community, has
 affected banks conduct in terms of efficiency and risk. 
Journal: Applied Financial Economics 
Pages: 371-384 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332267 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332267
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:371-384




Template-Type: ReDIF-Article 1.0
Author-Name: Sebastian Schich 
Author-X-Name-First: Sebastian 
Author-X-Name-Last: Schich 
Title: The information content of the German term structure regarding inflation 
Abstract:
  The paper investigates the information content of the German term
 structure regarding inflation, defined as the ability of the yield curve's
 slope to predict future changes in inflation rates. The empirical tests
 show that the German yield curve is informative in that sense, especially
 in its middle segment between three and eight years. A new robustness test
 is considered. Besides the specification in terms of yields-to-maturity,
 which has traditionally been employed by the Bundesbank and by previous
 empirical research, zero-coupon rates (are considered) estimated using the
 Svensson (IMF Working Paper No. 114, 1994) approach. This takes account of
 the fact that tests of the expectations hypothesis are in fact tests of
 joint hypotheses, among them, that the yield curve specification used
 gives an unbiased picture of the relevant information and that the
 specific formulation of the expectations hypothesis is valid. Despite the
 considerable differences between the two yield curve specifications, the
 results regarding the information content are overall robust with respect
 to the choice of the specification. 
Journal: Applied Financial Economics 
Pages: 385-395 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332276 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332276
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:385-395




Template-Type: ReDIF-Article 1.0
Author-Name: David Blake 
Author-X-Name-First: David 
Author-X-Name-Last: Blake 
Author-Name: J. Michael Orszag 
Author-X-Name-First: J. Michael 
Author-X-Name-Last: Orszag 
Title: Annual estimates of personal wealth holdings in the United Kingdom since 1948 
Abstract:
  This paper derives estimates of seven categories of personal wealth
 holdings in the United Kingdom on an annual basis since 1948. The seven
 categories are: net financial wealth, housing wealth, consumer durable
 assets, basic state pension wealth, state earnings-related pension wealth,
 occupational pension wealth, and personal pension wealth. The objective of
 this exercise is to generate a data set that can be used to investigate
 the effects over time of wealth on other aspects of personal sector
 behaviour in the UK, e.g., the effects of different wealth components on
 personal sector consumption and retirement behaviour, or to investigate
 the causes of the changes in the composition of personal sector wealth
 over time. 
Journal: Applied Financial Economics 
Pages: 397-421 
Issue: 4 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332285 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332285
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:397-421




Template-Type: ReDIF-Article 1.0
Author-Name: Philippe Boveroux 
Author-X-Name-First: Philippe 
Author-X-Name-Last: Boveroux 
Author-Name: Albert Minguet 
Author-X-Name-First: Albert 
Author-X-Name-Last: Minguet 
Title: Selecting hedge ratio maximizing utility or adjusting portfolio's beta 
Abstract:
  To hedge a portfolio of risky assets against market risk, the prevalent
 view consists of selecting the hedge ratio minimizing the variance of a
 position combining a long position on the portfolio and a short position
 on a futures contract. A more general approach amounts to select a hedge
 ratio maximizing the expected utility of some specific function. The
 portfolio approach so defined takes simultaneously into account the
 expected return and variance of the combined position. Nevertheless, for
 several reasons, one usually prefers to restrain the choice of a hedge
 ratio to a simple risk-minimizing position. We intend to show here that
 the choice of a hedge ratio maximizing utility corresponds essentially to
 an adjustment of portfolio beta to some expected value. Empirical
 estimations are based on a futures contract relative to the CAC 40 Index,
 traded on the MATIF (Marche international de France, Paris). They show
 that the two approaches are equivalent. Incidentally, if the decision not
 to hedge is generally a rational solution, it appears that, during some
 periods (such as the year 1994) it is irrational. 
Journal: Applied Financial Economics 
Pages: 423-432 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332087 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332087
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:423-432




Template-Type: ReDIF-Article 1.0
Author-Name: Kian-Guan Lim 
Author-X-Name-First: Kian-Guan 
Author-X-Name-Last: Lim 
Author-Name: Edward Ng 
Author-X-Name-First: Edward 
Author-X-Name-Last: Ng 
Title: A theory of IPO pricing with tender prices 
Abstract:
  Initial Public Offerings (IPOs) are an integral part of market
 capitalization, and the pricing of such offerings have been theorized
 considerably. New methods of IPOs often bring new insights to existing
 theories. This paper studies a new form of IPO with French tenders, and
 proposes an information theory to explain the strike price and the listing
 price premia. An outcome of the model is that it shows how informed
 investors' excess returns in traditional IPOs may be dissipated under
 competitive French tendering. 
Journal: Applied Financial Economics 
Pages: 433-442 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332096 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332096
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:433-442




Template-Type: ReDIF-Article 1.0
Author-Name: P. C. Kumar 
Author-X-Name-First: P. C. 
Author-X-Name-Last: Kumar 
Author-Name: George Tsetsekos 
Author-X-Name-First: George 
Author-X-Name-Last: Tsetsekos 
Title: The differentiation of 'emerging' equity markets 
Abstract:
  We argue that 'emerging' security markets, as defined by IFC, have
 characteristics differentiated from their counterparts in industrialized
 nations not only due to differential levels of economic development, but
 also because their origins are more recent. Consequently, the
 institutional infrastructure comprising a broad legal framework
 recognizing property rights, disclosure requirements, accounting practices
 conforming to international standards, supervision and regulation of these
 markets, may be inadequate or even absent in 'emerging' markets. Our study
 develops a positive (descriptive) framework of the qualitative
 (institutional infrastructure) and quantitative features that classifies
 and predicts the relative development of securities markets across
 countries. Discriminant and logit analyses using IFC data indicate that
 the 'emerging' equity markets as a class are dissimilar from 'developed'
 markets. These findings lend support to the premise that the two sets of
 markets are segmented. There is weak evidence of convergence in the
 characteristics of the two sets of markets. However, it is expected that
 as the institutional infrastructures in 'emerging' markets improve, there
 will be stronger evidence of the trend towards convergence in these
 markets. 
Journal: Applied Financial Economics 
Pages: 443-453 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332104 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332104
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:443-453




Template-Type: ReDIF-Article 1.0
Author-Name: Alan Goodacre 
Author-X-Name-First: Alan 
Author-X-Name-Last: Goodacre 
Author-Name: Jacqueline Bosher 
Author-X-Name-First: Jacqueline 
Author-X-Name-Last: Bosher 
Author-Name: Andrew Dove 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Dove 
Title: Testing the CRISMA trading system: evidence from the UK market 
Abstract:
  A number of recent studies on technical analysis using individual
 measures such as filter rules, moving averages and trading range break-out
 have provided a measure of support for their usefulness. The current study
 tests the multiple-component CRISMA trading system of Pruitt and White
 (Journal of Portfolio Management, 14, 1988) in a UK context. The system
 seeks to identify equity trades (and subsequently, call options written on
 these shares) by using jointly the three technical filters of relative
 strength, cumulative volume and the relationship between 50-day and 200-
 day moving averages. The results over the period January 1987 to June 1996
 show that the CRISMA system would have been profitable, generating an
 annualized profit of 19.3%. However, when adjusted for market movements
 and risk it was unable to predict significant excess returns. Further, the
 results were not stable over time and trades on larger companies fared
 better than small. When the signals were used to trade options, CRISMA was
 able to predict high returns (mean return of 10.2% per trade even in the
 presence of maximum retail costs) but with only 55% of trades profitable
 (proportion not statistically significant). Overall, the results are
 consistent with weak form efficiency in the UK equity market. 
Journal: Applied Financial Economics 
Pages: 455-468 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332113 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332113
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:455-468




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Montalvo 
Author-X-Name-First: Jose 
Author-X-Name-Last: Montalvo 
Title: Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market 
Abstract:
  The mixture distribution model is one of the benchmarks for modelling the
 relationship between volume and return. A basic variable in that
 theoretical construction is the number of intraday equilibria, which is
 empirically unobservable. This paper re-examines the finding in Lamoureux
 and Lastrapes (Journal of Finance, 45, 1990) using alternative proxies for
 the number of intraday equilibria, which are included in the conditional
 variance equation of a GARCH model. The results show, using data of the
 Spanish Government Bond Futures Market for the 1992-94 period, that the
 number of transaction clusters and the average volume have a positive
 effect on conditional volatility. 
Journal: Applied Financial Economics 
Pages: 469-475 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332122 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332122
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:469-475




Template-Type: ReDIF-Article 1.0
Author-Name: Roger Vergin 
Author-X-Name-First: Roger 
Author-X-Name-Last: Vergin 
Author-Name: John McGinnis 
Author-X-Name-First: John 
Author-X-Name-Last: McGinnis 
Title: Revisiting the Holiday Effect: is it on holiday? 
Abstract:
  Earlier researchers found excess stock market returns in the United
 States on the days before holiday market closings, ranging from 6 to 27
 times as large as returns on other days, as measured by a variety of
 indices and over periods up to 90 years. We show that, in the ten years
 from 1987 to 1996, the excess holiday returns have disappeared for large
 firms and have substantially diminished for small firms. 
Journal: Applied Financial Economics 
Pages: 477-482 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332131 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332131
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:477-482




Template-Type: ReDIF-Article 1.0
Author-Name: M. B. Adams 
Author-X-Name-First: M. B. 
Author-X-Name-Last: Adams 
Title: Determinants of participatory rights insurance: evidence from the New Zealand life insurance industry 
Abstract:
  Drawing a framework from the financial economics literature, this study
 examines the determinants of participatory rights policies in the New
 Zealand (NZ) life insurance industry. Using data for the period 1988-1993,
 a fixed-effects regression model was estimated. Consistent with
 expectations, the empirical results indicate that participatory rights
 life insurance are associated with mutuals, large and lowly leveraged life
 insurance companies, and entities with less underwriting risk. A
 sensitivity test also indicated that participatory rights insurance was
 related to the age of life insurance firms. The predictions of contracting
 theory thus receive empirical support. 
Journal: Applied Financial Economics 
Pages: 483-490 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332140 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332140
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:483-490




Template-Type: ReDIF-Article 1.0
Author-Name: Ruth Seow Kuan Tan 
Author-X-Name-First: Ruth Seow Kuan 
Author-X-Name-Last: Tan 
Author-Name: Li Li Eng 
Author-X-Name-First: Li Li 
Author-X-Name-Last: Eng 
Author-Name: Andrew Khoo 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Khoo 
Title: The effects of offering method and trading location on the pricing of IPOs in Singapore 
Abstract:
  In this study, we look at the effects of using different offering methods
 and examine whether the auction system is a better way of rationing IPOs
 in the sense of reducing the degree of underpricing. Preliminary findings
 show that IPOs offered via the auction system appear to have lower
 underpricing. However this is not confirmed by cross-sectional regression
 analysis. Results show that only the subscription rate is significantly
 associated with the degree of underpricing. The other variables such as
 the market of listing, the price earnings ratio at time of issue and the
 first day relative volume are not significantly related to the
 underpricing. The second part of the study compares fixed price initial
 public offerings (IPOs) listed on the Stock Exchange of Singapore Dealing
 and Automated Quotation System (SESDAQ), the second tier stock market in
 Singapore, with fixed price IPOs listed on the Main Board. The PE ratios
 at time of issue and subscription rates of SESDAQ IPOs are significantly
 lower than Main Board IPOs. Their initial market-adjusted returns are also
 lower but not significantly so. In the post-listing period, a different
 picture is seen. SESDAQ issues have significantly higher returns than Main
 Board IPOs. 
Journal: Applied Financial Economics 
Pages: 491-499 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332159 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332159
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:491-499




Template-Type: ReDIF-Article 1.0
Author-Name: Eduardo Roca 
Author-X-Name-First: Eduardo 
Author-X-Name-Last: Roca 
Title: Short-term and long-term price linkages between the equity markets of Australia and its major trading partners 
Abstract:
  This paper investigates the price linkages between the equity market of
 Australia and that of the US, UK, Japan, Hong Kong, Singapore, Taiwan, and
 Korea using weekly MSCI stock market data covering the period 1974-1995.
 Cointegration test using the Johansen (Journal of Economic Dynamics and
 Control, 12, 1988) and Johansen and Juselius (Oxford Bulletin of Economics
 and Statistics, 52, 1990) procedure and Granger-causality tests based on
 error-correction models and standard vector autoregression models are
 conducted. No cointegration was found between Australia and the other
 markets. However, the Granger-causality and forecast variance
 decomposition analyses reveal that Australia is significantly linked with
 the US and the UK. The impulse response analyses further show that
 Australia responds to shocks from the US and the UK immediately during the
 first week and this response is completed with a period of four weeks. 
Journal: Applied Financial Economics 
Pages: 501-511 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332168 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332168
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:501-511




Template-Type: ReDIF-Article 1.0
Author-Name: Victor Mendes 
Author-X-Name-First: Victor 
Author-X-Name-Last: Mendes 
Author-Name: Joao Rebelo 
Author-X-Name-First: Joao 
Author-X-Name-Last: Rebelo 
Title: Productive efficiency, technological change and productivity in Portuguese banking 
Abstract:
  In this paper we aim at studying efficiency, productivity and
 technological change in Portuguese banking during 1990-95, using
 information on the vast majority of banks operating in Portugal during
 that period. We use a translog variable cost function and a stochastic
 frontier model to estimate inefficiency and technological change. Our
 results suggest that the increased competition that Portuguese banks
 witnessed over the last few years did not lead to a better overall
 performance from the standpoint of costs: on the one hand, the annual
 efficiency average did not clearly increase over time; on the other hand,
 many more banks are now less efficient (in relative terms) than they were
 in the early 1990s. They also suggest that there is not a clear
 relationship between size and cost efficiency. Efficiency and scale
 economies also seem not to be related with size: some of the less
 efficient institutions (net assets below 50 million contos) are the ones
 facing global, although small, economies of scale and the largest
 institutions are the more efficient but face diseconomies of scale,
 therefore suggesting that they remain competitive via a better cost
 control. As for technological progress, our results suggest the existence
 of technological recess, along the six years of the sample. 
Journal: Applied Financial Economics 
Pages: 513-521 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332177 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332177
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:513-521




Template-Type: ReDIF-Article 1.0
Author-Name: Li Lian Ong 
Author-X-Name-First: Li Lian 
Author-X-Name-Last: Ong 
Author-Name: H. Y. Izan 
Author-X-Name-First: H. Y. 
Author-X-Name-Last: Izan 
Title: Stocks and currencies: are they related? 
Abstract:
  With the advent of flexible exchange rates, research into the foreign
 exchange expectation relation based on the purchasing power parity and
 interest rate parity conditions has shown that the speed of transmission
 of economic variables, such as the price level and interest rates, is not
 rapid enough to maintain parity in the short-term with the foreign
 exchange market. In recent years, gold prices have been used to model
 exchange rate behaviour, based on the fact that it is a homogeneous
 commodity that is traded continuously on well-organized exchanges around
 the world. However, while the price of gold is shown to have explanatory
 power for exchange rates, the forecast horizons are found to be most
 significant only after lags of at least six months. Another approach to
 exchange rate determination, the asset market approach is based on the
 notion that exchange rates, like asset prices, are driven by 'news' or
 unanticipated announcements of changes in economic variables. Both
 exchange rates and asset prices instantaneously discount all available
 information about expected future economic activity. Using a 'law of one
 price' model, we use the asset market approach to investigate the validity
 of the equity parity theory, whereby a parity relationship exists between
 equity and foreign exchange markets. Our results show that equity parity
 is achieved within a very short time, in some cases, within a oneweek
 period. However, the relationship appears to be a weak one. Consistent
 with previous research, we also find evidence to support the existence of
 currency blocs. We suggest that these findings could have practical
 applications for international investors. 
Journal: Applied Financial Economics 
Pages: 523-532 
Issue: 5 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332186 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332186
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:523-532




Template-Type: ReDIF-Article 1.0
Author-Name: Bakhtiar Moazzami 
Author-X-Name-First: Bakhtiar 
Author-X-Name-Last: Moazzami 
Title: Lending rate stickiness and monetary transmission mechanism: the case of Canada and the United States 
Abstract:
  This paper examines the short-run and long-run impacts of changes in
 money market rates on lending rates in Canada and the US. This is done
 using an error-correction modelling framework, which distinguishes
 short-term impacts from long-run or full equilibrium effects. It is found
 that lending rates in the US have been stickier than those in Canada.
 However, the US lending rate rigidity, measured by the impact multiplier,
 has decreased in recent years. In contrast, Canada's lending rate has
 become stickier during the 1990s. The differences in adjustment speed
 between the two countries are attributed to the structure of their
 financial systems. 
Journal: Applied Financial Economics 
Pages: 533-538 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099331989 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099331989
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:533-538




Template-Type: ReDIF-Article 1.0
Author-Name: Ping Wu 
Author-X-Name-First: Ping 
Author-X-Name-Last: Wu 
Title: Variance decomposition of stock returns and dividend imputation system 
Abstract:
  The relative contribution to stock price volatility of news in expected
 future dividends and in expected future returns in Australia is studied.
 The effect of the dividend imputation tax system on such contribution is
 investigated. It is found that news in expected future returns contributes
 more to price volatility in recent observations. Compared to an economy
 under the classical tax system such as the US, the correlation between the
 news about dividends and the news about returns is substantially
 negatively higher under the imputation system. This may be explained by a
 stronger financial signalling effect of franked dividend news under such a
 system. 
Journal: Applied Financial Economics 
Pages: 539-543 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099331998 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099331998
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:539-543




Template-Type: ReDIF-Article 1.0
Author-Name: Harald Reinton 
Author-X-Name-First: Harald 
Author-X-Name-Last: Reinton 
Author-Name: Steven Ongena 
Author-X-Name-First: Steven 
Author-X-Name-Last: Ongena 
Title: Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets 
Abstract:
  This study compares the out-of-sample forecasting performance of
 single-equation monetary exchange rate models against the random walk. We
 look at spot exchange rates of Norwegian Krone vis-a-vis four major
 currencies from June 1986 until October 1996. We find that an error
 correction model outperforms the random walk in out-of-sample forecasting
 exercises at six and twelve month horizons. 
Journal: Applied Financial Economics 
Pages: 545-550 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332005 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332005
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:545-550




Template-Type: ReDIF-Article 1.0
Author-Name: Pierre Siklos 
Author-X-Name-First: Pierre 
Author-X-Name-Last: Siklos 
Author-Name: Ben Kwok 
Author-X-Name-First: Ben 
Author-X-Name-Last: Kwok 
Title: Stock returns and inflation: a new test of competing hypotheses 
Abstract:
  In this paper, an unrestricted cointegrating VAR is employed to test the
 dynamic implications of three competing explanations of the negative stock
 return-inflation relationship. Test results are provided which make use of
 recent advances in testing for Granger-causality. One implication is that
 Granger-causality testing using the newly recommended procedures results
 in a different interpretation of the links between inflation and stock
 returns. It is also found that Geske and Roll's is the only theory with a
 dynamic structure that is not rejected by a sample of quarterly US data
 from 1960 to 1992, although results are not entirely inconsistent with
 Fama's proxy hypothesis. Only Benderly and Zwick's hypothesis is clearly
 rejected by the data. The results also provide stylized facts on the
 dynamics linkages among key macroeconomic variables. 
Journal: Applied Financial Economics 
Pages: 567-581 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332023 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332023
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:567-581




Template-Type: ReDIF-Article 1.0
Author-Name: Mike So 
Author-X-Name-First: Mike 
Author-X-Name-Last: So 
Author-Name: K. Lam 
Author-X-Name-First: K. 
Author-X-Name-Last: Lam 
Author-Name: W. K. Li 
Author-X-Name-First: W. K. 
Author-X-Name-Last: Li 
Title: Forecasting exchange rate volatility using autoregressive random variance model 
Abstract:
  Recently, as an alternative to the GARCH model, the autoregressive random
 variance (ARV) model has been gaining popularity in the modelling of
 changing volatility, mainly because of the capability in capturing the
 stochastic nature of volatility. This article highlights the ARV model as
 an alternative to the GARCH model in modelling volatility. The main focus
 is to compare the two models in forecasting exchange rate volatility.
 Although the two approaches generally give close forecasting performance,
 the ARV method provides a notable improvement in Canadian/ Dollar and
 Australian/Dollar. The outstanding performance seems to be related to the
 'volatility of volatility', i.e. the volatility changes from day to day. 
Journal: Applied Financial Economics 
Pages: 583-591 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332032 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332032
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:583-591




Template-Type: ReDIF-Article 1.0
Author-Name: Owain Ap Gwilym 
Author-X-Name-First: Owain Ap 
Author-X-Name-Last: Gwilym 
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Alan Speight 
Author-X-Name-First: Alan 
Author-X-Name-Last: Speight 
Title: The intraday relationship between volume and volatility in LIFFE futures markets 
Abstract:
  This paper examines the intraday behaviour of five-minute FTSE-100, Short
 Sterling and Long Gilt LIFFE futures returns volatility and volume. The
 intraday patterns identified exhibit a U-shape, significantly affected by
 UK and US macroeconomic news releases. Evidence from estimation of a GMM
 system for volatility and volume supports a significant positive and
 contemporaneous correlation between volatility and volume, although lagged
 volume is also significant in the volatility equation. Further, there is
 strong evidence of bi-directional causality on the basis of
 Granger-causality testing. These results are found to be robust to the
 adjustment of volatility and volume for macroeconomic news effects, and in
 the case of the Granger-causality tests to a variety of temporal horizons. 
Journal: Applied Financial Economics 
Pages: 593-604 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332041 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332041
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:593-604




Template-Type: ReDIF-Article 1.0
Author-Name: Chris Brooks 
Author-X-Name-First: Chris 
Author-X-Name-Last: Brooks 
Author-Name: Ian Garrett 
Author-X-Name-First: Ian 
Author-X-Name-Last: Garrett 
Author-Name: Melvin Hinich 
Author-X-Name-First: Melvin 
Author-X-Name-Last: Hinich 
Title: An alternative approach to investigating lead-lag relationships between stock and stock index futures markets 
Abstract:
  In the absence of market frictions, the cost-of-carry model of stock
 index futures pricing predicts that returns on the underlying stock index
 and the associated stock index futures contract will be perfectly
 contemporaneously correlated. Evidence suggests, however, that this
 prediction is violated with clear evidence that the stock index futures
 market leads the stock market. It is argued that traditional tests, which
 assume that the underlying data generating process is constant, might be
 prone to overstate the lead-lag relationship. Using a new test for
 lead-lag relationships based on cross correlations and cross
 bicorrelations it is found that, contrary to results from using the
 traditional methodology, periods where the futures market leads the cash
 market are few and far between and when any lead-lag relationship is
 detected, it does not last long. Overall, the results are consistent with
 the prediction of the standard cost-of-carry model and market efficiency. 
Journal: Applied Financial Economics 
Pages: 605-613 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332050 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332050
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:605-613




Template-Type: ReDIF-Article 1.0
Author-Name: Paul McGuinness 
Author-X-Name-First: Paul 
Author-X-Name-Last: McGuinness 
Title: Volume effects in dual traded stocks: Hong Kong and London evidence 
Abstract:
  This paper considers the effect of extended trading in stocks that are
 traded in both Hong Kong and London. Trading volumes in the stocks, in
 both markets, appear significantly lower on Mondays and Tuesdays and on
 days immediately after holidays. Studies elsewhere attribute subdued
 trading on Mondays to the trading activities of institutions. Significant
 differences in day-of-the week volumes are not apparent between the two
 markets, however, despite noticeable differences in the proportions of
 institutional investment in the two settings. More importantly,
 day-of-the-week variations in market volume are not strongly correlated
 with the timing of corporate disclosures. However, large Friday volumes in
 London are noted to coincide with increased macroeconomic disclosure
 activity in the US. 
Journal: Applied Financial Economics 
Pages: 615-625 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332069 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332069
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:615-625




Template-Type: ReDIF-Article 1.0
Author-Name: Tae Park 
Author-X-Name-First: Tae 
Author-X-Name-Last: Park 
Author-Name: Lorne Switzer 
Author-X-Name-First: Lorne 
Author-X-Name-Last: Switzer 
Author-Name: Robert Bedrossian 
Author-X-Name-First: Robert 
Author-X-Name-Last: Bedrossian 
Title: The interactions between trading volume and volatility: evidence from the equity options markets 
Abstract:
  This study examines the relation between trading activity of equity
 options and the volatilities of the underlying equities. A sample of 45
 companies with the most actively traded equity options at the Chicago
 Board of Options Exchange is selected and, for each company, equity price
 variability is compared with related stock and option trading volume. The
 significance of options trading activity in explaining the conditional
 volatilities of the underlying equities is comparable to that of stock
 trading activity, indicating a high degree of integration of the equity
 and the options markets. We also find that unexpected options trading
 activity contributes to enhanced volatility of the underlying equity
 returns. Finally, the analysis indicates that expected options trading
 activity significantly affects equity volatility in only a minority of
 firms. This is consistent with the contention that trading in the equity
 options market does not systematically lead to price destabilization in
 the underlying equity market. 
Journal: Applied Financial Economics 
Pages: 627-637 
Issue: 6 
Volume: 9 
Year: 1999 
X-DOI: 10.1080/096031099332078 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332078
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:627-637




Template-Type: ReDIF-Article 1.0
Author-Name: Anthony Aylward 
Author-X-Name-First: Anthony 
Author-X-Name-Last: Aylward 
Author-Name: Jack Glen 
Author-X-Name-First: Jack 
Author-X-Name-Last: Glen 
Title: Some international evidence on stock prices as leading indicators of economic activity 
Abstract:
  Most asset pricing theories suggest that asset prices are forward looking
 and reflect market expectations of future earnings. By aggregating across
 companies, aggregate market prices may then be used as leading indicators
 of future growth in aggregate income, as well as its constituent
 components. Data are compiled from 23 countries, including 15 developing
 countries, in order to examine the ability of stock market prices to
 predict future economic growth in income, consumption and investment. It
 is found that stock prices generally have predictive ability, but with
 substantial variation across countries. Moreover, stocks are substantially
 better leading indicators of investment than either GDP or consumption.
 Despite their value as leading indicators, however, stock prices do not
 generally increase forecasting ability as measured by root mean squared
 error in out-of-sample forecasting equations. 
Journal: Applied Financial Economics 
Pages: 1-14 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331879 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331879
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:1-14




Template-Type: ReDIF-Article 1.0
Author-Name: Philippe Bacchetta 
Author-X-Name-First: Philippe 
Author-X-Name-Last: Bacchetta 
Author-Name: Fernando Ballabriga 
Author-X-Name-First: Fernando 
Author-X-Name-Last: Ballabriga 
Title: The impact of monetary policy and banks' balance sheets: some international evidence 
Abstract:
  There has been extensive empirical research on the role of credit markets
 in the transmission of US monetary policy, but the evidence for other
 countries is scarce. This paper compares the US experience with a set of
 13 European countries by examining monetary VARs including banks' balance
 sheets in the spirit of Bernanke and Blinder (1992). It is shown that the
 VAR methodology provides plausible results for interpreting interest rate
 shocks as monetary policy shocks in most countries. The evolution of bank
 lending after a monetary contraction is then analysed. For most countries,
 it is shown that bank loans decline more than money in the medium run. In
 the short run, however, loans are sticky and react less than money. Also,
 loans and output responses to an increase in interest rate tend to be more
 synchronized than those of money and output. This evidence is similar to
 the US and is consistent with the broad credit channel of monetary policy. 
Journal: Applied Financial Economics 
Pages: 15-26 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331888 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331888
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:15-26




Template-Type: ReDIF-Article 1.0
Author-Name: B. M. Burton 
Author-X-Name-First: B. M. 
Author-X-Name-Last: Burton 
Author-Name: A. A. Lonie 
Author-X-Name-First: A. A. 
Author-X-Name-Last: Lonie 
Author-Name: D. M. Power 
Author-X-Name-First: D. M. 
Author-X-Name-Last: Power 
Title: The impact of corporate growth opportunities on the market response to new equity announcements 
Abstract:
  In this paper we present novel evidence on the stock market reaction to
 new equity issues in the UK. Using a sample of 116 announcements made
 during the period 1989-1991 we find evidence of significantly negative
 market reactions to such news, consistent in both sign and magnitude with
 earlier US results. We proceed to examine the role of growth
 opportunities, proxied for by accounting growth, in affecting
 cross-sectional variation within the negative share price response and
 provide evidence that, while income growth in particular does have some
 bearing on announcement period price adjustments, this relationship is not
 monotonic and appears to be driven by a subset of the worst-performing
 firms for whom the market reaction to equity issues is especially
 unfavourable. 
Journal: Applied Financial Economics 
Pages: 27-36 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331897 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331897
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:27-36




Template-Type: ReDIF-Article 1.0
Author-Name: L. C. G. Rogers 
Author-X-Name-First: L. C. G. 
Author-X-Name-Last: Rogers 
Author-Name: S. E. Satchell 
Author-X-Name-First: S. E. 
Author-X-Name-Last: Satchell 
Title: Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale 
Abstract:
  If Y = (Y 1,&#x2026;,Y N) are the log-returns of an asset on succeeding
 days, then under the assumptions of the Black-Scholes option pricing
 formula, these are independent normal random variables with common mean
 and variance in the risk-neutral measure. If we can show empirically that
 Y does not have these properties in the realworld measure, does this mean
 that the Black-Scholes option pricing formula fails? It does not; as we
 show in this note, so long as the joint distribution of Y in the realworld
 measure has a strictly positive density, then the Black-Scholes option
 price formula may still be correct. We conclude that attempts to argue
 that the Black-Scholes formula must fail because observed log returns
 appear to be fat-tailed, or appear to have nonconstant volatility, or
 appear to have serial correlation are fallacious. 
Journal: Applied Financial Economics 
Pages: 37-39 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331905 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331905
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:37-39




Template-Type: ReDIF-Article 1.0
Author-Name: Ioannis Asimakopoulos 
Author-X-Name-First: Ioannis 
Author-X-Name-Last: Asimakopoulos 
Author-Name: John Goddard 
Author-X-Name-First: John 
Author-X-Name-Last: Goddard 
Author-Name: Costas Siriopoulos 
Author-X-Name-First: Costas 
Author-X-Name-Last: Siriopoulos 
Title: Interdependence between the US and major European equity markets: evidence from spectral analysis 
Abstract:
  This paper uses spectral analysis to examine interrelationships between
 the daily returns generated by one US (S&P 500) and three major European
 (FTSE 100, DAX 30, CAC 40) share price indices. Evidence is found of
 strong interdependence between the European returns series, as well as a
 lead-lag relationship between the US and each of the European series,
 explained by non-synchronous trading. The spectra also reveal some
 evidence of cyclical fluctuation in the return series. The patterns are
 similar among the European series for cycles of all frequencies, while
 similarities between the US and the European series are evident at low,
 but not at high frequencies. 
Journal: Applied Financial Economics 
Pages: 41-47 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331914 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331914
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:41-47




Template-Type: ReDIF-Article 1.0
Author-Name: Vanitha Ragunathan 
Author-X-Name-First: Vanitha 
Author-X-Name-Last: Ragunathan 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Title: Australian industry beta risk, the choice of market index and business cycles 
Abstract:
  The paper presents an investigation of the equity beta risk of 23
 Australian industry portfolios over the period 1974 to 1992. A comparison
 of domestic and international market model betas, favours the domestic
 risk measures, although the international counterparts are generally
 statistically significant relative to a world market index. Furthermore,
 the international betas seem to display greater instability than the
 domestic beta estimates. Tests are made to determine whether business
 cycles, both domestic and international, impact upon stock returns, via
 changes in the estimated domestic beta. Generally, it is found that
 business cycles are important and that the US business cycle has a much
 larger impact on the equity betas of industry portfolios, than does the
 Australian business cycle. Finally, it is found that interactions between
 the business cycles of Australia and the United States, have an impact on
 the beta risk for many industries. 
Journal: Applied Financial Economics 
Pages: 49-58 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331923 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331923
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:49-58




Template-Type: ReDIF-Article 1.0
Author-Name: Chris Brooks 
Author-X-Name-First: Chris 
Author-X-Name-Last: Brooks 
Author-Name: Frank Skinner 
Author-X-Name-First: Frank 
Author-X-Name-Last: Skinner 
Title: What will be the risk-free rate and benchmark yield curve following European monetary union? 
Abstract:
  Using a linear factor model, we study the behaviour of French, Germany,
 Italian and British sovereign yield curves in the run up to EMU. This
 allows us to determine which of these yield curves might best approximate
 a benchmark yield curve post EMU. We find that the best approximation for
 the risk free yield is the UK three month T-bill yield, followed by the
 German three month T-bill yield. As no one sovereign yield curve dominates
 all others, we find that a composite yield curve, consisting of French,
 Italian and UK bonds at different maturity points along the yield curve
 should be the benchmark post EMU. 
Journal: Applied Financial Economics 
Pages: 59-69 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331932 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331932
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:59-69




Template-Type: ReDIF-Article 1.0
Author-Name: Taufiq Choudhry 
Author-X-Name-First: Taufiq 
Author-X-Name-Last: Choudhry 
Title: Meltdown of 1987 and meteor showers among Pacific-Basin stock markets 
Abstract:
  This paper investigates stock market mean returns and volatility
 spill-over between four major Pacific-Basin markets before and after the
 1987 world wide stock exchange crash. The four markets used are Australia,
 Hong Kong, Japan and Singapore and the empirical tests are conducted by
 means of a nonlinear GARCH-t model. Results indicate an increase in both
 the mean returns and volatility spillover after the 1987 crash. This
 result confirms that since the 1987 crash interdependence between equity
 markets has increased. 
Journal: Applied Financial Economics 
Pages: 71-80 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331941 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331941
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:71-80




Template-Type: ReDIF-Article 1.0
Author-Name: Ralf Ostermark 
Author-X-Name-First: Ralf 
Author-X-Name-Last: Ostermark 
Title: Monte Carlo tests of cointegration in a bivariate normal common factor system 
Abstract:
  In this paper the power and size distortions of three representative
 cointegration tests, the Augmented Dickey-Fuller (ADF),
 Z-super-&#x2c6;&#x3b1; and Stock-Watson (SW) statistics are evaluated in
 some large-scale Monte Carlo simulations. Consistent with previous
 evidence, the ADF-statistic is seen to be sensitive to the validity of the
 common factor restriction in the data generating process of our study. The
 SW-statistic is stable but not high in terms of power. The
 Z-super-&#x2c6;&#x3b1; -test shows the best balance between power and
 size. In the light of previous evidence, the test statistics seem to be
 sensitive to the DGP used more than to parametric variation of the active
 DGP. 
Journal: Applied Financial Economics 
Pages: 81-93 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331950 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331950
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:81-93




Template-Type: ReDIF-Article 1.0
Author-Name: Christine Jiang 
Author-X-Name-First: Christine 
Author-X-Name-Last: Jiang 
Author-Name: Thomas Chiang 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Chiang 
Title: Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets? 
Abstract:
  Empirical tests are performed to examine whether foreign exchange excess
 returns for the British pound, Canadian dollar, Deutsche mark, and
 Japanese yen are related to volatility in the currency market and
 volatility in the stock markets. Our results indicate that volatility
 (measured by standard deviation and variance) from currency markets is
 significant in explaining the excess returns, suggesting that the excess
 returns are indeed reward for risk-taking. In addition, shocks in equity
 markets are found to have a significant impact on currency risk premium as
 well. In some cases, we find nonlinearity in the risk premium. Finally,
 our results emerged from Glosten, Jagannathan, Runkle's model (Journal of
 Finance,48 (5), 1993) suggest that risk premiums for each currency tend to
 respond to positive and negative shocks differently. 
Journal: Applied Financial Economics 
Pages: 95-104 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331969 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331969
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:95-104




Template-Type: ReDIF-Article 1.0
Author-Name: Said Elfakhani 
Author-X-Name-First: Said 
Author-X-Name-Last: Elfakhani 
Title: Short positions, size effect, and the liquidity hypothesis: implications for stock performance 
Abstract:
  This study focuses on the relationship between short interest and
 subsequent stock returns. It also deals with the question of whether this
 relationship itself is attributable to firm size. In this context, this
 study investigates: (1) whether short sellers are correct in their
 predictions and whether these predictions can benefit other investors, (2)
 whether returns on short positions are related to firm size, and (3)
 whether the liquidity hypothesis or the differential information
 hypothesis can explain the relationship between firm size and short
 selling. The results support the notion that short sellers made correct
 predictions of price movements during the sampling period, 1986-1990. The
 results also show that following the monthly report of short interests,
 investors can still earn higher returns on shorted stocks, especially the
 small ones. Finally, the results maintain that short interest positions on
 less-liquid overpriced small stocks are more profitable than more-liquid
 overpriced large stocks, thus supporting the liquidity hypothesis. Overall
 these findings do not display seasonal differences, especially in January. 
Journal: Applied Financial Economics 
Pages: 105-116 
Issue: 1 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331978 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331978
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:105-116




Template-Type: ReDIF-Article 1.0
Author-Name: T. A. Robinson 
Author-X-Name-First: T. A. 
Author-X-Name-Last: Robinson 
Title: Modelling the effects of regulatory discretion: Carsberg vs Spottiswoode 
Abstract:
  This paper attempts to measure the effect on financial markets of two
 important regulatory events in the British telecommunications and gas
 industries namely the 1991 Duopoly Review and the 1996 Transco Price
 Review. These events were chosen because it is widely believed that the
 individual industry regulators handled them very differently. The expected
 volatility of the share returns for these two companies is modelled as an
 ARCH representaion and it is found that the conditional variance of share
 returns in British Gas was higher after the Transco Price Review. The
 share returns of British Telecommunications exhibit a lower expected
 volatility. It is concluded that these results support the contention that
 the high level of discretion accorded to British regulators may increase
 the cost of capital for regulated firms. 
Journal: Applied Financial Economics 
Pages: 117-121 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331743 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331743
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:117-121




Template-Type: ReDIF-Article 1.0
Author-Name: Maozu Lu 
Author-X-Name-First: Maozu 
Author-X-Name-Last: Lu 
Author-Name: Zhichao Zhang 
Author-X-Name-First: Zhichao 
Author-X-Name-Last: Zhang 
Title: Parallel exchange market as a transition mechanism for foreign exchange reform: China's experiment 
Abstract:
  In the process of China's foreign exchange reform, the so-called swap
 market was a key element. Despite the problems it caused, notably those
 associated with a dual exchange rate, the paper argues that the swap
 market proved to be a useful transition mechanism for China's foreign
 exchange liberalization. It is shown that the swap market caused exchange
 controls to wither and introduced market forces into incentive structure.
 Furthermore, statistical evidence has been found that the Chinese official
 exchange rate and the swap rate are cointegrated and there existed
 long-and short-run causal relationship in the sense of Granger in the
 direction from the swap to the official rate. It is evident from these
 findings that the swap market facilitated the reform of the mechanism of
 China's exchange rate by its services of information extraction and of
 introducing market forces into China's exchange rate decisions. 
Journal: Applied Financial Economics 
Pages: 123-135 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331752 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331752
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:123-135




Template-Type: ReDIF-Article 1.0
Author-Name: T. C. Mills 
Author-X-Name-First: T. C. 
Author-X-Name-Last: Mills 
Author-Name: C. Siriopoulos 
Author-X-Name-First: C. 
Author-X-Name-Last: Siriopoulos 
Author-Name: R. N. Markellos 
Author-X-Name-First: R. N. 
Author-X-Name-Last: Markellos 
Author-Name: D. Harizanis 
Author-X-Name-First: D. 
Author-X-Name-Last: Harizanis 
Title: Seasonality in the Athens stock exchange 
Abstract:
  This paper studies calendar effects in the emerging Athens Stock
 Exchange. Rather than examining only basket indices, we analyse calendar
 effects for each of the constituent stocks of the Athens Stock Exchange
 General Index for the period from October 1986 to April 1997. In
 accordance with similar studies substantial evidence of 'day-of-the week',
 'monthly', 'trading month' and 'holiday' effects are found. The intensity
 of these effects for various stocks on the basis of capitalization, beta
 coefficients and company type are examined. The results indicate that the
 calendar regularities vary significantly across the constituent shares of
 the General Index and that aggregation introduces a considerable bias in
 unravelling these regularities. Also, it is found that factors such as the
 beta coefficient and company type influence significantly the intensity of
 calendar effects. 
Journal: Applied Financial Economics 
Pages: 137-142 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331761 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331761
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:137-142




Template-Type: ReDIF-Article 1.0
Author-Name: Sridhar Iyer 
Author-X-Name-First: Sridhar 
Author-X-Name-Last: Iyer 
Title: The relationship between short-term and forward interest rates: a structural time-series analysis 
Abstract:
  In this paper, the structural time-series (STS) approach is used to
 examine the relationship between short-term and forward interest rates on
 US Treasury bills and, to decompose the biased predictions of the future
 short rate by the forward rate, into systematic expectation errors and
 systematic time-varying term premiums. Results confirm many of the
 empirical characteristics of short and forward rates and, findings reveal
 that both expectation errors and time-varying expected term premiums are
 important in explaining the forward rate bias. 
Journal: Applied Financial Economics 
Pages: 143-153 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331770 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331770
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:143-153




Template-Type: ReDIF-Article 1.0
Author-Name: Bernardino Adao 
Author-X-Name-First: Bernardino 
Author-X-Name-Last: Adao 
Author-Name: Jorge Barros Luis 
Author-X-Name-First: Jorge Barros 
Author-X-Name-Last: Luis 
Title: Interest rate spreads implicit in options: Spain and Italy against Germany 
Abstract:
  The options premiums are frequently used to obtain probability density
 functions (pdfs) for the prices of the underlying assets. When these
 assets are bank deposits or notional Government bonds it is possible to
 compute probability measures of future interest rates. Recently, in the
 literature there have been many papers presenting methods of how to
 estimate pdfs from options premiums. Nevertheless, as far as we know, the
 estimation of probabilities of forward interest rate functions is an issue
 that has not been analysed before. In this paper, we propose such a
 method, that can be used to study the evolution of the expectations about
 interest rate convergence. We look at the cases of Spain and Italy against
 Germany, before the adoption of a single currency, and conclude that the
 expectations on the short-term interest rates convergence of Spain and
 Italy vis-a-vis Germany had a somewhat different trajectory, with higher
 expectations of convergence for Spain. 
Journal: Applied Financial Economics 
Pages: 155-161 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331789 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331789
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:155-161




Template-Type: ReDIF-Article 1.0
Author-Name: Donald Lien 
Author-X-Name-First: Donald 
Author-X-Name-Last: Lien 
Author-Name: Yiu Kuen Tse 
Author-X-Name-First: Yiu Kuen 
Author-X-Name-Last: Tse 
Title: Hedging downside risk with futures contracts 
Abstract:
  This paper considers a futures hedge strategy that minimizes the lower
 partial moments; such a strategy minimizes the downside risk and is
 consistent with the expected utility hypothesis. Two statistical methods
 are adopted to estimate the optimal hedge ratios: the empirical
 distribution function method and the kernel density estimation method.
 Both methods are applied to the Nikkei Stock Average (NSA) spot and
 futures markets. It is found that, for a hedger who is willing to absorb
 small losses but otherwise extremely cautious about large losses, the
 optimal hedge strategy that minimizes the lower partial moments may be
 sharply different from the minimum variance hedge strategy. If a hedger
 cares for downside-only risk, then the conventional minimum variance hedge
 strategy is inappropriate. The methods presented in this paper will be
 useful in these scenarios. 
Journal: Applied Financial Economics 
Pages: 163-170 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331798 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331798
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:163-170




Template-Type: ReDIF-Article 1.0
Author-Name: Paul Johnson 
Author-X-Name-First: Paul 
Author-X-Name-Last: Johnson 
Author-Name: Marcio Garcia 
Author-X-Name-First: Marcio 
Author-X-Name-Last: Garcia 
Title: A regression tree analysis of real interest rate regime changes 
Abstract:
  This paper uses regression tree analysis to locate changes in the real
 interest rate process from the early 1950s to the early 1990s. We find
 important changes in the mean and variance of the process in 1972:Q4,
 1980:Q1, and 1986:Q2. Removing the changing mean from the ex post real
 interest rate leaves a time series that is largely unpredictable -
 consistent with the view that it is a rational forecast error as predicted
 by the Fisher effect. This implies that the ex ante real interest rate is
 approximately a constant subject to infrequent but important changes. 
Journal: Applied Financial Economics 
Pages: 171-176 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331806 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331806
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:171-176




Template-Type: ReDIF-Article 1.0
Author-Name: John Barkoulas 
Author-X-Name-First: John 
Author-X-Name-Last: Barkoulas 
Author-Name: Christopher Baum 
Author-X-Name-First: Christopher 
Author-X-Name-Last: Baum 
Author-Name: Nickolaos Travlos 
Author-X-Name-First: Nickolaos 
Author-X-Name-Last: Travlos 
Title: Long memory in the Greek stock market 
Abstract:
  Tests are made of the stochastic long memory in the Greek stock market,
 an emerging capital market. The fractional differencing parameter is
 estimated using the spectral regression method. Contrary to findings for
 major capital markets, significant and robust evidence of positive
 long-term persistence is found in the Greek stock market. As compared to
 benchmark linear models, the estimated fractional models provide improved
 out-of-sample forecasting accuracy for the Greek stock returns series over
 longer forecasting horizons. 
Journal: Applied Financial Economics 
Pages: 177-184 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331815 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331815
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:177-184




Template-Type: ReDIF-Article 1.0
Author-Name: R. A. Chatterjee 
Author-X-Name-First: R. A. 
Author-X-Name-Last: Chatterjee 
Title: The financial performance of companies acquiring very large takeover targets 
Abstract:
  Empirical evaluations of the theory of disciplinary takeover during the
 1970s concluded that whilst very unprofitable companies experienced a
 somewhat higher probability of takeover than average, it was company size
 which acted as the most powerful discriminator between taken-over firms
 and others. In particular, very large firms were relatively immune from
 takeover and would therefore be relatively unrestrained by the market for
 corporate control. However, during the 1980s, financial innovations (e.g.
 junk bonds in the US and mezzanine debt in the UK) enabled companies to
 overcome traditional obstacles in the financial markets and acquire very
 large targets. This paper focuses upon some of the largest taken-over
 companies during the 1977-90 period and analyses the performance of
 acquirers of these companies using Cumulative Abnormal Returns (CARs) and
 accounting profit. Since these very large targets had been sheltered from
 the threat of takeover, they may well have developed specially large x
 inefficiency. The paper therefore asks whether such takeovers yield
 specially large performance improvements. 
Journal: Applied Financial Economics 
Pages: 185-191 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331824 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331824
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:185-191




Template-Type: ReDIF-Article 1.0
Author-Name: Nobuyoshi Yamori 
Author-X-Name-First: Nobuyoshi 
Author-X-Name-Last: Yamori 
Author-Name: Taiji Baba 
Author-X-Name-First: Taiji 
Author-X-Name-Last: Baba 
Title: Wealth effects of financial internationalization: a case of the Yen-Dollar Agreement between the United States and Japan 
Abstract:
  The Yen-Dollar Agreement between the United States and Japan in 1984 was
 an epoch-making event in Japanese financial history. In spite of the
 importance of the Yen-Dollar Agreement for Japanese financial
 liberalization, there are few empirical studies about its effects. In this
 paper, we investigate the wealth effects of the Agreement on bank
 stockholders. Although we expect the negative impact of the intense
 competition on stockholders' wealth, our empirical results show that the
 Agreement produced positive wealth effects on bank stockholders. Our
 results suggest that the benefits of financial liberalization triggered by
 the Agreement were expected to outweigh the negative effect of the intense
 competition. This is one of the reasons why the liberalization and
 internationalization of Japanese financial markets and institutions have
 been going more smoothly than expected. 
Journal: Applied Financial Economics 
Pages: 193-198 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331833 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331833
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:193-198




Template-Type: ReDIF-Article 1.0
Author-Name: Ahamed Kameel Meera 
Author-X-Name-First: Ahamed Kameel 
Author-X-Name-Last: Meera 
Author-Name: Niranjan Tripathy 
Author-X-Name-First: Niranjan 
Author-X-Name-Last: Tripathy 
Author-Name: Michael Redfearn 
Author-X-Name-First: Michael 
Author-X-Name-Last: Redfearn 
Title: Wealth and liquidity effects of stock delistings: empirical evidence from the stock exchanges of Singapore and Malaysia 
Abstract:
  This paper examines the wealth effects of stock delistings by specifying
 a return-generating model with GARCH errors. Using dual listed stocks
 between the stock exchanges of Malaysia and Singapore, we found delistings
 to decrease firm value. The above wealth effect seems to be related to how
 actively the stocks are traded on the foreign exchange. In addition,
 however, this paper examines if delistings can bring about net benefit for
 an economy as a whole. Consistent with national interests hypothesis, we
 found delistings to bring about mixed effects that could well be positive. 
Journal: Applied Financial Economics 
Pages: 199-206 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331842 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331842
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:199-206




Template-Type: ReDIF-Article 1.0
Author-Name: Hyginus Leon 
Author-X-Name-First: Hyginus 
Author-X-Name-Last: Leon 
Author-Name: Shelton Nicholls 
Author-X-Name-First: Shelton 
Author-X-Name-Last: Nicholls 
Author-Name: Kelvin Sergeant 
Author-X-Name-First: Kelvin 
Author-X-Name-Last: Sergeant 
Title: Testing volatility on the Trinidad and Tobago Stock Exchange 
Abstract:
  This paper estimates the responsiveness of sectoral subindex returns to
 changes in the domestic market portfolio, and compares predictions of
 nonsystematic risk using GARCH and EGARCH specifications of the error
 variance. Our results show that returns for the portfolios of Commercial
 Banks and Conglomerates respond more than proportionately to changes in
 the market portfolio, and that nonsystematic volatility appears to have
 been greater during periods of macroeconomic instability and political
 unrest. 
Journal: Applied Financial Economics 
Pages: 207-220 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331851 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331851
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:207-220




Template-Type: ReDIF-Article 1.0
Author-Name: Jakob De Haan 
Author-X-Name-First: Jakob 
Author-X-Name-Last: De Haan 
Author-Name: Jan-Egbert Sturm 
Author-X-Name-First: Jan-Egbert 
Author-X-Name-Last: Sturm 
Title: Do financial markets and the Maastricht Treaty discipline governments? New evidence 
Abstract:
  This note examines whether financial markets have a disciplining effect
 on governments' financial policies. It is concluded that increasing
 interest burdens indeed lead to lower primary deficits. There is only weak
 evidence that the fiscal policy rules of the Maastricht Treaty reduced
 budget deficits. 
Journal: Applied Financial Economics 
Pages: 221-226 
Issue: 2 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331860 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331860
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:221-226




Template-Type: ReDIF-Article 1.0
Author-Name: Bahram Adrangi 
Author-X-Name-First: Bahram 
Author-X-Name-Last: Adrangi 
Author-Name: Arjun Chatrath 
Author-X-Name-First: Arjun 
Author-X-Name-Last: Chatrath 
Author-Name: Rohan Christie David 
Author-X-Name-First: Rohan Christie 
Author-X-Name-Last: David 
Title: Price discovery in strategically-linked markets: the case of the gold-silver spread 
Abstract:
  Using 15 minute intraday data, we analyse the price discovery process
 among the strategically-linked gold and silver futures contracts and
 examine the role of the intermarket spread in their price dynamics. The
 multivariate model employed allows for intermarket volatility spillover
 and asymmetric-spread effects on the variance and covariance of the two
 contracts. The data suggest that the silver contract bears the majority of
 the burden of convergence to the gold-silver spread. This evidence is
 noteworthy since the silver contract was by far the more volatile of the
 two contracts over the period studied. 
Journal: Applied Financial Economics 
Pages: 227-234 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331644 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331644
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:227-234




Template-Type: ReDIF-Article 1.0
Author-Name: Taufiq Choudhry 
Author-X-Name-First: Taufiq 
Author-X-Name-Last: Choudhry 
Title: Day of the week effect in emerging Asian stock markets: evidence from the GARCH model 
Abstract:
  This paper investigates the day of the week effect on seven emerging
 Asian stock markets returns and conditional variance (volatility). The
 empirical research was conducted using the GARCH model and daily returns
 from India, Indonesia, Malaysia, Philippines, South Korea, Taiwan, and
 Thailand from January 1990 to June 1995. Results obtained indicate the
 significant presence of the day of the week effect on both stock returns
 and volatility, though the result involving both the return and volatility
 are not identical in all seven cases. Results also show that these effects
 may be due to a possible spill-over from the Japanese stock market. 
Journal: Applied Financial Economics 
Pages: 235-242 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331653 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331653
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:235-242




Template-Type: ReDIF-Article 1.0
Author-Name: M. Dolores Robles Fernandez 
Author-X-Name-First: M. Dolores Robles 
Author-X-Name-Last: Fernandez 
Author-Name: Rafael Florez De Frutos 
Author-X-Name-First: Rafael Florez 
Author-X-Name-Last: De Frutos 
Title: Time varying term premia and risk: the case of the Spanish interbank money market 
Abstract:
  This paper examines some standard procedures for evaluating the
 importance of risk in explaining time varying term premia, in the term
 structure of interest rates. It highlights their shortcomings and proposes
 an alternative VARMA approach for dealing with this problem. The procedure
 is illustrated with the analysis of risk in explaining the behaviour of
 two important term premia in the Spanish interbank money market. 
Journal: Applied Financial Economics 
Pages: 243-260 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331662 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331662
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:243-260




Template-Type: ReDIF-Article 1.0
Author-Name: David Dickinson 
Author-X-Name-First: David 
Author-X-Name-Last: Dickinson 
Title: Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95 
Abstract:
  As stock markets world-wide have become more open there has been
 increasing interest in international linkages. The recent literature has
 used modern time series techniques (cointegration, causality) to
 investigate this issue and generally has found there to be greater links
 between stock markets in recent years with the US causing other market
 movements. In a different vein, there has been work to identify the
 underlying economic variables which cause stock index movements. This
 research has uncovered a number of key macroeconomic variables (e.g.
 output, inflation, interest rates) as significant determinants of stock
 market movements. This paper approaches the issue of stock index behaviour
 by combining the insights of both these approaches. In particular it
 considers the extent to which correlations between international stock
 markets are a result of globalization of financial markets or whether they
 reflect the increasingly integrated nature of the world real economy, as
 represented by comovements between key macroeconomic variables. This study
 will concentrate on the US (New York) and three European Stock markets
 (London, Paris and Frankfurt). 
Journal: Applied Financial Economics 
Pages: 261-276 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331671 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331671
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:261-276




Template-Type: ReDIF-Article 1.0
Author-Name: John Sequeira 
Author-X-Name-First: John 
Author-X-Name-Last: Sequeira 
Author-Name: MICHAEL McALEER 
Author-X-Name-First: MICHAEL 
Author-X-Name-Last: McALEER 
Title: Testing the risk premium and cost-of-carry hypotheses for currency futures contracts 
Abstract:
  The Risk Premium and Cost-of-Carry hypotheses regarding the pricing of
 futures contracts are tested using nested and non-nested procedures.
 Cointegrating relationships among the Australian dollar spot and futures
 prices, and US and Australian risk-free rates of interest, suggest an
 error-correction representation for the Risk Premium model, and two
 alternative error-correction formulations for the Cost of-Carry
 hypothesis. Two significant structural breaks in the futures price series
 permit a testing of appropriate models for the full sample in the presence
 of these breaks, for the full sample without explicitly modelling the
 breaks, and for various subsamples created by these structural breaks.
 Unit root and cointegration tests yield alternative non-nested
 formulations of the Cost-of-Carry model for three different subsamples,
 thereby leading to the use of nested and non-nested tests. The outcomes of
 these tests provide substantial support for the Cost-of-Carry hypothesis
 in the pricing of Australian dollar futures contracts. 
Journal: Applied Financial Economics 
Pages: 277-289 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331680 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331680
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:277-289




Template-Type: ReDIF-Article 1.0
Author-Name: Jordan Shan 
Author-X-Name-First: Jordan 
Author-X-Name-Last: Shan 
Author-Name: Nick Pappas 
Author-X-Name-First: Nick 
Author-X-Name-Last: Pappas 
Title: The relative impacts of Japanese and US interest rates on local interest rates in Australia and Singapore: a Granger causality test 
Abstract:
  This study investigates the relative influences of Japanese and US
 interest rates upon the movement of local interest rates in two small and
 open APEC economies, Australia and Singapore. The Granger no-causality
 testing procedure developed by Toda and Yamamoto was applied, in a
 three-variable vector autoregression (VAR) model, to test the causality
 linkage between Japanese rates and local interest rates and between the US
 rate and local interest rates. Two distinct features stand out: first, the
 sensitivity of causality test results is tested under different lag
 structures along with the choice of optimal lags; second, the methodology
 developed by Toda and Yamamoto is expected to improve the standard F
 -statistics in the causality test process. The principle result emerging
 from the research indicates that the Japanese interest rate has not
 Grangercaused the movement of interest rates in Singapore but has done so
 in Australia. 
Journal: Applied Financial Economics 
Pages: 291-298 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331699 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331699
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:291-298




Template-Type: ReDIF-Article 1.0
Author-Name: P. B. Solibakke 
Author-X-Name-First: P. B. 
Author-X-Name-Last: Solibakke 
Title: Stock return volatility in thinly traded markets. An empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded equity market 
Abstract:
  This paper reports studies of the volatility of prices for individual
 stocks in the thinly traded Norwegian equity market during periods of
 trading and non-trading when the market is open for trading and closed.
 Building a model using Brownian motions, returns and variance ratios in
 trading and non-trading periods can be hypothesized. The model presents
 results that show an identical volatility in periods in which the market
 is open but no trades occur, and in periods of frequent trading.
 Furthermore, when the market is closed (weekends and holidays), the
 volatility is almost identical to consecutive days of trading. That is,
 the observed that on correspondence between return variance and
 transaction arrival is dependent on whether the market is open, and not
 simply on whether the stock is trading. This finding prevails after
 adjusting for non-synchronous trading using Poisson distributed trade
 arrivals. 
Journal: Applied Financial Economics 
Pages: 299-310 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331707 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331707
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:299-310




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Sollis 
Author-X-Name-First: Robert 
Author-X-Name-Last: Sollis 
Author-Name: Paul Newbold 
Author-X-Name-First: Paul 
Author-X-Name-Last: Newbold 
Author-Name: Stephen Leybourne 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Leybourne 
Title: Stochastic unit roots modelling of stock price indices 
Abstract:
  Recently developed methodology to allow the possibility of a stochastic
 unit root process as an alternative to a fixed parameter unit root model
 is applied to six national indices of stock market prices. Evidence
 supporting the stochastic unit root hypothesis is found. However, the
 implementation of this model generally leads to only very minuscule gains
 in the prediction of daily prices, except in the case of the Hang Seng
 index, where the predictive gain is somewhat larger. 
Journal: Applied Financial Economics 
Pages: 311-315 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331716 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331716
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:311-315




Template-Type: ReDIF-Article 1.0
Author-Name: P. L. Chelley-Steeley 
Author-X-Name-First: P. L. 
Author-X-Name-Last: Chelley-Steeley 
Title: Exchange controls and the transmission of equity market volatility: the case of the UK 
Abstract:
  The paper investigates the impact that the relaxation of UK exchange
 controls in October 1979, had on the transmission of equity market
 volatility from the UK to other major equity markets. It is suggested that
 the existence of exchange controls in the UK was an important source of
 market segmentation which disturbed the transmission of shocks from one
 country to another, even when shocks contained global information. It is
 found that when a spillover GARCH(1,1) model is estimated for the five
 years before and after the removal of exchange controls, volatility shocks
 spill over from the UK to other markets much more strongly after the
 removal of exchange controls. This appears to suggest that volatility as
 well as returns have become more closely related since the UK removed
 exchange controls. 
Journal: Applied Financial Economics 
Pages: 317-322 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331725 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331725
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:317-322




Template-Type: ReDIF-Article 1.0
Author-Name: Leonardo Becchetti 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Becchetti 
Author-Name: Andrea Caggese 
Author-X-Name-First: Andrea 
Author-X-Name-Last: Caggese 
Title: Effects of index option introduction on stock index volatility: a procedure for empirical testing based on SSC-GARCH models 
Abstract:
  Informed migration, uninformed migration and improved information are the
 three main potential effects of derivative introduction that, alone or
 combined, may generate significant changes on volumes, bid-ask and
 volatility on the underlying asset. Some combinations of these three
 effects are highly likely to generate observational equivalence making it
 quite difficult to identify their relative impact in the empirical
 evidence. This paper aims to provide a marginal contribution to the
 identification of the prevalent effect by devising an implemented
 (SSC-GARCH) measure of volatility which evaluates changes in excess
 reaction to shocks before and after index option introduction in six
 different countries. The paper finds that the introduction of stock index
 options: (i) significantly reduces the impact of negative (and, to a
 lesser extent, positive) shocks on conditional volatility in five out of
 six countries, (ii) has no significant impact on relative unconditional
 volatility of stocks belonging to the optioned index in four out of six
 countries. These results seem compatible with a joint realization of the
 uninformed migration and the improved information effects. 
Journal: Applied Financial Economics 
Pages: 323-341 
Issue: 3 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000331734 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331734
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:323-341




Template-Type: ReDIF-Article 1.0
Author-Name: Walid Hejazi 
Author-X-Name-First: Walid 
Author-X-Name-Last: Hejazi 
Author-Name: Zhixin Li 
Author-X-Name-First: Zhixin 
Author-X-Name-Last: Li 
Title: Are forward premia mean reverting? 
Abstract:
  The return regression methodology is used to test for mean reversion in
 the forward market for US T-bills over the period 1964 to 1995.
 Substantial evidence of mean reversion is found in one- to ten-month
 forward spreads over the 12 to 24 month horizon. Such evidence is
 indicative of market inefficiency or speculative dynamics in models with
 time-invariant term premia. This is not necessarily the case, however, in
 models with time-varying term premia. We show that forward premia
 estimated using a multi-factor GARCH model accounts for this evidence,
 thus reconciling the evidence of mean reversion with market efficiency. 
Journal: Applied Financial Economics 
Pages: 343-350 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031462 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031462
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:343-350




Template-Type: ReDIF-Article 1.0
Author-Name: Frederick Nieuwland 
Author-X-Name-First: Frederick 
Author-X-Name-Last: Nieuwland 
Author-Name: Willem Verschoor 
Author-X-Name-First: Willem 
Author-X-Name-Last: Verschoor 
Author-Name: Christian Wolff 
Author-X-Name-First: Christian 
Author-X-Name-Last: Wolff 
Title: Exchange risk premia in the European monetary system 
Abstract:
  In this article, a survey database of exchange rate expectations is
 employed to examine EMS exchange risk premia. We are able to test a risk
 premium model directly, i.e. without having to rely on the rational
 expectations assumption. The results indicate that time-varying risk
 premia are almost always present and that a (G)ARCH-in-mean specification
 is often quite succesful in capturing the essential features of the
 premia. 
Journal: Applied Financial Economics 
Pages: 351-360 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031471 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031471
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:351-360




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Moore 
Author-X-Name-First: Michael 
Author-X-Name-Last: Moore 
Author-Name: Kate Phylaktis 
Author-X-Name-First: Kate 
Author-X-Name-Last: Phylaktis 
Title: Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour 
Abstract:
  Black and official foreign exchange rates have co-existed for many years
 in a number of major Pacific Basin countries. In this paper, a framework
 is developed for examining the relationship between the two types of
 exchange rates in the cointegration and error correction context for both
 the short and long run. This is applied to the data over the period
 January 1974 to June 1992. Evidence against the standard portfolio theory
 of black market behaviour is found. 
Journal: Applied Financial Economics 
Pages: 361-369 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031480 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031480
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:361-369




Template-Type: ReDIF-Article 1.0
Author-Name: Christian Wolff 
Author-X-Name-First: Christian 
Author-X-Name-Last: Wolff 
Title: Forward foreign exchange rates and expected future spot rates 
Abstract:
  This paper explores whether knowledge of the time-series properties of
 the premium in the pricing of forward foreign exchange can be usefully
 exploited in forecasting future spot exchange rates. Signal-extraction
 techniques, based on recursive application of the Kalman filter, are used
 to measure the premium. Predictions using premium models compare
 favourably with those obtained from the use of the forward rate as a
 predictor of the future spot rate. The results also provide an interesting
 description of the time-series properties of the premium 
Journal: Applied Financial Economics 
Pages: 371-377 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031499 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031499
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:371-377




Template-Type: ReDIF-Article 1.0
Author-Name: Mathias Binswanger 
Author-X-Name-First: Mathias 
Author-X-Name-Last: Binswanger 
Title: Stock returns and real activity: is there still a connection? 
Abstract:
  Several studies published in the early 1990s found that a large fraction
 of stock return variations can be explained by future values of measures
 of real activity in the United States by using data samples from the 1950s
 to the 1980s. This paper presents evidence that the relation does not hold
 up any more during the most recent stock market boom since the early 1980s
 indicating that stock returns ceased to lead real economic activity.
 Therefore, the current stock market boom seems to be fundamentally
 different from the first stock market boom after World War II from the
 late 1940s to the mid-1960s, when the stock market was clearly leading
 real activity. A possible explanation of our results is the existence of
 bubbles or fads which make movements of stock prices more independent from
 subsequent changes in real activity. 
Journal: Applied Financial Economics 
Pages: 379-387 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031507 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031507
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:379-387




Template-Type: ReDIF-Article 1.0
Author-Name: Angela Black 
Author-X-Name-First: Angela 
Author-X-Name-Last: Black 
Title: Expected returns and business conditions: a commentary on Fama and French 
Abstract:
  Fama and French (1989) identify two useful variables for forecasting
 expected asset returns: the default and term spread. Jensen et al. (1996)
 show that the ability of default and term spreads to forecast expected
 returns is dependent upon the monetary environment. Motivated by the
 theoretical underpinnings of portfolio choice theory this paper uses a
 different measure of default and term premia. Using quarterly and monthly
 expected return data on four stock and one bond portfolio the results
 indicate that default and term premia constructed as the relative
 difference in returns possess a forecasting ability that is not dependent
 on the monetary environment. In addition, this alternative measure appears
 to be superior at forecasting expected returns than the more traditional
 default and term spread. 
Journal: Applied Financial Economics 
Pages: 389-400 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031516 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031516
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:389-400




Template-Type: ReDIF-Article 1.0
Author-Name: Maria Sophia Aguirre 
Author-X-Name-First: Maria Sophia 
Author-X-Name-Last: Aguirre 
Author-Name: Reza Saidi 
Author-X-Name-First: Reza 
Author-X-Name-Last: Saidi 
Title: Asymmetries in the conditional mean and conditional variance in the exchange rate: evidence from within and across economic blocks 
Abstract:
  The paper tests the hypothesis that both the conditional mean and the
 conditional variance of exchange rates are asymmetric functions of past
 information. This hypothesis is tested by estimating an Asymmetric
 Threshold GARCH model for fifteen currencies. The empirical evidence
 suggests that both the conditional mean and the conditional variance
 respond asymmetrically to past information, with an AR(1) structure within
 blocks and an ARMA(1,1) structure for the EU currencies against the
 dollar. It is found that the conditional mean is an asymmetric function of
 past innovations, rising proportionately more during appreciation periods
 within and across blocks. This implies that, on average, the market
 incorporates positive news (depreciations) more quickly than negative news
 (appreciations). The conditional variance is an asymmetric function of
 past innovations as well, rising proportionately more during depreciations
 within blocks and appreciation periods across blocks. Furthermore,
 asymmetries in the conditional mean are linked to asymmetries in the
 conditional variance because the more rapid adjustment of the market to
 depreciations causes greater volatility during these periods. This, in
 turn, causes within blocks a slower speed of adjustment in the variance to
 devaluations than to appreciations. Finally, greater efficiency in
 currency markets is found within blocks than across blocks. 
Journal: Applied Financial Economics 
Pages: 401-412 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031525 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031525
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:401-412




Template-Type: ReDIF-Article 1.0
Author-Name: T. J. Flavin 
Author-X-Name-First: T. J. 
Author-X-Name-Last: Flavin 
Author-Name: M. G. Limosani 
Author-X-Name-First: M. G. 
Author-X-Name-Last: Limosani 
Title: Fiscal policy and the term premium in real interest rate differentials 
Abstract:
  The paper seeks to identify the source of the risk premium in real
 interest rate differentials across European countries. In particular, the
 link between real interest rate differentials existing between various
 European countries and Germany, and domestic fiscal policy as proxied by
 the Debt/GDP ratios in these countries is examined. Results provide strong
 evidence that this variable exerts a significant influence on the
 determination of both the level and the volatility of the differential for
 both long-term and short-term interest rates. This is a noteworthy result
 bearing in mind the Maastricht criteria for European Monetary Union and
 the importance attached to convergence of Debt/GDP ratios. 
Journal: Applied Financial Economics 
Pages: 413-417 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031534 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031534
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:413-417




Template-Type: ReDIF-Article 1.0
Author-Name: Maria Garvalova 
Author-X-Name-First: Maria 
Author-X-Name-Last: Garvalova 
Title: Testing for price bubbles: the case of transition economy 
Abstract:
  This paper investigates the possibility that the observed deviations of
 the price changes can be explained by a bubbles hypothesis in the specific
 case of the transition economy in Bulgaria. The rational expectations
 model is used for testing the hypothesis of no bubbles. We examine the
 time series properties of the monthly data for period from May 1991 to
 December 1996. After testing the validity of Cagan's hyperinflation model
 we are able to reject the no bubbles hypothesis for period from January
 1995 to December 1996. 
Journal: Applied Financial Economics 
Pages: 419-422 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031543 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031543
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:419-422




Template-Type: ReDIF-Article 1.0
Author-Name: Felix J. Lopez Iturriaga 
Author-X-Name-First: Felix J. Lopez 
Author-X-Name-Last: Iturriaga 
Title: More on the credit channel of monetary policy transmission: an international comparison 
Abstract:
  Evidence is provided of the credit channel as a possible way of
 transmitting monetary policy decisions. This is done in an international
 framework by comparing the reaction of non-financial companies of twelve
 OECD countries to changes in monetary policy. Using the interest rate as
 an indicator of the stance of monetary policy, it is found that the
 interest rate does affect firms' investment and output by altering their
 bank finance availability, particularly short-term finance. Results also
 seem to show rather different effectiveness of the monetary policy
 depending on the features of the financial system of each country. In
 those countries with a more marketoriented financial system, corporate
 finance relies less heavily on banks, so they are not so influenced by
 shifts in monetary policy as are companies of other more bank-based
 countries. 
Journal: Applied Financial Economics 
Pages: 423-434 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031552 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031552
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:423-434




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Alan Speight 
Author-X-Name-First: Alan 
Author-X-Name-Last: Speight 
Author-Name: Owain Apgwilym 
Author-X-Name-First: Owain 
Author-X-Name-Last: Apgwilym 
Title: Forecasting UK stock market volatility 
Abstract:
  The paper analyses the forecasting performance of a variety of
 statistical and econometric models of UK FTA All Share and FTSE100 stock
 index volatility at the monthly, weekly and daily frequencies under both
 symmetric and asymmetric loss functions. Under symmetric loss, results
 suggest that the random walk model provides vastly superior monthly
 volatility forecasts, while random walk, moving average, and recursive
 smoothing models provide moderately superior weekly volatility forecasts,
 and GARCH, moving average and exponential smoothing models provide
 marginally superior daily volatility forecasts. If attention is restricted
 to one forecasting method for all frequencies, the most consistent
 forecasting performance is provided by moving average and GARCH models.
 More generally, results suggest that previous results reporting that the
 class of GARCH models provide relatively poor volatility forecasts may not
 be robust at higher frequencies, failing to hold here for the
 crash-adjusted FTSE100 index in particular. 
Journal: Applied Financial Economics 
Pages: 435-448 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031561 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031561
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:435-448




Template-Type: ReDIF-Article 1.0
Author-Name: Vicente Pallardo 
Author-X-Name-First: Vicente 
Author-X-Name-Last: Pallardo 
Author-Name: Vicente Esteve 
Author-X-Name-First: Vicente 
Author-X-Name-Last: Esteve 
Title: The P* model and its performance for the Spanish economy 
Abstract:
  The performance of the P* model is tested as an inflation forecaster for
 the Spanish economy. It is shown that log-run relationships work as
 expected according to the model and the Quantitative Theory of Money. The
 Error Correction Model constructed by using the gap between actual prices
 and the long-term equilibrium price level as an error correction term,
 offers a consistent explanation for the short-run dynamics in prices. On
 the other hand, the P* approach shows a forecasting ability similar to
 that presented for other countries in several studies, although the degree
 of accuracy in the prediction is not specially satisfactory, mainly for
 the period 1989:3- 1992:3, when the credibility effect generated by the
 inclusion of the Spanish peseta in the European Monetary System led to an
 inflation rate much lower than that predicted by the model. Results
 support the option of a direct inflation target (instead of a monetary
 aggregate) as the intermediate variable of the monetary policy. 
Journal: Applied Financial Economics 
Pages: 449-459 
Issue: 4 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/09603100050031570 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100050031570
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:449-459




Template-Type: ReDIF-Article 1.0
Author-Name: Djeto Assane 
Author-X-Name-First: Djeto 
Author-X-Name-Last: Assane 
Author-Name: Bernard Malamud 
Author-X-Name-First: Bernard 
Author-X-Name-Last: Malamud 
Title: The Federal Reserve's response to exchange rate shocks 
Abstract:
  This paper examines the extent to which the Federal Reserve has aimed to
 stabilize the dollar in the era of floating exchange rates. Wald tests and
 variance decomposition for a VAR model of the macroeconomy confirm that
 the Fed did respond to exchange rate shocks since 1973. Impulse responses
 of the federal funds rate to exchange rate shocks and exchange rate
 responses to policy shocks are found to be significant and mutually
 stabilizing. Dollar depreciation leads to a higher fed funds rate and a
 higher funds rate spurs dollar appreciation. 
Journal: Applied Financial Economics 
Pages: 461-470 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416334 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416334
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:461-470




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitris Georgoutsos 
Author-X-Name-First: Dimitris 
Author-X-Name-Last: Georgoutsos 
Author-Name: Georgios Kouretas 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Kouretas 
Title: The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability 
Abstract:
  This study examines the proposition that destabilizing speculation caused
 the overvaluation of the pound sterling in mid-1924 and the depreciation
 of the franc Poincare in mid-1925, by testing for the existence of
 long-run purchasing power parity in the 1920s for the dollar/sterling,
 franc/sterling and franc/dollar exchange rates. Using the
 Johansen-Juselius multivariate cointegration technique, evidence was found
 in favour of PPP in all the cases. However, using Hansen-Johansen (1993)
 tests for parameter constancy in cointegrated VAR models, it was found
 that the results for the dollar/sterling case are very fragile, and this
 may be interpreted as evidence that destabilizing speculation caused the
 overvaluation of sterling, while the results for the franc Poincare are
 rather robust, indicating that it was not deliberately undervalued. 
Journal: Applied Financial Economics 
Pages: 471-482 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416343 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416343
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:471-482




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Hans Franses 
Author-X-Name-First: Philip Hans 
Author-X-Name-Last: Franses 
Author-Name: Richard Paap 
Author-X-Name-First: Richard 
Author-X-Name-Last: Paap 
Title: Modelling day-of-the-week seasonality in the S&P 500 index 
Abstract:
  A time series model is proposed that describes the day-of-the-week
 seasonality in returns as well as in volatility of the daily S&P 500
 index. The model is a periodic autoregression with periodically integrated
 GARCH [PAR-PIGARCH]. With this statistically adequate model, positive
 (negative) autocorrelation is found in the returns on Monday (Tuesday).
 Day-of-the-week variation in the persistence of volatility is also found. 
Journal: Applied Financial Economics 
Pages: 483-488 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416352 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416352
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:483-488




Template-Type: ReDIF-Article 1.0
Author-Name: David Chappell 
Author-X-Name-First: David 
Author-X-Name-Last: Chappell 
Author-Name: Robert Eldridge 
Author-X-Name-First: Robert 
Author-X-Name-Last: Eldridge 
Title: Evidence of market inefficiency in a war environment 
Abstract:
  This paper examines the UK FT30 stock index during the Second World War
 period 1939-1945 for weak form efficiency, showing that there is
 substantial structure in the data, albeit in two distinct subsets. Fitting
 a GARCH (p, q) model to each data subset yields R -2 values of around 19%;
 clear evidence that the data do not follow a random walk. The weak-form
 efficiency hypothesis is therefore rejected. 
Journal: Applied Financial Economics 
Pages: 489-492 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416361 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416361
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:489-492




Template-Type: ReDIF-Article 1.0
Author-Name: Cherian Samuel 
Author-X-Name-First: Cherian 
Author-X-Name-Last: Samuel 
Title: Does shareholder myopia lead to managerial myopia? A first look 
Abstract:
  Shareholder myopia may not necessarily lead to managerial myopia. To the
 extent that managerial myopia is a problem for some firms, the reasons for
 this must be sought elsewhere. While institutional ownership has a
 positive effect on capital expenditures, it appears to have a negative
 effect on R&D expenditures and no effect on advertising expenditures. The
 results in this paper also call into question the viewpoint that faults
 the short-term orientation of financial markets as contributing to
 long-term competitiveness problems of economies. 
Journal: Applied Financial Economics 
Pages: 493-505 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416370 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416370
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:493-505




Template-Type: ReDIF-Article 1.0
Author-Name: Yener Altunbas 
Author-X-Name-First: Yener 
Author-X-Name-Last: Altunbas 
Author-Name: Santiago Carbo 
Author-X-Name-First: Santiago 
Author-X-Name-Last: Carbo 
Author-Name: Edward Gardener 
Author-X-Name-First: Edward 
Author-X-Name-Last: Gardener 
Title: CAR 2: the impact of CAR on bank capital augmentation in Spain 
Abstract:
  This paper reports on tests, using panel methods, of a new capital
 augmentation model on Spanish savings banks over the period 1987-1996. It
 is argued that this banking subsector and time frame provide an
 interesting laboratory of the potential impact of regulation on bank
 capital augmentation. Early modelling work in this area is built on by
 extending the control variables to encompass risks not factored into the
 regulatory capital adequacy ratio, managerial efficiency, innovation and a
 new productive efficiency variable. The results indicate strong evidence
 of the impact of the capital adequacy regulatory regime on bank capital
 augmentation. Furthermore, this impact appears to be related to the
 relative strictness of the regulatory regime. At the same time the model
 also confirms the particular importance of the expected return on bank
 capital and productive efficiency in explaining capital augmentation. 
Journal: Applied Financial Economics 
Pages: 507-518 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416389 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416389
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:507-518




Template-Type: ReDIF-Article 1.0
Author-Name: Mike So 
Author-X-Name-First: Mike 
Author-X-Name-Last: So 
Title: Long-term memory in stock market volatility 
Abstract:
  The modified rescaled range test proposed by Lo (1991) and the
 semiparametric test proposed by Geweke and Porker-Hudak (1983) are applied
 to detect the existence of long-term dependence in volatility for S & P
 500 index, Dow Jones Industrial Average index and its constituent stocks.
 Three proxies of the variability of returns: the absolute mean deviation,
 the squared mean deviation and the logarithm of the absolute mean
 deviation are adopted in this study. Strong evidence of long-term
 dependence in volatility is found in nearly all cases. This suggests that
 it is important to incorporate the long memory feature in the modelling of
 volatility in order to produce good volatility forecasts and derivative
 pricing formulas. 
Journal: Applied Financial Economics 
Pages: 519-524 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416398 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416398
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:519-524




Template-Type: ReDIF-Article 1.0
Author-Name: Kuo-Ping Chang 
Author-X-Name-First: Kuo-Ping 
Author-X-Name-Last: Chang 
Author-Name: Kuo-Shiuan Ting 
Author-X-Name-First: Kuo-Shiuan 
Author-X-Name-Last: Ting 
Title: A variance ratio test of the random walk hypothesis for Taiwan's stock market 
Abstract:
  The Lo and MacKinlay variance-ratio test is used to examine random walks
 in Taiwan's 1971-1996 stock prices. The empirical results show that with
 weekly value-weighted market index, the null hypothesis of random walk is
 rejected, and the autocorrelation decreases after the 1990 speculation fad
 and is inversely related to the range of price limits. The study also
 finds that the random walk hypothesis cannot be rejected with monthly,
 quarterly and yearly value-weighted market indexes. 
Journal: Applied Financial Economics 
Pages: 525-532 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416406 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416406
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:525-532




Template-Type: ReDIF-Article 1.0
Author-Name: K. McCaffrey 
Author-X-Name-First: K. 
Author-X-Name-Last: McCaffrey 
Author-Name: P. Hamill 
Author-X-Name-First: P. 
Author-X-Name-Last: Hamill 
Title: Dividend initiation announcements effects in initial public offerings 
Abstract:
  This paper examines the market reaction to dividend initiation
 announcements by Initial Public Offerings (IPOs) in the UK. Using data for
 131 Official Listed (OL) and 139 Unlisted Securities Market (USM) firms,
 covering the period 1982-1991, the study finds a positive market reaction
 to such announcements. Employing a random walk and random walk with a
 drift models to generate earnings expectations, the study finds that
 unexpected earnings are significantly positively related to the
 announcement day abnormal return, with unexpected dividends positive and
 significant, for the OL sample only. Contrary to prior research, no
 evidence of an 'interaction effect' between earnings and dividends signals
 is reported. 
Journal: Applied Financial Economics 
Pages: 533-542 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416415 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416415
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:533-542




Template-Type: ReDIF-Article 1.0
Author-Name: John Sequeira 
Author-X-Name-First: John 
Author-X-Name-Last: Sequeira 
Author-Name: Michael McAleer 
Author-X-Name-First: Michael 
Author-X-Name-Last: McAleer 
Title: A market-augmented model for SIMEX Brent crude oil futures contracts 
Abstract:
  Brent crude oil futures contracts are traded on both the Singapore
 International Monetary Exchange (SIMEX) and the International Petroleum
 Exchange (IPE). Through a mutual offset system between SIMEX and IPE,
 Brent crude oil futures contracts can be traded up to nineteen hours each
 day. The inter-relationship between the two futures contracts, the spot
 price of Brent crude oil and the riskfree interest rate, suggest the
 existence of cointegration among SIMEX Brent crude oil futures prices,
 lagged IPE Brent crude oil futures prices, Brent spot prices and the
 London Inter-bank Offer Rate (LIBOR). Error-correction representations of
 two standard futures pricing models, namely the unbiased expectations and
 cost-of-carry hypotheses, are formulated for SIMEX Brent crude oil futures
 contracts. These formulations are augmented by including the lagged IPE
 futures price in the mispricing error. The resulting Augmented Unbiased
 Expectations Hypothesis (AUEH) and the Augmented Cost-of-Carry (ACOC)
 models are estimated and tested against each other, and also against the
 standard unbiased expectations and cost-of-carry models, using nested and
 non-nested testing procedures. Forecasting comparisons are also made among
 the various models and the autoregressive integrated moving average models
 fitted to SIMEX Brent crude oil futures prices. Results from the nonnested
 tests and the forecasting criteria show clearly that the augmented models
 outperform their standard (non-augmented) counterparts. 
Journal: Applied Financial Economics 
Pages: 543-552 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416424 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416424
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:543-552




Template-Type: ReDIF-Article 1.0
Author-Name: M. F. Omran 
Author-X-Name-First: M. F. 
Author-X-Name-Last: Omran 
Author-Name: E. McKenzie 
Author-X-Name-First: E. 
Author-X-Name-Last: McKenzie 
Title: Heteroscedasticity in stock returns data revisited: volume versus GARCH effects 
Abstract:
  The results of Lamoureux and Lastrapes (Journal of Finance, 45, 221-29,
 1990) are extended to the UK stock market, and the study examines, in
 particular, their finding that GARCH modelling captures the serial
 dependence in volume of trade. Using data on 50 UK companies, we find that
 although the parameter estimates of the GARCH model become insignificant
 when volume of trade is used in the conditional variance of returns, the
 autocorrelations of the squared residuals still exhibit a highly
 significant GARCH effects. Evidence is found that there is a strong
 association in the timing of innovational outliers in returns and volume.
 The results suggest that a threshold model for volume and returns could
 prove a useful route to pursue in future research. 
Journal: Applied Financial Economics 
Pages: 553-560 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416433 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416433
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:553-560




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Coutts 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Coutts 
Author-Name: Christos Kaplanidis 
Author-X-Name-First: Christos 
Author-X-Name-Last: Kaplanidis 
Author-Name: Jennifer Roberts 
Author-X-Name-First: Jennifer 
Author-X-Name-Last: Roberts 
Title: Security price anomalies in an emerging market: the case of the Athens Stock Exchange 
Abstract:
  This paper investigates the existence of security price anomalies in the
 Athens Stock Exchange General Index, over an approximate ten year period -
 14 October 1986 through 14 August 1996. Three major industry indices are
 considered: Banking, Insurance and Leasing. Results are somewhat mixed,
 some evidence for a weekend effect is offered, and it is suggested that
 the January effect is present for the indices, and becomes stronger
 through time. Evidence that the holiday effect is, by far, the most
 significant anomaly in the Athens Stock Exchange is also provided. It
 appears that following major institutional changes in 1992, the patterns
 in securities returns began to mirror those of advanced financial markets.
 To conclude, however, the seasonalities documented would not be able to
 render potential investors profitable trading strategies net of
 transaction costs. This is of course entirely consistent with the notion
 of market efficiency, in that no strategy exists which will consistently
 yield abnormal returns. 
Journal: Applied Financial Economics 
Pages: 561-571 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416442 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416442
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:561-571




Template-Type: ReDIF-Article 1.0
Author-Name: Ho-Chuan Huang 
Author-X-Name-First: Ho-Chuan 
Author-X-Name-Last: Huang 
Title: Tests of regimes - switching CAPM 
Abstract:
  A novel test for CAPM is presented. In contrast to the traditional
 models, allowance is made for the possibility that the risk measure,
 &#x3b2;, to be drawn from two different regimes, e.g. high-risk state and
 low-risk state. Estimation method is given, empirical results are
 investigated and specification tests are performed. The hypotheses of two
 states cannot be rejected. In addition, evidence shows that the data from
 low-risk state are consistent with CAPM whereas the data from high-risk
 state violate CAPM. 
Journal: Applied Financial Economics 
Pages: 573-578 
Issue: 5 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000416451 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000416451
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:573-578




Template-Type: ReDIF-Article 1.0
Author-Name: J. Andrew Coutts 
Author-X-Name-First: J. Andrew 
Author-X-Name-Last: Coutts 
Author-Name: Kwong-C. Cheung 
Author-X-Name-First: Kwong-C. 
Author-X-Name-Last: Cheung 
Title: Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985-1997 
Abstract:
  The paper investigates the applicability and validity of trading rules in
 the Hang Seng Index on the Hong Kong Stock Exchange for the period January
 1985 to June 1997, and for two subsamples of equal length, partitioned
 from the whole sample. It is concluded that the Moving Average Oscillator
 and the Trading Range Break-out rules appear to be present, to varying
 extents, for all three data samples, although the Trading Range Break-out
 rule is by far the strongest. In terms of implementation, it is suggested
 that both the Moving Average Oscillator and Trading Break-out rules, would
 fail to provide positive abnormal returns, net of transaction costs and
 the associated opportunity costs of investing. Results are such that
 statistical significance can be shown when the rules are applied to data
 periods shorter than used in previous studies. Finally, it is suggested
 that because there is a tendency for potentially 'profitable' trading
 rules, once documented, to cease existing, further research concerning the
 Hang Seng Index and these two trading rules is required in years hence. 
Journal: Applied Financial Economics 
Pages: 579-586 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000437935 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000437935
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:579-586




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Devaney 
Author-X-Name-First: Michael 
Author-X-Name-Last: Devaney 
Author-Name: William Weber 
Author-X-Name-First: William 
Author-X-Name-Last: Weber 
Title: Productivity growth, market structure, and technological change: evidence from the rural banking sector 
Abstract:
  Linear programming techniques are used to estimate the Malmquist
 productivity index for the US rural banking sector over the period 1990 to
 1993. The index decomposes productivity growth into pure technical
 efficiency change, scale efficiency change, and technological change.
 Rural bank productivity growth for the three-year period averaged 11% and
 was attributed to technological change rather than pure technical change
 or scale change. Although market structure and state banking regulations
 affected productivity components, they were offsetting, resulting in a
 small and mainly insignificant effect on overall productivity growth. 
Journal: Applied Financial Economics 
Pages: 587-595 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000437944 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000437944
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:587-595




Template-Type: ReDIF-Article 1.0
Author-Name: Niclas Hagelin 
Author-X-Name-First: Niclas 
Author-X-Name-Last: Hagelin 
Title: Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden 
Abstract:
  This study investigates the relationship between option market activity
 and cash market volatility on the OMX index. Option market activity is
 defined as trading volume divided by open interest and is assumed to
 reflect the specific impact of speculation. The study contributes by
 investigating empirical evidence relating to two periods with different
 market conditions. The findings show that for the complete sample period
 there is unidirectional causality from cash market volatility to option
 market activity for calls and puts jointly, as well as for calls and puts
 respectively. While unidirectional causality from cash market volatility
 to call option market activity is documented for both the subperiods,
 bilateral causality between put option market activity and cash market
 volatility was found for one of the subperiods. Finally, to further
 investigate the potential impact of index options on the volatility of the
 underlying cash market the expected and unexpected components of option
 market activity, trading volume, and open interest were also investigated. 
Journal: Applied Financial Economics 
Pages: 597-613 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000437953 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000437953
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:597-613




Template-Type: ReDIF-Article 1.0
Author-Name: Apostolos Serletis 
Author-X-Name-First: Apostolos 
Author-X-Name-Last: Serletis 
Author-Name: Periklis Gogas 
Author-X-Name-First: Periklis 
Author-X-Name-Last: Gogas 
Title: Purchasing power parity, nonlinearity and chaos 
Abstract:
  This study contrasts the (apparent) random walk behaviour of the real
 exchange rate to chaotic dynamics, using (US) dollar-based real exchange
 rates for 17 OECD countries (covering the period 1957:1-1995:4). Tests for
 deterministic noisy chaos are carried out using the Nychka, Ellner,
 Gallant and McCaffrey (1992) test for positivity of the maximum Lyapunov
 exponent. There is evidence of nonlinear chaotic dynamics in seven real
 exchange rate series, suggesting that real exchange rate movements might
 not be really random. 
Journal: Applied Financial Economics 
Pages: 615-622 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000437962 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000437962
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:615-622




Template-Type: ReDIF-Article 1.0
Author-Name: Alois Geyer 
Author-X-Name-First: Alois 
Author-X-Name-Last: Geyer 
Title: Implications of dependence in stock returns for asset allocation 
Abstract:
  This paper investigates some implications of empirically observed
 stochastic properties of stock returns for asset allocation problems. For
 that purpose, decisions of representative investors for different utility
 functions are compared. Actual returns are assumed to have time-varying
 first and second order moments. Investors have different (false and
 correct) assumptions about the stochastic properties of returns.
 Consequences of their decisions are expressed in terms of ex post utility
 and converted to monetary units. Two main results are obtained: (a) there
 are almost no gains when GARCH properties of returns are correctly taken
 into account. (b) correct assumptions about time-variation in expected
 returns lead to significant gains for short investment horizons. 
Journal: Applied Financial Economics 
Pages: 623-633 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000437971 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000437971
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:623-633




Template-Type: ReDIF-Article 1.0
Author-Name: Siu-Yeung Chan 
Author-X-Name-First: Siu-Yeung 
Author-X-Name-Last: Chan 
Author-Name: Wai-Ming Fong 
Author-X-Name-First: Wai-Ming 
Author-X-Name-Last: Fong 
Title: The information content of corporate domicile relocation announcements: the case of Hong Kong 
Abstract:
  This paper examines the information content of domicile relocation
 announcements of Hong Kong listed companies. The results suggest that
 investors regard the disadvantages of domicile relocation as more
 significant than the advantages. There are statistically significant
 negative abnormal returns after the announcements. On the other hand, it
 was found that there was no statistically significant abnormal trading
 volume around the announcements, suggesting that the announcements are
 unexpected and investors interpret the relocation identically. The results
 contrast sharply with the statistically significant abnormal trading
 volume but insignificant abnormal returns around the announcements as
 documented in previous studies. It was found that those studies used
 unreliable data and inappropriate methods, which lead to misleading
 results. 
Journal: Applied Financial Economics 
Pages: 635-644 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000437980 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000437980
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:635-644




Template-Type: ReDIF-Article 1.0
Author-Name: Dimosthenis Hevas 
Author-X-Name-First: Dimosthenis 
Author-X-Name-Last: Hevas 
Author-Name: George Karathanassis 
Author-X-Name-First: George 
Author-X-Name-Last: Karathanassis 
Author-Name: Nickolaos Iriotis 
Author-X-Name-First: Nickolaos 
Author-X-Name-Last: Iriotis 
Title: An empirical examination of the value relevance of consolidated earnings figures under a cost of acquisition regime 
Abstract:
  This study examined empirically the value relevance of, first, the total
 reported consolidated accounting earnings and, secondly, the earnings of
 the subsidiaries attributed to the parent company, under a cost of
 acquisition regime, via an association study. Various alternative models
 were formed and tested empirically against data obtained from the Athens
 Stock Exchange for the years 1993, 1994 and 1995. It was found that, when
 undeflated, total reported consolidated earnings were value relevant but
 to a lesser degree than the total reported earnings of the parent company,
 probably because they are the sum of a set of heterogeneous earnings
 components. Similarly, consolidation did not improve the explanatory power
 of the valuation models. However, decomposition of the total reported
 consolidated earnings into the part contributed by the parent company and
 the part contributed by the subsidiaries (excess group earnings), in order
 to account for the different legal (and tax) status of these two earnings
 components provided two earnings measures with different degree of value
 relevance, thus verifying expectations. 
Journal: Applied Financial Economics 
Pages: 645-653 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000437999 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000437999
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:645-653




Template-Type: ReDIF-Article 1.0
Author-Name: Xiaoqiang Hu 
Author-X-Name-First: Xiaoqiang 
Author-X-Name-Last: Hu 
Author-Name: Thomas Willett 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Willett 
Title: The variability of inflation and real stock returns 
Abstract:
  While a negative correlation between inflation and real stock returns has
 been well documented, the cause of this relationship has been the subject
 of considerable controversy. The most plausible causal interpretation is
 the variability hypothesis which points to a chain from higher inflation
 to greater variability and uncertainty to depressed economic activity,
 hence generating a link between inflation and expected returns. The
 previous studies have not found support for this hypothesis, however, and
 Fama's noncausal proxy hypothesis has gained considerable currency. It is
 argued that there have been serious methodological problems with the
 previous tests of the variability hypothesis. When these are corrected, we
 find strong support for the causal variability hypothesis in the post war
 data for the United States. 
Journal: Applied Financial Economics 
Pages: 655-665 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000438006 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000438006
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:655-665




Template-Type: ReDIF-Article 1.0
Author-Name: Nicholas Taylor 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Taylor 
Title: US inflation-indexed bonds in the long run: a hypothetical view 
Abstract:
  This paper investigates the role of US inflation-indexed bonds in the
 portfolios of expected utility maximizing investors. As there does not
 exist sufficient return data, holding period returns on inflation-indexed
 bonds are generated using three different assumptions concerning the
 behaviour of real yields over time. These returns are then allowed to
 enter the available asset set of risk-averse investors. Using data
 covering the period, 1927-1996, the results show that inflation-indexed
 bonds would have formed a large part of the portfolios of such investors.
 The result holds for various levels of risk-aversion and for holding
 periods of one month, one year, and five years. However, when this
 investment in inflation-indexed bonds is subjected to a statistical test
 the results indicate that investor utility is insignificantly affected by
 the inflation-indexed bond investment. Finally, sensitivity analysis shows
 that an unrealistically high real yield of 2.5% is required for
 inflation-indexed bond investment to be significant. 
Journal: Applied Financial Economics 
Pages: 667-677 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000438015 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000438015
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:667-677




Template-Type: ReDIF-Article 1.0
Author-Name: Hamid Baghestani 
Author-X-Name-First: Hamid 
Author-X-Name-Last: Baghestani 
Author-Name: Woo Jung 
Author-X-Name-First: Woo 
Author-X-Name-Last: Jung 
Author-Name: Daniel Zuchegno 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Zuchegno 
Title: On the information content of futures market and professional forecasts of interest rates 
Abstract:
  This paper compares the informational content of the multiperiod
 forecasts of the three-month Treasury bill rates from the futures market
 and the ASA-NBER professional survey, using a univariate forecast as a
 benchmark. Based on the Fair and Shiller procedure, our findings indicate
 that, for all but one forecast horizon, the futures market data outperform
 both the univariate and professional survey forecasts. For the one- to
 three-quarter-ahead forecasting horizons, the futures market rates fully
 and efficiently utilize the information in the past history of the bill
 rate and, more interestingly, include information contained in the survey.
 For the fourquarter-ahead forecasts, both the futures and survey forecasts
 contain similar information and fail to be efficient. In general, our
 results may support the efficiency of the futures market. 
Journal: Applied Financial Economics 
Pages: 679-684 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000438024 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000438024
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:679-684




Template-Type: ReDIF-Article 1.0
Author-Name: Susan Pozo 
Author-X-Name-First: Susan 
Author-X-Name-Last: Pozo 
Author-Name: Mark Wheeler 
Author-X-Name-First: Mark 
Author-X-Name-Last: Wheeler 
Title: Exchange-rate uncertainty and dollarization: a structural vector error correction approach to estimating money demand 
Abstract:
  Open economy money demand functions for Singapore are estimated using
 quarterly data from 1973-1996. Variance decompositions derived from
 structural vector error correction models are used to test the effect of
 anticipated exchange rate movements and exchange rate uncertainty on money
 demand. Though no evidence was found for currency substitution and
 dollarization with respect to the US dollar, it was found that Singapore's
 money demand is affected by variations in exchange rate uncertainty with
 respect to the Japanese yen. 
Journal: Applied Financial Economics 
Pages: 685-692 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000438033 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000438033
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:685-692




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Hamill 
Author-X-Name-First: Philip 
Author-X-Name-Last: Hamill 
Author-Name: Kwaku Opong 
Author-X-Name-First: Kwaku 
Author-X-Name-Last: Opong 
Author-Name: Dan Sprevak 
Author-X-Name-First: Dan 
Author-X-Name-Last: Sprevak 
Title: The behaviour of Irish ISEQ index: some new empirical tests 
Abstract:
  This study applies statistical tools, derived from chaos theory, to
 examine the behaviour of the ISEQ equity index on the Dublin Stock
 Exchange. Evidence that the ISEQ index series does not behave as a
 realization of a sequence of independent, identically distributed random
 variables (IID) is provided. 
Journal: Applied Financial Economics 
Pages: 693-700 
Issue: 6 
Volume: 10 
Year: 2000 
X-DOI: 10.1080/096031000438042 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031000438042
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:693-700




Template-Type: ReDIF-Article 1.0
Author-Name: Jerry Coakley 
Author-X-Name-First: Jerry 
Author-X-Name-Last: Coakley 
Author-Name: Ana-Maria Fuertes 
Author-X-Name-First: Ana-Maria 
Author-X-Name-Last: Fuertes 
Title: Nonparametric cointegration analysis of real exchange rates 
Abstract:
  This study indirectly addresses the issue of potential nonlinearities in
 real exchange rate adjustment for 18 OECD economies 1973-1998 using recent
 developments in the theory of nonparametric cointegration. While the
 standard Johansen tests yield mixed evidence, the results from a new
 nonparametric approach are clearly supportive of real exchange rate
 stationarity. Since the latter approach allows for a relatively general
 data-generating process, the findings are consistent with nonlinear mean
 reversion. 
Journal: Applied Financial Economics 
Pages: 1-8 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210200 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210200
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:1-8




Template-Type: ReDIF-Article 1.0
Author-Name: Sunil Mohanty 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Mohanty 
Title: Noncredit risks subsidization in the international capital standards 
Abstract:
  One of the major weaknesses of current risk-based capital standards is
 that they account primarily for credit risk, interest rate risk and market
 risks and, thus, fail to explicitly incorporate other types of noncredit
 risks. Utilizing a risk-of-failure analysis, this study provides evidence
 that several sources of noncredit risks including asset concentrations and
 liquidity risk significantly increase bank insolvency. These results
 suggest that the regulatory agencies must continue to strengthen the
 capital positions of banks by accounting for several sources of noncredit
 risks in addition to credit, interest rate, and market risks. 
Journal: Applied Financial Economics 
Pages: 9-16 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210219 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210219
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:9-16




Template-Type: ReDIF-Article 1.0
Author-Name: Perry Sadorsky 
Author-X-Name-First: Perry 
Author-X-Name-Last: Sadorsky 
Title: Broken trend output in a model of stock returns and economic activity 
Abstract:
  This paper investigates the interaction between real stock returns and
 economic activity using a new econometric technique that suggests postwar
 US industrial production is best characterized as broken trend stationary
 rather than first difference stationary. This result, however, has little
 impact on the Granger causal relationship between real stock returns and
 economic activity. Results from a small forecasting experiment indicate
 that determining which model forecasts the best depends upon the criteria
 being used to evaluate the forecast summary statistics. 
Journal: Applied Financial Economics 
Pages: 17-21 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210228 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210228
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:17-21




Template-Type: ReDIF-Article 1.0
Author-Name: Nikolaos Milonas 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Milonas 
Author-Name: Thomas Henker 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Henker 
Title: Price spread and convenience yield behaviour in the international oil market 
Abstract:
  This paper examines the price and volatility behaviour of two similar
 commodities (Brent Crude Oil and West Texas Intermediate) and attempts to
 identify the variables that affect their relative price differential.
 Price spreads and convenience yields are estimated in an effort to test a
 number of hypotheses relating to market segmentation, seasonality and
 maturity effect. Cash and futures price data covering the period 1991-1995
 reveal that: convenience yields are significant and about 2.5% of cash
 prices on the average; convenience yields exhibit strong yearly and
 monthly seasonalities due to supply/demand imbalances; convenience yield
 is a negative function of the level of stocks and behaves like a call
 option; as maturity of futures contracts nears, their convenience yields
 get smaller, an indication that the maturity effect exists in futures
 prices, and crude oil price spreads are affected by convenience yields
 which act as surrogates for demand/supply conditions and market price
 behaviour. 
Journal: Applied Financial Economics 
Pages: 23-36 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210237 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210237
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:23-36




Template-Type: ReDIF-Article 1.0
Author-Name: A. D. Clare 
Author-X-Name-First: A. D. 
Author-X-Name-Last: Clare 
Author-Name: M. C. Oozeer 
Author-X-Name-First: M. C. 
Author-X-Name-Last: Oozeer 
Title: Hedging sterling eurobond portfolios: a proposal for eurobond futures contract 
Abstract:
  Options and futures on government bonds are the only exchange traded
 derivative contracts currently available to investors wishing to hedge
 portfolios of eurobonds. This study, forms sterling denominated eurobond
 portfolios and tests the hedging effectiveness, with respect to these
 portfolios, of the long gilt futures contract traded on the London
 International Financial Futures Exchange (LIFFE). Also testing the hedging
 effectiveness of a futures contract- a Eurobond Index Futures (EIF)
 contract. Finding the hedging effectiveness of the Long Gilt contract to
 be inferior to that of the EIF contract. Given the size and importance of
 the eurobond market, it is therefore believed that it is time to develop
 purpose built derivative contracts for these capital instruments. 
Journal: Applied Financial Economics 
Pages: 37-44 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210246 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210246
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:37-44




Template-Type: ReDIF-Article 1.0
Author-Name: Jan Hanousek 
Author-X-Name-First: Jan 
Author-X-Name-Last: Hanousek 
Author-Name: Libor Nemecek 
Author-X-Name-First: Libor 
Author-X-Name-Last: Nemecek 
Title: Czech parallel capital markets: discrepancies and inefficiencies 
Abstract:
  This study concentrates on interactions, price convergence and
 co-movements among the organized (and parallel) markets in the Czech
 Republic. Significant and lasting price differences between the individual
 trading channels available to the investor are documented and they are
 attributed to the (inefficient) institutional structure of the Czech
 capital markets as these characteristics are not sensitive to the firms'
 characteristics. The central markets of the Prague Stock Exchange (PSE)
 and the RMS (over-the-counter system) represent the two most closely
 linked market channels. The interrelations between these markets are
 studied to identify the leaders and followers in the information
 transmission process. The analysis shows the leading position in actively
 traded stocks to be held by the PSE main market, but RMS dominates in
 segments with lower liquidity. The analysis of the intramarket relations
 also confirms that liquid segments play a leading role in both the PSE and
 RMS. Given the unpleasant evolution of the Czech capital markets and
 contrary to the theory, these links actually weaken over time as a smaller
 fraction of total trade is being transacted on these price-forming
 markets. Thus, we conclude that the PSE and the RMS do not behave as a
 fully integrated and efficient market. Major institutional changes are
 identified as the only mitigating force which has led to the deteriorating
 position and reputation of the Czech capital markets and the Prague Stock
 Exchange in particular. 
Journal: Applied Financial Economics 
Pages: 45-55 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210255 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210255
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:45-55




Template-Type: ReDIF-Article 1.0
Author-Name: Darren Butterworth 
Author-X-Name-First: Darren 
Author-X-Name-Last: Butterworth 
Author-Name: Phil Holmes 
Author-X-Name-First: Phil 
Author-X-Name-Last: Holmes 
Title: The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK 
Abstract:
  This study provides the first investigation of the hedging effectiveness
 of the FTSEMid250 stock index futures contract. In contrast to previous
 studies, the portfolios to be hedged are actual diversified portfolios in
 the form of investment trust companies (ITCs). Furthermore, in addition to
 using the well established hedging strategies, consideration is also given
 to hedge ratios estimated on the basis of the Least Trimmed Squares
 approach. Despite relatively thin trading, the FTSE-Mid250 contract is
 shown to be an important additional hedging instrument. Surprisingly, the
 new contract is more effective for hedging ITCs than is the established
 FTSE-100 contract. The study also demonstrates that previous studies
 overstate the hedging effectiveness of UK stock index futures, in that
 they assume the portfolio to be hedged is one which underlies a broad
 market index. 
Journal: Applied Financial Economics 
Pages: 57-68 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210264 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210264
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:57-68




Template-Type: ReDIF-Article 1.0
Author-Name: Bernd Kempa 
Author-X-Name-First: Bernd 
Author-X-Name-Last: Kempa 
Author-Name: Michael Nelles 
Author-X-Name-First: Michael 
Author-X-Name-Last: Nelles 
Title: International correlations and excess returns in European stock markets: does EMU matter? 
Abstract:
  The paper analyses the international correlations of the European
 national stock markets and identifies the potential excess returns which
 can be reaped by means of international diversification in the emerging
 European stock market relative to a strategy of purely national
 diversification both before and after EMU comes into effect. To facilitate
 a comparison of the pre- and post-EMU effects of international
 diversification, we construct an EMU index-portfolio as an average of the
 national stock market indices weighted by the respective national market
 capitalizations. The performance of the national indices is then compared
 to the EMU index-portfolio with and without an explicit incorporation of
 FX volatility. It is found that the excess returns of holding an
 efficiently diversified European stock market portfolio are positive
 throughout, with the highest potential for excess returns for Austria,
 Finland and Italy. However, the results generally indicate that the gains
 of international diversification are more substantial in the presence of
 FX volatility. Nevertheless, the national betas are also generally higher
 when exchange rate variability is accounted for, indicating that the
 elimination of FX volatility in the wake of EMU is likely to lower to cost
 of equity in national stock markets. 
Journal: Applied Financial Economics 
Pages: 69-73 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210273 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210273
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:69-73




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Yang 
Author-X-Name-First: Jian 
Author-X-Name-Last: Yang 
Author-Name: George Davis 
Author-X-Name-First: George 
Author-X-Name-Last: Davis 
Author-Name: David Leatham 
Author-X-Name-First: David 
Author-X-Name-Last: Leatham 
Title: Impact of interest rate swaps on corporate capital structure: an empirical investigation 
Abstract:
  Interest rate swaps are the most popular financial derivatives used by US
 firms. In this paper, the effects of swap usage on corporate financing
 decisions are empirically examined. Based on a dynamic capital structure
 theoretical model, a seemingly unrelated regression model with a
 heteroscedasticity-consistent covariance estimator to estimate these
 effects is employed. The empirical results show that the firms with higher
 effective tax rates reduce their optimal debt ratio range when they use
 interest rate swaps. It was also found that the swap users may enlarge the
 influence of firm size on corporate dynamic debt policy, though it was not
 clear that it helped reduce or increase the optimal debt ratio range. No
 effect of swaps usage on the optimal debt ratio range was found related to
 bankruptcy costs and the volatility of income. The findings imply that the
 use of swaps can help firms stick to an initial high debt ratio and make
 more use of the large tax benefits of debts on debt financing decisions. 
Journal: Applied Financial Economics 
Pages: 75-81 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210282 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210282
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:75-81




Template-Type: ReDIF-Article 1.0
Author-Name: Jonathan Crook 
Author-X-Name-First: Jonathan 
Author-X-Name-Last: Crook 
Title: The demand for household debt in the USA: evidence from the 1995 Survey of Consumer Finance 
Abstract:
  This paper investigates first the factors which determine whether a
 household is likely to be rejected or discouraged from applying for credit
 and second, which factors explain the amount of debt which a household
 demands. All of the published papers which have addressed the first
 question have used data relating to the period 1978-1983 or, in one case
 only, 1984-1989. All the papers which have investigated the second
 question have used data for the earlier period only. In this paper data
 for 1990-1995 from the latest version of the Survey of Consumer Finance
 are used. A univariate probit model with standard errors corrected for
 sampling weights is used to shed light on the first question and a
 bivariate probit model followed by a two stage least squares selection
 model to estimate the demand for debt. Results are found which are similar
 to those for the earlier years and some new ones. In common with earlier
 results it is found that a household demands less debt when the head of
 the household is aged over 55 years and when the head is relatively risk
 averse. A household demands more debt when its income is higher, when it
 owns its own home, when the family size is larger and the head is working.
 It was also found that the result of being black increases the probability
 of being credit constrained but it does not increase a household's demand
 for debt. This is therefore a result found consistently for the late 1980s
 through to the early 1990s. In addition to these results which are in
 common with earlier papers for earlier periods it was also found that if a
 household has a large expected expenditure in the next few years it
 demands a larger amount of debt now, that the higher the net worth of a
 household the less debt it desires and that a household's expectations
 concerning future interest rates has no effect on its demand for debt. 
Journal: Applied Financial Economics 
Pages: 83-91 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210291 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210291
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:83-91




Template-Type: ReDIF-Article 1.0
Author-Name: Maria Kasch-Haroutounian 
Author-X-Name-First: Maria 
Author-X-Name-Last: Kasch-Haroutounian 
Author-Name: Simon Price 
Author-X-Name-First: Simon 
Author-X-Name-Last: Price 
Title: Volatility in the transition markets of Central Europe 
Abstract:
  This study adds evidence from the four emerging markets of Central Europe
 relevant to the econometric modelling of financial time series by
 modelling volatility in these markets. The sample has all the previously
 documented characteristics of the unconditional distribution of stock
 returns normally used to justify the use of the GARCH class of models of
 conditional volatility. Both univariate and multivariate models are
 considered. Strong GARCH effects are apparent in all series examined. The
 estimates of asymmetric models of conditional volatility show rather weak
 evidence of asymmetries in the markets. The results of the multivariate
 specifications of volatility have implication for understanding the
 pattern of information flow between the markets. The constant correlation
 specification indicates significant conditional correlations between two
 pairs of countries: Hungary and Poland, and Hungary and Czech Republic.
 The BEKK model of multivariate volatility shows evidence of return
 volatility spillovers from Hungary to Poland, but no volatility spillover
 effects are found in the opposite direction. 
Journal: Applied Financial Economics 
Pages: 93-105 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210309 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210309
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:93-105




Template-Type: ReDIF-Article 1.0
Author-Name: Andy Kan 
Author-X-Name-First: Andy 
Author-X-Name-Last: Kan 
Title: Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market 
Abstract:
  By employing high-frequency data, a series of minute-by-minute HSI data,
 this paper examines whether the expiration-day effect exists in the last
 trading period before the market closes in the Hong Kong stock market.
 Contrary to the previous findings in the well-developed US markets, this
 paper finds that the expiration-day effect neither exists on the whole
 expiration day nor in the last trading time of the expiration day before
 the market closes. This study suggests that the expiration-day effects are
 not unavoidable by-products of the creation of index futures in the stock
 market. 
Journal: Applied Financial Economics 
Pages: 107-118 
Issue: 1 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100150210318 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100150210318
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:1:p:107-118




Template-Type: ReDIF-Article 1.0
Author-Name: Terrence Hallahan 
Author-X-Name-First: Terrence 
Author-X-Name-Last: Hallahan 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Induced persistence or reversals in fund performance?: the effect of survivorship bias 
Abstract:
  There are two competing views regarding the potential effect of
 survivorship bias on the assessed persistence in performance of managed
 fund returns. On the one hand Brown et al. (Review of Financial Studies,
 5, 1992) argue that spurious persistence will be induced, while
 alternatively Grinblatt and Titman (Journal of Finance, 47, 1992) argue
 the converse case, namely, that performance reversals or nonpersistence is
 more likely. The current study applies the non parametric contingency
 table methodology to the year on year raw returns of a sample of
 Australian Rollover funds as a means of gauging which of these
 survivorship bias hypotheses has greater support. Generally, the results
 show that although there is some evidence of persistence, the dominant
 pattern is one of reversals in performance, thus supporting the Grinblatt
 and Titman view. 
Journal: Applied Financial Economics 
Pages: 119-126 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071505 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071505
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:119-126




Template-Type: ReDIF-Article 1.0
Author-Name: Peijie Wang 
Author-X-Name-First: Peijie 
Author-X-Name-Last: Wang 
Author-Name: Ping Wang 
Author-X-Name-First: Ping 
Author-X-Name-Last: Wang 
Title: Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets 
Abstract:
  This study investigates the risk transmission between the spot and
 forward foreign exchange markets. In particular, the effect of innovation
 basis and signs of shocks in both markets are assessed. The market is less
 predictable when the spot and forward markets have experienced shocks of
 opposite signs. The spot market and the forward market are less
 predictable when both the spot and forward markets have experienced higher
 uncertainty in the previous periods, but the forward market is influenced
 more by the uncertainty of its own. 
Journal: Applied Financial Economics 
Pages: 127-136 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071514 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071514
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:127-136




Template-Type: ReDIF-Article 1.0
Author-Name: Lakshman Alles 
Author-X-Name-First: Lakshman 
Author-X-Name-Last: Alles 
Author-Name: Louis Murray 
Author-X-Name-First: Louis 
Author-X-Name-Last: Murray 
Title: An examination of return and volatility patterns on the Irish equity market 
Abstract:
  This study examines the pattern of returns and volatility on Irish equity
 markets, over a period when the markets were deregulated. GARCH and
 GARCH-IN-MEAN models are applied to data from three study periods.
 Volatility spillovers from the London stock market are considered,
 providing a test for evidence of a change in the degree of this influence.
 Within sample results show that GARCH models do provide a useful
 description of Irish equity returns. Furthermore, the inclusion of
 external volatility improves the model fit. There is no evidence that
 deregulation coincides with an alteration in the impact of external
 volatility. Forecast results indicate some evidence that the inclusion of
 external volatility spillovers does improve the forecast accuracy of GARCH
 models. Tests indicate that a GARCH-IN-MEAN specification does not suit
 Irish equity data. 
Journal: Applied Financial Economics 
Pages: 137-146 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071523 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071523
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:137-146




Template-Type: ReDIF-Article 1.0
Author-Name: Janice Caudill 
Author-X-Name-First: Janice 
Author-X-Name-Last: Caudill 
Author-Name: Steven Caudill 
Author-X-Name-First: Steven 
Author-X-Name-Last: Caudill 
Author-Name: Daniel Gropper 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Gropper 
Title: Charter status, ownership type and efficiency in the thrift industry 
Abstract:
  Deregulation during the 1980s allowed savings and loan associations to
 undertake many of the same activities as mutual savings banks, so that
 competition among thrifts increased, and they became more homogeneous in
 nature. At the same time, according to agency theory, mutual institutions
 should experience less efficient operations than stock institutions due to
 differences in monitoring and compensation of management. The purpose of
 this study, then, is two fold: first, to determine whether mutual savings
 banks exhibit the same cost behaviour as savings and loans; and second, to
 determine whether mutual institutions are less cost efficient than stock
 institutions. To compare cost structures and cost efficiencies, a three
 input, three output, translog cost frontier is estimated for mutual
 savings banks, mutual S&Ls, and stock S&Ls. Approximately 1500
 observations, restricted to the states in which mutual savings banks are
 chartered, are extracted from the 1990 OTS data to be used in the
 estimation. Each type of institution is found to have a unique cost
 function. The data are then used in a second regression to determine which
 characteristics are correlated with the inefficiency scores. It appears
 that mutual savings banks do have a different cost structure than savings
 and loans. As well, the comparison of stock versus mutual savings and
 loans reveals that mutuals exhibit cost efficiency, a result that
 contradicts agency theory. 
Journal: Applied Financial Economics 
Pages: 147-155 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071532 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071532
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:147-155




Template-Type: ReDIF-Article 1.0
Author-Name: Thomas Josev 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Josev 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling 
Abstract:
  The finance literature is replete with studies using the market model
 (MM) and the quadratic market model (QMM) as the return generating model.
 An alternative model, using the quadratic market model framework, was
 adopted by Barone-Adesi (1985) to test a two factor APT model related to
 the Three moment CAPM. While the effect of intervaling on the standard
 market model has been well documented in the literature, evidence for
 these other models does not exist. Accordingly, this paper tests these
 three models on 23 Australian Industry Equity portfolios using daily,
 weekly and monthly return intervals, over the sample period January 1988
 to October 1996. The results favour the APT model relative to the
 unrestricted MM and QMM models. These findings are robust to the return
 intervals used. 
Journal: Applied Financial Economics 
Pages: 157-163 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071541 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071541
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:157-163




Template-Type: ReDIF-Article 1.0
Author-Name: Carl Chen 
Author-X-Name-First: Carl 
Author-X-Name-Last: Chen 
Author-Name: Thomas Steiner 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Steiner 
Author-Name: Ann Marie White 
Author-X-Name-First: Ann Marie 
Author-X-Name-Last: White 
Title: Risk taking behaviour and managerial ownership in the United States life insurance industry 
Abstract:
  This study examines the relation between risk and managerial ownership
 for a sample of life insurance companies in the United States. Evidence is
 found that the level of life insurance company risk is dependent on the
 level of managerial ownership. Specifically, as the level of managerial
 ownership increases, the level of risk increases supporting a wealth
 transfer hypothesis over a risk aversion hypothesis. These results are
 robust across several risk measures. The findings suggest that when
 compensation packages encourage higher levels of managerial ownership,
 manager and stockholder interest converge. With respect to regulation, the
 results suggest that regulators can control the risk taking activities of
 life insurers by requiring a separation between ownership and management. 
Journal: Applied Financial Economics 
Pages: 165-171 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071550 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071550
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:165-171




Template-Type: ReDIF-Article 1.0
Author-Name: Edward Seiler 
Author-X-Name-First: Edward 
Author-X-Name-Last: Seiler 
Title: A nonparametric test for marginal conditional stochastic dominance 
Abstract:
  This paper offers a nonparametric statistics test for Marginal
 Conditional Stochastic Dominance, that is then applied to a sample of
 stock returns. The test has three purposes: first, it offers a relatively
 simpleway to test for Stochastic Dominance, that is lacking in the
 literature. Second, it can be used to 'filter' results, aiding the
 decision taking of an agent who wants to satisfy a large group of
 investors whose preferences are not accurately known. Third, it can be
 used by a principal to check if an agent is acting in good faith. 
Journal: Applied Financial Economics 
Pages: 173-177 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071569 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071569
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:173-177




Template-Type: ReDIF-Article 1.0
Author-Name: Fabio Fornari 
Author-X-Name-First: Fabio 
Author-X-Name-Last: Fornari 
Author-Name: Antonio Mele 
Author-X-Name-First: Antonio 
Author-X-Name-Last: Mele 
Title: Volatility smiles and the information content of news 
Abstract:
  The paper investigates whether the impact of selected news - scheduled
 and un-scheduled - affects only the current conditional variance of
 financial prices or, by bringing new information to the market, induces
 also a revision of the implied variance, i.e. the variance expected to
 prevail over the life to maturity of an option. The latter phenomenon
 would signal that news is able to change permanently the consensus on the
 future economic environment. In addition to recent similar ana lyses which
 employ the at the money implied volatility to this aim, tests are also
 performed on the implied out of money and in the money volatilities. These
 are in fact extremely sensitive to lack of information about the future
 evolution of the price of the underlying asset: hence, their prices - as
 well as their implied volatilities - must change significantly after the
 occurrence of important events. 
Journal: Applied Financial Economics 
Pages: 179-186 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071578 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071578
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:179-186




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Hudson 
Author-X-Name-First: Robert 
Author-X-Name-Last: Hudson 
Author-Name: Kevin Keasey 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Keasey 
Author-Name: Kevin Littler 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Littler 
Title: The risk and return of UK equities following price innovations: a case of market inefficiency? 
Abstract:
  This study considers the risk and return of stocks following price
 innovations of all sizes on UK data. The results indicate that over a long
 period of time it has been possible to estimate, to some extent, the
 expected returns and the variance of returns on a given day from the
 return on the previous day. Although the results indicate it is not
 possible to make profits (in the presence of transaction costs) from
 trading on price innovations in general, they do suggest a 'timing' rule
 which will reduce losses. Essentially, if the market has fallen up to 3%
 on a given day, the expected return the following day is negative.
 Therefore, perhaps there is some truth in the old market saying of 'Never
 try to catch a falling knife' and this has clear implications for the
 efficiency of the market. 
Journal: Applied Financial Economics 
Pages: 187-196 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071587 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071587
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:187-196




Template-Type: ReDIF-Article 1.0
Author-Name: George Athanassakos 
Author-X-Name-First: George 
Author-X-Name-Last: Athanassakos 
Author-Name: Peter Carayannopoulos 
Author-X-Name-First: Peter 
Author-X-Name-Last: Carayannopoulos 
Title: An empirical analysis of the relationship of bond yield spreads and macro economic factors 
Abstract:
  This study develops and tests a model that explores the relationship
 between bond yield spreads for various industries, as represented by the
 spread between corporate and equivalent government bond yields, and the
 business cycle/economic environment while at the same time controlling for
 default risk, tax implications and issue traits, such as liquidity,
 callability and the existence of sinking fund. The overall sample consists
 of over 50000 quarterly observations for individual corporate bonds in the
 industrial, utilities and transportation sectors over the period September
 1990 to March 1996. The results confirm the typical direct relationship
 between default risk and yield spreads. More importantly, it is found that
 the impact of the business cycle (macro economy) on the yield spread of a
 corporate bond depends on the industry sector to which the issuer of the
 bond belongs. Thus, while in the industrial sector, bond yield premia are
 generally higher during recessionary periods (periods of lower industrial
 production), the opposite is true for utilities. 
Journal: Applied Financial Economics 
Pages: 197-207 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071596 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071596
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:197-207




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Alan Speight 
Author-X-Name-First: Alan 
Author-X-Name-Last: Speight 
Title: Nonlinearities in the black market zloty-dollar exchange rate: some further evidence 
Abstract:
  This study reappraises the evidence for nonlinear dependence in the
 monthly black market exchange returns of the Polish zloty, 1955-1990.
 Predictive asymmetry is reported in conditional variance such that
 depreciatory shocks have a greater impact on subsequent volatility than
 appreciatory shocks, jointly with conditional mean nonlinearity of smooth
 transition between regimes which suggests a simple trading strategy
 capable of generating positive profit over the sample period. However,
 support is also found for a competing variance in mean model consistent
 with a time varying risk premium that is able to rationalize the presence
 of unexploited profit opportunities, particularly over the latter half of
 the sample. 
Journal: Applied Financial Economics 
Pages: 209-220 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071604 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071604
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:209-220




Template-Type: ReDIF-Article 1.0
Author-Name: Alan Goodacre 
Author-X-Name-First: Alan 
Author-X-Name-Last: Goodacre 
Author-Name: Tessa Kohn-Speyer 
Author-X-Name-First: Tessa 
Author-X-Name-Last: Kohn-Speyer 
Title: CRISMA revisited 
Abstract:
  The CRISMA multiple component trading system (Pruitt and White, Journal
 of Portfolio Management, 14, 55-8, 1988) seeks to identify equity trades
 by using jointly the three technical filters of the relationship between
 50 day and 200 day moving averages, relative strength and cumulative
 volume. The current study re-examines the CRISMA system using US data over
 the period 1988-1996. Overall, trades identified by the system were
 profitable, on average, but only prior to any adjustment for market
 movements and risk; after adjustment, they ceased to be so even with an
 assumption of zero transaction costs. Performance of the system was not
 stable over time and trades on larger companies fared better than small.
 Further investigation of the multi component nature of CRISMA revealed
 that it is, in large part, a moving average trading rule. In terms of the
 number of trades identified, the effect of the cumulative volume and
 relative strength components is relatively minor and the contribution of
 these two filters to observed returns is negative. Overall, the current
 study finds little support for the CRISMA trading system once market
 movements, risk and transaction costs are taken into account. The results
 are consistent with market efficiency. 
Journal: Applied Financial Economics 
Pages: 221-230 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100010022475 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010022475
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:221-230




Template-Type: ReDIF-Article 1.0
Author-Name: Ellene Kebede 
Author-X-Name-First: Ellene 
Author-X-Name-Last: Kebede 
Author-Name: Curtis Jolly 
Author-X-Name-First: Curtis 
Author-X-Name-Last: Jolly 
Title: Effects of financial structure and instruments on income of low income credit unions 
Abstract:
  The effects of loan to asset ratio, investment to asset ratio, management
 composition and delinquency rate on income to asset ratio of low income
 credit unions (LICUs) were evaluated. Specific attention was given to risk
 income behaviours of LICUs. It was found that loan to asset ratio
 positively influenced the magnitude of income to asset ratio, while the
 investment to asset ratio had a negative effect on the income to asset
 ratio. LICUs that employed managers had higher incomes to asset ratios
 than those with volunteer managers serving in this capacity. The
 delinquency rate and income to asset ratio were positively related, but
 negatively related to delinquency rate squared indicating that when the
 delinquency rate increased at an increasing rate the income to asset ratio
 fell. LICUs portrayed three risk behavioural patterns, each associated
 with size or income of the organization: (1) small LICUs had high risk
 behaviour, (2) middle income LICUs were risk neutral, and (3) large LICUs
 accepted higher risks as income increased. 
Journal: Applied Financial Economics 
Pages: 231-236 
Issue: 2 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001750071622 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001750071622
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:2:p:231-236




Template-Type: ReDIF-Article 1.0
Author-Name: Tser-Yieth Chen 
Author-X-Name-First: Tser-Yieth 
Author-X-Name-Last: Chen 
Title: An estimation of X-inefficiency in Taiwan's banks 
Abstract:
  This paper employs data envelopment analysis to investigate the effects
 of X-inefficiency on Taiwan's banking industry. A modified measure to
 examine bank efficiency is proposed and it is found that banks'
 X-inefficiency has substantially dropped off in Taiwan over the last 10
 years, falling from an average X-inefficiency magnitude of 3.9% in 1988 to
 2.0% in 1997. Banks did improve their relative abilities to both maximize
 outputs and minimize inputs between ex post and ex ante of 1990s. The
 results obtained in this research may affirm the validity of banking
 deregulation policy in Taiwan. 
Journal: Applied Financial Economics 
Pages: 237-242 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138627 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138627
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:237-242




Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Zera 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Zera 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Title: The empirical relationship between mutual fund size and operational efficiency 
Abstract:
  For shareholders of a mutual fund, the expense percentage represents the
 only factor whose daily effect on the change in the value of their
 portfolio is known in advance. Expense percentages may be used in an
 assessment of the variation in efficiency levels across various mutual
 fund size groupings when either individual mutual funds or mutual fund
 families are used as the unit of investigation. The study reveals that the
 elasticity of fund expenses with respect to fund size does not differ
 across individual mutual fund size categories. Corroborating evidence of a
 stable elasticity was found when the dollar size of fund families was
 utilized as the base unit of analysis. Additional corroboration was found
 in the analysis of fund-specific expense-size elasticities, where
 variation in fund-specific elasticities was not explained by fund size.
 However, mutual fund expense-size elasticities are shown to differ in a
 statistically significant manner across mutual fund investment objective
 categories. For shareholders of a mutual fund, the expense percentage
 represents the only factor whose daily effect on the change in the value
 of their portfolio is known in advance. Expense percentages may be used in
 an assessment of the variation in efficiency levels across various mutual
 fund size groupings when either individual mutual funds or mutual fund
 families are used as the unit of investigation. The study reveals that the
 elasticity of fund expenses with respect to fund size does not differ
 across individual mutual fund size categories. Corroborating evidence of a
 stable elasticity was found when the dollar size of fund families was
 utilized as the base unit of analysis. Additional corroboration was found
 in the analysis of fund-specific expense-size elasticities, where
 variation in fund-specific elasticities was not explained by fund size.
 However, mutual fund expense-size elasticities are shown to differ in a
 statistically significant manner across mutual fund investment objective
 categories. 
Journal: Applied Financial Economics 
Pages: 243-251 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138636 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138636
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:243-251




Template-Type: ReDIF-Article 1.0
Author-Name: J. D. Byers 
Author-X-Name-First: J. D. 
Author-X-Name-Last: Byers 
Author-Name: D. A. Peel 
Author-X-Name-First: D. A. 
Author-X-Name-Last: Peel 
Title: Volatility persistence in asset markets: long memory in high/low prices 
Abstract:
  This study addresses the issue of volatility persistence in asset markets
 by analysing the behaviour of daily ratios of highest and lowest prices
 for a number of different assets both inter-war and post-war. These series
 include sterling exchange rates, S&P futures prices, the FT30 and the
 price of gold. It is found that each of these series can be characterized
 as having the property of long memory so that observations far apart in
 time are non-negligibly correlated. More importantly, that each series can
 be modelled as fractionally-integrated noise, so that its behaviour can be
 captured by a single parameter. 
Journal: Applied Financial Economics 
Pages: 253-260 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138645 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138645
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:253-260




Template-Type: ReDIF-Article 1.0
Author-Name: Mathias Moersch 
Author-X-Name-First: Mathias 
Author-X-Name-Last: Moersch 
Author-Name: Dieter Nautz 
Author-X-Name-First: Dieter 
Author-X-Name-Last: Nautz 
Title: A note on testing the monetary model of the exchange rate 
Abstract:
  In this note an alternative to the widely used reduced - form tests of
 the monetary model of the exchange rate is proposed. It is shown that the
 reduced form approach rests on implausible parameter restrictions which
 can be easily avoided by estimating the long-run money demand functions
 separately. Moreover, the resulting 'structural' forecast equation allows
 an economic interpretation of the various channels affecting the exchange
 rate in the monetary model. This approach is illustrated with reference to
 the DM/Dollar exchange rate where the structural model outperforms several
 alternative forecasting strategies out-of-sample. 
Journal: Applied Financial Economics 
Pages: 261-268 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138654 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138654
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:261-268




Template-Type: ReDIF-Article 1.0
Author-Name: Paul Thistle 
Author-X-Name-First: Paul 
Author-X-Name-Last: Thistle 
Author-Name: John Burnett 
Author-X-Name-First: John 
Author-X-Name-Last: Burnett 
Title: Computing sets of expected utility maximizing distributions for common utility functions 
Abstract:
  The set of distribution functions that maximize expected utility for some
 utility function in a given class is the optimal set. This paper presents
 an algorithm for determining the optimal set of distributions for an
 important class of preferences and general finite sets of alternatives.
 The class of preferences considered, which includes the commonly used log,
 exponential and power functions, is the set of utility functions with
 complete monotone marginal utility (all derivatives alternate in sign).
 The algorithm is based on the necessary and sufficient conditions for
 infinite degree convex stochastic dominance, and is implemented using the
 solutions to a parametric family of linear programming problems. The
 algorithm is intended to be applied to sample data, and nonparametric
 statistical inference procedures are provided. 
Journal: Applied Financial Economics 
Pages: 269-277 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138663 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138663
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:269-277




Template-Type: ReDIF-Article 1.0
Author-Name: George Tawadros 
Author-X-Name-First: George 
Author-X-Name-Last: Tawadros 
Title: The predictive power of the monetary model of exchange rate determination 
Abstract:
  This study examines the predictive power of the monetary model of
 exchange rate determination for the Australian dollar vis-a-vis the US
 dollar exchange rate. Using a cointegration-based error-correction model,
 it is found that an unrestricted dynamic monetary model outperforms the
 random walk model at all forecasting horizons, with the degree of
 improvement increasing as the forecasting horizon is extended. 
Journal: Applied Financial Economics 
Pages: 279-286 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138672 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138672
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:279-286




Template-Type: ReDIF-Article 1.0
Author-Name: Jordi Pons 
Author-X-Name-First: Jordi 
Author-X-Name-Last: Pons 
Title: The rationality of price forecasts: a directional analysis 
Abstract:
  Tests of direction are used to evaluate the rationality and uselfulness
 of the price (GDP implicit deflator) forecasts made by the International
 Monetary Fund (IMF) for the G7 countries. Two procedures are employed to
 determine whether that price forecasts could be useful to users. This
 tests are based on Merton's (1981) and Henriksson and Merton's (1981)
 method for determining the conditions under which a market-timing forecast
 is useful to investors. The results indicate that year ahead forecasts are
 less good than near term forecasts, because there is no evidence that
 longer term price forecasts are valuable for the United States, Japan,
 France, Italy and Canada. 
Journal: Applied Financial Economics 
Pages: 287-290 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138681 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138681
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:287-290




Template-Type: ReDIF-Article 1.0
Author-Name: Gregory Koutmos 
Author-X-Name-First: Gregory 
Author-X-Name-Last: Koutmos 
Author-Name: Reza Saidi 
Author-X-Name-First: Reza 
Author-X-Name-Last: Saidi 
Title: Positive feedback trading in emerging capital markets 
Abstract:
  Positive feedback trading can induce autocorrelation in stock returns and
 increase volatility. If large numbers of market participants engage in
 positive feedback trading strategies asset prices may deviate
 substantially and persistently from fundamental values. Recent studies
 show evidence of positive feedback trading (i.e. selling during market
 declines and buying during market advances) in developed stock markets.
 The paper presents evidence that positive feedback trading activity is
 also present in emerging capital markets but mostly during market
 declines. During such periods stock return autocorrelations become
 negative and volatility rises. Volatility is in all cases higher during
 market declines suggesting that feedback trading may be partially
 responsible. 
Journal: Applied Financial Economics 
Pages: 291-297 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138690 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138690
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:291-297




Template-Type: ReDIF-Article 1.0
Author-Name: Thomas Lux 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Lux 
Title: The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange 
Abstract:
  This paper provides a statistical analysis of high-frequency recordings
 of the German share price index DAX. The data set extends from November
 1988 to the end of the year 1995 and includes all minute-to-minute changes
 during trading hours at the Frankfurt Stock Exchange. The focus of this
 study is on the limiting behaviour characterizing the tail regions of the
 empirical distribution. Application of the popular Hill estimator for the
 tail shape yields results very similar to those of other analyses of
 speculative returns. However, since the reliability of tail index
 estimation rests on the appropriateness of the tail regions, the question
 of optimally choosing the sample fraction emerges. Exploiting recent
 advances in extreme value theory a couple of novel approaches are applied
 for determining the optimum cut-off value for the 'tail' of the empirical
 distribution. As it turns out, most algorithms suggest that one has to go
 out quite far into the tails for estimation of the extremal index. The
 findings obtained at the highest frequency (minute-to-minute returns) are
 confirmed when considering data at various levels of time-aggregation. A
 test for stability of extreme value behaviour over time gives no clear
 indication of changes of the limiting distribution. It is also illustrated
 how the approximation of the tails can be used to estimate the likelihood
 of large returns. 
Journal: Applied Financial Economics 
Pages: 299-315 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138708 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138708
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:299-315




Template-Type: ReDIF-Article 1.0
Author-Name: Samy Ben Naceur 
Author-X-Name-First: Samy Ben 
Author-X-Name-Last: Naceur 
Author-Name: Mohamed Goaied 
Author-X-Name-First: Mohamed 
Author-X-Name-Last: Goaied 
Title: The determinants of the Tunisian deposit banks' performance 
Abstract:
  This paper investigates the determinants of the Tunisian banks'
 performances during the period 1980-1995. Results show that the principal
 determinants of a bank's performance are by order of importance: labour
 productivity, bank portofolio composition, capital productivity and bank
 capitalization. 
Journal: Applied Financial Economics 
Pages: 317-319 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138717 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138717
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:317-319




Template-Type: ReDIF-Article 1.0
Author-Name: Ingolf Dittmann 
Author-X-Name-First: Ingolf 
Author-X-Name-Last: Dittmann 
Title: Fractional cointegration of voting and non-voting shares 
Abstract:
  Voting and non-voting shares of ten German companies are analysed for
 fractional cointegration. It turns out that seven pairs of price series
 are fractionally cointegrated. The estimated long-memory parameter of the
 equilibrium errors lies between 0.5 and 0.8. If two stocks are
 fractionally cointegrated, future returns of at least one of the stocks
 can be predicted by past prices. This contradicts the weak form of the
 efficient market hypothesis. A simple trading strategy is proposed and
 analysed; it leads to considerable excess returns in two out-of-sample
 evaluations. 
Journal: Applied Financial Economics 
Pages: 321-332 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138726 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138726
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:321-332




Template-Type: ReDIF-Article 1.0
Author-Name: Ho-Chuan River Huang 
Author-X-Name-First: Ho-Chuan River 
Author-X-Name-Last: Huang 
Title: Bayesian analysis of the dividend behaviour 
Abstract:
  In contrast to conventional setup, a type 2 Tobit model is proposed to
 characterize the dividend behaviour. In the model, the selection
 regression determines whether a company would pay dividends whereas the
 output regression decides how much dividend a company will pay given that
 the company has decided to pay dividends. This modelling allows for the
 possibility that these two decisions might be affected by different
 variables and a given variable might influence each of the two decisions
 differently. Estimation is carried out via the Gibbs sampler with data
 augmentation algorithm which has been shown to be conceptually easy as
 well as computationally feasible and provides exact small sample
 properties. 
Journal: Applied Financial Economics 
Pages: 333-339 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138735 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138735
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:333-339




Template-Type: ReDIF-Article 1.0
Author-Name: G. Mujtaba Mian 
Author-X-Name-First: G. Mujtaba 
Author-X-Name-Last: Mian 
Author-Name: Christopher Adam 
Author-X-Name-First: Christopher 
Author-X-Name-Last: Adam 
Title: Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns 
Abstract:
  The behaviour of volatility for intraday high frequency returns of the
 ASX equity index is examined. It is found that volatility of the
 Australian equities follows an L-shaped curve over the trading day that is
 distinct from the U-shaped pattern commonly documented by previous studies
 on other markets. While GARCH model remains useful in capturing volatility
 clustering for high frequency returns, the intraday deterministic
 volatility seasonals need to be carefully accounted for before carrying
 out an analysis of the volatility dynamics. Moreover, the frequently
 documented asymmetric effect of positive and negative shocks to volatility
 disappears for returns recorded at higher frequencies. 
Journal: Applied Financial Economics 
Pages: 341-352 
Issue: 3 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300138744 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300138744
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:341-352




Template-Type: ReDIF-Article 1.0
Author-Name: Nabeel Al-Loughani 
Author-X-Name-First: Nabeel 
Author-X-Name-Last: Al-Loughani 
Author-Name: David Chappell 
Author-X-Name-First: David 
Author-X-Name-Last: Chappell 
Title: Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation 
Abstract:
  The Kuwait stock exchange index is examined for evidence of a
 day-of-the-week effect. A nonlinear GARCH(1,1) model provides a good
 explanation of the data and allows identification and modelling of the
 day-of-the-week effect. 
Journal: Applied Financial Economics 
Pages: 353-359 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313910 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313910
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:353-359




Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Keef 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Keef 
Author-Name: Paul McGuinness 
Author-X-Name-First: Paul 
Author-X-Name-Last: McGuinness 
Title: Changes in settlement regime and the modulation of day-of-the-week effects in stock returns 
Abstract:
  During the period 1989 to 1996, the New Zealand Stock Exchange modified
 the settlement regime of its listed stocks on six separate occasions.
 These changes provide an opportunity to assess the impact of settlement
 practice upon day-of-the-week returns in a more meaningful fashion than
 has, hitherto, been the case. The time-series approach suggested avoids
 many of the confounding effects, pertaining to differences in market
 micro-structure and trading characteristics, that plague inferences drawn
 from cross-market analyses. The precise impact of settlement on
 day-of-the-week returns is assessed using a methodology incorporating
 orthogonal contrasts. This approach avoids issues of multiple-testing and,
 as a result, offers new insights into the influence of settlement regimes
 on day-of-the-week returns. The results indicated little support for
 priors determined from standard settlement arguments. However, as in other
 markets, a depressed Monday return was evident. 
Journal: Applied Financial Economics 
Pages: 361-372 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313929 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313929
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:361-372




Template-Type: ReDIF-Article 1.0
Author-Name: Anders Johansson 
Author-X-Name-First: Anders 
Author-X-Name-Last: Johansson 
Author-Name: Lars Rolseth 
Author-X-Name-First: Lars 
Author-X-Name-Last: Rolseth 
Title: The effects of firm-specific variables and consensus forecast data on the pricing of large Swedish firms' stocks 
Abstract:
  This essay models the returns for 14 large Swedish firms' stocks with a
 conditional multifactor model with time-varying beta terms. The data are
 monthly and the sample period is June 1992 to August 1997. The beta terms
 are modelled as linear functions of predetermined firm attributes, which
 are taken either from published accounting data or from consensus forecast
 data. The main findings are that the stock exchange is not efficient with
 respect to the consensus information and the lagged yield spread. It is
 also found that the lagged firm attributes are mainly associated with risk
 exposures. Using encompassing tests, the models based on consensus
 forecast data can for six firms unilaterally encompass the models based on
 accounting data. The reverse result holds for five firms. For most firms,
 the 'best' models are not rejected in out-of-sample forecast tests for the
 period September 1997 to December 1997. 
Journal: Applied Financial Economics 
Pages: 373-384 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313938 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313938
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:373-384




Template-Type: ReDIF-Article 1.0
Author-Name: Owain Ap Gwilym 
Author-X-Name-First: Owain Ap 
Author-X-Name-Last: Gwilym 
Author-Name: Mike Buckle 
Author-X-Name-First: Mike 
Author-X-Name-Last: Buckle 
Title: The lead-lag relationship between the FTSE100 stock index and its derivative contracts 
Abstract:
  This paper examines the lead/lag relationships between the FTSE100 stock
 market index and its related futures and options contracts, and also the
 interrelation between the derivatives markets. Both the index futures and
 index options contracts are found to lead the cash index as predicted.
 However, the call option market appears to marginally lead both the index
 futures and the put option market. In the only previous paper to examine
 the inter-market relationships between a stock index and related futures
 and options contracts, Fleming et al (Journal of Futures Markets, 16,
 353-387, 1996) maintain that relative trading costs determine which market
 leads. As the trading costs of calls and puts are similar, other factors
 must be driving the relationships observed in this paper. We hypothesize
 that informed traders with bullish expectations wishing to gain leverage
 from the options market will buy calls or, with greater risk, sell puts.
 As market sentiment was bullish for most of the sample period examined,
 this could explain the call market leads reported. 
Journal: Applied Financial Economics 
Pages: 385-393 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313947 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313947
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:385-393




Template-Type: ReDIF-Article 1.0
Author-Name: Epaminondas Panas 
Author-X-Name-First: Epaminondas 
Author-X-Name-Last: Panas 
Title: Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange 
Abstract:
  It is argued that the study of the correct specification of returns
 distributions has attractive implications in financial economics. This
 study estimates Levy-stable (fractal) distributions that can accurately
 account for skewness, kurtosis, and fat tails. The Levy-stable family
 distributions are parametrized by the Levy index (&#x3b1;), 0 &#x3c;
 (&#x3b1;), &#x2264; 2, and include the normal distribution as a special
 case (&#x3b1; = 2). The Levy index, &#x3b1;, is the fractal dimension of
 the probability space. The unique feature of Levy-stable family
 distributions is the existence of a relationship between the fractal
 dimension of the probability space andthe fractal dimensionof the time
 series. This relationshipis simply expressed in terms of Hurst exponent
 (H), i.e. &#x3b1; = 1/ H. In addition, Hurst exponent is related to
 long-memory effects. Thus, estimating the Levy index allows us to
 determine long-memory effects. The immediate practical implication of the
 present work is that on the one hand we estimate the shape of returns
 distributions and on the other hand we investigate the fractal dimensions.
 Overall, then, the Levy-stable family distributions methodology appears to
 be useful for analysing the returns distribution, for understanding the
 fractal dimension of returns and for providing the researcher with direct
 insights into the long-memory effects of stock returns. A second approach
 to test the long memory hypothesis is attempted in this paper. This test
 involves an estimation of the ARFIMA models. A comparative analysis of the
 two approaches indicates the existence of long-memory in the Athens Stock
 Exchange. The results of this study are based on a sample of stocks from
 the Athens Stock Exchange using daily data. 
Journal: Applied Financial Economics 
Pages: 395-402 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313956 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313956
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:395-402




Template-Type: ReDIF-Article 1.0
Author-Name: Bryan Boulier 
Author-X-Name-First: Bryan 
Author-X-Name-Last: Boulier 
Author-Name: H. O. Stekler 
Author-X-Name-First: H. O. 
Author-X-Name-Last: Stekler 
Title: The term spread as a cyclical indicator: a forecasting evaluation 
Abstract:
  This paper questions whether the spread between long and short-term
 interests rates is a good cyclical indicator of US economic activity.
 Probit regressions using the term spread as an independent variable are
 used to forecast the probability of a recession and the forecasts are
 evaluated. Using alternative probability thresholds, the turns that were
 predicted, their timing and the number of recessions that were not
 forecast were identified and the tradeoff between the number of missed and
 false predictions is examined. A quantitative measure of the forecast
 errors is also used to compare the accuracy of probit forecasts with those
 of two naive standards. Finally, the term spread is evaluated purely as an
 indicator. It is concluded that this series, by itself, is not a reliable
 predictor of economic activity. 
Journal: Applied Financial Economics 
Pages: 403-409 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313965 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313965
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:403-409




Template-Type: ReDIF-Article 1.0
Author-Name: S. Saiful Bahri 
Author-X-Name-First: S. Saiful 
Author-X-Name-Last: Bahri 
Author-Name: Lawrence Leger 
Author-X-Name-First: Lawrence 
Author-X-Name-Last: Leger 
Title: The stability of risk factors in the UK stock market 
Abstract:
  The stability of risk factors in the UK stock market is examined over
 time and across stock samples. Risk factors were identified by principal
 components analysis (PCA) on 22 small samples of stocks, over short time
 horizons. Stability across samples was investigated by a second-stage PCA,
 to identify commonalities (referred to as 'superfactors') among the
 estimated principal components. Stability over time was examined by
 estimating the predictability of superfactor loadings and superfactor
 scores over 20 years. Only one stable market-wide risk factor emerged.
 Other components seemed to be sample-specific and unstable across time. 
Journal: Applied Financial Economics 
Pages: 411-422 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313974 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313974
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:411-422




Template-Type: ReDIF-Article 1.0
Author-Name: Almas Heshmati 
Author-X-Name-First: Almas 
Author-X-Name-Last: Heshmati 
Title: Labour demand and efficiency in Swedish savings banks 
Abstract:
  The paper is concerned with the estimation of labour demand. The model is
 generalized to incorporate a variance function. A flexible translog
 functional form is used where the demand for labour is a function of
 wages, outputs, quasi-fixed inputs and a time variable. The variance
 function appears multiplicatively with the demand function and it
 accommodates both positive and negative marginal effects with respect to
 the determinants of employment. The model includes features of the usual
 panel data models. A multi-step procedure is used to estimate the
 parameters of the model. Focus is on the estimation of productivity and
 efficiency of labour in Swedish savings banks. The labour productivity and
 efficiency is defined in terms of a shift in the labour demand over time
 and the bank's distance from the labour demand frontier, respectively.
 Empirical results show that the average labour efficiency is about 96%. 
Journal: Applied Financial Economics 
Pages: 423-433 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313983 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313983
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:423-433




Template-Type: ReDIF-Article 1.0
Author-Name: Christos Kollias 
Author-X-Name-First: Christos 
Author-X-Name-Last: Kollias 
Author-Name: Kostantinos Metaxas 
Author-X-Name-First: Kostantinos 
Author-X-Name-Last: Metaxas 
Title: How efficient are FX markets? Empirical evidence of arbitrage opportunities using high-frequency data 
Abstract:
  The presence of arbitrage opportunities, allowing for market
 imperfections such as trading costs, may be considered as indication of
 market inefficiencies. Using high frequency data the paper presents
 empirical evidence on the efficiency of the FX market. A total of 720
 instruments are examined and analysed in the paper and the results
 obtained indicate significant deviations from market efficiency. However,
 the presence of arbitrage opportunities should not be interpreted as
 market inefficiency since, as the analysis of the results indicates, the
 exploitation of such opportunities involve a degree of risk which can
 adversely effect realized returns. 
Journal: Applied Financial Economics 
Pages: 435-444 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300313992 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300313992
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:435-444




Template-Type: ReDIF-Article 1.0
Author-Name: Sunil Poshakwale 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Poshakwale 
Author-Name: Victor Murinde 
Author-X-Name-First: Victor 
Author-X-Name-Last: Murinde 
Title: Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland 
Abstract:
  In this paper, stock market volatility in the East European emerging
 markets of Hungary and Poland is investigated using daily indexes. The
 results suggest the presence of non-linearity in the indexes through the
 BDSL statistic, while the presence of conditional heteroscedasticity is
 detected through LM tests. Conditional volatility is then modelled as a
 GARCH process; however, as measured by a GARCH-M model, this does not
 seems to be priced in the Hungarian and Polish stock markets. Moreover,
 the evidence rejects the Martingale hypothesis that future changes of
 stock prices in the two markets are orthogonal to past information. The
 well-known day-of-the-week effect, reflected in significantly positive
 Friday and negative Monday returns, does not seem to be present in these
 markets. While a marked decline in conditional volatility in the Polish
 market after June 1995 may be explained by appreciating Zloty exchange
 rates against the German Mark and increasing integration with developed
 markets, a similar (but less consistent) pattern between exchange rates
 (Hungarian against German and UK currencies) and conditional volatility is
 found for the Hungarian market. 
Journal: Applied Financial Economics 
Pages: 445-456 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300314009 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300314009
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:445-456




Template-Type: ReDIF-Article 1.0
Author-Name: William Droms 
Author-X-Name-First: William 
Author-X-Name-Last: Droms 
Author-Name: David Walker 
Author-X-Name-First: David 
Author-X-Name-Last: Walker 
Title: Persistence of mutual fund operating characteristics: returns, turnover rates, and expense ratios 
Abstract:
  This study tests persistence of mutual fund returns, turnover rates, and
 expense ratios over the 20-year period from 1971 to 1990. Multivariate
 models also are developed to examine synergies among persistence of
 returns, expense ratios and turnover rates. Potential long-run economies
 of scale are analysed by determining whether or not there is a significant
 relationship between asset size and these other operating characteristics.
 Tests are developed to contrast the decade of the 1970s with the decade of
 the 1980s and to examine persistence between consecutive years. The
 results indicate that there was no long-term persistence of returns,
 expenses, or turnover rates for 151 equity mutual funds that operated over
 the full two decades from 1971 to 1990. Tests of short-term performance
 persistence show strong persistence of good performance for periods of
 one, two and three years. For a four-year time period, there is no
 significant persistence of returns. The tests for consecutive years in
 contrast to tests between decades show that there is short-term, but not
 long-term persistence for returns. 
Journal: Applied Financial Economics 
Pages: 457-466 
Issue: 4 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001300314018 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001300314018
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:4:p:457-466




Template-Type: ReDIF-Article 1.0
Author-Name: Sherry Dixon 
Author-X-Name-First: Sherry 
Author-X-Name-Last: Dixon 
Title: Editorial 
Abstract:
Journal: Applied Financial Economics 
Pages: 467-467 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001752236735 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001752236735
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:467-467




Template-Type: ReDIF-Article 1.0
Author-Name: Clive Granger 
Author-X-Name-First: Clive 
Author-X-Name-Last: Granger 
Author-Name: Yongil Jeon 
Author-X-Name-First: Yongil 
Author-X-Name-Last: Jeon 
Title: The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution 
Abstract:
  This paper establishes practical criteria for selecting amongst
 hypothetical data generating processes in cases where the series has long
 memory and exponential distribution which implies that the innovations
 have extremely fat tails. 
Journal: Applied Financial Economics 
Pages: 469-474 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001752236744 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001752236744
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:469-474




Template-Type: ReDIF-Article 1.0
Author-Name: Bill Francis 
Author-X-Name-First: Bill 
Author-X-Name-Last: Francis 
Author-Name: Iftekhar Hasan 
Author-X-Name-First: Iftekhar 
Author-X-Name-Last: Hasan 
Author-Name: James Lothian 
Author-X-Name-First: James 
Author-X-Name-Last: Lothian 
Title: The monetary approach to exchange rates and the behaviour of the Canadian dollar over the long run 
Abstract:
  Using Canadian-US dollar data this paper examines the question of whether
 recent positive findings with regard to purchasing power parity carry over
 to the monetary approach to exchange rates. The evidence provides strong
 support for the long-run monetary model of exchange rates. At the same
 time, it provides indirect evidence in favour of long-run purchasing power
 parity between the US dollar and the Canadian dollar during the sample
 period. 
Journal: Applied Financial Economics 
Pages: 475-481 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100010028631 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010028631
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:475-481




Template-Type: ReDIF-Article 1.0
Author-Name: Douglas Lamdin 
Author-X-Name-First: Douglas 
Author-X-Name-Last: Lamdin 
Title: Handle with care: cost of equity estimation with the discounted dividend model when corporations repurchase 
Abstract:
  It is standard to use the discounted dividend model to estimate the cost
 of equity. The model is flawed, however, for corporations that repurchase
 shares. As many corporations have begun to repurchase significant amounts
 of their shares, the way this affects cost of equity estimates warrants
 study. This article illustrates that the discounted dividend model, as
 customarily applied, will lead to cost of equity estimates that are too
 low. 
Journal: Applied Financial Economics 
Pages: 483-487 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100110067024 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110067024
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:483-487




Template-Type: ReDIF-Article 1.0
Author-Name: Terence Mills 
Author-X-Name-First: Terence 
Author-X-Name-Last: Mills 
Author-Name: Jordan Jordanov 
Author-X-Name-First: Jordan 
Author-X-Name-Last: Jordanov 
Title: Lead-lag patterns between small and large size portfolios in the London stock exchange 
Abstract:
  This paper investigates whether lead-lag patterns similar to those found
 in the US hold between small and large firm portfolios from the London
 stock exchange. On finding that such patterns do exist, it then
 investigates the dynamic linkages between the portfolios using some
 recently developed techniques of time series econometrics, as these allow
 for a richer exploration of lead-lag patterns than do standard
 autocorrelation and cross-correlation analysis. 
Journal: Applied Financial Economics 
Pages: 489-495 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001752236771 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001752236771
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:489-495




Template-Type: ReDIF-Article 1.0
Author-Name: Roger Vergin 
Author-X-Name-First: Roger 
Author-X-Name-Last: Vergin 
Title: Overreaction in the NFL point spread market 
Abstract:
  A tendency for individuals to overweigh recent information and underweigh
 prior data has been discovered by researchers in financial markets,
 economic forecasting, security analysis and other areas. A study of point
 spread patterns in the 2264 regular season National Football League (NFL)
 games over the 1981-;1995 seasons was conducted to investigate the
 overreaction bias of bettors. Results indicated that bettors tend to
 overweigh outstanding positive performance when measured over the previous
 game, over the previous two to five games or over the previous season. In
 general, the more outstanding the performance, the greater the
 overreaction. However, bettors did not overreact to unusual negative
 performance over the same periods. This result is congruent with the
 tendency for heavy favourites to cover the point spread less than half the
 time over the 1969-;1995 seasons. The overreaction bias in the NFL betting
 market provides another example of a violation of the weak form of the
 Efficient Markets Hypothesis. 
Journal: Applied Financial Economics 
Pages: 497-509 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001752236780 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001752236780
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:497-509




Template-Type: ReDIF-Article 1.0
Author-Name: Matteo Iannizzotto 
Author-X-Name-First: Matteo 
Author-X-Name-Last: Iannizzotto 
Title: Exchange rate misalignment and nonlinear convergence to purchasing power parity in the European exchange rate mechanism 
Abstract:
  In the wake of recent contributions, a nonlinear adjustment to purchasing
 power parity is explored over the real exchange rates of two key European
 currencies with respect to the German Mark: the Italian Lira and the
 French Franc. The periods considered in the estimation range from the
 demise of the Bretton Woods system to the crisis of the European Exchange
 Rate Mechanism. The estimation results lend support to a growing
 literature both theoretical and empirical that has suggested that
 significant nonlinearities may be present in exchange rate series. This
 finding is also important for the internal consistency of the ERM. 
Journal: Applied Financial Economics 
Pages: 511-526 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001752236799 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001752236799
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:511-526




Template-Type: ReDIF-Article 1.0
Author-Name: Paulo Soares De Pinho 
Author-X-Name-First: Paulo Soares 
Author-X-Name-Last: De Pinho 
Title: Using accounting data to measure efficiency in banking: an application to Portugal 
Abstract:
  This paper uses accounting data to provide estimates of productive
 efficiency in Portuguese banking. A model of the production process of the
 banking firm consistent with the characteristics of this kind of data is
 presented. This framework differs from existing literature on the explicit
 inclusion of the balance sheet constraint on the cost minimization
 problem, being concluded that in such context deposits should be handled
 as an output. Results show clear evidence for the existence of economies
 of scale for the smaller banks and economies of scope between deposits and
 loans were found for all but the largest banks. A discussion on the
 determinants of individual inefficiency scores is also presented, being
 concluded that they are affected by factors such as size, type of
 ownership and age. A positive trend on efficiency was also found. 
Journal: Applied Financial Economics 
Pages: 527-538 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100110049772 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110049772
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:527-538




Template-Type: ReDIF-Article 1.0
Author-Name: P. B. Solibakke 
Author-X-Name-First: P. B. 
Author-X-Name-Last: Solibakke 
Title: Efficiently ARMA-GARCH estimated trading volume characteristics in thinly traded markets 
Abstract:
  ARMA-GARCH lag specification is employed to fit a model exhibiting
 nonsynchronous trading and volatility clustering for the Norwegian thinly
 traded equity market. In particular, characteristics of the conditional
 mean and conditional volatility inhibited in thinly traded equity markets
 are investigated. Trading volume is employed as a proxy measure for
 trading frequency. Low to no trading volume induces thin trading and
 non-trading effects while a relative higher trading frequency induces
 continuous trading. The main objective is to investigate trading frequency
 differences in serial correlation and cross-autocorrelation in the mean
 equation and volatility clustering in the volatility equation as well as
 any symptoms of data dependencies in the model residuals, which imply
 ARMA-GARCH model misspecification. BIC efficient ARMA-GARCH lag
 specifications are employed for the conditional mean and volatility and
 relevant mean and volatility parameter measures introduced that are well
 known from the changing volatility literature. The empirical results
 report consistent mean and volatility patterns over the increasing trading
 frequency series. Nonsynchronous trading and non-trading effects show a
 consistent pattern in serial correlation and cross-autocorrelation for the
 conditional mean and the latent volatility exhibits a consistent pattern
 in past shocks, past conditional volatility, persistence and weight to
 long-run average volatility. In contrast to the more relatively frequently
 traded asset series the most thinly traded series report insignificant
 asymmetric volatility. Moreover, for the most thinly traded series,
 specification tests suggest data dependence, which seems to be prolonged
 into the equal-weighted index series. Hence, due to serial correlation and
 data dependence in the model residuals the ARMA-GARCH lag specifications
 seem only appropriate for relatively frequently traded return series. 
Journal: Applied Financial Economics 
Pages: 539-556 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100010029234 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010029234
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:539-556




Template-Type: ReDIF-Article 1.0
Author-Name: Leigh Drake 
Author-X-Name-First: Leigh 
Author-X-Name-Last: Drake 
Title: Efficiency and productivity change in UK banking 
Abstract:
  Despite substantial structural change and a significant intensification
 of competition in the UK financial services sector in recent years, the UK
 banking sector remains relatively under researched. This paper uses a
 panel data sample covering the main UK banks over the period 1984 to 1995
 to investigate relative efficiencies within the sector and to analyse
 productivity change in UK banking over the sample period. The results
 provide important insights into the size-efficiency relationship in UK
 banking and offer a perspective on the evolving structure and competitive
 environment within which banks are currently operating. 
Journal: Applied Financial Economics 
Pages: 557-571 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001752236825 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001752236825
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:557-571




Template-Type: ReDIF-Article 1.0
Author-Name: Manolis Kavussanos 
Author-X-Name-First: Manolis 
Author-X-Name-Last: Kavussanos 
Author-Name: Everton Dockery 
Author-X-Name-First: Everton 
Author-X-Name-Last: Dockery 
Title: A multivariate test for stock market efficiency: the case of ASE 
Abstract:
  Market efficiency tests in developing markets display mixed evidence, in
 contrast to evidence on developed markets where the null hypothesis seems
 to be supported. Specifically, previous tests for market efficiency on the
 index and on samples of stocks traded in the Athens Stock Exchange (ASE)
 are broadly not supportive of the efficient market hypothesis. This paper
 introduces multivariate generalizations of the univariate Dickey-Fuller
 likelihood ratio tests to the class of Seemingly Unrelated Regressions, to
 investigate empirically the stock price efficiency of ASE. The method
 takes into account the contemporaneous correlation between stocks in the
 ASE, and avoids the sample biases which may result by considering only
 subsets of stocks listed in the exchange. Conclusively, the results
 confirm that the ASE is informationally inefficient, implying that past
 stock prices contain some information as to future price movements which
 investors may act on. 
Journal: Applied Financial Economics 
Pages: 573-579 
Issue: 5 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100010013006 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010013006
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:5:p:573-579




Template-Type: ReDIF-Article 1.0
Author-Name: Ashoka Mody 
Author-X-Name-First: Ashoka 
Author-X-Name-Last: Mody 
Author-Name: Mark Taylor 
Author-X-Name-First: Mark 
Author-X-Name-Last: Taylor 
Author-Name: Jung Yeon Kim 
Author-X-Name-First: Jung Yeon 
Author-X-Name-Last: Kim 
Title: Forecasting capital flows to emerging markets: a Kalman filtering approach 
Abstract:
  This article provides capital flow forecasts to 32 developing countries
 using an unobserved components model and maximum likelihood Kalman
 filtering estimation. Permanent and temporary components of capital flows
 of bond, equity and syndicated loans are separated out to the countries
 concerned. Based on these models, and using monthly data up to December
 2000, forecasts of various capital flows are presented for the period
 January 2001 to December 2003. The results of the time series based
 forecasts are then compared to those obtained using a fundamentals-based
 approach. 
Journal: Applied Financial Economics 
Pages: 581-589 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100110076321 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110076321
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:581-589




Template-Type: ReDIF-Article 1.0
Author-Name: Hans Dewachter 
Author-X-Name-First: Hans 
Author-X-Name-Last: Dewachter 
Author-Name: Dirk Veestraeten 
Author-X-Name-First: Dirk 
Author-X-Name-Last: Veestraeten 
Title: Measuring convergence speed of asset prices toward a pre-announced target 
Abstract:
  This study examines asset price dynamics (i.e. the convergence speed) in
 the event of pre-announced conversion values and dates. The theoretical
 framework for these dynamics has been developed in De Grauwe et al.
 (1999). Two instances of conversion are examined, notably the
 1879-Resumption of Specie Payments in the USA and the conversion of
 European currencies into the Euro on 1 January, 1999. In the econometric
 model the underlying fundamentals are treated as unobservable and their
 evolution is estimated via a Kalman filtering technique. Estimation
 results reveal values for the rate or speed of convergence that are in
 line with intuition and amount to levels well below (implicit) estimates
 listed in the literature. 
Journal: Applied Financial Economics 
Pages: 591-601 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001753266885 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001753266885
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:591-601




Template-Type: ReDIF-Article 1.0
Author-Name: Marcello D'Amato 
Author-X-Name-First: Marcello 
Author-X-Name-Last: D'Amato 
Author-Name: Barbara Pistoresi 
Author-X-Name-First: Barbara 
Author-X-Name-Last: Pistoresi 
Title: Interest rate spreads between Italy and Germany: 1995-1997 
Abstract:
  In this paper the determinants of the long term yield spread between
 Italian and German government bonds are studied using daily observations
 for a period 1 January 1995-28 October 1997. Total spread is split into
 two main factors: an exchange rate factor, that is approximated by a
 differential on swap contracts (same maturity) and a default risk factor,
 that is considered as a residual. Cointegration analysis is used to test
 if the interest rates parity condition holds in the period considered and
 also the dynamic adjustment of total spread and its components is studied
 using impulse response analysis. The main result is that an uncovered
 parity condition cannot be rejected in the sample only if the relationship
 is augmented by the German short term interest rate. Impulse response
 analysis shows that this latter variable permanently affects the default
 risk. The main conclusion is that the reduction of the total spread in the
 period studied was due both to credibility gains and to favourable
 dynamics in the German interest rate. 
Journal: Applied Financial Economics 
Pages: 603-612 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001753266894 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001753266894
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:603-612




Template-Type: ReDIF-Article 1.0
Author-Name: Franklin Mixon 
Author-X-Name-First: Franklin 
Author-X-Name-Last: Mixon 
Author-Name: Kamal Upadhyaya 
Author-X-Name-First: Kamal 
Author-X-Name-Last: Upadhyaya 
Title: Curbing expense preference behaviour in commercial banking: econometric evidence 
Abstract:
  This study employs a large, micro-data set to examine the use of
 incentives and bonuses in the contracts of CEOs of banking firms in the
 USA in an effort by the owners of these banking concerns to curb potential
 expense preference behaviour by the CEO. Fixed-effects regression results
 confirm the prevalence of bonuses and stock options relative to salary for
 bank CEOs, and the model presented here works to support the
 principal-agent model in the economics and finance literature.
 Meta-analysis also establishes a link between a banking concern's efforts
 to curb expense preference behaviour and the percentage growth rate of the
 bank's net income. 
Journal: Applied Financial Economics 
Pages: 613-617 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001753266902 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001753266902
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:613-617




Template-Type: ReDIF-Article 1.0
Author-Name: Johnathan Mun 
Author-X-Name-First: Johnathan 
Author-X-Name-Last: Mun 
Author-Name: Richard Kish 
Author-X-Name-First: Richard 
Author-X-Name-Last: Kish 
Author-Name: Geraldo Vasconcellos 
Author-X-Name-First: Geraldo 
Author-X-Name-Last: Vasconcellos 
Title: The contrarian investment strategy: additional evidence 
Abstract:
  This paper tests the contrarian investment strategy, which predicts that
 stocks that consistently underperform (outperform) the market would in
 subsequent periods outperform (underperform) those stocks that have
 previously outperformed (underperformed) the market, using a revised
 nonparameteric estimator of excess returns and risk coefficients,
 specified in a time-varying risk multi-factor CAPM model. The conventional
 parametric approach is used as the control estimator for comparing the
 effectiveness of this nonparametric approach. Using bootstrap simulations,
 conventional CAPM estimates reveal that there exists a significant price
 reversal effect between the formation and test periods, as did the
 nonparametric estimates. However, one striking difference was that the
 nonparametric approach revealed more conservative but still significant
 estimates than did conventional parametric approaches. The multi-factor
 model reveals weaker results of price reversals and the results dissipate
 over time. Therefore, the contrarian strategy is only weakly supported and
 it is concluded that, ceteris paribus, the nonparametric approach yields
 significantly better estimates than do parametric approaches in estimating
 the parameters of both the single-factor and multi-factor CAPM. 
Journal: Applied Financial Economics 
Pages: 619-640 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001753266911 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001753266911
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:619-640




Template-Type: ReDIF-Article 1.0
Author-Name: Gulnur Muradog Lu 
Author-X-Name-First: Gulnur Muradog 
Author-X-Name-Last: Lu 
Author-Name: Kivilcim Metin 
Author-X-Name-First: Kivilcim 
Author-X-Name-Last: Metin 
Author-Name: Reha Argac 
Author-X-Name-First: Reha 
Author-X-Name-Last: Argac 
Title: Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market 
Abstract:
  Literature that provides empirical evidence about the long-term
 relationship between stock returns and monetary variables in emerging
 markets is limited. In those markets, unlike in mature ones, market
 participants and the availability of information as well as its quality,
 change rapidly through time. The purpose of this study is to examine the
 long-term relationship between stock returns and monetary variables in an
 emerging market through time by using the cointegration technique. The
 database is set up at daily frequency of variables that are customarily
 used by the financial media as determinants of stock investments and the
 cointegration technique enables us to consider changes in long-run
 steady-state properties of the equilibrium relationship between the
 non-stationary stock prices and monetary variables. The findings of this
 study indicate that, overall results should not be used in formulating
 investment strategies because they can be misleading in the sense that the
 variables that explain stock prices might change through time. In the case
 of ISE, as the market became more mature, the influence of monetary
 expansion and interest rates disappeared and foreign currency prices
 regained their expected significance. 
Journal: Applied Financial Economics 
Pages: 641-649 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100110094411 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110094411
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:641-649




Template-Type: ReDIF-Article 1.0
Author-Name: Toshiaki Watanabe 
Author-X-Name-First: Toshiaki 
Author-X-Name-Last: Watanabe 
Title: Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market 
Abstract:
  This article examines the relation between price volatility, trading
 volume and open interest for the Nikkei 225 stock index futures traded on
 the Osaka Securities Exchange (OSE) using the method developed by
 Bessembinder and Seguin (1993). The OSE regulation for trading of the
 Nikkei 225 futures decreased beginning 14 February 1994. Results for the
 period beginning 14 February 1994 confirm the findings by Bessembinder and
 Seguin (1993) of a significant positive relation between volatility and
 unexpected volume and a significant negative relation between volatility
 and expected open interest. However, no relation between price volatility,
 volume and open interest is found for the period prior to 14 February
 1994, when the regulation increased gradually. This result provides
 evidence that the relation between price volatility, volume and open
 interest may vary with the regulation. 
Journal: Applied Financial Economics 
Pages: 651-658 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001753266939 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001753266939
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:651-658




Template-Type: ReDIF-Article 1.0
Author-Name: Mohammad Hasan 
Author-X-Name-First: Mohammad 
Author-X-Name-Last: Hasan 
Title: The behaviour of the currency-deposit ratio in mainland China 
Abstract:
  This paper investigates the behaviour of the currency-deposit ratio in
 mainland China in the light of three theoretically identified factors:
 income growth, interest rate movements and inflationary expectations. It
 was found that the unprecedented decline in the currency-deposit ratio is
 unambiguously determined by a secular growth in income, whilst the role of
 interest rates and inflationary expectations is at variance across
 specifications and sample period. However, the observed variation of the
 currency-deposit ratio attributed primarily to income and secondarily to
 interest rates make the money multiplier endogenous. 
Journal: Applied Financial Economics 
Pages: 659-668 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001753266948 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001753266948
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:659-668




Template-Type: ReDIF-Article 1.0
Author-Name: Keith Lam 
Author-X-Name-First: Keith 
Author-X-Name-Last: Lam 
Title: The conditional relation between beta and returns in the Hong Kong stock market 
Abstract:
  Published results of empirical tests over the past two decades indicate
 that the risk-return relation in the Hong Kong stock market is negative.
 Such findings refute the positive risk-returnrelation stipulatedinthe
 traditional CAPM. However, traditional CAPM invokes expected or ex-ante
 returns while empirical tests have used ex-post returns as an imperfect
 proxy. Thus, in this paper, the risk-return relationship in the Hong Kong
 stock market is examined using the conditional method based on the work of
 Pettengill et al., which takes into consideration the dominating ex-post
 negative excess market returns found in the Hong Kong stock market. Under
 the conditional Pettengill et al. method, test results demonstrate a
 strong conditional positive and negative risk-return relationships in the
 Hong Kong stock market. The results show that the estimated risk premiums
 in both up and down markets are insignificantly different from the
 corresponding expected risk premiums. But the estimated risk premiums of
 the up and the down markets are asymmetric with the magnitude of the down
 market premium greater than that of the up market. Thus, under the
 conditional CAPM, the estimated security market line (SML) in the down
 market is negatively steeper than is the positively sloped estimated SML
 in the up market. The significant results are not driven by abnormal
 return behaviour in some of the months or by a particular beta group.
 Thus, in general, the test results suggest that the conditional CAPM is
 still practically a useful equilibrium pricing model in the Hong Kong
 stock market. 
Journal: Applied Financial Economics 
Pages: 669-680 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/096031001753266957 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031001753266957
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:669-680




Template-Type: ReDIF-Article 1.0
Author-Name: Neil Kellard 
Author-X-Name-First: Neil 
Author-X-Name-Last: Kellard 
Author-Name: Paul Newbold 
Author-X-Name-First: Paul 
Author-X-Name-Last: Newbold 
Author-Name: Tony Rayner 
Author-X-Name-First: Tony 
Author-X-Name-Last: Rayner 
Title: Evaluating currency market efficiency: are cointegration tests appropriate? 
Abstract:
  This paper investigates the claim that the common finding of
 cointegration between spot and lagged forward exchange rates reflects the
 existence of covered interest arbitrage and not, as is generally accepted,
 long-run market efficiency. Breuer and Wohar's (1996) methodology is
 employed to match spot and one-month forward rates correctly for three
 major currencies; the Deutschmark, Sterling and the Yen, relative to the
 US dollar. Bi-variate analysis shows that spot and lagged forward rates
 are cointegrated with the vector (1,-1), a necessary condition for market
 efficiency. However, at variance with theory, in a tri-variate VECM
 estimation, the spot rate, lagged forward rate and lagged interest rate
 differential are shown to be cointegrated with the vector (1,-1,1) for the
 Mark and Sterling. The 'cointegration' paradox is explained by
 investigating the relative magnitudes of the forecast error and the
 interest rate differential. It is demonstrated that it is impossible to
 distinguish between the influence of covered interest arbitrage and the
 existence of market efficiency using cointegration-based tests. 
Journal: Applied Financial Economics 
Pages: 681-691 
Issue: 6 
Volume: 11 
Year: 2001 
X-DOI: 10.1080/09603100010023113 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010023113
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:11:y:2001:i:6:p:681-691




Template-Type: ReDIF-Article 1.0
Author-Name: Holger Wolf 
Author-X-Name-First: Holger 
Author-X-Name-Last: Wolf 
Title: Imaginary moneys as international units of account 
Abstract:
  The choice of unit of account in longer term unhedged contracts involving
 parties from multiple countries influences the size and distribution of
 currency risk. Contracts currently predominantly use the same unit as
 means of payment and as unit of account. The relative performance of such
 single currency units of account are contrasted with basket units of
 account (&#x201c;imaginary monies&#x201d; (Einaudi, 1953)) without
 associated payments function. 
Journal: Applied Financial Economics 
Pages: 1-8 
Issue: 1 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110087978 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110087978
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:1:p:1-8




Template-Type: ReDIF-Article 1.0
Author-Name: Tribhuvan Puri 
Author-X-Name-First: Tribhuvan 
Author-X-Name-Last: Puri 
Author-Name: Elyas Elyasiani 
Author-X-Name-First: Elyas 
Author-X-Name-Last: Elyasiani 
Author-Name: Jilleen Westbrook 
Author-X-Name-First: Jilleen 
Author-X-Name-Last: Westbrook 
Title: Mean aversion and return predictability in currency futures 
Abstract:
  This paper examines two stylized regularities in currency futures traded
 on the International Monetary Market. Short horizon returns (weekly and
 monthly) sampled over the period 1984-1994 exhibit significantly positive
 autocorrelations at moderate lags. The pattern of autocorrelations in
 returns is not radically affected when the sample is partitioned into two
 sub-periods around the 1987 market crash. The positive autocorrelation
 pattern implies that the increments in currency futures prices are not
 consistent with the random walk hypothesis. Instead, it is consistent with
 an investor's fads model, in which deviations in prices exhibit
 persistence for a long period. This process is characterized by positive
 autocorrelations in returns and a mean-averting behaviour in prices. A
 GARCH prediction model based on the fads process is explored in which the
 spot exchange rate serves as a proxy for the fundamental for the currency
 futures. Deviations in the basis (the difference of the log spot exchange
 rate and the log futures exchange rate) can significantly predict returns
 up to 36 months. 
Journal: Applied Financial Economics 
Pages: 9-18 
Issue: 1 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088012 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088012
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:1:p:9-18




Template-Type: ReDIF-Article 1.0
Author-Name: Aydin Ozkan 
Author-X-Name-First: Aydin 
Author-X-Name-Last: Ozkan 
Title: The determinants of corporate debt maturity: evidence from UK firms 
Abstract:
  This paper investigates the empirical determinants of corporate debt
 maturity structure. This is done by testing several leading theoretical
 models of debt maturity structure using a cross-sectional data set of 321
 non-financial UK firms. The evidence lends considerable support to the
 prediction that the impact of firm size on debt maturity is positive. The
 findings also provide support for the notion that firms match the maturity
 structure of their debt to that of their assets. The findings reveal that
 agency-related costs and volatility of firm value exert a negative impact
 on debt maturity. The empirical analysis provides no evidence that taxes
 affect debt maturity structure. Finally, the empirical analysis is not
 supportive of the signalling hypothesis that firms use their debt maturity
 structure to signal information to the market. 
Journal: Applied Financial Economics 
Pages: 19-24 
Issue: 1 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110102691 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110102691
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:1:p:19-24




Template-Type: ReDIF-Article 1.0
Author-Name: Chris Brooks 
Author-X-Name-First: Chris 
Author-X-Name-Last: Brooks 
Author-Name: Ian Garrett 
Author-X-Name-First: Ian 
Author-X-Name-Last: Garrett 
Title: Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets? 
Abstract:
  If stock and stock index futures markets are functioning properly price
 movements in these markets should best be described by a first order
 vector error correction model with the error correction term being the
 price differential between the two markets (the basis). Recent evidence
 suggests that there are more dynamics present than should be in
 effectively functioning markets. Using self-exciting threshold
 autoregressive (SETAR) models, this study analyses whether such dynamics
 can be related to different regimes within which the basis can fluctuate
 in a predictable manner without triggering arbitrage. These findings
 reveal that the basis shows strong evidence of autoregressive behaviour
 when its value is between the two thresholds but that the extra dynamics
 disappear once the basis moves above the upper threshold and their
 persistence is reduced, although not eradicated, once the basis moves
 below the lower threshold. This suggests that once nonlinearity associated
 with transactions costs is accounted for, stock and stock index futures
 markets function more effectively than is suggested by linear models of
 the pricing relationship. 
Journal: Applied Financial Economics 
Pages: 25-31 
Issue: 1 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110087996 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110087996
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:1:p:25-31




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Cain 
Author-X-Name-First: Michael 
Author-X-Name-Last: Cain 
Author-Name: David Law 
Author-X-Name-First: David 
Author-X-Name-Last: Law 
Author-Name: David Peel 
Author-X-Name-First: David 
Author-X-Name-Last: Peel 
Title: Is one price enough to value a state-contingent asset correctly? Evidence from a gambling market 
Abstract:
  The answer to this question, based on a study of 1000 greyhound races, is
 'no'. Although the efficient markets hypothesis asserts that speculative
 market prices optimally encapsulate all relevant information, it is found
 that 'Shin probabilities' (based on Shin, 1993), in which a dog's winning
 probability is a complicated function of the winning probabilities of all
 contenders in the race, correct the favouritelongshot bias, and in doing
 so dominate the predictive abilities of individual market prices, and of
 linear and non-linear functions of them. Since there is an equivalent bias
 in at least some financial markets, the finding may have wider
 application. 
Journal: Applied Financial Economics 
Pages: 33-38 
Issue: 1 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110102682 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110102682
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:1:p:33-38




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Paulo Esperanca 
Author-X-Name-First: Jose Paulo 
Author-X-Name-Last: Esperanca 
Author-Name: Mohamed Azzim Gulamhussen 
Author-X-Name-First: Mohamed Azzim 
Author-X-Name-Last: Gulamhussen 
Title: A note on foreign bank investment in the USA 
Abstract:
  This study investigates the presence of panel effects in the foreign bank
 investment decision in the USA. To accomplish this purpose, it tests a
 model of the effect of home country factors on foreign bank investment in
 the USA. The relationship between home country factors and foreign bank
 investment in the USA is empirically tested through regression analysis of
 panel data (53 countries; 8 years). The empirical results confirm the
 presence of panel effects, previously ignored in the literature, and
 dependence of foreign bank investment in the USA on home country factors. 
Journal: Applied Financial Economics 
Pages: 39-46 
Issue: 1 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110087987 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110087987
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:1:p:39-46




Template-Type: ReDIF-Article 1.0
Author-Name: Gregorios Siourounis 
Author-X-Name-First: Gregorios 
Author-X-Name-Last: Siourounis 
Title: Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange 
Abstract:
  This study employs GARCH type models and tests for their validity over an
 Emerging Capital Market, the Athens Stock Exchange Market (ASE). Correct
 specification, of the different models, implies that the Weak Efficient
 Market Hypothesis does not hold for ASE. There is strong empirical
 evidence that ASE follows a pattern where last period's daily returns are
 correlated with today's returns and current volatility is positively
 related to past realizations. Negative shocks have an asymmetric impact on
 the daily stock returns series and political instabilities increase
 volatility over time. The mean of the series does not change during high
 volatile periods. 
Journal: Applied Financial Economics 
Pages: 47-55 
Issue: 1 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088003 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088003
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:1:p:47-55




Template-Type: ReDIF-Article 1.0
Author-Name: Bing-Huei Lin 
Author-X-Name-First: Bing-Huei 
Author-X-Name-Last: Lin 
Title: Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds 
Abstract:
  The B-spline curve fitting technique is one of the most popular empirical
 methodologies for estimating the term structure of interest rates, due to
 its stability and reliability in practical applications. This paper
 applies the B-spline technique to estimating the term structure for an
 important small-sized emerging bond market, the Taiwanese Government Bond
 (TGB) market. Regardless of the efficiency of the obsrved market data,
 several issues are investigated when applying this fitting technique. The
 application of the B-spline functions is first discussed to approximate
 the discount function, spot yield curve and forward yield curve
 respectively. The coupon payment effect on the TGB price is identified and
 is incorporated into the model estimation. A sensitivity analysis for the
 B-spline technique is performed with respect to changes in the
 within-sample knots, and a feasible method suggested for choosing the
 optimal knots within the approximation space in view of standard pricing
 error minimization. The results show that the B-spline methodology, when
 applied to discount fitting and spot fitting, is satisfactory in obtaining
 reliable term structure. It is also not very sensitive to some ad hoc
 choices in the model estimation. 
Journal: Applied Financial Economics 
Pages: 57-75 
Issue: 1 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088058 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088058
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:1:p:57-75




Template-Type: ReDIF-Article 1.0
Author-Name: Gokce Soydemir 
Author-X-Name-First: Gokce 
Author-X-Name-Last: Soydemir 
Title: The impact of the movements in US threemonth Treasury bill yields on the equity markets in Latin America 
Abstract:
  This paper presents empirical evidence relating the changes in the US
 Treasury Bill (T-Bills) yields to equity market movements in Latin America
 using data prior to the 1994 Mexican financial crisis. The results from
 estimating a vector autoregressive (VAR) model suggest that there is a
 strong and immediate negative impact of T-Bill yields on the US equity
 market, but a slow and varying impact on the equity markets of Mexico,
 Argentina, Venezuela, Colombia and Brazil. Chile's market, on the other
 hand, does not seem to be influenced by movements in T-Bill yields.
 Cross-country differences in response patterns may result from country
 specific differences in market structure. The results provide evidence in
 favour of the view that policies at the national level may not always be
 enough to achieve macroeconomic stability in the region. 
Journal: Applied Financial Economics 
Pages: 77-84 
Issue: 2 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088030 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088030
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:77-84




Template-Type: ReDIF-Article 1.0
Author-Name: Jorg Bley 
Author-X-Name-First: Jorg 
Author-X-Name-Last: Bley 
Title: Stock splits and stock return behaviour: how Germany tries to improve the attractiveness of its stock market 
Abstract:
  This paper analyses the return behaviour of German stocks following a
 wave of 10- for-1 stock splits. The splits were triggered by a legislative
 initiative (KmfG), designed to enhance the attractiveness of the German
 stock market. To avoid any size effects, the sample of 40 firms that
 executed a split during 1994-1996, was divided into two groups according
 to their market capitalization. Split-induced positive abnormal returns,
 as suggested by the signaling hypothesis, could not be revealed over the
 30-day observation period. A decrease in daily trading volume was found
 for the sample of high market capitalization stocks. The mean difference
 in daily trading volume was approximately 21.9%. The results also indicate
 an inverse correlation between firm size and the change in trading volume.
 The volatility of both stock samples' daily returns has increased,
 supporting the results of most of the previous research. While only the
 high cap sample displayed a decrease in systematic risk, both samples
 experienced an increase in non-systematic risk following the split. These
 results cannot support the rationale behind the KmfG with regard to
 suggested effects of stock splits on stock return characteristics. 
Journal: Applied Financial Economics 
Pages: 85-93 
Issue: 2 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088021 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088021
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:85-93




Template-Type: ReDIF-Article 1.0
Author-Name: Martin Conyon 
Author-X-Name-First: Martin 
Author-X-Name-Last: Conyon 
Author-Name: Christine Mallin 
Author-X-Name-First: Christine 
Author-X-Name-Last: Mallin 
Author-Name: Graham Sadler 
Author-X-Name-First: Graham 
Author-X-Name-Last: Sadler 
Title: The disclosure of directors' share option information in UK companies 
Abstract:
  This paper considers the empirical determinants of the quality of
 information disclosed about directors' share options in a sample of large
 companies in 1994 and 1995. Policy recommendations, consolidated in the
 recommendations of the Greenbury report, argue for full and complete
 disclosure of director option information. In this paper two modest
 contributions to the UK empirical literature are made. First, the current
 degree of option information disclosure in the FTSE 350 companies is
 documented. Second, option information disclosure as a function of
 variables that are thought to influence corporate costs of disclosure is
 modelled. The results have implications for corporate governance.
 Specifically, support is offered for the monitoring function of
 nonexecutive directors. In addition, nondisclosure is found to be related
 to variables which proxy proprietary costs of revealing information (such
 as company size). 
Journal: Applied Financial Economics 
Pages: 95-103 
Issue: 2 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088076 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088076
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:95-103




Template-Type: ReDIF-Article 1.0
Author-Name: Chaoshin Chiao 
Author-X-Name-First: Chaoshin 
Author-X-Name-Last: Chiao 
Title: Relationship between debt, R&D and physical investment, evidence from US firm-level data 
Abstract:
  This paper is motivated by the hypothesis by Hall (1992) who claims that
 firms prefer to use debt to finance physical investment but not R&D, due
 to the risky nature of R&D. Employing a dynamic simultaneous approach and
 R&D Master File, the relationship between debt, R&D and physical
 investment is reestimated with the full sample and two sub-samples,
 including firms in all industries, in science-based industries, and in
 nonscience-based industries, respectively. First, the results show that
 the contemporary relationship between R&D and physical investment is
 positively reciprocal, particularly in science-based industries. That is,
 current R&D positively affects and is positively affected by current
 physical investment. Second, it is shown that, in (non-)science-based
 industries, current R&D (raises) lowers current debt and current physical
 investment raises current debt; and that current debt raises current
 physical investment and (raises) reduces R&D. In other words, the evidence
 supports that debt is a resource to finance both physical investment and
 R&D in nonscience-based industries, but debt is only a resource to finance
 physical investment but not R&D in science-based industries. 
Journal: Applied Financial Economics 
Pages: 105-121 
Issue: 2 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110102709 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110102709
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:105-121




Template-Type: ReDIF-Article 1.0
Author-Name: Ephraim Clark 
Author-X-Name-First: Ephraim 
Author-X-Name-Last: Clark 
Author-Name: Patrick Rousseau 
Author-X-Name-First: Patrick 
Author-X-Name-Last: Rousseau 
Title: Strategic parameters for capital budgeting when abandonment value is stochastic 
Abstract:
  This paper investigates how capital budgeting techniques that include the
 option to abandon can be exploited as management tools to aid not only in
 the invest/abandon decision but also in ongoing project management,
 financial forecasting and the timing of strategic moves. Three parameters
 are highlighted &#x2014; the expected growth rate of the salvage value,
 the volatility of percentage changes in the salvage value and its
 correlation with the rate of return on the investment itself. Two of these
 parameters, volatility and correlation, interact with the volatility of
 the return on the investment in surprising ways, with increases at first
 decreasing the option value up to a critical point and increasing it
 thereafter. This insight has implications for the decision making process.
 Finally, it is shown how the model can be applied in practice to the
 capital budgeting process, including investment and disinvestment. It is
 also shown as to how the model can be used as a management tool for
 financial planning, monitoring ongoing investments, and for the timing of
 strategic moves. 
Journal: Applied Financial Economics 
Pages: 123-130 
Issue: 2 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088049 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088049
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:123-130




Template-Type: ReDIF-Article 1.0
Author-Name: Montserrat Ferre 
Author-X-Name-First: Montserrat 
Author-X-Name-Last: Ferre 
Author-Name: Stephen Hall 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Hall 
Title: Foreign exchange market efficiency and cointegration 
Abstract:
  The analysis of market efficiency in the foreign exchange market adopted
 a new approach after Granger (Oxford Bulletin of Economics and Statistics,
 48(3), 1986) stated that assets in an efficient market could not be
 cointegrated. If they were, there would be a market inefficiency since
 there would be Granger causality running at least in one direction and
 thus one price could be used to forecast the other. The interpretation
 that the literature has given to the relationship between cointegration
 and market efficiency has been that noncointegration is a necessary and
 sufficient condition for market efficiency. In the authors' opinion, the
 fact that two spot exchange rates are cointegrated does not necessarily
 imply that inefficiency exists. In this article, it is argued that when
 the economy is composed of N exchange rates and the closed system is
 analysed without dynamics, as it is the case when considering the
 no-arbitrage condition, the Granger Representation Theorem (GRT) does not
 tell one anything about efficiency. Further, when a subset J of the N
 exchange rates is considered, then the GRT becomes irrelevant for
 efficiency. To illustrate these hypotheses will be the objective of this
 article along with that of developing a framework to test for efficiency
 when cointegration is present. 
Journal: Applied Financial Economics 
Pages: 131-139 
Issue: 2 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090055 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090055
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:131-139




Template-Type: ReDIF-Article 1.0
Author-Name: Seyed Mehdian 
Author-X-Name-First: Seyed 
Author-X-Name-Last: Mehdian 
Author-Name: Mark Perry 
Author-X-Name-First: Mark 
Author-X-Name-Last: Perry 
Title: Anomalies in US equity markets: a re-examination of the January effect 
Abstract:
  This study investigates the January effect in US equity markets using
 three market indexes from 1964-1998: Dow Jones Composite, NYSE Composite
 and the SP500. Chow tests for structural stability indicate that the
 estimated parameters in an equation testing for monthly seasonal effects
 in the stock market are not stable over time. In the 1964-1987 sample
 period it is found that January returns are positive and significant in
 all three stock market indexes. After 1987, January returns are positive
 but not statistically different from zero. The results therefore provide
 no statistical support for the January effect in US equity markets in the
 post-1987 market crash period. 
Journal: Applied Financial Economics 
Pages: 141-145 
Issue: 2 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088067 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088067
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:141-145




Template-Type: ReDIF-Article 1.0
Author-Name: Van Newby 
Author-X-Name-First: Van 
Author-X-Name-Last: Newby 
Title: The effects of news on exchange rates when the risk premium is considered 
Abstract:
  Poor performance of forward exchange rates to predict future spot rates
 has caused researchers to analyse other approaches to exchange rate
 determination. One such approach is to treat exchange rates as prices of
 foreign currency assets. Thus, these prices should be highly sensitive to
 new information. This paper analyses, as news variables, unanticipated
 changes in the USA and home country money supplies, incomes, and interest
 rates. Two different methods are used to account for the unobservable risk
 premium. Results suggest that news does not significantly influence
 exchange rates for the four countries involved-Germany, Italy, Canada and
 Japan. Possible reasons are discussed. 
Journal: Applied Financial Economics 
Pages: 147-153 
Issue: 2 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090109 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090109
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:147-153




Template-Type: ReDIF-Article 1.0
Author-Name: Pauline Bod 
Author-X-Name-First: Pauline 
Author-X-Name-Last: Bod 
Author-Name: David Blitz 
Author-X-Name-First: David 
Author-X-Name-Last: Blitz 
Author-Name: Philip Hans Franses 
Author-X-Name-First: Philip Hans 
Author-X-Name-Last: Franses 
Author-Name: Roy Kluitman 
Author-X-Name-First: Roy 
Author-X-Name-Last: Kluitman 
Title: An unbiased variance estimator for overlapping returns 
Abstract:
  This paper gives an unbiased estimator of the variance of overlapping
 returns. The estimator improves upon that proposed in Lo and MacKinlay
 (1988) [LM] (which is widely used in practice), as the LM estimator is
 consistent but not unbiased in small samples. The relevance of
 unbiasedness for variance ratio tests in a simulation experiment is
 illustrated. 
Journal: Applied Financial Economics 
Pages: 155-158 
Issue: 3 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090127 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090127
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:3:p:155-158




Template-Type: ReDIF-Article 1.0
Author-Name: Alan Bevan 
Author-X-Name-First: Alan 
Author-X-Name-Last: Bevan 
Author-Name: Jo Danbolt 
Author-X-Name-First: Jo 
Author-X-Name-Last: Danbolt 
Title: Capital structure and its determinants in the UK - a decompositional analysis 
Abstract:
  Prior research on capital structure by Rajan and Zingales (1995) suggests
 that the level of gearing in UK companies is positively related to size
 and tangibility, and negatively correlated with profitability and the
 level of growth opportunities. However, as argued by Harris and Raviv
 (1991), 'The interpretation of results must be tempered by an awareness of
 the difficulties involved in measuring both leverage and the explanatory
 variables of interest'. In this study the focus is on the difficulties of
 measuring gearing, and the sensitivity of Rajan and Zingales' results to
 variations in gearing measures are tested. Based on an analysis of the
 capital structure of 822 UK companies, Rajan and Zingales' results are
 found to be highly definitional-dependent. The determinants of gearing
 appear to vary significantly, depending upon which component of debt is
 being analysed. In particular, significant differences are found in the
 determinants of long- and short-term forms of debt. Given that trade
 credit and equivalent, on average, accounts for more than 62% of total
 debt, the results are particularly sensitive to whether such debt is
 included in the gearing measure. It is argued, therefore, that analysis of
 capital structure is incomplete without a detailed examination of all
 forms of corporate debt. 
Journal: Applied Financial Economics 
Pages: 159-170 
Issue: 3 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090073 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090073
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:3:p:159-170




Template-Type: ReDIF-Article 1.0
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Terry Nixon 
Author-X-Name-First: Terry 
Author-X-Name-Last: Nixon 
Title: The long-term performance of parent and units following equity carve-outs 
Abstract:
  Recent research has shown that ownership restructuring decisions by firms
 can enhance value. In particular, Allen and McConnell (1998) find that
 carve-outs elicit a favourable share price response for parent firms at
 the time the carve-outs are reported. One explanation is that a carve-out
 facilitates parental focus and enables the market to value a new entity
 that now has its own identity, which uncovers hidden value. Since these
 valuation effects are measured when the carve-outs are reported, they
 reflect an ex ante view of potential change in performance attributed to
 the restructuring of ownership. An attempt is made to determine the
 long-term performance of firms following carve-outs. At the time of the
 carve-out, parents have information about the unit unknown to the public.
 The performance of parents and the carved-out units are separately
 assessed to determine whether there is a wealth transfer between the two
 entities as the asymmetric information that exists at the time of the
 carve-out dissipates over time. In general, the long-term effects of the
 parent and the unit following carve-outs are unfavourable. This result is
 surprising in light of theory behind the potential benefits of carve-outs,
 and the favourable short-term valuation effects, but not inconsistent with
 Ritter's (1991) findings regarding the long-run performance of initial
 public offerings (IPOs). A closer look reveals that the long-term
 performance is more unfavourable for parents that were distressed before
 the carve-outs, and more unfavourable for units that were carved out of
 distressed parents. This suggests that distressed parents may not
 necessarily resolve their distress with carve-outs, and that the
 carved-out units of these parents may contain a portion of the distress
 symptoms. 
Journal: Applied Financial Economics 
Pages: 171-181 
Issue: 3 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090091 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090091
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:3:p:171-181




Template-Type: ReDIF-Article 1.0
Author-Name: Pierluigi Bologna 
Author-X-Name-First: Pierluigi 
Author-X-Name-Last: Bologna 
Author-Name: Laura Cavallo 
Author-X-Name-First: Laura 
Author-X-Name-Last: Cavallo 
Title: Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH 
Abstract:
  The impact of futures trading on the underlying asset volatility, and its
 characteristics, is still debated both in the economic literature and
 among practitioners. The aim of this study is to analyse the effect of the
 introduction of stock index futures on the volatility of the Italian Stock
 Exchange. This study mainly addresses two issues: first, the study
 analyses whether the reduction of stock market volatility showed in the
 post-futures period, already pointed out in previous research, is
 effectively due to the introduction of futures contract. Second, whether
 the 'futures effect', if confirmed, is immediate or delayed with respect
 to the moment of the futures trading onset is tested. The results show
 that the introduction of stock index futures per se has led to diminished
 stock market volatility and no other contingent cause seems to have
 systematically reduced it. Further, they also suggest that the impact of
 futures onset on the underlying market volatility is likely to be
 immediate. These findings are consistent with those theories stating that
 active and developed futures markets enhance the efficiency of the
 corresponding spot markets. 
Journal: Applied Financial Economics 
Pages: 183-192 
Issue: 3 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088085 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088085
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:3:p:183-192




Template-Type: ReDIF-Article 1.0
Author-Name: Jun Yu 
Author-X-Name-First: Jun 
Author-X-Name-Last: Yu 
Title: Forecasting volatility in the New Zealand stock market 
Abstract:
  This study evaluates the performance of nine alternative models for
 predicting stock price volatility using daily New Zealand data. The
 competing models contain both simple models such as the random walk and
 smoothing models and complex models such as ARCH-type models and a
 stochastic volatility model. Four different measures are used to evaluate
 the forecasting accuracy. The main results are the following: (1) the
 stochastic volatility model provides the best performance among all the
 candidates; (2) ARCH-type models can perform well or badly depending on
 the form chosen: the performance of the GARCH(3,2) model, the best model
 within the ARCH family, is sensitive to the choice of assessment measures;
 and (3) the regression and exponentially weighted moving average models do
 not perform well according to any assessment measure, in contrast to the
 results found in various markets. 
Journal: Applied Financial Economics 
Pages: 193-202 
Issue: 3 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090118 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090118
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:3:p:193-202




Template-Type: ReDIF-Article 1.0
Author-Name: Jo Danbolt 
Author-X-Name-First: Jo 
Author-X-Name-Last: Danbolt 
Author-Name: Ian Hirst 
Author-X-Name-First: Ian 
Author-X-Name-Last: Hirst 
Author-Name: Edward Jones 
Author-X-Name-First: Edward 
Author-X-Name-Last: Jones 
Title: Measuring growth opportunities 
Abstract:
  Although the impact of growth opportunities on company value has been
 recognized since Miller and Modigliani (1961), relatively little empirical
 work has been undertaken to value growth opportunities. In this study the
 validity of the KBM model (Kester (1984) and Brealey and Myers (1981)) is
 tested on a sample of 278 large UK companies for 1987-1995. Applying
 standard assumptions, the value of growth opportunities is found to
 account for a larger proportion of market values than assets-in-place.
 However, tests of the KBM model cast doubt on the credibility of these
 results and the validity of the model. The KBM model is highly sensitive
 to the inclusion of inflation in the risk free interest rate, and with a
 real interest rate (which on theoretical grounds is preferable), the model
 ceases to provide credible results. The model also fails to provide
 results consistent with expectations derived from option pricing theory
 regarding the relationship between the value of growth opportunities and
 the value of assets-in-place. These limitations of the KBM model indicate
 a need for a reappraisal of the method of measuring the value of growth
 opportunities. 
Journal: Applied Financial Economics 
Pages: 203-212 
Issue: 3 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090064 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090064
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:3:p:203-212




Template-Type: ReDIF-Article 1.0
Author-Name: S. G. M. Fifield 
Author-X-Name-First: S. G. M. 
Author-X-Name-Last: Fifield 
Author-Name: D. M. Power 
Author-X-Name-First: D. M. 
Author-X-Name-Last: Power 
Author-Name: C. D. Sinclair 
Author-X-Name-First: C. D. 
Author-X-Name-Last: Sinclair 
Title: Emerging stock markets: a more realistic assessment of the gains from diversification 
Abstract:
  Over the last decade, a number of studies have examined the costs and
 benefits from investing in equities traded on emerging stock markets
 (ESMs). The general conclusion to emerge from these studies is that
 investors have been able to improve portfolio performance significantly by
 including an emerging equity market component in investment portfolios.
 However, the ex-post framework utilized in past analyses potentially
 overstates the true level of gains which can be obtained from an emerging
 market diversification strategy; they are computed on the assumption that,
 with respect to the inputs to the portfolio decision, investors are
 blessed with perfect foresight. This paper attempts to overcome this
 problem by estimating the ex-ante gains available from investing in
 emerging stock markets. In particular, the paper investigates whether, by
 using a simple strategy based on historical data to forecast portfolio
 inputs, all of the gains which are available from ex-post analyses of
 diversification can be achieved in practice. The results obtained point
 overwhelmingly to the inadvisability of relying on historical data to
 identify ex-ante optimal emerging market portfolios; the strategies
 examined in this paper achieved very few of the gains attained in ex-post
 analyses of diversification. 
Journal: Applied Financial Economics 
Pages: 213-229 
Issue: 3 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090082 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090082
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:3:p:213-229




Template-Type: ReDIF-Article 1.0
Author-Name: Sanjay Ramchander 
Author-X-Name-First: Sanjay 
Author-X-Name-Last: Ramchander 
Author-Name: R. Raymond Sant 
Author-X-Name-First: R. Raymond 
Author-X-Name-Last: Sant 
Title: The impact of federal reserve intervention on exchange rate volatility: evidence from the futures markets 
Abstract:
  The collapse of Bretton Woods or the fixed exchange rate system in 1973,
 along with the coinciding growth in global trade, and greater mobility of
 capital have all contributed to an increase in exchange rate volatility.
 Concerns about exchange rate levels and volatility have prompted central
 banks to actively intervene in foreign currency markets from time to time.
 This paper presents an empirical investigation of the relationship between
 central bank intervention actions and currency volatility. This paper is
 distinguished from earlier studies by employing expectation-based
 information contained in the currency futures prices to estimate
 conditional volatility in the USUS$/DM and US$/&#xa5; returns, and by
 incorporating the simultaneity of the relationship between the Fed's
 intervention operation and exchange rate volatility into the model.
 Results suggest a lack of relationship between Fed's intervention activity
 and the US$/DM conditional volatility during the 1985-1993 period.
 However, Fed intervention is associated with negative changes in the
 US$/&#xa5; volatility during the 1985 to 1993 period as a whole, and
 specifically during the 1 January, 1985 to 21 February, 1987 Plaza period
 and the 21 February, 1987 to 31 December, 1989 Louvre period. Furthermore,
 the results document a strong feedback effect (bidirectional causality)
 between US$/&#xa5; volatility and intervention actions. During the
 post-Louvre period (1 January, 1990 to 31 December, 1993), it is found
 that the Fed's intervention led to an increase in the volatility of
 US$&#xa5;, without a corresponding feedback relationship. The sign
 reversal is attributed to the breakdown of the Louvre Accord and the mixed
 nature of monetary policy signals given during this period. 
Journal: Applied Financial Economics 
Pages: 231-240 
Issue: 4 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010005285 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010005285
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:231-240




Template-Type: ReDIF-Article 1.0
Author-Name: Eduardo Rossi 
Author-X-Name-First: Eduardo 
Author-X-Name-Last: Rossi 
Author-Name: Claudio Zucca 
Author-X-Name-First: Claudio 
Author-X-Name-Last: Zucca 
Title: Hedging interest rate risk with multivariate GARCH 
Abstract:
  This paper deals with the estimation of optimal hedge ratios. Three
 alternative hedging strategies are considered: duration matching, least
 squares hedge estimator and asymmetric multivariate GARCH. Hedging
 performance comparisons, in terms of ex-post variance portfolio reduction,
 are conducted. The portfolio analysed is composed by Italian Government
 Bonds. The hedging instrument is the nearby futures contract traded on
 LIFFE. Eventually, a dynamic hedging strategy is proposed in which the
 potential risk reduction is more than enough to offset the transaction
 costs. 
Journal: Applied Financial Economics 
Pages: 241-251 
Issue: 4 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088094 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088094
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:241-251




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Joyce 
Author-X-Name-First: Michael 
Author-X-Name-Last: Joyce 
Author-Name: Vicky Read 
Author-X-Name-First: Vicky 
Author-X-Name-Last: Read 
Title: Asset price reactions to RPI announcements 
Abstract:
  This paper examines the same-day reaction of a variety of UK asset prices
 to monthly RPI inflation announcements over a sample period extending from
 the early 1980s until April 1997, the month before the Bank of England was
 given operational independence for setting interest rates. These
 announcements are decomposed into their expected and unexpected, or
 'news', components using survey data on financial analysts' inflation
 expectations and, as a cross-check, prediction errors from a time-series
 model of inflation. It is found that markets are efficient, in that asset
 prices do not respond to the expected component of RPI announcements.
 Generally, only government bond prices are sensitive to inflation news,
 and this sensitivity appears particularly marked after late 1992, when the
 UK adopted an explicit inflation target. The responsiveness of implied
 medium and long-term forward inflation rates (calculated from conventional
 and index-linked bonds) during the post-1992 period is consistent with the
 expected inflation hypothesis, a result that suggests that the
 pre-independence inflation-targeting framework was not seen as fully
 credible by the financial markets. Nevertheless, the declining
 responsiveness of bond yields and implied forward inflation rates to
 inflation news over the period of operation of the framework suggests that
 its credibility improved over time. 
Journal: Applied Financial Economics 
Pages: 253-270 
Issue: 4 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010001090 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010001090
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:253-270




Template-Type: ReDIF-Article 1.0
Author-Name: Elyas Elyasiani 
Author-X-Name-First: Elyas 
Author-X-Name-Last: Elyasiani 
Author-Name: Rasoul Rezvanian 
Author-X-Name-First: Rasoul 
Author-X-Name-Last: Rezvanian 
Title: A comparative multiproduct cost study of foreign-owned and domestic-owned US banks 
Abstract:
  Significant presence of foreign-owned banks (FOBs) in the US banking
 markets has raised concerns about concentration of economic and financial
 power in foreign hands and increased risk exposure of the banking system.
 The proponents counter that international cost synergies, heightened
 competition, and improved bank performance resulting from the presence of
 FOBs justify foreign bank expansion. This paper contrasts the production
 technologies and the cost characteristics of the FOBs and the
 domestic-owned banks (DOBs) within a cost minimization context. The
 hypothesis of identical cost structures between the two groups is tested
 and rejected. Then, overall and product-specific scale and scope economy
 measures for the FOBs and the DOBs are derived for the 1992-1994 sample
 period, relative to the ownership-type-specific cost structures, and
 contrasted in order to shed light on the ownership-type effect on the cost
 structure of banks. Differences do manifest themselves between the two
 groups, but they are small in magnitude. No clear and strong patterns
 emerge between the ownership type and cost structure of the banks in the
 sample. These results are consistent with those of the relative efficiency
 of the FOBs and DOBs found in the literature. 
Journal: Applied Financial Economics 
Pages: 271-284 
Issue: 4 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090136 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090136
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:271-284




Template-Type: ReDIF-Article 1.0
Author-Name: Bradley Ewing 
Author-X-Name-First: Bradley 
Author-X-Name-Last: Ewing 
Title: The transmission of shocks among S&P indexes 
Abstract:
  Financial market participants pay particular attention to the behaviour
 of equity indexes due, in part, to the popularity of index investing and
 the reliance on market and sector indexes to evaluate managed portfolios.
 Five major S&P stock indexes are examined to determine their
 interrelationships and how shocks to one index are transmitted to the
 others. The paper employs the newly developed technique of generalized
 forecast error variance decomposition [Koop et al. (1996); Pesaran and
 Shin (1998)]. Unlike the traditional orthogonalized decomposition, the
 generalized version is invariant to the ordering of the variables in the
 underlying vector autoregression. The results provide important
 information about the transmission of shocks among these indexes. 
Journal: Applied Financial Economics 
Pages: 285-290 
Issue: 4 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090172 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090172
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:285-290




Template-Type: ReDIF-Article 1.0
Author-Name: Stilianos Fountas 
Author-X-Name-First: Stilianos 
Author-X-Name-Last: Fountas 
Author-Name: Konstantinos Segredakis 
Author-X-Name-First: Konstantinos 
Author-X-Name-Last: Segredakis 
Title: Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis 
Abstract:
  Seasonal effects are tested for in stock returns, the January effect
 anomaly and the tax-loss selling hypothesis using monthly stock returns in
 eighteen emerging stock markets for the period 1987-1995. Even though
 considerable evidence for seasonal effects applies in several countries,
 very little evidence is found in favour of the January effect and the
 tax-loss selling hypothesis. These results provide some support to the
 informational efficiency aspect of the market efficiency hypothesis. 
Journal: Applied Financial Economics 
Pages: 291-299 
Issue: 4 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010000839 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010000839
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:291-299




Template-Type: ReDIF-Article 1.0
Author-Name: Heather Mitchell 
Author-X-Name-First: Heather 
Author-X-Name-Last: Mitchell 
Author-Name: Rob Brown 
Author-X-Name-First: Rob 
Author-X-Name-Last: Brown 
Author-Name: Stephen Easton 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Easton 
Title: Old volatility - ARCH effects in 19th century consol data 
Abstract:
  Engle's autoregressive conditional heteroscedasticity (ARCH) model has
 been used successfully to model volatility in modern financial data. Here
 the returns on 3% Consols traded on the London market from 1821 to 1860
 are examined for timevarying conditional heteroscedasticity. The series
 contains over 10,000 daily price changes. The analysis produces strong
 evidence for persistent ARCH effects in the data. Structural changes in
 the model and periods of increased volatility can be linked to important
 political and historical events. 
Journal: Applied Financial Economics 
Pages: 301-307 
Issue: 4 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010005843 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010005843
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:301-307




Template-Type: ReDIF-Article 1.0
Author-Name: S. B. Caudill 
Author-X-Name-First: S. B. 
Author-X-Name-Last: Caudill 
Title: SFA, TFA and a new thick frontier: graphical and analytical comparisons 
Abstract:
  This article compares OLS, the normal-half normal stochastic frontier
 approach (SFA) and the thick frontier approach (TFA) to an alternative
 thick frontier approach based on a mixture approach. Unlike the TFA
 approach, the new approach developed here uses all of the data, does not
 require grouping of the data into an arbitary number of size categories,
 does not require an arbitrarily chosen fraction (usually the lowest
 quartile) of lowest average cost firms upon which to base the frontier.
 The new thick frontier requires the estimation of only one more parameter
 than the SFA model, and is flexible enough to describe skewness in the
 data of almost any type. This article presents comparisons of the
 empirical relationships between these methods using a multiproduct cost
 function and data on US savings and loans in 1988. The new thick frontier
 method produces a much thinner 'thick' frontier characterizing a much
 greater fraction of the data than the old TFA approach. 
Journal: Applied Financial Economics 
Pages: 309-317 
Issue: 5 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110086807 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110086807
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:5:p:309-317




Template-Type: ReDIF-Article 1.0
Author-Name: Bevan Blair 
Author-X-Name-First: Bevan 
Author-X-Name-Last: Blair 
Author-Name: Ser-Huang Poon 
Author-X-Name-First: Ser-Huang 
Author-X-Name-Last: Poon 
Author-Name: Stephen Taylor 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Taylor 
Title: Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents 
Abstract:
  The volatility processes of the S&P 100 index and all its constituent
 stocks are compared after estimating ARCH models from ten years of daily
 returns, from 1983 to 1992. The leverage effect of Black (1976) is
 estimated from an extension of the asymmetric volatility model of Glosten
 et al. (1993) that isolates the effects of the crash in October 1987. The
 index and the majority of stocks have a greater volatility response to
 negative returns than to positive returns and the asymmetry is higher for
 the index than for most stocks. Conclusions about volatility asymmetry and
 persistence change when the crash is considered to be an extraordinary
 event. 
Journal: Applied Financial Economics 
Pages: 319-329 
Issue: 5 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090154 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090154
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:5:p:319-329




Template-Type: ReDIF-Article 1.0
Author-Name: P. S. Sephton 
Author-X-Name-First: P. S. 
Author-X-Name-Last: Sephton 
Title: Fractional cointegration: Monte Carlo estimates of critical values, with an application 
Abstract:
  A fractionally integrated series is mean-reverting, and may be covariance
 stationary. Recent interest in fractional integration has been extended to
 tests of whether series are fractionally cointegrated. This article
 provides simulated critical values for use in tests of fractional
 cointegration for up to six variables, over a number of sample sizes. An
 example illustrates the potential merits of tests for fractional
 cointegration. 
Journal: Applied Financial Economics 
Pages: 331-335 
Issue: 5 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110086096 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110086096
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:5:p:331-335




Template-Type: ReDIF-Article 1.0
Author-Name: Juan Reboredo 
Author-X-Name-First: Juan 
Author-X-Name-Last: Reboredo 
Title: Bank solvency evaluation with a Markov model 
Abstract:
  This paper provides an empirical model for a probabilistic evaluation of
 bank solvency that includes heterogeneity and past solvency. Bank solvency
 positions are obtained from the value of a stochastic recursive profit
 function. Transition probabilities among bank solvency positions are
 determined by portfolio decisions, and draw the probabilistic evolution
 over time of bank solvency. Thus, the bank activity is characterized as a
 Markov decision process whose transition matrix is obtained from a Markov
 Chain model with a quadratic conditional variance. The empirical
 implementation for Spanish banks indicates that both heterogeneity and
 past solvency are important to evaluate bank solvency. 
Journal: Applied Financial Economics 
Pages: 337-345 
Issue: 5 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090145 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090145
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:5:p:337-345




Template-Type: ReDIF-Article 1.0
Author-Name: Francis Wright 
Author-X-Name-First: Francis 
Author-X-Name-Last: Wright 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Kenneth Wiant 
Author-X-Name-First: Kenneth 
Author-X-Name-Last: Wiant 
Title: The differential effects of agency costs on multinational corporations 
Abstract:
  This study develops arguments explaining why agency costs are more
 pronounced for firms with higher degrees of multinational business.
 Empirical tests are conducted to determine whether firms with more
 exposure to foreign markets have greater agency costs than less exposed
 firms. Specifically, valuation effects of security offerings are assessed
 cross-sectionally to determine whether the change in the firm's value
 attributed to agency costs is associated with the firm's degree of
 international business. It was found that valuation effects associated
 with security offering announcements are more negative for firms with
 higher degrees of international business, which supports the hypothesis
 presented. The results suggest that better monitoring could be especially
 beneficial to MNCs with large exposure to foreign markets. 
Journal: Applied Financial Economics 
Pages: 347-359 
Issue: 5 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100210124984 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210124984
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:5:p:347-359




Template-Type: ReDIF-Article 1.0
Author-Name: Peter Shyan-Rong Chou 
Author-X-Name-First: Peter Shyan-Rong 
Author-X-Name-Last: Chou 
Author-Name: Yin-Ching Jan 
Author-X-Name-First: Yin-Ching 
Author-X-Name-Last: Jan 
Author-Name: Mao-Wei Hung 
Author-X-Name-First: Mao-Wei 
Author-X-Name-Last: Hung 
Title: The world price of exchange risk in the Pacific Basin equity markets 
Abstract:
  This paper investigates whether the foreign exchange risk is priced in
 the Pacific Basin equity markets. The test was performed in the
 conditional version which allows the world prices of market risk and
 exchange risk to vary over time. Being parsimonious, a principal component
 analysis is taken on these Pacific Basin interest rates to extract the
 common exchange rate factors. The results show that the international
 asset pricing model with exchange risk premia is better than the
 international asset pricing model without exchange risk premia to describe
 the Pacific Basin stock returns. This implies the world prices of exchange
 risk are present in the Pacific Basin equity markets. 
Journal: Applied Financial Economics 
Pages: 361-370 
Issue: 5 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100210125028 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210125028
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:5:p:361-370




Template-Type: ReDIF-Article 1.0
Author-Name: Aigbe Akhigbe 
Author-X-Name-First: Aigbe 
Author-X-Name-Last: Akhigbe 
Title: New product innovations, information signalling and industry competition 
Abstract:
  This paper examines the impact of new product innovations on the market
 values of industry rivals. The evidence indicates that, on average, firms
 introducing new products experience a significantly positive valuation
 effect at announcement, while portfolios of industry rivals experience a
 significant negative valuation effect. This result is consistent with the
 hypothesis that signals of adverse changes in the competitive position of
 rivals dominate expected benefits from an innovation spillover.
 Crosssectional analysis of the announcement period returns reveals that
 the competitive effects are more pronounced in industries with less
 concentration and high leverage. Additionally, we find that industry
 rivals perform as well as the new product firms during the three years
 following the innovations. We conclude that over a longer period, rival
 firms are able to respond to the competitive disadvantage of the new
 product by some alternative innovation or an imitation. 
Journal: Applied Financial Economics 
Pages: 371-378 
Issue: 5 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010007715 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010007715
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:5:p:371-378




Template-Type: ReDIF-Article 1.0
Author-Name: Jerry Coakley 
Author-X-Name-First: Jerry 
Author-X-Name-Last: Coakley 
Author-Name: Ana-Maria Fuertes 
Author-X-Name-First: Ana-Maria 
Author-X-Name-Last: Fuertes 
Title: Asymmetric dynamics in UK real interest rates 
Abstract:
  This paper explores the long run behaviour and short run dynamics of
 quarterly UK real interest rates, 1950-1999, in a threshold autoregressive
 framework. Using bootstrap LR extensions of the Enders and Granger (1998)
 threshold unit root and asymmetry tests, it finds support for sign and
 amplitude asymmetric mean reversion. These findings provide one
 explanation for the apparent persistence in real interest rates and are
 consistent with asymmetric feedback rules for inflation targeting. 
Journal: Applied Financial Economics 
Pages: 379-387 
Issue: 6 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010003304 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010003304
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:379-387




Template-Type: ReDIF-Article 1.0
Author-Name: Konstantinos Kassimatis 
Author-X-Name-First: Konstantinos 
Author-X-Name-Last: Kassimatis 
Title: Financial liberalization and stock market volatility in selected developing countries 
Abstract:
  This study empirically investigates whether stock market volatility
 increased following financial liberalization, in six 'emerging' markets.
 The sample countries are Argentina, India, Pakistan, Philippines, South
 Korea and Taiwan. To examine the issue, the news impact curves are
 utilized which relate current volatility to past news. The news impact
 curves are derived from the parameters of EGARCH models which measure the
 conditional volatility of stock returns in the sample markets. The results
 suggest that volatility fell after important liberalization policies were
 implemented. 
Journal: Applied Financial Economics 
Pages: 389-394 
Issue: 6 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010001937 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010001937
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:389-394




Template-Type: ReDIF-Article 1.0
Author-Name: Toshiaki Watanabe 
Author-X-Name-First: Toshiaki 
Author-X-Name-Last: Watanabe 
Title: Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan 
Abstract:
  This article examines the pattern of autocorrelation of daily stock index
 returns in the Tokyo Stock Exchange (TSE) by estimating the two variants
 of the EGARCH model by Nelson (1991). We confirm the findings by Sentana
 and Wadhwani (1992) and Koutmos (1997) that stock returns exhibit positive
 autocorrelation when volatility is low but they exhibit negative
 autocorrelation when volatility is rather high, and that stock returns are
 more negatively autocorrelated after price declines than after price
 rises. Evidence is also found that an increase in margin requirements
 makes stock returns more positively autocorrelated, which contrasts with
 Sentana and Wadhwani (1992) who were unable to detect any effect of margin
 requirements on the autocorrelation of returns in the US stock market. 
Journal: Applied Financial Economics 
Pages: 395-403 
Issue: 6 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090163 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090163
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:395-403




Template-Type: ReDIF-Article 1.0
Author-Name: Don Bredin 
Author-X-Name-First: Don 
Author-X-Name-Last: Bredin 
Author-Name: Keith Cuthbertson 
Author-X-Name-First: Keith 
Author-X-Name-Last: Cuthbertson 
Title: Liquidity effects and precautionary saving in the Czech Republic 
Abstract:
  An aggregate consumption function for the Czech Republic since its
 transition to market status is estimated. Economic theory and the 'general
 to specific' methodology are used to guide the choice of dynamic equation.
 Previous empirical evidence on the consumption function in Eastern Europe
 focused on the centrally planned period and so faced the 'liquidity
 overhang' principle. A number of different variants are examined including
 alternative income variables and the rate of unemployment which would
 proxy income constrained consumers and precautionary saving. The results
 indicate that the size of the long-run income elasticity is affected by
 the inclusion of the unemployment variable which may reflect liquidity
 constraints and precautionary saving. 
Journal: Applied Financial Economics 
Pages: 405-413 
Issue: 6 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110090181 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090181
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:405-413




Template-Type: ReDIF-Article 1.0
Author-Name: Kari Heimonen 
Author-X-Name-First: Kari 
Author-X-Name-Last: Heimonen 
Title: Stock market integration: evidence on price integration and return convergence 
Abstract:
  This study evaluates stock market integration between the USA, UK,
 Germany, Japan and Finland from the point of view of the international
 investor. Several definitions of convergence were employed all of which
 yielded a slightly different inference on integration. First, evidence on
 long-run stock price convergence suggested that the UK and German stock
 markets accommodate to changes in US stock prices, whereas the Finnish and
 Japanese stock markets are considered to be segmented. Second, evidence of
 convergence of excess returns indicated that due to expectations on
 exchange rate changes expected stock returns may overestimate the benefits
 from portfolio diversification. Third, regarding the actual changes in the
 exchange rate the UK, German, Japanese and Finnish stock returns converged
 towards the returns in the US market in an extent which suggests the
 importance of a covariance over the variance as a measure of risk. 
Journal: Applied Financial Economics 
Pages: 415-429 
Issue: 6 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010001108 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010001108
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:415-429




Template-Type: ReDIF-Article 1.0
Author-Name: Francisco Perez 
Author-X-Name-First: Francisco 
Author-X-Name-Last: Perez 
Author-Name: Emili Tortosa-Ausina 
Author-X-Name-First: Emili 
Author-X-Name-Last: Tortosa-Ausina 
Title: Product mix clubs, divergence and inequality of Spanish banking firms 
Abstract:
  The expansion and intensification of banking competition, undergone by
 the Spanish banking industry during the last 15 years, has allowed
 commercial banks and savings banks to more freely define their competitive
 strategies. This paper reports empirical evidence on the similarities and
 differences in banks product mixes along with their time evolution. In
 particular, it attempts to identify the different kinds of firms according
 to their output mixes and, on this basis, to analyse if the deregulation
 and increased competition have resulted into the homogenization
 (convergence) of specializations between firms or groups of firms (clubs).
 The empirical success is higher when product mix clubs are considered,
 achieving higher heterogeneity within the banking system as a whole but
 increased homogeneity within certain clusters of commercial banks and
 savings banks. 
Journal: Applied Financial Economics 
Pages: 431-445 
Issue: 6 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010001117 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010001117
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:431-445




Template-Type: ReDIF-Article 1.0
Author-Name: Mariam Camarero 
Author-X-Name-First: Mariam 
Author-X-Name-Last: Camarero 
Author-Name: Javier Ordon Ez 
Author-X-Name-First: Javier Ordon 
Author-X-Name-Last: Ez 
Author-Name: Cecilio Tamarit 
Author-X-Name-First: Cecilio 
Author-X-Name-Last: Tamarit 
Title: Tests for interest rate convergence and structural breaks in the EMS: further analysis 
Abstract:
  In this paper the linkages existing between the interest rates within the
 European Union countries are assessed, to discover if the Exchange Rate
 Mechanism has led to a converging process. This hypothesis is tested using
 the uncovered interest rate parity relative to the Maastricht Treaty's
 interest rate criterion. The obtained results allow classification of the
 European countries from the point of view of the degree of convergence
 already achieved. The techniques used are unit roots, allowing for
 endogenously determined changes in the deterministic trends of the data,
 as well as the Kalman filter, which permits the convergence path of the
 series to be followed. 
Journal: Applied Financial Economics 
Pages: 447-456 
Issue: 6 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010005294 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010005294
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:447-456




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Clare 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Clare 
Author-Name: Philip Moschetti 
Author-X-Name-First: Philip 
Author-X-Name-Last: Moschetti 
Title: Aggregate market returns and UK unit trust net acquisitions 
Abstract:
  Recent US research has focused upon the linkages between net mutual fund
 flows and their impact upon aggregate equity market returns. If a positive
 feedback relationship exists between investment flows and stock returns
 then there also exists the possibility that a market downturn or crash
 will be exacerbated by corresponding net outflows as mutual fund investors
 withdraw funds, forcing equity prices down further and thus creating a
 vicious circle. Using data from the UK we analyse the relationship between
 aggregate equity market returns and the net flows into UK unit trusts. We
 also undertake a similar exercise using UK bond market data. We trace our
 failure to identify a positive feedback relationship to the structure of
 the UK's unit trust industry. The fee structure, the relatively low
 minimum lump sum values, and the availability of regular savings unit
 trusts all combine to bring about a very low turnover of unit trust units
 in the UK. 
Journal: Applied Financial Economics 
Pages: 457-467 
Issue: 7 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010004592 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010004592
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:457-467




Template-Type: ReDIF-Article 1.0
Author-Name: Halil Kiymaz 
Author-X-Name-First: Halil 
Author-X-Name-Last: Kiymaz 
Title: The stock market rumours and stock prices: a test of price pressure and size effect in an emerging market 
Abstract:
  The purpose of this study is to investigate the effects of stock market
 rumours/gossips on the prices of stocks traded at the Istanbul Stock
 Exchange with respect to price pressure and size effect. While positive
 significant abnormal returns are observed in days prior to the publication
 date, negative insignificant abnormal returns are detected in
 post-publication period. The view that the price movement is due to the
 price pressure created by the column itself is not supported. Furthermore,
 the smaller firms appears to be more speculative and negative returns in
 post publication period is more pronounced. The findings in
 pre-publication period refute the strong form of market efficiency while
 the findings in post-publication period suggest that investment decisions
 based on the published rumours would not benefit investors. 
Journal: Applied Financial Economics 
Pages: 469-474 
Issue: 7 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010005852 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010005852
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:469-474




Template-Type: ReDIF-Article 1.0
Author-Name: Graham Smith 
Author-X-Name-First: Graham 
Author-X-Name-Last: Smith 
Author-Name: Keith Jefferis 
Author-X-Name-First: Keith 
Author-X-Name-Last: Jefferis 
Author-Name: Hyun-Jung Ryoo 
Author-X-Name-First: Hyun-Jung 
Author-X-Name-Last: Ryoo 
Title: African stock markets: multiple variance ratio tests of random walks 
Abstract:
  This paper identifies four categories of formal stock market in Africa:
 South Africa, medium-sized markets, small new markets which have
 experienced rapid growth, and small new markets which have yet to take
 off. The hypothesis that a stock market price index follows a random walk
 is tested for South Africa, five medium-sized markets (Egypt, Kenya,
 Morocco, Nigeria and Zimbabwe) and two small new markets (Botswana and
 Mauritius) using the multiple variance ratio test of Chow and Denning
 (Journal of Econometrics, 58, 385-401, 1993). The hypothesis is rejected
 in seven of the markets because of autocorrelation of returns. For the
 South African market, the stock price index follows a random walk. The
 paper also suggests factors which may contribute to whether or not an
 equity market follows a random walk. 
Journal: Applied Financial Economics 
Pages: 475-484 
Issue: 7 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010009957 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010009957
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:475-484




Template-Type: ReDIF-Article 1.0
Author-Name: Wallace Davidson 
Author-X-Name-First: Wallace 
Author-X-Name-Last: Davidson 
Author-Name: Stuart Rosenstein 
Author-X-Name-First: Stuart 
Author-X-Name-Last: Rosenstein 
Author-Name: Sridhar Sundaram 
Author-X-Name-First: Sridhar 
Author-X-Name-Last: Sundaram 
Title: An Empirical analysis of cancelled mergers, board composition and ownership structure 
Abstract:
  This paper examines the effects of board composition and ownership
 structure in the valuation of target firms in cancelled mergers. These
 results find no significant association between board composition and
 shareholder wealth. On the contrary, when a merger is cancelled by the
 target firm, abnormal returns surrounding the announcement are negatively
 related to share ownership by inside directors. In addition, we find the
 likelihood that the target firm is subsequently taken over depends largely
 on two factors: stock ownership by inside directors and the presence of
 multiple bids. These results suggest a strong association between
 ownership structure and the valuation of target firms in cancelled
 mergers. 
Journal: Applied Financial Economics 
Pages: 485-491 
Issue: 7 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010005302 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010005302
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:485-491




Template-Type: ReDIF-Article 1.0
Author-Name: Emilio Dominguez 
Author-X-Name-First: Emilio 
Author-X-Name-Last: Dominguez 
Author-Name: Alfonso Novales 
Author-X-Name-First: Alfonso 
Author-X-Name-Last: Novales 
Title: Can forward rates be used to improve interest rate forecasts? 
Abstract:
  This paper evaluates the extent to which the explanatory power detected
 in the term structure in different markets and countries can actually be
 used to produce sensible forecasts of future short-term interest rates.
 Specifically, in spite of the forecasting connotation of the unbiasedness
 property of forward rates, actual evaluation of their forecasting
 performance has received scant attention in the literature on the term
 structure. This study uses monthly data for 1978-1998 on interest rates on
 Eurodeposits on the US dollar, yen, Deutsche mark, British pound, Spanish
 peseta, French franc, Italian lira and Swiss franc, comparing forecasts
 obtained from forward rates to those obtained from univariate
 autoregressions. By themselves, forward rates produce better one-step
 ahead forecasts, as well as better once-and-for all forecasts of 1-month
 interest rates over a full year horizon than those obtained from the own
 past of interest rates. The gain in one-step ahead forecasting disappears
 for longer maturities, although forward rates still produce better
 once-and-for all predictions of 3- and 6-month interest rates than
 univariate autoregressions for a number of currencies. 
Journal: Applied Financial Economics 
Pages: 493-504 
Issue: 7 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010007346 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010007346
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:493-504




Template-Type: ReDIF-Article 1.0
Author-Name: Joaquin Maudos 
Author-X-Name-First: Joaquin 
Author-X-Name-Last: Maudos 
Author-Name: Jose Pastor 
Author-X-Name-First: Jose 
Author-X-Name-Last: Pastor 
Author-Name: Francisco Perez 
Author-X-Name-First: Francisco 
Author-X-Name-Last: Perez 
Title: Competition and efficiency in the Spanish banking sector: the importance of specialization 
Abstract:
  This paper analyses the importance of productive specialization in
 explaining cost efficiency differences between banking companies. Taking
 as reference the Spanish banking sector during the period 1985-1996, the
 study shows that if cost efficiency measurements are corrected for the
 effect of different specialization by the estimation of separate frontiers
 for four different groups of competitors, the efficiency of companies
 improves. The behaviour of costs would thus be compatible with that of
 other competition indicators, reflecting the effects of a more competitive
 situation in the Spanish banking sector at present than at the start of
 the period considered. 
Journal: Applied Financial Economics 
Pages: 505-516 
Issue: 7 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010007977 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010007977
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:505-516




Template-Type: ReDIF-Article 1.0
Author-Name: Teresa Aparicio 
Author-X-Name-First: Teresa 
Author-X-Name-Last: Aparicio 
Author-Name: Eduardo Pozo 
Author-X-Name-First: Eduardo 
Author-X-Name-Last: Pozo 
Author-Name: Dulce Saura 
Author-X-Name-First: Dulce 
Author-X-Name-Last: Saura 
Title: The nearest neighbour method as a test for detecting complex dynamics in financial series. An empirical application 
Abstract:
  In this paper the nearest neighbour forecasting method is applied to five
 series taken from the US Stock Market, with the aim of testing whether
 these display some kind of chaotic dynamics. The main result of this
 analysis is that the hypothesis may indeed be accepted for all five
 series. Furthermore, this paper has tried to test the usefulness of the
 method in terms of the quality of the predictions, with the results
 obtained being satisfactory in all cases. 
Journal: Applied Financial Economics 
Pages: 517-525 
Issue: 7 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010007986 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010007986
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:517-525




Template-Type: ReDIF-Article 1.0
Author-Name: Sunil Mohanty 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Mohanty 
Author-Name: Frank Song 
Author-X-Name-First: Frank 
Author-X-Name-Last: Song 
Title: International capital standards, bank portfolios and bank stock risk 
Abstract:
  The results suggest that the composition of bank portfolios affect the
 market risk (beta) of bank stock returns. In particular, the 20% asset
 category, which primarily includes government agency securities is
 associated with increases in market risk, indicating assets in this
 category are exposed to higher interest rate risk and prepayment risk. The
 market risk is lower for those institutions who concentrate on one-to-four
 family residential mortgages, suggesting home mortgages are well
 collateralized assets with low perceived credit risk. The off-balance
 sheet activities on average exhibit no significant impact on market risk.
 The results also suggest that the market perception of the insurer's
 expected liability is heavily influenced by Tier 1 capital ratio. 
Journal: Applied Financial Economics 
Pages: 527-534 
Issue: 7 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010009948 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010009948
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:527-534




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Schroder 
Author-X-Name-First: Michael 
Author-X-Name-Last: Schroder 
Author-Name: Robert Dornau 
Author-X-Name-First: Robert 
Author-X-Name-Last: Dornau 
Title: Do forecasters use monetary models? an empirical analysis of exchange rate expectations 
Abstract:
  Do financial market analysts use structural economic models when
 forecasting exchange rates? This is the leading question analysed in this
 paper. In contrast to other studies expectations are used instead of
 realized data. Therefore, the implicit structural models forecasters have
 in mind when forming their exchange rate expectations are used. Using
 expected short- and long-term interest rates and business expectations as
 explanatory variables latent structural models are estimated to explain
 expected exchange rates. A special hypothesis is whether exchange rate
 expectations are formed according to monetary models. The currencies
 included in the study are the US dollar, British pound, Japanese yen,
 French franc and Italian lire, each defined against the German mark. A
 major finding of the analysis is that expected GDP is the most important
 variable (from the set of our variables) for the determination of exchange
 rate expectations. For the DM/US dollar expectations a Mundell-Fleming
 type model is compatible with the data. This means, that increasing
 interest rates will lead to an appreciation of the corresponding currency.
 The opposite result have been found for French franc and Italian lire
 where high expected interest rates indicate a weak currency. 
Journal: Applied Financial Economics 
Pages: 535-543 
Issue: 8 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010013646 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010013646
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:535-543




Template-Type: ReDIF-Article 1.0
Author-Name: Hyun-Jung Ryoo 
Author-X-Name-First: Hyun-Jung 
Author-X-Name-Last: Ryoo 
Author-Name: Graham Smith 
Author-X-Name-First: Graham 
Author-X-Name-Last: Smith 
Title: Korean stock prices under price limits: variance ratio tests of random walks 
Abstract:
  This paper provides tests of the random walk hypothesis for the Korean
 stock market over the period from March 1988 to December 1998. During this
 time there are five regimes of daily price limits. We use a sample of 55
 actively traded stocks selected to cover a wide range of industries and
 with a marked number of limit moves and test the random walk hypothesis
 under each price limit regime. The system of price limits prevents equity
 prices from following a random walk process and so results in the market
 being inefficient. As the daily price limits are increased, the proportion
 of stock prices following a random walk increases. That is, the stock
 market as a whole approaches a random walk as price limits are relaxed. 
Journal: Applied Financial Economics 
Pages: 545-553 
Issue: 8 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010015789 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010015789
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:545-553




Template-Type: ReDIF-Article 1.0
Author-Name: Michael McKenzie 
Author-X-Name-First: Michael 
Author-X-Name-Last: McKenzie 
Author-Name: Heather Mitchell 
Author-X-Name-First: Heather 
Author-X-Name-Last: Mitchell 
Title: Generalized asymmetric power ARCH modelling of exchange rate volatility 
Abstract:
  This paper considers the ability of the power ARCH model to capture the
 stylized features of volatility in 17 heavily traded bilateral exchange
 rates. This power ARCH model nests a number of models from the ARCH
 family. The relative merits of these nested ARCH models can be considered
 using the standard log likelihood ratio test. The results of this paper
 suggest that in the presence of symmetric responses to innovations in the
 market, the GARCH(1,1) model is preferred. Where asymmetry is present,
 than the inclusion of a leverage term is worthwhile as long as a power
 term is also included. 
Journal: Applied Financial Economics 
Pages: 555-564 
Issue: 8 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010012999 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010012999
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:555-564




Template-Type: ReDIF-Article 1.0
Author-Name: Jakob Madsen 
Author-X-Name-First: Jakob 
Author-X-Name-Last: Madsen 
Title: Share returns and the Fisher hypothesis reconsidered 
Abstract:
  This paper compares and tests the four different proxy hypotheses and
 examines their ability to explain two empirical regularities, namely that
 the inflation elasticity of share returns tends towards zero in the
 postwar period and towards two in the interwar period. Using monthly and
 annual data for almost a century, for 17 OECD (Organisation for Economic
 Coorporation and Development) countries, the estimates show that the proxy
 models give important insight into the relationship between inflation and
 share returns. 
Journal: Applied Financial Economics 
Pages: 565-574 
Issue: 8 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010012980 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010012980
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:565-574




Template-Type: ReDIF-Article 1.0
Author-Name: Samih Antoine Azar 
Author-X-Name-First: Samih Antoine 
Author-X-Name-Last: Azar 
Title: Predictability of stock returns: is it rational? 
Abstract:
  This study identifies three anomalies in the British capital markets. It
 is statistically proven that the logs of six stock prices, in the British
 stock market, are cointegrated with the logs of a market index, a bond
 price, and an exchange rate. This means that the lagged residual of each
 cointegration regression appears in the regression of the
 first-differences of the above variables in what has been called the
 error-correction regression. This anomaly means that past information is
 helpful in predicting current stock returns and this may be due either to
 the presence of a fad, or to forward-looking rationality. Two other
 anomalies are 1) the correlation of cointegration residuals across stocks,
 which may be explained by a common factor absent from the regressions and
 2) the fact that it is the first-difference of the interest rate, instead
 of the level, that explains stock returns, which is consistent with the
 evidence that the level of the interest rate is non-stationary. 
Journal: Applied Financial Economics 
Pages: 575-580 
Issue: 8 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010013637 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010013637
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:575-580




Template-Type: ReDIF-Article 1.0
Author-Name: Clement Wang 
Author-X-Name-First: Clement 
Author-X-Name-Last: Wang 
Author-Name: Kangmao Wang 
Author-X-Name-First: Kangmao 
Author-X-Name-Last: Wang 
Author-Name: Qing Lu 
Author-X-Name-First: Qing 
Author-X-Name-Last: Lu 
Title: Do venture capitalists add value? A comparative study between Singapore and US 
Abstract:
  This study provides a comprehensive overview of venture capital (VC)
 funds in Singapore. By examining the effects on their public listed
 investees, a profile of VC-backed listed companies in Singapore is
 analysed. It is found that value added of VCs to their investees can be
 attributed in several aspects: their equity stake taking, board seat, and
 especially in their timing of initial public offerings (IPOs) to market
 heights. The findings in the paper have several implications. Although the
 role of VC firms in Singapore is important in creating public companies,
 their participation with respect to their investees still lags behind
 their counterparts in the US. Their value added in management functions
 needs to be emphasized so that they can contribute more to the investees
 and thus, enhance their own returns. For companies seeking VC support or
 already preparing IPO with VC support, they should know what VCs can and
 cannot provide. For instance, they can expect the VCs to help in the
 timing of IPOs, but in management support, the help provided by the VCs in
 Singapore is limited compared to their US counterparts. 
Journal: Applied Financial Economics 
Pages: 581-588 
Issue: 8 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010011963 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010011963
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:581-588




Template-Type: ReDIF-Article 1.0
Author-Name: Michel Beine 
Author-X-Name-First: Michel 
Author-X-Name-Last: Beine 
Author-Name: Sebastien Laurent 
Author-X-Name-First: Sebastien 
Author-X-Name-Last: Laurent 
Author-Name: Christelle Lecourt 
Author-X-Name-First: Christelle 
Author-X-Name-Last: Lecourt 
Title: Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 
Abstract:
  This paper, estimates FIGARCH models introduced by Baillie et al. (1996a)
 for the four major daily exchange rates against the USD (DEM, FRF, YEN and
 the GBP). The former contributions are extended by accounting for the
 observed kurtosis through a Student- t based maximum likelihood estimation
 and by including variables capturing the effect of closing days. These
 estimations suggest that the introduction of these features improves the
 goodness of fit properties of the model on the one hand, and may lead to
 different interest parameters estimates on the other hand. In particular,
 it is shown that in the case of the DEM, volatility shocks may display
 much less persistence than documented by previous studies. Finally, it is
 shown that an ARFIMA-FIGARCH framework turns out to be relevant for all
 the currencies (except the GBP), without inducing any significant changes
 in the inference of the stochastic volatility process. 
Journal: Applied Financial Economics 
Pages: 589-600 
Issue: 8 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010014041 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010014041
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:589-600




Template-Type: ReDIF-Article 1.0
Author-Name: Atsushi Maki 
Author-X-Name-First: Atsushi 
Author-X-Name-Last: Maki 
Author-Name: Tadashi Sonoda 
Author-X-Name-First: Tadashi 
Author-X-Name-Last: Sonoda 
Title: A solution to the equity premium and riskfree rate puzzles: an empirical investigation using Japanese data 
Abstract:
  The objective of the present analysis is to focus on the equity premium
 and risk-free rate puzzles. The Hansen and Singleton model applied to the
 Japanese data fails to explain the equity premium which exists between
 risky and secure assets, while the trading costs model can satisfactorily
 explain the equity premium puzzle. Furthermore, the trading costs model
 can predict a level of return on secure assets, so that the risk-free rate
 puzzle also can be solved empirically. 
Journal: Applied Financial Economics 
Pages: 601-612 
Issue: 8 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010014492 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010014492
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:8:p:601-612




Template-Type: ReDIF-Article 1.0
Author-Name: Ari Hyytinen 
Author-X-Name-First: Ari 
Author-X-Name-Last: Hyytinen 
Title: The time profile of risk in banking crises: evidence from Scandinavian banking sectors 
Abstract:
  The purpose of this study is to characterize and document the historical
 time profile of risk in the Scandinavian banking sectors in the truly
 turbulent economic environment of the past decade, namely over the
 overlapping periods of financial liberalization, intensified competition,
 changing macroeconomic conditions and banking crisis. Of particular
 interest is whether, when and how the risk of banks evolved as the banking
 crisis unfolded in each Scandinavian country. Three modern econometric
 methods are used that allow for time-varying risk parameters in the
 standard one-factor market model. The main finding is that the state of
 and developments within the banking industry were not reflected in the
 sample path of the risk parameters until the damage had been done and the
 severe problems afflicting banks began to realize in full. 
Journal: Applied Financial Economics 
Pages: 613-623 
Issue: 9 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010021746 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010021746
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:613-623




Template-Type: ReDIF-Article 1.0
Author-Name: George Tawadros 
Author-X-Name-First: George 
Author-X-Name-Last: Tawadros 
Title: Purchasing power parity in the long-run: evidence from Australia's recent float 
Abstract:
  This paper examines the properties of proportionality, symmetry and
 exclusiveness in long-run purchasing power parity (PPP) using monthly
 observations covering Australia's recent experience with floating exchange
 rates. Using monthly data over the period 1985-1996, strong evidence is
 found to support the hypothesis that long-run PPP holds between Australia
 vis-a-vis the USA, UK and Japan. However, strong evidence against the
 properties of symmetry and proportionality is found. Furthermore, the
 results show that the property of exclusiveness cannot be rejected for all
 three currencies. 
Journal: Applied Financial Economics 
Pages: 625-631 
Issue: 9 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010021755 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010021755
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:625-631




Template-Type: ReDIF-Article 1.0
Author-Name: David Paton 
Author-X-Name-First: David 
Author-X-Name-Last: Paton 
Author-Name: Leighton Vaughan Williams 
Author-X-Name-First: Leighton Vaughan 
Author-X-Name-Last: Williams 
Title: Identifying irregularities in a financial market 
Abstract:
  This paper shows how an economic approach might be used to provide
 corroborating evidence to aid investigations into irregularities in price
 setting in a defined financial market. Evidence on price movements in
 betting markets is used to suggest an economic framework within which
 price irregularities might formally be tested. The tests are applied to
 empirical data on price movements in UK betting markets. For the sample in
 question, there is no evidence to support allegations of pricing
 irregularities by individual odds reporters. Those involved in the
 regulation of betting markets might usefully incorporate this sort of
 approach into formal investigations of pricing irregularities. 
Journal: Applied Financial Economics 
Pages: 633-637 
Issue: 9 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010023122 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010023122
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:633-637




Template-Type: ReDIF-Article 1.0
Author-Name: Ki-Yeol Kwon 
Author-X-Name-First: Ki-Yeol 
Author-X-Name-Last: Kwon 
Author-Name: Richard Kish 
Author-X-Name-First: Richard 
Author-X-Name-Last: Kish 
Title: Technical trading strategies and return predictability: NYSE 
Abstract:
  This study consists of an empirical analysis on technical trading rules
 (the simple price moving average, the momentum, and trading volume)
 utilizing the NYSE value-weighted index over the period 1962-1996, as well
 as, three subperiods. The methodologies employed include the traditional
 t-test and residual bootstrap methodology utilizing random walk, GARCH-M
 and GARCH-M with some instrument variables. The results indicate that the
 technical trading rules add a value to capture profit opportunities over a
 buy-hold strategy. When the trading rules are applied to the different
 sub-samples, the results are weaker in the last sub-period, 1985-1996.
 This may imply that the market is getting efficient in information over
 the recent years because of technological improvements. 
Journal: Applied Financial Economics 
Pages: 639-653 
Issue: 9 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010016139 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010016139
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:639-653




Template-Type: ReDIF-Article 1.0
Author-Name: Saumitra Bhaduri 
Author-X-Name-First: Saumitra 
Author-X-Name-Last: Bhaduri 
Title: Determinants of capital structure choice: a study of the Indian corporate sector 
Abstract:
  Existing empirical research on capital structure has been largely
 confined to the United States and a few other advanced countries. This
 paper attempts to study the capital structure choice of Less Developed
 Countries (LDCs) through a case study of the Indian Corporate sector. The
 objective is to develop a model that accounts for the possibility of
 restructuring costs in attaining an optimal capital structure and
 addresses the measurement problem that arises due to the unobservable
 nature of the attributes influencing the optimal capital structure. The
 evidence presented here suggests that the optimal capital structure choice
 can be influenced by factors such as growth, cash flow, size, and product
 and industry characteristics. The results also confirm the existence of
 restructuring costs in attaining an optimal capital structure. 
Journal: Applied Financial Economics 
Pages: 655-665 
Issue: 9 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010017705 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010017705
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:655-665




Template-Type: ReDIF-Article 1.0
Author-Name: Sudipto Sarkar 
Author-X-Name-First: Sudipto 
Author-X-Name-Last: Sarkar 
Author-Name: Mohamed Ariff 
Author-X-Name-First: Mohamed 
Author-X-Name-Last: Ariff 
Title: The effect of interest rate volatility on treasury yields 
Abstract:
  There is a substantial literature on the level and volatility of interest
 rates. However, there is no agreement to date on the relationship between
 the two, e.g., whether higher interest rate volatility will result in
 higher or lower bond yields. Further, there is virtually no research on
 the role of maturity in this relationship. It is hypothesized that,
 because of the stochastic nature of interest rates and the embedded option
 associated with the government's ability to time its borrowings, there
 should be a negative relationship between interest rate volatility and
 Treasury yields. Moreover, this negative relationship should be stronger
 for longer-maturity bonds, everything else held constant. This hypothesis
 is tested empirically, using bond yield data from the US Treasury market.
 The main finding is that interest rate volatility does indeed have a
 significant negative effect on bond yields, and the significance is
 greater for 20-year bonds than for 10-year bonds, as hypothesized. This
 result adds a wrinkle to the already complicated policy issue of what
 range of interest rate volatility is desirable from a 'social optimum'
 standpoint. 
Journal: Applied Financial Economics 
Pages: 667-672 
Issue: 9 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010018759 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010018759
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:667-672




Template-Type: ReDIF-Article 1.0
Author-Name: David Barlow 
Author-X-Name-First: David 
Author-X-Name-Last: Barlow 
Author-Name: Martin Robson 
Author-X-Name-First: Martin 
Author-X-Name-Last: Robson 
Title: Have unincorporated businesses in the UK been constrained in their ability to obtain bank lending? 
Abstract:
  The extent to which bank lending policies - and in particular their
 requirement for firms to post collateral - have imposed constraints on the
 ability of unincorporated businesses to meet their demand for debt finance
 has been examined. It was found that for the period from 1982 through to
 the end of the data sample, variations in the level of bank lending to
 unincorporated businesses can be explained in terms of a more or less
 conventional demand function for bank finance - albeit one with a zero
 interest elasticity - though there is some evidence of the importance of
 collateral constraints in the shape of a significant positive effect from
 the growth in the real value of housing wealth. Prior to 1982 there was a
 sharp increase in the level of bank lending to unincorporated businesses
 which is much harder to interpret in these terms. Instead, this is seen as
 having been driven largely by changes in bank lending policies; in
 particular, by a drive to develop new markets in response to unfavourable
 conditions in their traditional lending markets. 
Journal: Applied Financial Economics 
Pages: 673-680 
Issue: 9 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010024446 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010024446
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:673-680




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Hudson 
Author-X-Name-First: Robert 
Author-X-Name-Last: Hudson 
Author-Name: Kevin Keasey 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Keasey 
Author-Name: Kevin Littler 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Littler 
Title: Why investors should be cautious of the academic approach to testing for stock market anomalies 
Abstract:
  This paper uses the well known pre-holiday stock market anomaly to
 clarify the uses and limitations of the academic approach to testing for
 such anomalies with respect to the differing requirements of academics and
 investors. The approach is not designed to produce information suitable
 for making investment decisions but to inform academic debate. The results
 produced by the approach could lead to highly inappropriate trading if
 acted upon by investors. The paper illustrates the types of problem that
 can arise and offers some possible solutions. 
Journal: Applied Financial Economics 
Pages: 681-686 
Issue: 9 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/13504850210128848 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/13504850210128848
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:681-686




Template-Type: ReDIF-Article 1.0
Author-Name: Scott Barnhart 
Author-X-Name-First: Scott 
Author-X-Name-Last: Barnhart 
Author-Name: Robert McNown 
Author-X-Name-First: Robert 
Author-X-Name-Last: McNown 
Author-Name: Myles Wallace 
Author-X-Name-First: Myles 
Author-X-Name-Last: Wallace 
Title: Some answers to puzzles in testing unbiasedness in the foreign exchange market 
Abstract:
  Similar but alternative specifications of tests of forward rate
 unbiasedness provide conflicting evidence on the rejection of the
 hypothesis. These conflicting results are reconciled by demonstrating that
 although the root cause is simultaneity bias, the severity of this bias
 and the resulting rejection or non-rejection of the hypothesis depends
 entirely on the relative error variance empirical regularity common to
 foreign exchange markets. The analysis presented here applies to both
 stationary and non-stationary specifications of the model. 
Journal: Applied Financial Economics 
Pages: 687-696 
Issue: 10 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110039782 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110039782
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:10:p:687-696




Template-Type: ReDIF-Article 1.0
Author-Name: Arif Khurshed 
Author-X-Name-First: Arif 
Author-X-Name-Last: Khurshed 
Author-Name: Ram Mudambi 
Author-X-Name-First: Ram 
Author-X-Name-Last: Mudambi 
Title: The short-run price performance of investment trust IPOs on the UK main market 
Abstract:
  The short run underpricing of initial public offerings (IPOs) is one of
 the best-documented anomalies in finance. The Rock model explains this
 anomaly in terms of horizontal information asymmery amongst investors. In
 this paper comprehensive IPO data from the UK main market for the period
 1989-1996 are used to test the Rock model against several other
 alternatives. It is proposed that horizontal information asymmetry should
 be smaller for investment trust IPOs as compared to conventional issuing
 companies. The Rock model then predicts that investment trust IPOs should
 display less underpricing than conventional issuing companies. The
 findings support the Rock model and are consistent with previous studies
 of investment trust IPOs. 
Journal: Applied Financial Economics 
Pages: 697-706 
Issue: 10 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010025706 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010025706
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:10:p:697-706




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Alan Speight 
Author-X-Name-First: Alan 
Author-X-Name-Last: Speight 
Title: Return-volume dynamics in UK futures 
Abstract:
  It is widely acknowledged in the financial literature that trading in
 asset markets is mainly induced by the arrival of new information.
 However, the contemporaneous and dynamic empirical relationships between
 volume and returns in futures data, with attendant implications for
 futures market microstructure, remain largely unresolved due to the
 inconclusive nature of the extant empirical literature. The present paper
 examines these relationships from the perspective of competing hypotheses
 in the context of data for three LIFFE futures contracts over a variety of
 intra-day frequencies. These results indicate not only a positive
 contemporaneous relationship between volume and absolute returns but also
 bidirectional causality for most series and frequencies, consistent with
 the sequential arrival of information hypothesis, but with different
 speeds of information dissemination across the three markets. Further
 examination of the contemporaneous and dynamic relationships between
 volume and actual returns reveals only limited evidence of any
 statistically significant associations implying market inefficiency, and
 consistent with an inverse association between informational asymmetry and
 market efficiency. 
Journal: Applied Financial Economics 
Pages: 707-713 
Issue: 10 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110039773 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110039773
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:10:p:707-713




Template-Type: ReDIF-Article 1.0
Author-Name: Joelle Miffre 
Author-X-Name-First: Joelle 
Author-X-Name-Last: Miffre 
Title: The predictability of futures returns: rational variation in required returns or market inefficiency? 
Abstract:
  This paper investigates whether the predictability of futures returns is
 due to weak-form market inefficiency or to rational variation in the
 return required by investors over time. Market efficiency is tested with
 respect to the hypothesis that a conditional multifactor model that allows
 for shifts in the systematic risk of the futures contract captures the
 predictability of futures returns. On average 86% of the predictability of
 futures returns is explained in terms of conditional risk and only 12% of
 the predictable variance of returns is relegated to the conditional
 residuals. It follows that the predictability of futures returns most
 likely results from rational variation in the preferences of economic
 agents for consumption and investment. 
Journal: Applied Financial Economics 
Pages: 715-724 
Issue: 10 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010034769 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010034769
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:10:p:715-724




Template-Type: ReDIF-Article 1.0
Author-Name: Olan Henry 
Author-X-Name-First: Olan 
Author-X-Name-Last: Henry 
Title: Long memory in stock returns: some international evidence 
Abstract:
  Recent empirical studies suggest that long horizon stock returns are
 forecastable. While this phenomenon is usually attributed to time varying
 expected returns, or speculative fads, it may also be due to long memory
 in the returns series. Long range dependence is investigated using
 parametric and semiparametric estimators in a sample of nine international
 stock index returns. The results provide evidence of long memory in the
 German, Japanese, South Korean and Taiwanese markets. 
Journal: Applied Financial Economics 
Pages: 725-729 
Issue: 10 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010025733 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010025733
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:10:p:725-729




Template-Type: ReDIF-Article 1.0
Author-Name: Jin-Gil Jeong 
Author-X-Name-First: Jin-Gil 
Author-X-Name-Last: Jeong 
Author-Name: Philip Fanara 
Author-X-Name-First: Philip 
Author-X-Name-Last: Fanara 
Author-Name: Charlie Mahone 
Author-X-Name-First: Charlie 
Author-X-Name-Last: Mahone 
Title: Intra- and inter-continental transmission of inflation in Africa 
Abstract:
  In this paper, the transmission pattern of inflation in Africa is
 investigated in several contexts. Specifically, the results of the
 decomposition of variance are analysed, which are obtained by estimating
 an error correction model comprising 11 countries: seven major African
 countries and four industrialized countries, i.e., the USA, UK, France,
 and Japan. The major empirical findings are as follows. First, a
 surprisingly large fraction of domestic inflation in Africa is
 attributable to inflation shocks originating in foreign countries. Second,
 the USA is found to be the leading producer of inter-continental inflation
 in Africa. Third, although the Ivory Coast does seem to be the marginal
 leader, geographical proximity does not seem to play a significant role in
 intra-continental inflation transmission. Fourth, Friedman (Essays in
 Positive Economics, University of Chicago, 1953)'s argument for the
 flexible exchange regime is found to be marginally valid for Sub-Saharan
 African countries: African countries adopting the independently floating
 exchange rate system tend to be less influenced by foreign inflation
 innovations. 
Journal: Applied Financial Economics 
Pages: 731-741 
Issue: 10 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110037496 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110037496
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:10:p:731-741




Template-Type: ReDIF-Article 1.0
Author-Name: Juan Carlos Matallin 
Author-X-Name-First: Juan Carlos 
Author-X-Name-Last: Matallin 
Author-Name: Luisa Nieto 
Author-X-Name-First: Luisa 
Author-X-Name-Last: Nieto 
Title: Mutual funds as an alternative to direct stock investment: A cointegration approach 
Abstract:
  The great growth of mutual funds (FIM) in Spain over recent years raises
 the question whether an investor adopting a passive management strategy
 can consider those funds as a serious alternative to direct investment in
 the stock exchange. Thus, this paper presents a new approach to research
 on the Spanish investment fund market. It studies the Spanish stock funds
 versus the alternative of direct investing in the stock exchange using the
 stock index Ibex 35 as the benchmark. One can say that a fund replicates
 the benchmark index when both variables share common trends in the long
 run. Therefore, cointegration methodology is used to determine the longrun
 relationship between the funds value and Ibex 35. It is found that 11 out
 of 63 funds are cointegrated with the stock index, hence those funds could
 be used for investors seeking a passive management strategy. 
Journal: Applied Financial Economics 
Pages: 743-750 
Issue: 10 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110038693 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110038693
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:10:p:743-750




Template-Type: ReDIF-Article 1.0
Author-Name: Per Bjarte Solibakke 
Author-X-Name-First: Per Bjarte 
Author-X-Name-Last: Solibakke 
Title: Testing the univariate conditional CAPM in thinly traded markets 
Abstract:
  Traditional tests of asset pricing undertaken within the CAPM framework
 have to control for nonsynchronous trading and non-trading as well as
 volatility clustering in especially thinly traded financial markets. This
 investigation therefore set out to control for nonsynchronous trading and
 non-trading effects and volatility clustering in the Norwegian equity
 market. The problem is approached by applying a linear ARMA-GARCH-in-mean
 lag specification. The ARMA lag specification controls for nonsynchronous
 trading and non-trading effects in the mean equation. The GARCH lag
 specification controls for conditional heteroscedasticity and volatility
 clustering in the latent conditional volatility equation. All lags are
 Schwarz efficient. The results suggest that the conditional CAPM cannot be
 rejected but the in-mean parameter in ARMA-GARCH-in-mean specifications
 show very low statistical significance except for daily data. The result
 therefore suggests a compensation for risk only for short time-horizons
 and the in-mean parameter in ARMA-GARCH-in-mean lag specifications is a
 poor proxy for risk in the conditional CAPM sense. Conditional
 heteroscedasticity and volatility clustering need to be controlled for in
 daily and weekly time intervals while nonsynchronous trading needs to be
 controlled for in daily, weekly and monthly time intervals. 
Journal: Applied Financial Economics 
Pages: 751-763 
Issue: 10 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100010029243 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010029243
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:10:p:751-763




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Reutter 
Author-X-Name-First: Michael 
Author-X-Name-Last: Reutter 
Author-Name: Jakob Von Weizsacker 
Author-X-Name-First: Jakob 
Author-X-Name-Last: Von Weizsacker 
Author-Name: Frank Westermann 
Author-X-Name-First: Frank 
Author-X-Name-Last: Westermann 
Title: SeptemBear - A seasonality puzzle in the German stock index DAX 
Abstract:
  The September performance of the DAX (German stock market index) was
 found to be below average in the period from 1959-1999. This finding is
 shown to be robust to several changes in the empirical specification. None
 of the variables under consideration - elections, risk premia and German
 unification - were able to resolve this puzzle. 
Journal: Applied Financial Economics 
Pages: 765-769 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110037504 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110037504
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:765-769




Template-Type: ReDIF-Article 1.0
Author-Name: Soosung Hwang 
Author-X-Name-First: Soosung 
Author-X-Name-Last: Hwang 
Author-Name: Stephen Satchell 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Satchell 
Title: Calculating the misspecification in beta from using a proxy for the market portfolio 
Abstract:
  This study investigates the effects of the market portfolio being unknown
 on the estimation of beta in the CAPM. Providing an analysis of the impact
 of using a proxy for the market portfolio when the market portfolio is
 known. This allows one to ask and answer 'if what' questions, such as if
 portfolio A is the true market portfolio, what happens to beta if one uses
 portfolio B as a proxy for A. It is shown that for a given universe of
 investible assets, frequently used equally weighted and value weighted
 portfolios are far from the Markowitz market portfolio and thus the betas
 calculated with the equally weighted and value weighted portfolios are
 quite different from those obtained with the Markowitz portfolio. These
 calculations are based on sequential assumptions that one portfolio is a
 proxy whilst another is the actual market. 
Journal: Applied Financial Economics 
Pages: 771-781 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110042193 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110042193
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:771-781




Template-Type: ReDIF-Article 1.0
Author-Name: Darren Butterworth 
Author-X-Name-First: Darren 
Author-X-Name-Last: Butterworth 
Author-Name: Phil Holmes 
Author-X-Name-First: Phil 
Author-X-Name-Last: Holmes 
Title: Inter-market spread trading: evidence from UK index futures markets 
Abstract:
  This paper employs the theoretical no-arbitrage conditions to investigate
 whether the inter-market spread comprising of positions in the FTSE 100
 contract and FTSE Mid 250 contract is priced according to fair value. The
 results show that while transaction cost limits are violated on a number
 of occasions, the overall profitability of the strategy is seriously
 impaired by the difficulty, which traders face, in liquidating their
 positions before relative market movements between the two legs of the
 spread occur. 
Journal: Applied Financial Economics 
Pages: 783-790 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110044236 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110044236
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:783-790




Template-Type: ReDIF-Article 1.0
Author-Name: Donald Lien 
Author-X-Name-First: Donald 
Author-X-Name-Last: Lien 
Author-Name: Y. K. Tse 
Author-X-Name-First: Y. K. 
Author-X-Name-Last: Tse 
Author-Name: Albert Tsui 
Author-X-Name-First: Albert 
Author-X-Name-Last: Tsui 
Title: Evaluating the hedging performance of the constant-correlation GARCH model 
Abstract:
  This paper compares the performances of the hedge ratios estimated from
 the OLS (ordinary least squares) method and the constant-correlation
 VGARCH (vector generalized autoregressive conditional heteroscedasticity)
 model. These methods are evaluated based on the out-of-sample optimal
 hedge ratio forecasts. A systematic comparison is provided by examining
 ten spot and futures markets covering currency futures, commodity futures
 and stock index futures. Using a recently proposed test (Tse, 2000) for
 the constant-correlation assumption, it is found that the assumption
 cannot be rejected for eight of the ten series. To gain the maximum
 benefit of a time-varying hedging strategy the estimation data is kept
 up-to-date for the re-estimation of the hedge ratios. Both the constant
 hedge ratio (using OLS) and the timevarying hedge ratio (using
 constant-correlation VGARCH) are re-estimated on a day-by-day rollover,
 and the post-sample variances of the hedged portfolios are examined. It is
 found that the OLS hedge ratio performs better than the VGARCH hedge
 ratio. This result may be another indication that the forecasts generated
 by the VGARCH models are too variable. 
Journal: Applied Financial Economics 
Pages: 791-798 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110046045 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110046045
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:791-798




Template-Type: ReDIF-Article 1.0
Author-Name: Tsung-Wu Ho 
Author-X-Name-First: Tsung-Wu 
Author-X-Name-Last: Ho 
Title: The Forward Rate Unbiasedness Hypothesis revisited 
Abstract:
  In this paper, the forward rate unbiasedness hypothesis is re-examined by
 panel cointegration. This paper augments the empirical literature by
 applying the panel cointegration developed by Kao and Chiang's (1999)
 dynamic ordinary least square (OLS) to examine the panel of 17 OECD
 countries. In sharp contrast to individual country's result, this study
 shows that the hypothesis is accepted at 5% significance level, and panel
 cointegration is strongly confirmed. 
Journal: Applied Financial Economics 
Pages: 799-804 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110046874 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110046874
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:799-804




Template-Type: ReDIF-Article 1.0
Author-Name: B. J. Lobo 
Author-X-Name-First: B. J. 
Author-X-Name-Last: Lobo 
Title: Large changes in major exchange rates: a chronicle of the 1990s 
Abstract:
  In the continuing effort to understand exchange rate changes, this
 article chronicles and analyses, for the first time, the proximate reasons
 for large daily movements in four leading US dollar exchange rates in the
 1990s. A sample of 111 events highlights the importance of expectations
 and the role of subtle political influences on currency markets. While 19%
 of all events studied had mainly economic reasons, over 60% of all events
 could be partly or wholly attributed to political factors. Events related
 to monetary policy changes were the most significant economic factor,
 while intervention activity and war/coup attempts were the most
 significant political factors. This research indicates that large changes
 in the Japanese yen were caused mostly by the political dynamics of the
 bilateral trade balance, while big moves in the German mark and British
 pound stemmed mainly from European politico-economic events. The enigmatic
 Canadian dollar was driven by domestic politics related to the Quebec
 secession issue. 
Journal: Applied Financial Economics 
Pages: 805-811 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110088157 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088157
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:805-811




Template-Type: ReDIF-Article 1.0
Author-Name: Marko Maukonen 
Author-X-Name-First: Marko 
Author-X-Name-Last: Maukonen 
Title: On the predictive ability of several common models of volatility: an empirical test on the FOX index 
Abstract:
  This paper provides empirical evidence supporting the notion that
 engineering efforts in modelling future volatility are worthwhile. It is
 found that the more complex Exponentially Weighted (EWMA) and GARCH models
 yield prevailing weekly and monthly rolled out-of-sample volatility
 forecasts on the Finnish Options Index. The extension to the current
 literature is twofold: first, an array of common predictors is
 comparatively evaluated with a regression-based efficiency test and with
 several conventional as well as two asymmetric error statistics; secondly,
 the GARCH is fitted to low frequency return data, eschewing aggregating or
 scaling daily forecast, and conclude it not to be preferred to the EWMA on
 weekly volatility frequency, yet superior on the respective monthly. 
Journal: Applied Financial Economics 
Pages: 813-826 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110049781 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110049781
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:813-826




Template-Type: ReDIF-Article 1.0
Author-Name: Neslihan Ozkan 
Author-X-Name-First: Neslihan 
Author-X-Name-Last: Ozkan 
Title: Effects of financial constraints on research and development investment: an empirical investigation 
Abstract:
  This paper investigates the behaviour of research and development (R&D)
 investment. How sensitive is R&D investmentto available cash flow for
 financially constrained and unconstrained firms? One important distinction
 between R&D investment and investment in physical capital is that the
 result of R&D investment can not serve as collateral, as it may be
 impossible to put a lien on R&D capital. Given that characteristic, one
 would expect R&D investment to be sensitive to cash flow, especially for
 financially constrained firms. Using Hall's Manufacturing Sector Master
 File, we show that R&D investment is more sensitive to internal finance
 for financially constrained firms than for financially unconstrained firms
 in the US manufacturing sector. 
Journal: Applied Financial Economics 
Pages: 827-834 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110050734 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110050734
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:827-834




Template-Type: ReDIF-Article 1.0
Author-Name: L. E. Arango 
Author-X-Name-First: L. E. 
Author-X-Name-Last: Arango 
Author-Name: A. Gonzalez 
Author-X-Name-First: A. 
Author-X-Name-Last: Gonzalez 
Author-Name: C. E. Posada 
Author-X-Name-First: C. E. 
Author-X-Name-Last: Posada 
Title: Returns and the interest rate: a non-linear relationship in the Bogotastock market 
Abstract:
  This article presents some evidence of the non-linear and inverse
 relationship between the share prices on the Bogota stock market and the
 interest rate as measured by the interbank loan interest rate, which is to
 some extent affected by monetary policy. The model captures the stylized
 fact on this market of high dependence of returns in short periods of
 time. These findings do not support any efficiency on the main stock
 market in Colombia. Evidence of a non-constant equity premium is also
 found. The article uses daily data from January 1994 up to February 2000. 
Journal: Applied Financial Economics 
Pages: 835-842 
Issue: 11 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110094493 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110094493
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:11:p:835-842




Template-Type: ReDIF-Article 1.0
Author-Name: Samy Ben Naceur 
Author-X-Name-First: Samy Ben 
Author-X-Name-Last: Naceur 
Author-Name: Mohamed Goaied 
Author-X-Name-First: Mohamed 
Author-X-Name-Last: Goaied 
Title: The relationship between dividend policy, financial structure, profitability and firm value 
Abstract:
  This paper investigates the value creation process in the Tunisia stock
 exchange using a sample including more than 90% of the listed companies.
 In order to find out the determinants of the value creation of the
 selected companies, it uses the random probit model estimation procedure
 with unbalanced panel data. The results indicate that the probability of
 creating future values is positively and significantly correlated with
 profitability factor. In addition, the results also suggest that the value
 creation is affected by industry patterns (listed banks are the more value
 creator in the Tunisia stock exchange), by size (the probability to create
 value is stronger in small firms than in big ones) and by nature of
 property (the probability to create value is stronger in private-owned
 firms than in public-owned ones). Last but not least, the time trend
 factor is positive and highly significant. This finding suggests that the
 progressive reforms of the Tunisian stock exchange have attracted new
 investors, who have contributed by their purchase to the appreciation of
 the value of listed shares. 
Journal: Applied Financial Economics 
Pages: 843-849 
Issue: 12 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110049457 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110049457
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:843-849




Template-Type: ReDIF-Article 1.0
Author-Name: Niklas Ahlgren 
Author-X-Name-First: Niklas 
Author-X-Name-Last: Ahlgren 
Author-Name: Jan Antell 
Author-X-Name-First: Jan 
Author-X-Name-Last: Antell 
Title: Testing for cointegration between international stock prices 
Abstract:
  This paper re-examines the evidence for cointegration between
 international stock prices. It applies Johansen's maximum likelihood (ML)
 cointegration method and likelihood ratio (LR) tests for cointegration to
 stock prices. In monthly data it finds at most one cointegrating vector
 and in quarterly data finds no cointegrating vectors. Using the
 small-sample corrections or the small-sample critical values it finds no
 evidence of cointegration. Johansen's LR tests for cointegration are
 sensitive to the lag length specification in the VAR model. In general it
 finds more evidence of cointegration in higher order VAR models. The paper
 shows that some of the previous empirical results can be explained by the
 small-sample bias and size distortion of Johansen's LR tests for
 cointegration. It finds that international stock prices are not
 cointegrated. 
Journal: Applied Financial Economics 
Pages: 851-861 
Issue: 12 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110050743 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110050743
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:851-861




Template-Type: ReDIF-Article 1.0
Author-Name: J. Andrew Coutts 
Author-X-Name-First: J. Andrew 
Author-X-Name-Last: Coutts 
Author-Name: Mohamed Sheikh 
Author-X-Name-First: Mohamed 
Author-X-Name-Last: Sheikh 
Title: The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997 
Abstract:
  This paper investigates the existence of the Weekend, January and
 Pre-Holiday effects in the All Gold Index on the Johannesburg Stock
 Exchange over an 11- year period; 5 January 1987 through 15 May 1997, and
 for three sub-samples of equal length. These results are in severe
 contrast to the overwhelming international evidence documented for the
 stock markets of many other countries, be they developed or emerging
 markets: there appears to be no Weekend, January or Pre-Holiday effects,
 present in the All Gold Index. This is somewhat surprising as some
 financial economists have suggested that the above seasonalities are now
 accepted 'stylised facts'! This paper suggests that the lack of any
 detectable calendar effects, may, in part, be due to the particular market
 microstructure of the Johannesburg Stock Exchange or the composition of
 the All Gold Index. Consequently this paper concludes that further
 research is required in this area. This is a somewhat ironic conclusion:
 usually security market anomalies studies are concerned with offering
 suggestions as to why a particular seasonality has occurred, here this
 study is suggesting that further research is required as to why anomalies
 have not occurred. 
Journal: Applied Financial Economics 
Pages: 863-871 
Issue: 12 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110052172 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110052172
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:863-871




Template-Type: ReDIF-Article 1.0
Author-Name: Pin-Huang Chou 
Author-X-Name-First: Pin-Huang 
Author-X-Name-Last: Chou 
Author-Name: Mei-Chen Lin 
Author-X-Name-First: Mei-Chen 
Author-X-Name-Last: Lin 
Title: Tests of international asset pricing model with and without a riskless asset 
Abstract:
  This paper investigates the unconditional mean-variance efficiency of the
 Morgan Stanley Capital International (MSCI) world index in the context of
 the Sharpe- Lintner CAPM where there exists a universal riskless asset and
 the Black's zero-beta CAPM in the absence of a riskless asset. Using data
 from 16 OECD countries and Hong Kong over the period from 1980 to 1997,
 various tests under alternative distributional specifications are
 performed. The results show that overall the mean-variance efficiency of
 the MSCI world index cannot be rejected, regardless of the existence of
 the riskless asset. 
Journal: Applied Financial Economics 
Pages: 873-883 
Issue: 12 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110053308 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110053308
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:873-883




Template-Type: ReDIF-Article 1.0
Author-Name: Marta Regulez 
Author-X-Name-First: Marta 
Author-X-Name-Last: Regulez 
Author-Name: Ainhoa Zarraga 
Author-X-Name-First: Ainhoa 
Author-X-Name-Last: Zarraga 
Title: Common features between stock returns and trading volume 
Abstract:
  This article tests for the existence of features shared in common by
 daily stock returns and trading volume contributing to the empirical
 analysis of the relation between those series. Using Spanish data this
 study analyses this hypothesis looking at features such as seasonality,
 skewness, kurtosis, non normality and serial correlation. This study finds
 that monthly seasonalities and distributional features such as skewness
 are driven by a common factor in stock returns and volume. This study also
 finds a non-synchronized comovement between the cycles of both variables. 
Journal: Applied Financial Economics 
Pages: 885-893 
Issue: 12 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110053317 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110053317
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:885-893




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Pastor 
Author-X-Name-First: Jose 
Author-X-Name-Last: Pastor 
Title: Credit risk and efficiency in the European banking system: A three-stage analysis 
Abstract:
  Increased competition and the attempts of European banks to increase
 their presence in other markets may have affected the efficiency and
 credit risk in the banking system. The first aspect is the incentive in
 reducing costs in order to gain in competitiveness. The second is
 associated with their lack of knowledge of such markets and/ or acceptance
 of a higher risk in order to increase their market share. Despite the
 importance of these aspects, banking literature has usually analysed the
 effects of competition on the efficiency of banking systems without
 considering these aspects. The few studies that attempt to obtain risk
 adjusted efficiency measures do not consider that part of the risk is due
 to exogeneous circumstances. This article proposes a new three-stage
 sequential technique, based on the DEA model and on the decomposition of
 risk into its internal and external components, for obtaining efficiency
 measures adjusted for risk and environment. It is seen that the technique
 allows the use of any existing technique of incorporation of environmental
 variables in DEA analysis. 
Journal: Applied Financial Economics 
Pages: 895-911 
Issue: 12 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110065873 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110065873
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:895-911




Template-Type: ReDIF-Article 1.0
Author-Name: Ghulam Sarwar 
Author-X-Name-First: Ghulam 
Author-X-Name-Last: Sarwar 
Title: An empirical investigation of the premium for volatility risk in currency options for the British pound 
Abstract:
  This article estimates the premium for volatility risk using option
 prices for the British pound from 1993 to 1995. The risk premium is
 estimated as the difference between a hedge portfolio return and risk-free
 return. The annualized premium for volatility risk is statistically
 non-zero. Further, the risk premium is both variant to the option's
 moneyness and positively related to the level of volatility. The relation
 of the risk premium to volatility is not proportional, however. The
 finding of a nonzero risk premium contradicts the assumption of a zero
 price of volatility risk in many existing stochastic-volatility option
 pricing models and the option pricing formulas in those models. 
Journal: Applied Financial Economics 
Pages: 913-921 
Issue: 12 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110069365 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110069365
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:913-921




Template-Type: ReDIF-Article 1.0
Author-Name: Manolis Kavussanos 
Author-X-Name-First: Manolis 
Author-X-Name-Last: Kavussanos 
Author-Name: Stelios Marcoulis 
Author-X-Name-First: Stelios 
Author-X-Name-Last: Marcoulis 
Author-Name: Angelos Arkoulis 
Author-X-Name-First: Angelos 
Author-X-Name-Last: Arkoulis 
Title: Macroeconomic factors and international industry returns 
Abstract:
  The aim of this article is to examine the global sources of risk in 38
 international industries for the period 1987:3-1997:10. Past studies on
 industry returns and risk have been performed at a national level.
 However, given the global integration of various industry sectors, it
 would be interesting to examine the importance of international industry
 stock returns at the global level. The investment implications of this
 article, therefore, are that investors could make capital gains by timing
 their investments, and/or adjust the degree of their portfolio
 diversification, not only across industries domestically or across
 countries, internationally but also across global industries. A unique
 database compiled by Morgan Stanley Capital International on 38
 international industries is used. The return on the world equity market
 portfolio and innovations in the following pre-specified set of global
 macro variables are employed in the analysis: (i) industrial production,
 (ii) inflation, (iii) oil prices, (iv) fluctuations in exchange rates
 against the US dollar, and (v) a measure of credit risk. The most
 important finding of this paper is that the long run impacts of
 macroeconomic news have different effects in different industries. 
Journal: Applied Financial Economics 
Pages: 923-931 
Issue: 12 
Volume: 12 
Year: 2002 
X-DOI: 10.1080/09603100110069374 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110069374
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:923-931




Template-Type: ReDIF-Article 1.0
Author-Name: J. Maudos 
Author-X-Name-First: J. 
Author-X-Name-Last: Maudos 
Author-Name: J. M. Pastor 
Author-X-Name-First: J. M. 
Author-X-Name-Last: Pastor 
Title: Cost and profit efficiency in the Spanish banking sector (1985-1996): a non-parametric approach 
Abstract:
  The aim of this article is to analyse the efficiency in costs and in
 profits of the Spanish banking sector (SBS) in the period 1985-1996 using
 a non-parametric approach. The results obtained show the existence of
 profit efficiency levels well below those corresponding to cost
 efficiency, alternative profit efficiency being below standard profit
 efficiency. These results imply the existence of market power in the
 setting of prices and/or the existence of differences in the quality of
 bank output reflected in the differences in prices. With regard to the
 immediate future, of full economic and monetary integration, the reduction
 of profit levels associated with higher competitive pressure may be offset
 by the reduction of all kinds of inefficiency, which is a very important
 potential source of competitiveness. Indeed, the results referring to 1996
 indicate that the return on assets (ROA) and on equity (ROE) of the SBS
 could increase by 2.4% and 24.4% respectively, eliminating the combined
 inefficiency in costs and revenues. 
Journal: Applied Financial Economics 
Pages: 1-12 
Issue: 1 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110086087 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110086087
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:1:p:1-12




Template-Type: ReDIF-Article 1.0
Author-Name: N. A. Niarchos 
Author-X-Name-First: N. A. 
Author-X-Name-Last: Niarchos 
Author-Name: C. A. Alexakis 
Author-X-Name-First: C. A. 
Author-X-Name-Last: Alexakis 
Title: Intraday stock price patterns in the Greek stock exchange 
Abstract:
  A few years ago, the stock market of Greece was a relatively small and
 under-investigated emerging market. Nevertheless, modernization and some
 other major reforms that have taken place the last 10 years resulted in
 the market obtaining more depth and width. In the last decade an
 increasing number of new companies were listed in the Athens Stock
 Exchange (ASE) in order to raise capital, and an increasing number of
 investors entered the market by investing in corporate stocks. These
 developments boosted the domestic and international investment interest
 for the Athens Stock Exchange (ASE), which is now expected to gain the
 characterization of a more developed market. This article is to
 investigate whether there are certain stock price patterns during the
 trading sessions; and if such patterns exist it implies a profitable
 trading rule. The possibility of profitable intraday stock price patterns
 will form an evidence against the Efficient Market Hypothesis (EMH),
 according to which, stock price changes or stock returns are expected to
 be random and thus unpredictable. The results indicate specific price
 patterns and a trading rule based on the results of this article proved to
 be not only more profitable compared to the passive 'buy and hold
 strategy' but also more safe. 
Journal: Applied Financial Economics 
Pages: 13-22 
Issue: 1 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110088166 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088166
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:1:p:13-22




Template-Type: ReDIF-Article 1.0
Author-Name: T. H. Root 
Author-X-Name-First: T. H. 
Author-X-Name-Last: Root 
Author-Name: D. Lien 
Author-X-Name-First: D. 
Author-X-Name-Last: Lien 
Title: Impulse responses in a threshold cointegrated system: the case of natural gas markets 
Abstract:
  The response of a futures contract to an exogenous shock may partially
 depend upon the maturity of the contract. Investigation of the speed with
 which the contract returns to its long run equilibrium is dependent upon
 the time series specification of the contract. This paper estimates
 generalized impulse response functions that result from exogenous shocks
 to a threshold error correction model of the natural gas futures market.
 The estimation results of the threshold model indicate that it is an
 appropriate model of the natural gas futures market. Therefore the
 calculation of impulse responses should account for both the size of the
 shock and the history of the series. This is accomplished via a
 generalized impulse response function. Calculation of the generalized
 impulse response functions indicates that the length of the futures
 contract is an important determinant of the ability of the system to
 return to its long run equilibrium following a shock. 
Journal: Applied Financial Economics 
Pages: 23-35 
Issue: 1 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110090226 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110090226
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:1:p:23-35




Template-Type: ReDIF-Article 1.0
Author-Name: Amir Kia 
Author-X-Name-First: Amir 
Author-X-Name-Last: Kia 
Title: Forward-looking agents and macroeconomic determinants of the equity price in a small open economy 
Abstract:
  This article estimates a macro-determinant model of stock price using
 monthly data on Canadian and US markets. It is found that the commodity
 price is also an important component of stock prices. Economic agents in
 Canadian stock markets are forward looking and their reactions to
 equilibrium errors are asymmetric. It is also found that deviations from
 fundamental price are short-lived. Furthermore, among long-run
 macro-determinants of stock price, at least two long-run stationary
 relationships exist: uncovered interest parity and a long-run Canadian
 monetary policy reaction function. 
Journal: Applied Financial Economics 
Pages: 37-54 
Issue: 1 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110091793 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110091793
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:1:p:37-54




Template-Type: ReDIF-Article 1.0
Author-Name: Niclas Hagelin 
Author-X-Name-First: Niclas 
Author-X-Name-Last: Hagelin 
Title: Why firms hedge with currency derivatives: an examination of transaction and translation exposure 
Abstract:
  This article examines Swedish firms' use of currency derivatives to
 provide empirical evidence on the determinants of firms' hedging
 decisions. The study uses survey data in combination with publicly
 available data.The use of survey data makes it possible to differentiate
 between currency derivative usage aimed at hedging translation exposure
 and that aimed at hedging transaction exposure. This is of interest since
 translation exposure and transaction exposure tend to affect firms
 differently. The results are consistent with the conjecture that firms
 hedge transaction exposure with currency derivatives to increase firm
 value by reducing indirect costs of financial distress or alleviating the
 underinvestment problem. No evidence is found to support the notion that
 translation exposure hedges are used to increase firm value. 
Journal: Applied Financial Economics 
Pages: 55-69 
Issue: 1 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110094501 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110094501
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:1:p:55-69




Template-Type: ReDIF-Article 1.0
Author-Name: Helmut Herwartz 
Author-X-Name-First: Helmut 
Author-X-Name-Last: Herwartz 
Author-Name: Hans-Eggert Reimers 
Author-X-Name-First: Hans-Eggert 
Author-X-Name-Last: Reimers 
Title: Seasonal cointegration analysis for German M3 money demand 
Abstract:
  Investigating the German money demand function the paper provides a
 vector autoregressive model that allows for cointegration at the zero
 frequency and at the seasonal frequencies. The sample period is 1975:1 to
 1995:4 and thus contains the German unification period. Using prediction
 tests the employed model is found to be stable. The seasonal cointegration
 analysis is used to infer against price homogeneity of money demand and
 against scale invariance of holding money. 
Journal: Applied Financial Economics 
Pages: 71-78 
Issue: 1 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110096356 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110096356
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:1:p:71-78




Template-Type: ReDIF-Article 1.0
Author-Name: I. A. Moosa 
Author-X-Name-First: I. A. 
Author-X-Name-Last: Moosa 
Author-Name: N. E. Al-Loughani 
Author-X-Name-First: N. E. 
Author-X-Name-Last: Al-Loughani 
Title: The role of fundamentalists and technicians in the foreign exchange market when the domestic currency is pegged to a basket 
Abstract:
  The exchange rate of the Kuwaiti dinar against the Japanese yen is
 modelled in terms of the activities of fundamentalists and technicians as
 well as the effect of the exchange rate arrangement. The results show that
 market forces, as represented by the activities of traders, play a role in
 the determination of the exchange rate although this role is secondary to
 the effect of the exchange rate arrangement as represented by changes in
 the exchange rate of the Kuwaiti dinar against the US dollar. Non-nested
 model selection tests reveal that models that are based on market forces
 only or the exchange rate arrangement only are misspecified. There is some
 evidence indicating that the activity of technicians is more important for
 this process than the activity of fundamentalists. 
Journal: Applied Financial Economics 
Pages: 79-84 
Issue: 2 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110096842 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110096842
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:2:p:79-84




Template-Type: ReDIF-Article 1.0
Author-Name: J. M. Steeley 
Author-X-Name-First: J. M. 
Author-X-Name-Last: Steeley 
Title: Making political capital: the behaviour of the UK capital markets during Election'97 
Abstract:
  This article examines the behaviour of the UK capital markets during the
 overnight trading period that coincided with the announcement of the
 results of the UK general election in May 1997. Evidence that the
 financial markets responded to the evolving pattern of results is found.
 In addition, the consensus move experienced as the markets opened the next
 trading day was influenced by the extent of the moves that had already
 occurred overnight.. 
Journal: Applied Financial Economics 
Pages: 85-95 
Issue: 2 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210100873 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210100873
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:2:p:85-95




Template-Type: ReDIF-Article 1.0
Author-Name: A. Panno 
Author-X-Name-First: A. 
Author-X-Name-Last: Panno 
Title: An empirical investigation on the determinants of capital structure: the UK and Italian experience 
Abstract:
  This article investigates the empirical determinants of capital structure
 choice by analysing security issues made by companies in the UK and Italy
 between 1992 and 1996, and examines how companies actually select between
 financing instruments at a given point in time and in different financial
 contexts. A descriptive model of choice is developed and then estimated
 using Logit and Probit estimation procedures, and using data of two
 samples, which are assumed to be representative of a particular financial
 environment. The results provide evidence of interesting differences
 between the two financial markets, generally supporting the idea of the UK
 market being more testable and in principle more consistent with the main
 prescriptions of the more recent developments of capital structure theory;
 on the whole, the results provide support for positive effects of size and
 profitability, and negative impact of liquidity conditions and bankruptcy
 risk on the financial leverage of companies. This, together with the
 negative effect displayed by the available reserves which are taken as a
 proxy of internally generated funds, lends support to the pecking order
 theory of capital structure. It is also suggested that firms in well
 developed financial systems (UK) may have long-term target leverage
 ratios, while in less efficient markets (Italy) an optimal debt level does
 not seem to be a major concern. Finally, for both markets, the results are
 consistent with the notion that the tax advantage of debt financing plays
 a relevant role in capital structure decisions. 
Journal: Applied Financial Economics 
Pages: 97-112 
Issue: 2 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210100882 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210100882
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:2:p:97-112




Template-Type: ReDIF-Article 1.0
Author-Name: F. FernAndez-RodrIguez 
Author-X-Name-First: F. 
Author-X-Name-Last: FernAndez-RodrIguez 
Author-Name: S. Sosvilla-Rivero 
Author-X-Name-First: S. 
Author-X-Name-Last: Sosvilla-Rivero 
Author-Name: J. Andrada-FElix 
Author-X-Name-First: J. 
Author-X-Name-Last: Andrada-FElix 
Title: Technical analysis in foreign exchange markets: evidence from the EMS 
Abstract:
  This article assesses the economic significance of the non-linear
 predictability of EMS exchange rates. To that end, and using daily data
 for nine EMS currencies covering the 1 January 1978-31 December 1994
 period, it considers nearest- neighbour non-linear predictors,
 transforming their forecasts into a technical trading rule, whose
 profitability has been evaluated against the traditional moving average
 trading rules, considering both interest rates and transaction costs. The
 results suggest that in most cases, a trading rule based on a non-linear
 predictor outperforms the moving average, both in terms of returns and in
 terms of the ideal profit and the Sharpe ratio profitability indicators. 
Journal: Applied Financial Economics 
Pages: 113-122 
Issue: 2 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210100891 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210100891
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:2:p:113-122




Template-Type: ReDIF-Article 1.0
Author-Name: M. D. Mckenzie 
Author-X-Name-First: M. D. 
Author-X-Name-Last: Mckenzie 
Author-Name: R. D. Brooks 
Author-X-Name-First: R. D. 
Author-X-Name-Last: Brooks 
Title: The role of information in Hong Kong individual stock futures trading 
Abstract:
  The impact of information flows on market variables such as traded volume
 have been well documented in the literature. In this article, the issue as
 to whether trading volume in derivatives responds to information flows in
 the underlying asset is considered. Using Hong Kong individual stock
 futures data, empirical analysis of information flows proxied by cash
 market volume and stock futures volume provides evidence that suggests
 that it is not the arrival of news to the market which motivates
 derivatives trading. Thus, the mystery of low volumes and illiquid markets
 for ISF cannot be explained by information arrival for the underlying
 stocks on which they are traded. 
Journal: Applied Financial Economics 
Pages: 123-131 
Issue: 2 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210100909 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210100909
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:2:p:123-131




Template-Type: ReDIF-Article 1.0
Author-Name: M. Adams 
Author-X-Name-First: M. 
Author-X-Name-Last: Adams 
Author-Name: M. Buckle 
Author-X-Name-First: M. 
Author-X-Name-Last: Buckle 
Title: The determinants of corporate financial performance in the Bermuda insurance market 
Abstract:
  Drawing a framework from the organizational economics literature this
 study examines the determinants of corporate (i.e. underwriting and
 investment related) financial performance in the Bermuda insurance market.
 Using panel data for 1993-1997, it was found that, as expected, highly
 leveraged, lowly liquid companies and reinsurers have better operational
 performance than lowly leveraged, highly liquid companies and direct
 insurers. Contrary to what was hypothesized, performance was positively
 related to underwriting risk. However, the size of companies and the scope
 of their activities were not found to be important explanatory factors. 
Journal: Applied Financial Economics 
Pages: 133-143 
Issue: 2 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210105030 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210105030
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:2:p:133-143




Template-Type: ReDIF-Article 1.0
Author-Name: B. M. Burton 
Author-X-Name-First: B. M. 
Author-X-Name-Last: Burton 
Author-Name: D. M. Power 
Author-X-Name-First: D. M. 
Author-X-Name-Last: Power 
Title: Evidence on the determinants of equity issue method in the UK 
Abstract:
  Eckbo and Masulis (1992), Burton et al. (1999) and Armitage (1999)
 reported that the method used to issue new shares is one of the key
 determinants of the market reaction to seasoned equity offer
 announcements. This article develops this earlier line of research by
 examining a sample of 193 rights issues and 329 placings of shares made by
 UK firms between 1995 and 1996. It (i) details the relative popularity of
 rights and placings amongst London-quoted firms; (ii) compares the
 characteristics of the equity issues made under the different methods;
 (iii) examines variations in the attributes of firms which place their
 shares or offer them to existing investors via a rights issue and; (iv)
 uses logit analysis to investigate whether the determinants of offer
 method choice can be modelled accurately. A holdout sample of 59 placings
 and 29 rights issues is employed to examine the predictive ability of the
 logit model results. The evidence suggests that identifiable differences
 exist in both the size of the issue and the characteristics of the issuer,
 but that these differences provide only limited ability to predict equity
 issue methods accurately. 
Journal: Applied Financial Economics 
Pages: 145-157 
Issue: 2 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110108127 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110108127
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:2:p:145-157




Template-Type: ReDIF-Article 1.0
Author-Name: K. -L. Wang 
Author-X-Name-First: K. -L. 
Author-X-Name-Last: Wang 
Author-Name: Y. -T. Tseng 
Author-X-Name-First: Y. -T. 
Author-X-Name-Last: Tseng 
Author-Name: C. -C. Weng 
Author-X-Name-First: C. -C. 
Author-X-Name-Last: Weng 
Title: A study of production efficiencies of integrated securities firms in Taiwan 
Abstract:
  Based on the 1991-1993 data of integrated securities firms in Taiwan,
 this article first uses DEA to assess pure technical, scale, cost and
 allocative efficiencies of each firm, and then applies the Tobit censored
 regression model to investigate the determinants of each efficiency
 measure. The regression results show that firm size has a positive impact
 on pure technical, scale and cost efficiencies. The impacts of a firm's
 service concentration on pure technical and scale efficiencies are
 positive, but its impact on allocative efficiency is negative. Firms with
 a branch or branches are less efficient than those without any branch in
 terms of pure technical, scale and cost efficiencies. Firms with low
 operating risks are more efficient than those with high operating risk in
 terms of cost and allocative efficiencies. Competition pressure forces
 integrated securities firms to improve their pure technical and cost
 efficiencies, and shrinks the differences of pure technical efficiency
 among them in 1993. 
Journal: Applied Financial Economics 
Pages: 159-167 
Issue: 3 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110111105 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110111105
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:3:p:159-167




Template-Type: ReDIF-Article 1.0
Author-Name: Burak Saltoglu 
Author-X-Name-First: Burak 
Author-X-Name-Last: Saltoglu 
Title: Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates 
Abstract:
  The primary objective of this article is to compare the forecasting
 ability of some recent parametric and non-parametric estimation methods by
 using monthly Canadian interest rate data between 1964:1-1999:1. The
 two-factor continuous time term structure model of Brennan and Schwartz
 was estimated where the first factor represents the short rate and the
 second factor the long rate using the continuous time estimation
 procedures developed by Bergstrom. The interest rates using the
 multivariate GARCH model developed by Engle and Kroner, and two
 non-parametric estimation methods namely, non-parametric kernel smoothing
 and the artificial neural networks was modelled. For the short-term rates,
 it has been found that, the Bergstrom's method and the artificial neural
 networks model have marginally better forecasting performance than that of
 the linear benchmark. For the long-term rates, none of the methods
 produced better forecasting precision than that of the benchmark. 
Journal: Applied Financial Economics 
Pages: 169-176 
Issue: 3 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110111259 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110111259
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:3:p:169-176




Template-Type: ReDIF-Article 1.0
Author-Name: B. Carmichael 
Author-X-Name-First: B. 
Author-X-Name-Last: Carmichael 
Author-Name: L. Samson 
Author-X-Name-First: L. 
Author-X-Name-Last: Samson 
Title: Expected returns and economic risk in Canadian financial markets 
Abstract:
  This article estimates a linear factor model that links asset return
 fluctuations to: time-varying expected returns, to economic factors
 innovations and to a residual idiosyncratic risk. It considers bond
 returns together with returns on a number of portfolio of assets, grouped
 by sectors, traded on the Toronto Stock Exchange. The first part of the
 article identifies the number of latent variables necessary to explain the
 behaviour of these asset returns and concludes that two latent variables
 are needed. The second stage uses proxies for the underlying economic
 factors (state variables) and exploits the restrictions of the model to
 estimate conditional betas. 
Journal: Applied Financial Economics 
Pages: 177-189 
Issue: 3 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110111268 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110111268
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:3:p:177-189




Template-Type: ReDIF-Article 1.0
Author-Name: K. Ben Nowman 
Author-X-Name-First: K. Ben 
Author-X-Name-Last: Nowman 
Author-Name: Ghulam Sorwar 
Author-X-Name-First: Ghulam 
Author-X-Name-Last: Sorwar 
Title: Implied option prices from the continuous time CKLS interest rate model: an application to the UK 
Abstract:
  In this paper a numerical procedure recently applied in finance is used
 to compute implied bond and contingent claim prices starting from the CKLS
 interest rate model. The CKLS model is estimated using a range of
 maturities from the UK interbank market including the one week and one,
 two, three, six and twelve month rates. It is found that the implied
 default free bond prices and contingent claim prices vary across models
 and maturities for the UK. 
Journal: Applied Financial Economics 
Pages: 191-197 
Issue: 3 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110112041 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110112041
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:3:p:191-197




Template-Type: ReDIF-Article 1.0
Author-Name: O. David Gulley 
Author-X-Name-First: O. David 
Author-X-Name-Last: Gulley 
Author-Name: Jahangir Sultan 
Author-X-Name-First: Jahangir 
Author-X-Name-Last: Sultan 
Title: The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract 
Abstract:
  This study examines the simultaneous response of both stock and bond
 market returns to changes in the CBOT 30-day federal funds futures rate.
 It is found that changes in the federal funds futures rate are negatively
 related to both stock and bond returns. It is also found that positive and
 negative changes in the federal funds futures rate have symmetric effects
 on the bond market, but somewhat asymmetric effects on the stock market. 
Journal: Applied Financial Economics 
Pages: 199-209 
Issue: 3 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110115165 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110115165
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:3:p:199-209




Template-Type: ReDIF-Article 1.0
Author-Name: David Morelli 
Author-X-Name-First: David 
Author-X-Name-Last: Morelli 
Title: Capital asset pricing model on UK securities using ARCH 
Abstract:
  This study tests conditional and unconditional versions of the CAPM using
 portfolios made up of security returns in the UK over the period January
 1980-December 1999. The main objectives are to see if the GARCH betas
 differ from the unconditional betas, and to see if the market risk premium
 is positive. The CAPM tests are two-pass, where monthly returns are
 regressed on alternative beta estimates, and the time series mean of the
 coefficients is the average market premium. It is found that the GARCH and
 unconditional betas are correlated, either 0.475 or 0.575 depending on the
 method used. Using unconditional betas the average market premium is
 negative, but not statistically significant. Using conditional betas the
 average market premium is positive but not statistically significant. For
 some individual years a positive statistically significant risk premium is
 found. These individual years tend to correspond to periods when the stock
 market was particularly volatile which would tend to suggest that the
 model has value during periods of relatively high volatility. 
Journal: Applied Financial Economics 
Pages: 211-223 
Issue: 3 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110115174 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110115174
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:3:p:211-223




Template-Type: ReDIF-Article 1.0
Author-Name: Glenn Boyle 
Author-X-Name-First: Glenn 
Author-X-Name-Last: Boyle 
Author-Name: Brett Walter 
Author-X-Name-First: Brett 
Author-X-Name-Last: Walter 
Title: Reflected glory and failure: international sporting success and the stock market 
Abstract:
  Motivated by psychology research showing that individual mood is affected
 by weather and daylight savings changes respectively, Saunders (American
 Economic Review 83, 1337-1345, 1993) and Kamstra et al. (American Economic
 Review 90, 1005-1011, 2000) find that stock prices are systematically
 related to these economically-neutral events. Another large psychology
 literature documents a similarly-strong relationship between sporting team
 success and fan self-esteem, a finding which raises the possibility that
 stock prices also respond systematically to sports results, at least in
 markets where the majority of investors support the same team. However,
 applying this hypothesis to New Zealand - a small country with a single
 dominant sport whose primary contests are international in nature - it is
 found that stock return behaviour is independent of the success of the
 premier national sports team. Thus, irrational investor responses to
 sporting contest results are transitory at best. 
Journal: Applied Financial Economics 
Pages: 225-235 
Issue: 3 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210148230 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210148230
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:3:p:225-235




Template-Type: ReDIF-Article 1.0
Author-Name: A. F. Darrat 
Author-X-Name-First: A. F. 
Author-X-Name-Last: Darrat 
Author-Name: M. C. Chopin 
Author-X-Name-First: M. C. 
Author-X-Name-Last: Chopin 
Author-Name: C. Topuz 
Author-X-Name-First: C. 
Author-X-Name-Last: Topuz 
Title: Is US inflation low because the dollar value is high? Some short- and long run evidence 
Abstract:
  Since its inception in the mid-1970s, the floating exchange rate regime
 has been associated with large fluctuations in the values of foreign
 currencies. Many analysts have studied the implied interrelationship
 between the dollar's exchange value and US inflation and reported mixed
 evidence. Several reasons are suggested for the apparently conflicting
 results and the dollar/US inflation nexus with monthly data covering the
 floating period is reexamined. The results from multivariate cointegration
 and error-correction models indicate that the dollar's exchange rate is an
 important causal variable for US inflation, both in the short and in the
 long run. The results also imply that the Federal Reserve has been quite
 successful in maintaining a low inflationary environment despite the
 recent large fluctuations in the dollar's exchange rate. 
Journal: Applied Financial Economics 
Pages: 237-243 
Issue: 4 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110108136 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110108136
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:4:p:237-243




Template-Type: ReDIF-Article 1.0
Author-Name: B. Adrangi 
Author-X-Name-First: B. 
Author-X-Name-Last: Adrangi 
Author-Name: A. Chatrath 
Author-X-Name-First: A. 
Author-X-Name-Last: Chatrath 
Title: Non-linear dynamics in futures prices: evidence from the coffee, sugar and cocoa exchange 
Abstract:
  This article tests for the presence of low-dimensional chaos in the
 coffee, cocoa and sugar futures markets. While it finds strong evidence of
 non-linear dependence in the returns, the evidence is not consistent with
 chaos. The test results indicate that well known ARCH-type processes, with
 control for seasonal and contract-maturity effects, generally explain the
 non-linearities in the data. It also shows that employing seasonally
 adjusted price series and controlling for contract maturity may be
 important in obtaining robust results via some of the existing tests for
 chaotic structure. Finally, maximum likelihood methodologies that are
 robust to the non-linear dynamics lend strong support to the Samuelson
 hypothesis of maturity-effects in futures price-changes. 
Journal: Applied Financial Economics 
Pages: 245-256 
Issue: 4 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110115660 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110115660
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:4:p:245-256




Template-Type: ReDIF-Article 1.0
Author-Name: W. Moore 
Author-X-Name-First: W. 
Author-X-Name-Last: Moore 
Author-Name: R. Craigwell 
Author-X-Name-First: R. 
Author-X-Name-Last: Craigwell 
Title: The relationship between commercial banks' interest rates and loan sizes: evidence from a small open economy 
Abstract:
  Traditional finance theory argues that as the size of a loan expands, the
 interest rate on that loan rises to accommodate the increased risk
 associated with the loan. However, utilizing firm-level data of the
 Barbadian banking industry, it is observed that the smaller the loan's
 size, the greater the interest rate applied, and vice versa. Using a fixed
 effect panel data framework, this article also shows that the interest
 rate differences among loan sizes can be mainly explained by the
 borrower's characteristics for local banks while for foreign banks, its
 operating characteristics were the most important factors. 
Journal: Applied Financial Economics 
Pages: 257-266 
Issue: 4 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110116434 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110116434
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:4:p:257-266




Template-Type: ReDIF-Article 1.0
Author-Name: J. Safaei 
Author-X-Name-First: J. 
Author-X-Name-Last: Safaei 
Author-Name: N. E. Cameron 
Author-X-Name-First: N. E. 
Author-X-Name-Last: Cameron 
Title: Credit channel and credit shocks in Canadian macrodynamics - a structural VAR approach 
Abstract:
  The idea that financial structure and output determination may be
 interrelated has gone through several cycles over the past half a century
 since its inception at the time of the Great Depression. In its latest
 reincarnation as the theory of financial acceleration, it considers
 financial factors as propagation mechanisms for the disturbances
 originating in the real economy. The agency costs of credit allocation by
 the financial intermediaries play a central role in this theory. Financial
 factors have rarely been studied as potential sources of variation in the
 economy. This article, however, investigates the origination of
 disturbances from bank credit and allows for the propagation of
 disturbances within a relatively simple macro-dynamic system that utilizes
 the Structural Vector Autoregression approach The findings for the
 Canadian economy provide support for the 'credit view' of the monetary
 policy transmission mechanism. They also show that bank credit to persons
 affects real output in the short run, whereas bank credit to businesses
 does not. In other words, consumers but not the business firms appear to
 be credit constrained. 
Journal: Applied Financial Economics 
Pages: 267-277 
Issue: 4 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110117866 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110117866
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:4:p:267-277




Template-Type: ReDIF-Article 1.0
Author-Name: Fotios Siokis 
Author-X-Name-First: Fotios 
Author-X-Name-Last: Siokis 
Author-Name: Panayotis Kapopoulos 
Author-X-Name-First: Panayotis 
Author-X-Name-Last: Kapopoulos 
Title: Electoral management, political risk and exchange rate dynamics: the Greek experience 
Abstract:
  The paper tries to clarify whether the Greek drachma exchange rate
 movements could be better understood by incorporating the dynamics of the
 political environment. Greece could be considered as an ideal laboratory
 to examine the impact of the elections on the drachma exchange rate
 dynamics, since its political environment is formed by the co-existence of
 three distinct characteristics: first, a partisan structure with two main
 political parties with well defined ideological differences. Second, an
 opportunistic structure with frequent pre-electoral relaxation of monetary
 and fiscal policy, and, third, a high density of elections. Based on the
 assumption that foreign and domestic investors are sensitive to changes in
 political regime, the Greek foreign exchange rate is examined relative to
 the ECU and the US dollar. It is found that the incorporation of political
 variables in the form of the electoral cycle impact the volatility of the
 exchange rate. Specifically, with the incorporation of political variables
 in an EGARCH-M context, it is found that past innovations exert an
 asymmetric impact on the conditional volatility of the exchange rate
 relative to ECU and USD. Moreover, the results based on the six
 parliamentary elections suggest that the conditional variance of the
 exchange rate is impacted by political developments in Greece. 
Journal: Applied Financial Economics 
Pages: 279-285 
Issue: 4 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/13504850210128839 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/13504850210128839
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:4:p:279-285




Template-Type: ReDIF-Article 1.0
Author-Name: Winfried Hallerbach 
Author-X-Name-First: Winfried 
Author-X-Name-Last: Hallerbach 
Title: Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration 
Abstract:
  Most available monthly interest data series consist of monthly averages
 of daily observations. It is well known that this averaging introduces
 spurious autocorrelation in the first differences of the series. It is
 exactly this differenced series that one is interested in when estimating
 interest rate risk exposures, for example. This paper presents a method to
 filter this autocorrelation component from the averaged series. In
 addition, the potential effect of averaging on duration analysis is
 investigated, namely, when estimating the relationship between interest
 rates and financial market variables like equity or bond prices or
 exchange rates. In contrast to interest rates the latter price series are
 readily available in ultimo monthly form. It is found that combining
 monthly returns on market variables with changes in averaged interest
 rates leads to substantial biases in estimated correlations (R2),
 regression coefficients (durations) and their significance (t-statistics).
 These theoretical findings are confirmed by an empirical investigation of
 US interest rates and their relationship with US equities (S&P 500 Index). 
Journal: Applied Financial Economics 
Pages: 287-294 
Issue: 4 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210135720 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210135720
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:4:p:287-294




Template-Type: ReDIF-Article 1.0
Author-Name: Roy Batchelor 
Author-X-Name-First: Roy 
Author-X-Name-Last: Batchelor 
Author-Name: Ismail Orakcioglu 
Author-X-Name-First: Ismail 
Author-X-Name-Last: Orakcioglu 
Title: Event-related GARCH: the impact of stock dividends in Turkey 
Abstract:
  Cash dividends and rights issues on the Istanbul Stock Exchange are
 commonly accompanied by large stock dividend payments. This paper tests
 the proposition that stock dividends have no effect on company value,
 using a novel GARCH process with event-related intercept terms to capture
 induced changes in the volatility of stock prices. Returns rise in advance
 of stock dividend payments, but this effect becomes statistically
 insignificant when proper allowance is made for heteroscedasticity.
 Volatility rises after stock dividend payments, and this is attributed to
 persistence following exceptionally large price movements around the
 ex-dividend day, rather than to any transitory rise in the unconditional
 returns variance. The study does document some irrationality in responses
 to cash dividends, with prices rising/falling after increased/decreased
 dividend payments, rather than after the much earlier dividend
 announcements. 
Journal: Applied Financial Economics 
Pages: 295-307 
Issue: 4 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210138547 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210138547
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:4:p:295-307




Template-Type: ReDIF-Article 1.0
Author-Name: Dauvin Peterson 
Author-X-Name-First: Dauvin 
Author-X-Name-Last: Peterson 
Author-Name: Scott Pardee 
Author-X-Name-First: Scott 
Author-X-Name-Last: Pardee 
Author-Name: Phanindra Wunnava 
Author-X-Name-First: Phanindra 
Author-X-Name-Last: Wunnava 
Title: Relative development in stock markets: empirical evidence from mainland China and Hong Kong 
Abstract:
  Factors that might explain the relative growth of the stock markets of
 Hong Kong and Mainland China in recent years and the different responses
 of these markets to the 1997 Asian financial and economic crisis are
 empirically analysed. These factors are used to project the growth of
 total market capitalization of the two markets in the future. Clearly,
 Hong Kong, with its open economy and financial markets, was strongly
 affected by the Asian crisis, whereas Mainland China, with many
 restrictions on capital flows still in place, was less affected. The
 results indicate that the Mainland Chinese stock market is still
 developing, and forecast models suggest that Mainland China's market will
 overtake Hong Kong's market in size, but may become the more volatile of
 the two markets, especially as China relaxes its restrictions on
 international capital flows. 
Journal: Applied Financial Economics 
Pages: 309-316 
Issue: 4 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210139401 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210139401
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:4:p:309-316




Template-Type: ReDIF-Article 1.0
Author-Name: I. Paya 
Author-X-Name-First: I. 
Author-X-Name-Last: Paya 
Author-Name: A. Duarte 
Author-X-Name-First: A. 
Author-X-Name-Last: Duarte 
Author-Name: K. Holden 
Author-X-Name-First: K. 
Author-X-Name-Last: Holden 
Title: On the equilibrium value of the peseta 
Abstract:
  This paper empirically analyses the equilibrium value of the peseta in
 the light of recent contributions in this field of study. Following
 MacDonald (IMF Working Paper 97/21, 1997), the approach to the long-run
 relationship between the real effective exchange rate of the peseta and
 its fundamental determinants focus on the reasons that keep the actual
 value of the peseta away from that predicted by the theory of PPP. The
 cointegration method is used to estimate the reduced form of a
 multilateral model for Spain for the period 1977-1997. As a result, the
 estimated long-run exchange rate appreciates with positive shocks to
 differences in productivity, terms of trade and net foreign assets, and
 depreciates when price differentials increases. The equilibrium correction
 model helps to explain short-run deviations of the actual from equilibrium
 exchange rate and to forecast the peseta real effective exchange rate up
 to the fourth-quarter of 1998. 
Journal: Applied Financial Economics 
Pages: 317-335 
Issue: 5 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110116425 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110116425
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:317-335




Template-Type: ReDIF-Article 1.0
Author-Name: C. M. Buch 
Author-X-Name-First: C. M. 
Author-X-Name-Last: Buch 
Title: What Determines Maturity? An analysis of German Commercial Banks' foreign Assets 
Abstract:
  Surges and reversals of short-term foreign liabilities are often held
 responsible for instabilities in international financial markets. Yet,
 empirical evidence on the factors determining the maturity of capital
 flows is scant. This article analyses the determinants of foreign assets
 of German banks for a panel of up to 73 countries for the years 1985-1997.
 Cross section estimates show that short- and long-term assets are highly
 correlated with foreign trade links, which are more important in
 explaining claims on banks versus claims on non-banks. The presence of
 financial centres likewise has a positive impact throughout. Evidence on
 the importance of exchange rate volatility is more mixed. 
Journal: Applied Financial Economics 
Pages: 337-351 
Issue: 5 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/13504850210128857 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/13504850210128857
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:337-351




Template-Type: ReDIF-Article 1.0
Author-Name: Kursat Aydo&#x11f;an 
Author-X-Name-First: Kursat 
Author-X-Name-Last: Aydo&#x11f;an 
Author-Name: G. Geoffrey Booth 
Author-X-Name-First: G. Geoffrey 
Author-X-Name-Last: Booth 
Title: Calendar anomalies in the Turkish foreign exchange markets 
Abstract:
  This paper investigates calendar anomalies in the Turkish foreign
 exchange markets during 1986-1994 period. Changes in the free market and
 official daily exchange rates between the Turkish lira (TL) and US dollar
 (USD) and the German mark (DM) are examined for empirical regularities on
 different days of the week, around the turn of the month and before
 holidays. The findings reveal that free market rates exhibit
 day-of-the-week and week-of-month effects. In addition free market DM
 returns display a holiday anomaly. These calendar anomalies are explained
 by cash disbursement patterns, together with currency substitution in the
 economy. The impact of treasury auctions and banks' management of
 liquidity on day-of-the-week effect is also discussed. 
Journal: Applied Financial Economics 
Pages: 353-360 
Issue: 5 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210129457 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210129457
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:353-360




Template-Type: ReDIF-Article 1.0
Author-Name: Juan Reboredo 
Author-X-Name-First: Juan 
Author-X-Name-Last: Reboredo 
Title: How is the market reaction to stock splits? 
Abstract:
  This paper examines the market effect of stock splits on stock price,
 return, volatility, and trading volume around the split ex-dates for a
 sample of stock splits undertaken in the Spanish stock market during
 1998-1999. The empirical evidence confirms a negative effect on price and
 return of stock splits, and the presence of a positive effect on
 volatility and trading volume. These results suggest that stock splits
 have induced the market to revise its optimistic valuation about future
 firm performance, rejecting signalling hypothesis according to which
 splits convey positive information to markets. Therefore, stock splits
 have reduced the wealth of shareholders. 
Journal: Applied Financial Economics 
Pages: 361-368 
Issue: 5 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210130617 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210130617
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:361-368




Template-Type: ReDIF-Article 1.0
Author-Name: Benjamin Miranda Tabak 
Author-X-Name-First: Benjamin Miranda 
Author-X-Name-Last: Tabak 
Title: The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case 
Abstract:
  In this paper the random walk hypothesis is tested for a set of daily
 Brazilian stock data given by the Sao Paulo Stock Exchange Index
 (IBOVESPA) in the period of 1986-1998. A rolling variance ratio test for
 different investment horizons was conducted, and it is concluded that
 prior to 1994 the random walk hypothesis is rejected but after that it
 cannot be rejected. Institutionally maturing markets, increasing liquidity
 and the openness of Brazilian markets for international capital can
 explain this increase of efficiency of the Brazilian stock market. An
 error-correction model is used to explain the relationship between the
 IBOVESPA and foreign portfolio inflows. Evidence suggests that the release
 of foreign capital control is one of the main determinants of increased
 efficiency in the Brazilian equity market. 
Journal: Applied Financial Economics 
Pages: 369-378 
Issue: 5 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210134550 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210134550
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:369-378




Template-Type: ReDIF-Article 1.0
Author-Name: Anthony Yanxiang Gu 
Author-X-Name-First: Anthony Yanxiang 
Author-X-Name-Last: Gu 
Title: A trend towards being normal: the 'A' share experience on the Shanghai stock exchange 
Abstract:
  The 'A' Share IPOs in China exhibited the highest short-term returns
 compared to IPOs around the world and the returns have revealed a downward
 trend towards a norm. Possible reasons for the highest returns include
 excess demand for new shares, underwriter's strong risk aversion and
 extremely long institutional lags. Rapid growth in IPOs accommodating the
 excess demand for new shares, decreasing and now normal institutional
 lags, lower rates of inflation, lower risk in the stock market and
 investors' experienced investment behaviour may partially explain the
 downward trend toward a norm. 
Journal: Applied Financial Economics 
Pages: 379-385 
Issue: 5 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210138529 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210138529
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:379-385




Template-Type: ReDIF-Article 1.0
Author-Name: Jan Bo Jakobsen 
Author-X-Name-First: Jan Bo 
Author-X-Name-Last: Jakobsen 
Author-Name: Carsten S&#xf8;rensen 
Author-X-Name-First: Carsten 
Author-X-Name-Last: S&#xf8;rensen 
Title: The dynamics of bond yields and the stock index - with an application to the UK stock and bond market 
Abstract:
  The dynamics of nominal bond yields and the stock index are modelled
 within a continuous-time general equilibrium economy. Closed-form
 solutions are provided for both the term structure of nominal interest
 rates and the equilibrium value of the stock index where the value of the
 stock index is determined as the present value of future aggregate
 dividends. Preferences towards risk have crucial implications for the
 comovements of the stock index and bond yields since the degree of risk
 aversion determines whether the stock index is positively or negatively
 related to the real interest rate. As an application, the model is
 calibrated based on monthly data from the UK in the period from January
 1979 to October 1996 in order to facilitate an analysis of what drives the
 movements of the term structure of nominal interest rates and what drives
 the (negative) correlation between the stock index and bond yields. 
Journal: Applied Financial Economics 
Pages: 387-399 
Issue: 5 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/096031002101388556 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031002101388556
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:387-399




Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Keef 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Keef 
Author-Name: Melvin Roush 
Author-X-Name-First: Melvin 
Author-X-Name-Last: Roush 
Title: Political administration effects and day-of-the-week effects in New Zealand's foreign exchange rate 
Abstract:
  This study investigates the presence of political administration effects
 and day-of-the-week effects with New Zealand's trade-weighted foreign
 exchange index. The data covers six administrations during the period
 March 1985 to November 2000. The analysis, based on an orthogonal design,
 shows that changes in the index did not differ between Labour Party
 administrations and National Party (Conservative) administrations. One
 day-of-the-week effect, consistent with the settlement regime hypothesis,
 is observed. This effect, which differs between the two political
 administrations, disappears when the data is trimmed to ameliorate the
 impact of fat tails. The implication is that the effect is merely a
 reflection of the extreme cases. 
Journal: Applied Financial Economics 
Pages: 401-412 
Issue: 6 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210135225 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210135225
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:6:p:401-412




Template-Type: ReDIF-Article 1.0
Author-Name: George Leledakis 
Author-X-Name-First: George 
Author-X-Name-Last: Leledakis 
Author-Name: Ian Davidson 
Author-X-Name-First: Ian 
Author-X-Name-Last: Davidson 
Author-Name: George Karathanassis 
Author-X-Name-First: George 
Author-X-Name-Last: Karathanassis 
Title: Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange 
Abstract:
  This study is an investigation into the cross-sectional determinants of
 stock returns in a small market - the Athens Stock Exchange - where the
 Fama and French portfolio grouping procedure that is normally used to
 counter the error in variables problem in estimating beta is problematic
 due to the small number of stocks. A maximum likelihood technique is
 applied, similar to that developed by Litzenberger and Ramaswamy (Journal
 of Financial Economics, 7, 163-95, 1979), which is arguably a better
 procedure than the portfolio grouping method even for investigating large
 (developed) markets. A further empirical problem that was addressed was
 the possibility that the results were being driven by the 'January
 effect'. The findings for the Athens market suggest that there is only one
 substantive variable in explaining the cross-sectional variation of market
 and that is market equity ME (which captures a size effect). 
Journal: Applied Financial Economics 
Pages: 413-426 
Issue: 6 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210143118 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210143118
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:6:p:413-426




Template-Type: ReDIF-Article 1.0
Author-Name: Eduardo Menendez-Alonso 
Author-X-Name-First: Eduardo 
Author-X-Name-Last: Menendez-Alonso 
Title: Does diversification strategy matter in explaining capital structure? Some evidence from Spain 
Abstract:
  The aim of this article is to study the effect of diversification
 strategy on firm capital structure using a panel data analysis for a
 sample of 480 Spanish manufacturing firms during the period 1991-1994.
 Co-insurance effect and transaction cost arguments help to explain a
 positive relation between firm debt ratio and firm diversification, while
 agency theory predicts a negative relation. This study did not find a
 significant relationship between firm leverage and the degree of firm
 diversification, using different debt ratios, and the revenue-based
 Herfindahl index and the entropy measure as proxies of firm
 diversification. This evidence contrasts with previous studies for
 American and Australian markets that suggest a positive relation,
 according to co-insurance effect and transaction cost explanations. 
Journal: Applied Financial Economics 
Pages: 427-430 
Issue: 6 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210150930 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210150930
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:6:p:427-430




Template-Type: ReDIF-Article 1.0
Author-Name: Michalis Ioannides 
Author-X-Name-First: Michalis 
Author-X-Name-Last: Ioannides 
Author-Name: Frank Skinner 
Author-X-Name-First: Frank 
Author-X-Name-Last: Skinner 
Title: Parametric estimation of different interest rate processes 
Abstract:
  The paper examines the estimation of alternative interest rate processes
 describing the dynamics of UK interest rates. The methodology concentrates
 on selecting non-parametrically the number of autocovariances to use in
 calculating a heteroscedasticity and autocorrelation consistent covariance
 matrix. This is important for drawing correct statistical inferences. It
 is found that the dependence of volatility on the level of interest rates
 is not as high in the UK market as has been documented in earlier studies
 of the US market. Further results reveal that there was a structural
 change in the parameters of the interest rate process during the period of
 the participation of Britain in the Exchange Rate Mechanism (ERM) of the
 European Monetary System. However, by utilizing the proposed
 non-parametric schemes, it is shown that statistical inference is
 sensitive to the correct choice of the number of autocovariances. 
Journal: Applied Financial Economics 
Pages: 431-446 
Issue: 6 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210155188 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210155188
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:6:p:431-446




Template-Type: ReDIF-Article 1.0
Author-Name: Shinn-Juh Lin 
Author-X-Name-First: Shinn-Juh 
Author-X-Name-Last: Lin 
Author-Name: Jian Yang 
Author-X-Name-First: Jian 
Author-X-Name-Last: Yang 
Title: Examining intraday returns with buy/sell information 
Abstract:
  This paper examines high frequency stock returns with buy/sell signals.
 It demonstrates how such trading information could be utilized in a
 qualitative threshold framework to explain and predict the asymmetric
 behaviour of intraday stock returns. The study discovers that the
 buyer-dominating regime is consistently associated with negative returns,
 while the seller-dominating regime is consistently associated with
 positive returns. This is consistent with a suggestion of using the sign
 of the net buy/sell trading volume as the threshold indicator.
 Furthermore, the model renders better predicting power than that produced
 by a pure generalized autoregressive conditional heteroscedasticity model.
 Most interestingly, these results are quite robust across all 12 actively
 traded stocks on the Australian Stock Exchange that have been examined,
 and hence provide strong support for the potential usefulness of buy/sell
 signals and the qualitative threshold model in analysing the dynamics of
 high frequency financial asset returns. 
Journal: Applied Financial Economics 
Pages: 447-461 
Issue: 6 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210159012 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210159012
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:6:p:447-461




Template-Type: ReDIF-Article 1.0
Author-Name: Yoshitsugu Kitazawa 
Author-X-Name-First: Yoshitsugu 
Author-X-Name-Last: Kitazawa 
Title: Estimation of persistence in log-volatility using panel data 
Abstract:
  This study proposes a stochastic volatility model for panel data, and
 estimation methods of its persistence parameter, in the case of large
 number of individuals and small number of time periods. In this study, two
 types of estimators for this model are presented, in accordance with the
 framework of the dynamic panel data model and the generalized method of
 moments. To examine and compare the two types of the estimators, Monte
 Carlo experiments are carried out. Furthermore, an empirical application
 to data of stock returns is implemented using these estimators. 
Journal: Applied Financial Economics 
Pages: 463-472 
Issue: 6 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210159021 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210159021
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:6:p:463-472




Template-Type: ReDIF-Article 1.0
Author-Name: Costas Karfakis 
Author-X-Name-First: Costas 
Author-X-Name-Last: Karfakis 
Title: Exchange rate determination during hyperinflation: the case of the Romanian lei 
Abstract:
  In this paper the monetarist model of the exchange rate determination
 during the Romanian hyperinflation is tested using data for the lei/dollar
 exchange rate. A number of novel findings are reported. In particular, the
 analysis, which validates the monetarist approach, shows that a rapid
 increase in the money supply and inflation in Romania has been a source of
 a depreciating lei, while an increase in the Romanian real income has been
 a source of an appreciating lei. One policy implication of the results is
 that any policy aimed at reducing the rate of monetary expansion and
 inflation, and producing economic growth should boost the value of the
 lei. 
Journal: Applied Financial Economics 
Pages: 473-476 
Issue: 6 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000020870 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000020870
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:6:p:473-476




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Yang 
Author-X-Name-First: Jian 
Author-X-Name-Last: Yang 
Author-Name: James Kolari 
Author-X-Name-First: James 
Author-X-Name-Last: Kolari 
Author-Name: Insik Min 
Author-X-Name-First: Insik 
Author-X-Name-Last: Min 
Title: Stock market integration and financial crises: the case of Asia 
Abstract:
  This study examines long-run relationships and short-run dynamic causal
 linkages among the US, Japanese, and ten Asian emerging stock markets,
 with the particular attention to the 1997-1998 Asian financial crisis.
 Extending related empirical studies, comparative analyses of pre-crisis,
 crisis, and post-crisis periods are conducted to comprehensively evaluate
 how stock market integration is affected by financial crises. In general,
 the results for the case of Asia show that both long-run cointegration
 relationships and short-run causal linkages among these markets were
 strengthened during the crisis and that these markets have generally been
 more integrated after the crisis than before the crisis. Detailed
 country-by-country analyses are provided, which yield a variety of new
 results concerning the roles of individual countries in international
 stock market integration. An important implication of our findings is that
 the degree of integration among countries tends to change over time,
 especially around periods marked by financial crises. 
Journal: Applied Financial Economics 
Pages: 477-486 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210161965 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210161965
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:477-486




Template-Type: ReDIF-Article 1.0
Author-Name: G. Geoffrey Booth 
Author-X-Name-First: G. Geoffrey 
Author-X-Name-Last: Booth 
Author-Name: Raymond So 
Author-X-Name-First: Raymond 
Author-X-Name-Last: So 
Title: Intraday volatility spillovers in the German equity index derivatives markets 
Abstract:
  This paper examines the intraday information transmission process among
 the Deutscher Aktienindex (DAX), DAX futures and DAX options in Germany.
 Using the extreme value volatility approach developed in Booth et al.
 (1997, Management Science, 43, 1564-1576), the volatilities of the three
 markets are found to spill over to one another. These results support the
 notion that the three index assets are informationally linked, and the
 three markets should be considered a complete system for intraday
 information processing. 
Journal: Applied Financial Economics 
Pages: 487-494 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210161974 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210161974
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:487-494




Template-Type: ReDIF-Article 1.0
Author-Name: Jussi Tolvi 
Author-X-Name-First: Jussi 
Author-X-Name-Last: Tolvi 
Title: Long memory and outliers in stock market returns 
Abstract:
  Long memory in the form of fractional integration is analysed in stock
 market returns. Special emphasis is placed on taking into account the
 potential bias caused by neglected outliers in the data. It is first shown
 by a simulation experiment that outliers will bias the estimated
 fractional integration parameter towards zero. In a monthly data set,
 consisting of stock market indices of 16 OECD countries, statistically
 significant long memory is found for three countries. In one of these long
 memory is only found when outliers are first taken into account. 
Journal: Applied Financial Economics 
Pages: 495-502 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210161983 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210161983
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:495-502




Template-Type: ReDIF-Article 1.0
Author-Name: Charles Hodges 
Author-X-Name-First: Charles 
Author-X-Name-Last: Hodges 
Author-Name: Walton Taylor 
Author-X-Name-First: Walton 
Author-X-Name-Last: Taylor 
Author-Name: James Yoder 
Author-X-Name-First: James 
Author-X-Name-Last: Yoder 
Title: Beta, the Treynor ratio, and long-run investment horizons 
Abstract:
  Beta and Treynor ratios are computed for portfolios of small stocks,
 large stocks, and bonds for holding periods of 1 to 30 years. For both the
 stock and bond portfolios, beta, and the Treynor ratio change
 substantially with the holding period. Furthermore, the relative Treynor
 rankings of the portfolios change. Therefore, betas and Treynor ratios
 cannot be calculated independently of the intended investment horizon.
 Investors with long-run investment horizons must interpret performance
 parameters obtained from investment advisory services with due
 consideration for horizon effects. 
Journal: Applied Financial Economics 
Pages: 503-508 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000016622 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000016622
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:503-508




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Gapen 
Author-X-Name-First: Michael 
Author-X-Name-Last: Gapen 
Title: Seasonal indexation bias in US Treasury Inflation-indexed Securities 
Abstract:
  The purpose of this paper is to alert users of US Treasury
 Inflation-indexed Securities (TIPS) that the procedure of indexing real
 principal and interest payments to the lagged momentum of the seasonally
 unadjusted CPI gives rise to a seasonal indexation bias. This bias limits
 the ability of such securities to guarantee maintenance of real value on a
 current basis and, when predictable, causes expected indexation bias that
 affects the reported yield in a measurable way. Therefore, seasonal
 indexation bias limits the extent to which TIPS can be used to infer
 changes in the risk-free real rate of interest, which is an important
 anchor for portfolio valuation models. A methodology to calibrate the size
 and direction of the seasonal component is employed so that reported real
 yields can be adjusted. The seasonal adjustments suggest that the
 reporting bias in real yields is most pronounced as time to maturity
 shortens. Furthermore, the seasonal indexation bias will not have a
 constant annual pattern and will differ according to issue and maturity
 dates. 
Journal: Applied Financial Economics 
Pages: 509-516 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000016631 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000016631
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:509-516




Template-Type: ReDIF-Article 1.0
Author-Name: Ruth Tan 
Author-X-Name-First: Ruth 
Author-X-Name-Last: Tan 
Author-Name: W. Y. Yeo 
Author-X-Name-First: W. Y. 
Author-X-Name-Last: Yeo 
Title: Voluntary trading suspensions in Singapore 
Abstract:
  This paper successfully subgroups firm-initiated suspensions into
 'favourable news' and 'unfavourable news' suspensions. The 'favourable
 news' group experiences significantly positive abnormal returns around the
 event date. The 'unfavourable news' group, on the other hand, suffers a
 prolonged decline. The high trading volumes in the pre- and the
 post-suspension periods suggest that firm-initiated suspensions on the
 Singapore Exchange involve the release of new sensitive information.
 Firm-initiated trading suspensions are also accompanied by increases in
 post-suspension return volatility. 
Journal: Applied Financial Economics 
Pages: 517-523 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210017351 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210017351
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:517-523




Template-Type: ReDIF-Article 1.0
Author-Name: Giorgio Valente 
Author-X-Name-First: Giorgio 
Author-X-Name-Last: Valente 
Title: Monetary policy rules and regime shifts 
Abstract:
  A growing body of empirical literature has established interest rate
 rules as a convenient way to model and interpret monetary policy. However,
 as pointed out by Rudebusch (1998), vector autoregression (VAR) models
 used to recover the central banks' reaction functions generally rely on
 the dubious assumptions of linearity and time invariance. This paper
 proposes an empirical framework which allows the parameters of an interest
 rate rule to vary over time allowing for multiple regime shifts. Employing
 Markov-switching VAR models this study is able to identify significant and
 persistent shifts which affects the dynamics of the central banks'
 instrument interest rates. The shifts are mainly driven by discrete
 changes in inflation targets. 
Journal: Applied Financial Economics 
Pages: 525-535 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310021000025001 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310021000025001
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:525-535




Template-Type: ReDIF-Article 1.0
Author-Name: Kurt Brannas 
Author-X-Name-First: Kurt 
Author-X-Name-Last: Brannas 
Author-Name: Niklas Nordman 
Author-X-Name-First: Niklas 
Author-X-Name-Last: Nordman 
Title: An alternative conditional asymmetry specification for stock returns 
Abstract:
  The paper advances the log-generalized gamma distribution as a suitable
 generator of conditional skewness. Based on the NYSE composite daily
 returns an asMA-asQGARCH model along with skewness dynamics is estimated.
 The results indicate a skewness that varies between sizeable negative
 skewness and almost symmetry. The conditional variance and skewness
 measures are negatively correlated. 
Journal: Applied Financial Economics 
Pages: 537-541 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000020889 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000020889
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:537-541




Template-Type: ReDIF-Article 1.0
Author-Name: Wing-Keung Wong 
Author-X-Name-First: Wing-Keung 
Author-X-Name-Last: Wong 
Author-Name: Meher Manzur 
Author-X-Name-First: Meher 
Author-X-Name-Last: Manzur 
Author-Name: Boon-Kiat Chew 
Author-X-Name-First: Boon-Kiat 
Author-X-Name-Last: Chew 
Title: How rewarding is technical analysis? Evidence from Singapore stock market 
Abstract:
  This paper focuses on the role of technical analysis in signalling the
 timing of stock market entry and exit. Test statistics are introduced to
 test the performance of the most established of the trend followers, the
 Moving Average, and the most frequently used counter-trend indicator, the
 Relative Strength Index. Using Singapore data, the results indicate that
 the indicators can be used to generate significantly positive return. It
 is found that member firms of Singapore Stock Exchange (SES) tend to enjoy
 substantial profits by applying technical indicators. This could be the
 reason why most member firms do have their own trading teams that rely
 heavily on technical analysis. 
Journal: Applied Financial Economics 
Pages: 543-551 
Issue: 7 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000020906 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000020906
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:543-551




Template-Type: ReDIF-Article 1.0
Author-Name: Kaushik Bhattacharya 
Author-X-Name-First: Kaushik 
Author-X-Name-Last: Bhattacharya 
Author-Name: Nityananda Sarkar 
Author-X-Name-First: Nityananda 
Author-X-Name-Last: Sarkar 
Author-Name: Debabrata Mukhopadhyay 
Author-X-Name-First: Debabrata 
Author-X-Name-Last: Mukhopadhyay 
Title: Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification 
Abstract:
  This paper examines the stability of the day of the week effect in
 returns and volatility at the Indian capital market, covering the period
 January 1991-September 2000. The paper specifies a generalized
 autoregressive conditional heteroscedasticity (GARCH) model on returns and
 introduces separate dummies for days in alternate weeks in the
 specification of both the mean and the conditional variance to examine the
 robustness of the day of the week effect in return and in volatility
 within a fortnight. Results are compared to those based on ordinary least
 squares (OLS) procedure to examine how erroneous the inference on
 day-level seasonality could be when the aspect of volatility is ignored.
 The paper finds evidence in favour of significant positive returns on
 non-reporting Thursday and Friday, in sharp contrast to the finding of
 significant positive returns only on non-reporting Monday by OLS
 procedure. Separate subperiod analyses reveal that there have been changes
 in daily seasonality in both returns and volatility since the mid-1990s at
 the Indian capital market, manifested in the opposite signs and changes in
 the level of significance of some similar coefficients across periods.
 These findings on the day of the week effects along with its variation
 within a fortnight suggest that stock exchange regulations and the nature
 of interaction between the banking sector with the capital market could
 possibly throw valuable insights on the origin of the day of the
 week/fortnight effect in returns, while interexchange arbitrage
 opportunities due to differences in settlement period could lead to a
 seasonality in volatility. 
Journal: Applied Financial Economics 
Pages: 553-563 
Issue: 8 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310021000020924 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310021000020924
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:8:p:553-563




Template-Type: ReDIF-Article 1.0
Author-Name: E. W. Chirwa 
Author-X-Name-First: E. W. 
Author-X-Name-Last: Chirwa 
Title: Determinants of commercial banks' profitability in Malawi: a cointegration approach 
Abstract:
  This article investigates the relationship between market structure and
 profitability of commercial banks in Malawi using time series data between
 1970 and 1994. It uses time-series techniques of cointegration and
 error-correction mechanism to test the collusion hypothesis and determine
 whether a long-run relationship exists between profits of commercial banks
 and concentration in the banking industry. The results obtained from the
 study support the traditional collusion hypothesis of a long-run positive
 relationship between concentration and performance. The dynamic short-run
 analysis also shows a high speed of adjustment in profitability from
 disequilibrium and indicates a positive response in profitability to a
 negative deviation from a long-run equilibrium. 
Journal: Applied Financial Economics 
Pages: 565-571 
Issue: 8 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000020933 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000020933
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:8:p:565-571




Template-Type: ReDIF-Article 1.0
Author-Name: Ross Dickens 
Author-X-Name-First: Ross 
Author-X-Name-Last: Dickens 
Author-Name: Roger Shelor 
Author-X-Name-First: Roger 
Author-X-Name-Last: Shelor 
Title: Pros win! Pros win!&#x2026; or do they?: an analysis of the 'Dartboard' contest using stochastic dominance 
Abstract:
  Market efficiency is examined using The Wall Street Journal's dartboard
 contest in which the pros' stock selections seem superior under the
 contest's rules of only capital gains returns (ignoring dividends). After
 adjusting for systematic risk, it is found that the pros' capital gains
 are higher than expected. However, the results are suspect given questions
 concerning the validity and estimation of asset pricing models. Therefore,
 stochastic dominance is used to analyse the contest. It is found that the
 pros' capital gains outperform the darts' at the second order of
 stochastic dominance, but they do not dominate any market index. Finally,
 for total returns (including dividends), no difference is found between
 the pros and darts. This finding supports Metcalf and Malkiel (Applied
 Financial Economics, 4, pp. 371-4, 1994). 
Journal: Applied Financial Economics 
Pages: 573-579 
Issue: 8 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000025451 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000025451
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:8:p:573-579




Template-Type: ReDIF-Article 1.0
Author-Name: Felix Chan 
Author-X-Name-First: Felix 
Author-X-Name-Last: Chan 
Author-Name: Michael McAleer 
Author-X-Name-First: Michael 
Author-X-Name-Last: McAleer 
Title: Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers 
Abstract:
  The paper investigates several empirical issues regarding quasi-maximum
 likelihood estimation of smooth transition autoregressive (STAR) models
 with GARCH errors (STAR-GARCH) and STAR models with smooth transition
 GARCH errors (STAR-STGARCH). Empirical evidence is provided to show that
 different algorithms produce substantially different estimates for the
 same model. Consequently, the interpretation of the model can differ
 according to the choice of algorithm. Convergence, the choice of different
 algorithms for maximizing the likelihood function, and the sensitivity of
 the estimates to outliers and extreme observations, are examined using
 daily data for S&P 500, Hang Seng and Nikkei 225 for the period January
 1986 to April 2000. 
Journal: Applied Financial Economics 
Pages: 581-592 
Issue: 8 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000029295 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000029295
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:8:p:581-592




Template-Type: ReDIF-Article 1.0
Author-Name: Ning Li 
Author-X-Name-First: Ning 
Author-X-Name-Last: Li 
Author-Name: David. Ayling 
Author-X-Name-First: David. 
Author-X-Name-Last: Ayling 
Author-Name: Lynn Hodgkinson 
Author-X-Name-First: Lynn 
Author-X-Name-Last: Hodgkinson 
Title: An examination of the information role of the yield spread and stock returns for predicting future GDP 
Abstract:
  This paper utilizes out-of-sample forecasting experiments to examine
 whether the yield spread or returns on stock indices provide information
 content for future real activity in Italy, the UK, USA and Germany. A
 variable is said to provide information content if it improves the quality
 of the forecast for the forecasted variable. Four forecasting models
 containing yield spread and stock return variables are tested during the
 period 1961 to 1996. The usefulness of the yield curve and stock returns
 to predict GDP differs across countries and over time and neither variable
 is found to consistently provide information content for forecasting
 economic activity throughout the study period. 
Journal: Applied Financial Economics 
Pages: 593-597 
Issue: 8 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000040706 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000040706
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:8:p:593-597




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Alan Speight 
Author-X-Name-First: Alan 
Author-X-Name-Last: Speight 
Title: Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures 
Abstract:
  This paper examines whether variants of the GARCH class of model with the
 capacity to accommodate volatility asymmetries and volatility feedback are
 able to provide an adequate representation of non-linear dependency in
 intraday FTSE-100 stock index futures returns at the quarter-hour and
 hourly frequency. Significant variance asymmetry is identified, and such
 that negative shocks induce a greater response in volatility than
 equivalent positive shocks, but with the additional effect of subsequently
 depressing volatility at the 15-minute frequency. In the absence of
 financial leverage arguments in the market considered, and the absence of
 a statistically significant volatility feedback effect, such asymmetry is
 interpreted as indirect evidence for the presence of noise traders,
 attracted to such markets by low transaction costs and margin
 requirements. In contrast with previous results using intraday data, a
 notable absence of remaining structure in asymmetric GARCH models at the
 hourly frequency is found, but neither symmetric nor asymmetric models are
 able to fully account for nonlinear dependence at the higher intraday
 frequency. 
Journal: Applied Financial Economics 
Pages: 599-607 
Issue: 8 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000040715 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000040715
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:8:p:599-607




Template-Type: ReDIF-Article 1.0
Author-Name: Said Elfakhani 
Author-X-Name-First: Said 
Author-X-Name-Last: Elfakhani 
Author-Name: Rita Ghantous 
Author-X-Name-First: Rita 
Author-X-Name-Last: Ghantous 
Author-Name: Imad Baalbaki 
Author-X-Name-First: Imad 
Author-X-Name-Last: Baalbaki 
Title: Mega-mergers in the US banking industry 
Abstract:
  Historically, financial markets have witnessed several consolidation
 trends. The year 1998, however, surpassed them all in volume and size of
 individual deals. This paper utilizes the event study approach to analyse
 the mega-mergers that took place in the banking industry during 1998,
 namely that of Travelers Group with Citicorp, NationsBank with
 BankAmerica, and Bank One with First Chicago NBD. A test of daily abnormal
 returns is conducted to find out the impact of each of the three mergers
 on shareholders' wealth from both the acquired and acquirer's perspective.
 The results obtained indicate that the market's reaction was positive
 during the on-event sub-period (i.e. days 0 and 1) for both the acquired
 and acquirer in the Travelers-Citicorp merger; only for the acquirer in
 the NationsBank-BankAmerica deal, and for the acquired firm in the case of
 Bank One-First Chicago NBD merger. 
Journal: Applied Financial Economics 
Pages: 609-622 
Issue: 8 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000050669 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000050669
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:8:p:609-622




Template-Type: ReDIF-Article 1.0
Author-Name: O. Beelders 
Author-X-Name-First: O. 
Author-X-Name-Last: Beelders 
Title: An investigation of the unconditional distribution of South African stock index returns 
Abstract:
  This article investigates the distribution of four broad stock indexes
 and four futures indexes on the Johannesburg Stock Exchange (JSE). It
 finds that the broad indexes are skewed and highly leptokurtic. Whereas
 the All Share, Industrial and Financial Indexes are negatively skewed, the
 Gold Index is positively skewed. In addition, the skewness is not only
 present in the tails, but also in the central part of the distribution.
 None of these indexes is covariance stationary over the sample period;
 this may be due to structural changes in the market such as the
 introduction of an electronic trading system in 1996 and the volatility
 introduced by the Asian crisis. For the futures indexes, it finds that
 only the Gold Index is characterized by (positive) skewness. All the
 futures indexes have excess kurtosis and none of them is covariance
 stationary. The futures indexes have less serial correlation than the
 broad indexes because they are constructed from large, highly liquid
 stocks. 
Journal: Applied Financial Economics 
Pages: 623-633 
Issue: 9 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210125019 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210125019
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:9:p:623-633




Template-Type: ReDIF-Article 1.0
Author-Name: L. Sarno 
Author-X-Name-First: L. 
Author-X-Name-Last: Sarno 
Author-Name: M. P. Taylor 
Author-X-Name-First: M. P. 
Author-X-Name-Last: Taylor 
Title: An empirical investigation of asset price bubbles in Latin American emerging financial markets 
Abstract:
  A generally accepted view among researchers and policy makers is that
 large capital flows to Latin America starting from the second half of the
 1980s through the 1990s may have caused speculative bubbles in the asset
 markets of recipient economies. This article tests for asset price bubbles
 in the stock markets of six Latin American countries using data for the
 last 10 years or so. It employs recently developed robust estimation
 techniques which are specifically designed to exploit the skewness and
 leptokurtosis that bubbles may engender in the data. It finds massive
 deviations from normality in both stock prices and dividends series and
 the test results provide strong evidence for the existence of stock price
 bubbles in each of the markets examined. 
Journal: Applied Financial Economics 
Pages: 635-643 
Issue: 9 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210124597 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210124597
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:9:p:635-643




Template-Type: ReDIF-Article 1.0
Author-Name: S. K. Bhaumik 
Author-X-Name-First: S. K. 
Author-X-Name-Last: Bhaumik 
Author-Name: D. Coondoo 
Author-X-Name-First: D. 
Author-X-Name-Last: Coondoo 
Title: Econometrics of yield spreads in the money market: a note 
Abstract:
  The literature on bond markets and interest rates has focused largely on
 the term structure of interest rates, specifically, on the so-called
 expectations hypothesis. At the same time, little is known about the
 nature of the spread of the interest rates in the money market beyond the
 fact that such spreads are generally unstable. However, with the evolution
 of complex financial instruments, it has become imperative to identify the
 time series process that can help one accurately forecast such spreads
 into the future. This article explores the nature of the time series
 process underlying the spread between three-month and one-year US rates,
 and concludes that the movements in this spread over time is best captured
 by a GARCH(1,1) process. It also suggests the use of a relatively long
 term measure of interest rate volatility as an explanatory variable. This
 exercise has gained added importance in view of the revelation that GARCH
 based estimates of option prices consistently outperform the corresponding
 estimates based on the stylized Black-Scholes algorithm. 
Journal: Applied Financial Economics 
Pages: 645-653 
Issue: 9 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210126865 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210126865
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:9:p:645-653




Template-Type: ReDIF-Article 1.0
Author-Name: A. Chatrath 
Author-X-Name-First: A. 
Author-X-Name-Last: Chatrath 
Author-Name: F. Song 
Author-X-Name-First: F. 
Author-X-Name-Last: Song 
Author-Name: B. Adrangi 
Author-X-Name-First: B. 
Author-X-Name-Last: Adrangi 
Title: Futures trading activity and stock price volatility: some extensions 
Abstract:
  An earlier investigation by Bessembinder and Seguin employed open
 interest data to demonstrate that heavy (unexpected) trading activity in
 stock index futures is destabilizing. This article re-examines the issue
 in the framework of the commitments of four groups of traders in the S&P
 500 index futures market: hedgers (institutional traders), large
 speculators, small traders and spreaders. Finding that surges in
 institutional commitments in index futures are followed by increased
 levels of price variability. The results are not conclusive on whether
 portfolio insurance strategies contribute to this relationship. Moreover,
 there is no evidence that the participation of other futures traders,
 notably large speculators and small traders, is destabilizing. An
 implication is that the current margins structure that favours
 institutional traders is ill-suited to the goal of volatility-control. The
 release of the commitment of trader data which provides open interest
 information on an ex post basis is found to have no impact on stock market
 volatility. Thus, the positive relationship between surges in
 institutional futures activity and volatility seems to stem from trading
 mechanisms, rather than from the formal disclosure of commitment of
 traders. 
Journal: Applied Financial Economics 
Pages: 655-664 
Issue: 9 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100110115183 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110115183
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:9:p:655-664




Template-Type: ReDIF-Article 1.0
Author-Name: N. T. Laopodis 
Author-X-Name-First: N. T. 
Author-X-Name-Last: Laopodis 
Title: Stochastic behaviour of Deutsche mark exchange rates within EMS 
Abstract:
  This article explores the intertemporal interaction of three European
 Monetary System (EMS) exchange rates namely, the French franc, the Belgian
 franc, and the Italian lira vis-a-vis the Deutsche mark from 1979 to 1999.
 The returns were examined using the multivariate moving average
 Exponential GARCH model, which is capable of accounting for potential
 asymmetries in the volatility transmission mechanism. The results point to
 significant and reciprocal volatility spillovers among markets before
 Germany's reunification in 1990. However, absence of spillovers and/or
 asymmetric behaviour of volatility is shown in the post-unification
 period. The 1990s witnessed a rapid process of macroeconomic convergence
 by the core EMS members and these actions substantially enhanced
 confidence about full monetary integration. Put differently, the EMS
 countries became better attuned to the business cycle and managed to
 significantly reduce consequential asymmetric shocks and thus exchange
 rate volatility. 
Journal: Applied Financial Economics 
Pages: 665-676 
Issue: 9 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210130608 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210130608
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:9:p:665-676




Template-Type: ReDIF-Article 1.0
Author-Name: Hark-Ppin Yhim 
Author-X-Name-First: Hark-Ppin 
Author-X-Name-Last: Yhim 
Author-Name: Khondkar Karim 
Author-X-Name-First: Khondkar 
Author-X-Name-Last: Karim 
Author-Name: Robert Rutledge 
Author-X-Name-First: Robert 
Author-X-Name-Last: Rutledge 
Title: The association between disclosure level and information quality: voluntary management earnings forecasts 
Abstract:
  This study investigates the empirical association between managers
 information advantages and disclosure quality choice in the context of
 management earnings forecasts (MEF). The main hypothesis is that the
 quality of information available to managers is associated with
 cross-sectional differences in firm characteristics, and that managers
 information advantages determine four classes of forecast pattern: no
 disclosure, qualitative disclosure (open-ended interval estimate or
 general impression), range (close-interval estimate) forecasts and point
 estimate. Prior works were extended through utilization of a multi-level
 forecast precision model, and through comparison of selected firm
 characteristics in forecast years with non-forecast years. The major
 findings of this study are as follows. First, the results support the
 notion that managers are likely to select low-level disclosure precision
 as the magnitude of earnings volatility increases. Second, the findings
 indicate that the proportion of outside ownership is significantly
 associated with high-level forecast precision. Lastly, the results
 indicate the dispersion of analysts forecasts (before the MEF) is larger
 in the year of the MEF than in a non-forecast year. A discussion of the
 implications of these results is provided. 
Journal: Applied Financial Economics 
Pages: 677-692 
Issue: 9 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210138538 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210138538
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:9:p:677-692




Template-Type: ReDIF-Article 1.0
Author-Name: Nicole Davis 
Author-X-Name-First: Nicole 
Author-X-Name-Last: Davis 
Author-Name: Ali Kutan 
Author-X-Name-First: Ali 
Author-X-Name-Last: Kutan 
Title: Inflation and output as predictors of stock returns and volatility: international evidence 
Abstract:
  Using monthly post-WWII data from 13 developed and developing countries
 and a battery of GARCH models, the influential study of Schwert's (Journal
 of Finance, 54 (5), 1115-1153, 1989) on US stock market volatility is
 extended to an international setting. In line with the evidence reported
 in Schwert (1989), it is found that macroeconomic volatility, measured by
 movements in inflation and real output, have a weak predictive power for
 stock market volatility and returns. The findings suggest that there is no
 strong support for the Fisher effect in international stock returns.
 Moreover, with the exception of a few countries, a procyclical monetary
 policy response seems evident in data during the sample period. 
Journal: Applied Financial Economics 
Pages: 693-700 
Issue: 9 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210139429 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210139429
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:9:p:693-700




Template-Type: ReDIF-Article 1.0
Author-Name: Anne Vila Wetherilt 
Author-X-Name-First: Anne Vila 
Author-X-Name-Last: Wetherilt 
Title: Money market operations and short-term interest rate volatility in the United Kingdom 
Abstract:
  This study examines whether in the United Kingdom the choice of the
 operational framework for monetary policy has been systematically related
 to patterns in money market rates. It first focuses on the Bank of
 England's policy target, the two-week repo rate. The tests indicate that
 tighter spreads between the two-week market rate and the official repo
 rate result in lower money market volatility at the very short end of the
 money market curve. The effects at the longer end are much weaker. But no
 evidence is found of transmission of two-week volatility along the money
 market curve. In contrast to many other central banks, the Bank of England
 does not employ an operating target for the overnight rate. No evidence is
 found that allowing greater variation in overnight rates undermines
 efforts of the central bank to keep market interest rates in alignment
 with its monetary policy target. The results further indicate that
 volatility of rates at the very short end of the UK money market yield
 curve has declined significantly since the early 1990s. The introduction
 of the gilt repo market in January 1996 was associated with lower money
 market volatility, although there is evidence that volatility had started
 to fall as early as mid-1995. The effects of the 1997 reforms of the Bank
 of England's open market operations are less discernible in the data. In
 contrast, the creation of a ceiling for overnight rates in June 1998 was
 more clearly associated with a reduction in volatility of end-of-day
 overnight rates. 
Journal: Applied Financial Economics 
Pages: 701-719 
Issue: 10 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000020898 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000020898
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:701-719




Template-Type: ReDIF-Article 1.0
Author-Name: Antti Kanto 
Author-X-Name-First: Antti 
Author-X-Name-Last: Kanto 
Author-Name: Hannu Schadewitz 
Author-X-Name-First: Hannu 
Author-X-Name-Last: Schadewitz 
Title: Impact of nonearnings disclosures on market risk: evidence with interim reports 
Abstract:
  How nonearnings information affects a firm's market risk beta is
 reported. Nonearnings information is quantified by two indices: one for
 overall disclosure and the other for purely voluntary disclosure. The data
 are divided into four categories reflecting the quality of disclosure. The
 effect of disclosure on beta is found to be nonlinear with the data of
 interim reports submitted to the Helsinki Stock Exchange in the years
 1985-1993. The findings show that, during and after the event, the
 cross-sectional betas vary in all the classes of disclosure examined.
 Specifically, the betas are statistically significant mainly in the low
 quality disclosure class. This indicates that in the remaining disclosure
 groups firm-specific-factors, rather than aggregate market development,
 explain the riskiness of a firm's equity. 
Journal: Applied Financial Economics 
Pages: 721-729 
Issue: 10 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210139438 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210139438
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:721-729




Template-Type: ReDIF-Article 1.0
Author-Name: Joelle Miffre 
Author-X-Name-First: Joelle 
Author-X-Name-Last: Miffre 
Title: The cross section of expected futures returns and the Keynesian hypothesis 
Abstract:
  This article identifies some shortcomings in the tests of the Keynesian
 hypothesis implemented so far. The previous studies either assume
 integration between futures and equity markets or rely on a methodology
 that might produce incorrect inferences regarding the presence of a
 futures risk premium. This article investigates the normal backwardation
 theory using a methodology exempt from these problems. While short and
 long hedgers in agricultural commodity futures markets transfer their risk
 to one another at no cost, the Keynesian hypothesis is found to have some
 merits in describing the way financial and metal futures prices are set. 
Journal: Applied Financial Economics 
Pages: 731-739 
Issue: 10 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310210141732 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310210141732
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:731-739




Template-Type: ReDIF-Article 1.0
Author-Name: Jorge Gonzalez 
Author-X-Name-First: Jorge 
Author-X-Name-Last: Gonzalez 
Author-Name: Roger Spencer 
Author-X-Name-First: Roger 
Author-X-Name-Last: Spencer 
Author-Name: Daniel Walz 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Walz 
Title: A contemporary analysis of Mexican stock market volatility 
Abstract:
  It is found that there has been an increase in the volatility of the
 Mexican stock market over the past decade. However, employment of a GARCH
 model in conjunction with Tsay's outlier methodology demonstrates that the
 increased volatility is associated with outliers, not the underlying
 processes of the market. The association of outlier shocks with specific
 events indicates that market shocks were generated mainly by domestic
 factors during the first half of the 1990s, while international factors
 were the primary culprits after 1995. 
Journal: Applied Financial Economics 
Pages: 741-745 
Issue: 10 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210140166 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210140166
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:741-745




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Vanitha Ragunathan 
Author-X-Name-First: Vanitha 
Author-X-Name-Last: Ragunathan 
Title: Returns and volatility on the Chinese stock markets 
Abstract:
  The transfer of information is analysed within two distinct markets in
 the same country, specifically, the Chinese stock markets. The presence of
 autocorrelation and cross correlation in the four main stock indices is
 examined. The results for stock index data find spillovers in both
 directions from 'A' and 'B' shares. However, it is also documented that
 this feature of the market does not extend to volatility in that there is
 no spillover in volatility from 'B' share prices to 'A' share prices or
 vice-versa. 
Journal: Applied Financial Economics 
Pages: 747-752 
Issue: 10 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210148212 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210148212
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:747-752




Template-Type: ReDIF-Article 1.0
Author-Name: J. S. Ferris 
Author-X-Name-First: J. S. 
Author-X-Name-Last: Ferris 
Author-Name: J. A. Galbraith 
Author-X-Name-First: J. A. 
Author-X-Name-Last: Galbraith 
Title: Indirect convertibility as a money rule for inflation targeting 
Abstract:
  In this paper we re-examine the case for Indirect Convertibility made by
 Greenfield and Yeager (1983, 1989) as a mechanism for promoting greater
 internal price level stability. We argue that with some reinterpretation,
 indirect convertibility can be interpreted as a convenient, practical
 monetary policy rule by which central banks engaged in inflation targeting
 can better achieve their price stabilization goals. It also implies that
 the more general acceptance of indirect convertibility by a set of
 countries pursuing a common inflation target would better coordinate group
 success and by doing so could form an important intermediate step in
 coordinating the adoption of a common currency 
Journal: Applied Financial Economics 
Pages: 753-761 
Issue: 10 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210148221 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210148221
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:753-761




Template-Type: ReDIF-Article 1.0
Author-Name: Noor Ghazali 
Author-X-Name-First: Noor 
Author-X-Name-Last: Ghazali 
Author-Name: Shamshubariah Ramlee 
Author-X-Name-First: Shamshubariah 
Author-X-Name-Last: Ramlee 
Title: A long memory test of the long-run Fisher effect in the G7 countries 
Abstract:
  The belief that short-term interest rates respond positively to changes
 in price level, commonly known as the Fisher effect, are currently being
 investigated extensively by financial researchers. Over the long run the
 hypothesis implies the presence of an equilibrium relationship between
 interest rates and inflation. Early evidence favouring the Fisher effect
 is found not to be consistent in certain time periods and some countries.
 This paper examines the presence of the effect in the G7 countries. An
 ARFIMA (Autoregressive Fractionally Integrated Moving Average) model is
 employed that generalizes the standard ARIMA by allowing fractional
 differencing. Based on the generalized ARFIMA estimation, the
 cointegration hypothesis between short-term interest rates and inflation
 cannot be supported. Interest rates in the G7 countries are not linked to
 inflation rate in the long run. The puzzling evidence rejecting the Fisher
 effect remains as the proposed relationship between interest rates and
 inflation is not real in these countries. 
Journal: Applied Financial Economics 
Pages: 763-769 
Issue: 10 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210149149 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210149149
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:763-769




Template-Type: ReDIF-Article 1.0
Author-Name: Ruben Arrondo 
Author-X-Name-First: Ruben 
Author-X-Name-Last: Arrondo 
Author-Name: Silvia Gomez-Anson 
Author-X-Name-First: Silvia 
Author-X-Name-Last: Gomez-Anson 
Title: A study of Spanish firms' security issue decision under asymmetric information and agency costs 
Abstract:
  The ability of asymmetric informational models and agency models is
 analysed to explain the firm's security issue choice and the market
 reaction to equity and bond issues. The results support mainly agency
 models as an explanation for the firm's decisions to issue debt or equity,
 while the market reaction to equity issues is both explained by models of
 asymmetry of information and agency models. The study also highlights the
 importance of considering different contexts when analysing capital
 structure decisions. 
Journal: Applied Financial Economics 
Pages: 771-782 
Issue: 10 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210148203 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210148203
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:10:p:771-782




Template-Type: ReDIF-Article 1.0
Author-Name: Nuno Cassola 
Author-X-Name-First: Nuno 
Author-X-Name-Last: Cassola 
Author-Name: Jorge Barros Luis 
Author-X-Name-First: Jorge Barros 
Author-X-Name-Last: Luis 
Title: A two-factor model of the German term structure of interest rates 
Abstract:
  This paper shows that a two-factor constant volatility model provides an
 adequate description of the dynamics and shape of the German term
 structure of interest rates from 1972 up to 1998. The model also provides
 reasonable estimates of the volatility and term premium curves. Following
 the conjecture that the two factors driving the German term structure of
 interest rates represent the ex-ante real interest rate and the expected
 inflation rate, the identification of one factor with expected inflation
 is discussed. The estimates are obtained using a Kalman filter and a
 maximum likelihood procedure including in the measurement equation both
 the yields and their volatilities. 
Journal: Applied Financial Economics 
Pages: 783-806 
Issue: 11 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000020915 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000020915
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:11:p:783-806




Template-Type: ReDIF-Article 1.0
Author-Name: T. C. Mills 
Author-X-Name-First: T. C. 
Author-X-Name-Last: Mills 
Author-Name: J. V. Jordanov 
Author-X-Name-First: J. V. 
Author-X-Name-Last: Jordanov 
Title: The size effect and the random walk hypothesis: evidence from the London Stock Exchange using Markov Chains 
Abstract:
  This paper examines the predictability of size portfolio returns using a
 new database constructed from the London Stock Exchange for the period
 1985-1995. Predictability of returns, both adjusted and unadjusted for
 risk, are examined and, because evidence of nonlinearity and nonnormality
 is found in these series, conventional autocorrelation analysis is
 supplemented with analysis using Markov chain processes. It is found that
 predictabilities appear for the largest size portfolios rather than the
 smallest, so that, although a size effect remains in the market, it is
 rather different to that which is usually thought to hold. 
Journal: Applied Financial Economics 
Pages: 807-815 
Issue: 11 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000116224 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000116224
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:11:p:807-815




Template-Type: ReDIF-Article 1.0
Author-Name: Gokce Soydemir 
Author-X-Name-First: Gokce 
Author-X-Name-Last: Soydemir 
Author-Name: A. George Petrie 
Author-X-Name-First: A. George 
Author-X-Name-Last: Petrie 
Title: Intraday information transmission between DJIA spot and futures markets 
Abstract:
  This study empirically examines the dynamic relationship between Dow
 Jones Industrial Average (DJIA) spot and futures markets by constructing a
 vector autoregressive (VAR) model. The volatility series in the VAR model
 are derived from the GARCH model estimations. The findings show evidence
 of two-way causality, but the impact of a one time increase in futures
 returns on the spot return volatility is found to be greater than the
 impact of a one time increase in spot returns on futures return
 volatility. Further, the results show that an increase in spot trading
 activity decreases spot and futures return volatility. However, a similar
 increase in futures trading activity increases futures return volatility
 but has no net impact on the spot return volatility. The results are
 consistent with the view that an investor trading in the futures market
 needs to consider the return movements in both spot and futures markets
 and the volume movements only in futures market. On the other hand, an
 investor trading in the spot market needs to consider only the return
 movements both in the spot and futures markets. 
Journal: Applied Financial Economics 
Pages: 817-827 
Issue: 11 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000025460 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000025460
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:11:p:817-827




Template-Type: ReDIF-Article 1.0
Author-Name: Bokhyeon Baik 
Author-X-Name-First: Bokhyeon 
Author-X-Name-Last: Baik 
Author-Name: Cheolbeom Park 
Author-X-Name-First: Cheolbeom 
Author-X-Name-Last: Park 
Title: Dispersion of analysts' expectations and the cross-section of stock returns 
Abstract:
  Empirical evidence is presented to show that the dispersion in analysts'
 forecasts can explain part of the differences in cross-sectional stock
 returns. Generally, high dispersion stocks show relatively lower future
 returns than low dispersion stocks, and the difference in performance is
 statistically significant. Furthermore, the negative relation between
 stock returns and dispersions continues to hold even after controlling for
 size, book-to-market ratio and earnings-price ratio. This empirical fact
 is consistent with the earlier model of Harrison and Kreps, and
 demonstrates that investors are exploiting their awareness of
 heterogeneity in expectations in order to pursue resale gains 
Journal: Applied Financial Economics 
Pages: 829-839 
Issue: 11 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000129617 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000129617
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:11:p:829-839




Template-Type: ReDIF-Article 1.0
Author-Name: Ainhoa Zarraga 
Author-X-Name-First: Ainhoa 
Author-X-Name-Last: Zarraga 
Title: GMM-based testing procedures of the mixture of distributions model 
Abstract:
  A direct test of the mixture-of-distributions model is conducted using
 daily Spanish stock return and trading volume for the period April 1990 to
 January 1996. Both the standard mixture-of-distributions model of Tauchen
 and Pitts (1983) and the modified version proposed by Andersen (1996) are
 estimated by GMM and tested using the overidentified restrictions. The
 results reject the models, that is, the variables are not related due to a
 common dependence on a factor, namely the flow of information, according
 to the specifications of the mixture models considered. 
Journal: Applied Financial Economics 
Pages: 841-848 
Issue: 11 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000129608 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000129608
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:11:p:841-848




Template-Type: ReDIF-Article 1.0
Author-Name: Jati Sengupta 
Author-X-Name-First: Jati 
Author-X-Name-Last: Sengupta 
Title: Efficiency tests for mutual fund portfolios 
Abstract:
  A set of nonparametric tests which includes the convex hull method and
 the stochastic dominance criteria is developed here for evaluating the
 performance of mutual fund portfolios. The empirical results support the
 hypothesis that some groups of funds based on new technology tend to
 outperform the others and in most cases the investor shows a preference
 for skewness, thus emphasizing an asymmetry in the mean variance
 relationship. Technology funds tend to exhibit second order stochastic
 dominance over the income and growth funds. This shows some new features
 of the mean variance efficiency frontier. 
Journal: Applied Financial Economics 
Pages: 869-876 
Issue: 12 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/09603100210161992 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210161992
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:869-876




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Frommel 
Author-X-Name-First: Michael 
Author-X-Name-Last: Frommel 
Author-Name: Lukas Menkhoff 
Author-X-Name-First: Lukas 
Author-X-Name-Last: Menkhoff 
Title: Increasing exchange rate volatility during the recent float 
Abstract:
  The paper examines empirically whether the volatility of major floating
 exchange rates shows any systematic change during the period from 1973 to
 1998. Four measures for unconditional and conditional volatility
 demonstrate increasing volatility for most currencies and for two
 worldwide baskets of exchange rates. Structural breaks are identified for
 several exchange rates, implying that the volatility increase is in some
 cases due to upward shifts and not due to continuous changes. This may
 indicate that in addition to permanent microstructural impacts,
 macroeconomically-caused shifts are possibly also important for the
 volatility increase. 
Journal: Applied Financial Economics 
Pages: 877-883 
Issue: 12 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310022000035847 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310022000035847
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:877-883




Template-Type: ReDIF-Article 1.0
Author-Name: Sang-Rim Choi 
Author-X-Name-First: Sang-Rim 
Author-X-Name-Last: Choi 
Author-Name: Adrian Tschoegl 
Author-X-Name-First: Adrian 
Author-X-Name-Last: Tschoegl 
Title: Currency risks, government procurement and counter-trade: a note 
Abstract:
  Government agencies that procure goods from abroad typically face various
 risks, particularly uncertainty over future real prices. Interestingly,
 the agencies can use a counter-trade transaction to solve the real price
 problem. Because both sides of a counter-trade deal are real goods, not
 financial instruments, counter-trade can solve the inflation risk involved
 in foreign currency procurement. Counter-trade therefore can sometimes
 dominate financial instruments as a way to hedge. 
Journal: Applied Financial Economics 
Pages: 885-889 
Issue: 12 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000129644 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000129644
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:885-889




Template-Type: ReDIF-Article 1.0
Author-Name: Changyun Wang 
Author-X-Name-First: Changyun 
Author-X-Name-Last: Wang 
Title: Investor sentiment, market timing, and futures returns 
Abstract:
  This study examines whether actual trader position-based sentiment index
 is useful for predicting returns in the S&P 500 index futures market. The
 results show that large speculator sentiment is a price continuation
 indicator, whereas large hedger sentiment is a contrary indicator. Small
 trader sentiment hardly forecasts future market movements. Moreover,
 extreme large trader sentiments and the combination of extreme large
 trader sentiments tend to provide more reliable forecasts. These findings
 suggest that large speculators possess superior timing ability in the
 market. 
Journal: Applied Financial Economics 
Pages: 891-898 
Issue: 12 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000129653 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000129653
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:891-898




Template-Type: ReDIF-Article 1.0
Author-Name: Shi-Miin Liu 
Author-X-Name-First: Shi-Miin 
Author-X-Name-Last: Liu 
Author-Name: Chih-Hsien Chou 
Author-X-Name-First: Chih-Hsien 
Author-X-Name-Last: Chou 
Title: Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis 
Abstract:
  This article tries to disclose true parity relationships between gold and
 silver prices using fractional cointegration analysis. Both gold-silver
 and silver-gold parities are slow-adjustment long-memory processes with a
 time-varying risk premium. Information exposed by the parities is
 extremely useful in relatively long-run spread trading in the precious
 metal markets. Significant riskless profits could be earned based on the
 general ECMs' forecasting of the changes of the futures and cash spreads
 between gold and silver. The performance problem of gold and silver
 markets as a whole, therefore, is obvious. 
Journal: Applied Financial Economics 
Pages: 899-911 
Issue: 12 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000129626 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000129626
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:899-911




Template-Type: ReDIF-Article 1.0
Author-Name: Esther Del Brio 
Author-X-Name-First: Esther Del 
Author-X-Name-Last: Brio 
Author-Name: Alberto De Miguel 
Author-X-Name-First: Alberto 
Author-X-Name-Last: De Miguel 
Author-Name: Julio Pindado 
Author-X-Name-First: Julio 
Author-X-Name-Last: Pindado 
Title: Investment and firm value: an analysis using panel data 
Abstract:
  This study develops a model in order to study in depth the relationship
 between investment and firm value. This model is estimated by using panel
 data methodology, obtaining results for Spanish firms. These results
 indicate a direct but inversely proportional relationship between the
 volume of investment and firm value. In addition, the empirical evidence
 shows that the creation of value persists over the long run, although no
 distinction is found between firms that announce their investments
 (divestments) and those that do not. When investment opportunities are
 introduced into the analysis, results indicate that the creation of value
 is greater for those firms with valuable investment opportunities.
 Finally, our results corroborate the free cash flow theory, since there is
 a decrease in value for investing firms with a high level of free cash
 flow. 
Journal: Applied Financial Economics 
Pages: 913-923 
Issue: 12 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000082079 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000082079
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:913-923




Template-Type: ReDIF-Article 1.0
Author-Name: Prabir Bhattacharya 
Author-X-Name-First: Prabir 
Author-X-Name-Last: Bhattacharya 
Author-Name: M. N. Sivasubramanian 
Author-X-Name-First: M. N. 
Author-X-Name-Last: Sivasubramanian 
Title: Financial development and economic growth in India: 1970-1971 to 1998-1999 
Abstract:
  This paper examines the causal relationship between financial development
 and economic growth in India for the period 1970-1971 to 1998-1999, using
 the techniques of unit root and cointegration analysis. The results show
 that, for the period under consideration, it is M3, representing financial
 sector development, which led GDP and not the other way around. 
Journal: Applied Financial Economics 
Pages: 925-929 
Issue: 12 
Volume: 13 
Year: 2003 
X-DOI: 10.1080/0960310032000129590 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000129590
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:925-929




Template-Type: ReDIF-Article 1.0
Author-Name: Pilar Corredor 
Author-X-Name-First: Pilar 
Author-X-Name-Last: Corredor 
Author-Name: Rafael Santamaria 
Author-X-Name-First: Rafael 
Author-X-Name-Last: Santamaria 
Title: Forecasting volatility in the Spanish option market 
Abstract:
  The performance of several alternative forecasts for the Ibex-35 index
 options market data is compared and a test for market efficiency of the
 Spanish Option Market with respect to volatility forecasts provided. The
 forecasts include time series, implied volatilities and composite
 specifications using both parametric and nonparametric ways. It is found
 that the choice of the best model depends on the error measurement that
 depends on the ultimate purpose of the forecasting procedure. Also the
 results generated from an ex ante arbitrage strategy are not different
 from zero at conventional significance levels once the transaction costs
 are taken into account. This result supports the hypothesis of the market
 efficiency of the Spanish Option Market. 
Journal: Applied Financial Economics 
Pages: 1-11 
Issue: 1 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000164176 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000164176
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:1:p:1-11




Template-Type: ReDIF-Article 1.0
Author-Name: Raphael Markellos 
Author-X-Name-First: Raphael 
Author-X-Name-Last: Markellos 
Title: Diversification benefits in trading? 
Abstract:
  This study argues that there may exist benefits in active portfolio
 management and trading other than the possibility of obtaining excess
 returns. The objective is not to attack the hypothesis that trading cannot
 produce (risk-adjusted) returns that are superior to passive investment
 strategies. What is suggested is that the combination of active and
 passive strategies can help considerably in diversifying investment
 positions. An empirical application using large samples of daily data on
 the Dow Jones Industrial Average (DJIA) and the Financial Times Institute
 of Actuaries 30 (FT30) indexes shows that simple market timing techniques,
 such as those used by Brock et al. (Journal of Finance, 47, 1731-64,
 1992), Mills (International Journal of Finance and Economics, 2, 319-31,
 1997) and Markellos (Applied Economics Letters, 6, 177-79, 1999), can be
 combined with buy-and-hold strategies to match the market return at a
 fraction of market risk. In accordance with the studies by Mills and
 Markellos, it is found that the behaviour of the data appears to have
 changed in recent years. 
Journal: Applied Financial Economics 
Pages: 13-17 
Issue: 1 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000164185 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000164185
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:1:p:13-17




Template-Type: ReDIF-Article 1.0
Author-Name: Santi Chaisrisawatsuk 
Author-X-Name-First: Santi 
Author-X-Name-Last: Chaisrisawatsuk 
Author-Name: Subhash Sharma 
Author-X-Name-First: Subhash 
Author-X-Name-Last: Sharma 
Author-Name: Abdur Chowdhury 
Author-X-Name-First: Abdur 
Author-X-Name-Last: Chowdhury 
Title: Money demand stability under currency substitution: some recent evidence 
Abstract:
  This study deals with the issue of independent monetary policy and the
 stability of the domestic money demand function in the presence of
 currency substitution and capital mobility in five Asian economies. It is
 argued that money demand will be less stable and more difficult to control
 in the presence of international variables. The money demand function is
 derived using the portfolio balance approach. The results from the
 cointegration analysis reveal that capital mobility and currency
 substitution are significant factors in the domestic money demand
 equations for Indonesia, Korea, Malaysia, Singapore, and Thailand. The
 results also show that the US dollar, Japanese yen, and British pound are
 used significantly by domestic residents together with the domestic
 currency in Indonesia, Korea, Singapore and Thailand. However, in the case
 of Malaysia, despite the existence of currency substitution for the US
 dollar and Japanese yen, there is no evidence of currency substitution
 between the domestic currency and British pound. Therefore, for these
 countries to have an effective monetary policy, the monetary authorities
 should take into account the two international factors. 
Journal: Applied Financial Economics 
Pages: 19-27 
Issue: 1 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000164194 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000164194
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:1:p:19-27




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitris Georgoutsos 
Author-X-Name-First: Dimitris 
Author-X-Name-Last: Georgoutsos 
Author-Name: Georgios Kouretas 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Kouretas 
Title: A Multivariate I(2) cointegration analysis of German hyperinflation 
Abstract:
  This paper re-examines the Cagan model of German hyperinflation during
 the 1920s under the twin hypotheses that the system contains variables
 that are I(2) and that a linear trend is required in the cointegrating
 relations. Using the recently developed I(2) cointegration analysis
 developed by Johansen (1992, 1995, 1997) extended by Paruolo (1996) and
 Rahbek et al. (1999) we find that the linear trend hypothesis is rejected
 for the sample. However, we provide conclusive evidence that money supply
 and the price level have a common I(2) component. Then, the validity of
 Cagan's model is tested via a transformation of the I(2) to an I(1) model
 between real money balances and money growth or inflation. This
 transformation is not imposed on the data but it is shown to satisfy the
 statistical property of polynomial cointegration. Evidence is obtained in
 favour of cointegration between the two sets of variables which is however
 weakened by the sample dependence of the trace test that the application
 of the recursive stability tests for cointegrated VAR models show. 
Journal: Applied Financial Economics 
Pages: 29-41 
Issue: 1 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000164202 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000164202
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:1:p:29-41




Template-Type: ReDIF-Article 1.0
Author-Name: Hristos Doucouliagos 
Author-X-Name-First: Hristos 
Author-X-Name-Last: Doucouliagos 
Title: Number preference in Australian stocks 
Abstract:
  Stock price rallies/declines often terminate at price levels that are
 interpreted by many as areas of psychological resistance or support, while
 an alternative interpretation is that they coincide with price clusters.
 Some of these price levels tend to repeat with a regularity that is
 inconsistent with mere chance. In this paper, the existence of price
 clusters and psychological barriers is tested on a sample of 20 Australian
 stocks. We consider two number sequences, both derived from a base number
 of 100, as well as integer price levels. It is shown that Australian stock
 price data are not uniformly distributed and that for the majority of the
 stocks, price swing highs and lows are associated with certain recurring
 price levels. Some of the implications for trading and investing are
 considered. 
Journal: Applied Financial Economics 
Pages: 43-54 
Issue: 1 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000164211 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000164211
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:1:p:43-54




Template-Type: ReDIF-Article 1.0
Author-Name: A. A. Bevan 
Author-X-Name-First: A. A. 
Author-X-Name-Last: Bevan 
Author-Name: J. Danbolt 
Author-X-Name-First: J. 
Author-X-Name-Last: Danbolt 
Title: Testing for inconsistencies in the estimation of UK capital structure determinants 
Abstract:
  This article analyses the determinants of the capital structure of 1054
 UK companies from 1991 to 1997, and the extent to which the influence of
 these determinants are affected by time-invariant firm-specific
 heterogeneity. Comparing the results of pooled OLS and fixed effects panel
 estimation, significant differences in the results are found. While the
 OLS results are generally consistent with prior literature, the results of
 our fixed effects panel estimation contradict many of the traditional
 theories of the determinants of corporate financial structure. This
 suggests that results of traditional studies may be biased owing to a
 failure to control for firm-specific, time-invariant heterogeneity. The
 results of the fixed effects panel estimation find larger companies to
 have higher levels of both long-term and short-term debt than do smaller
 firms, profitability to be negatively correlated with the level of
 gearing, although profitable firms tend to have more short-term bank
 borrowing than less profitable firms, and tangibility to positively
 influence the level of short-term bank borrowing, as well as all long-term
 debt elements. However, the level of growth opportunities appears to have
 little influence on the level of gearing, other than short-term bank
 borrowing, where a significant negative relationship is observed. 
Journal: Applied Financial Economics 
Pages: 55-66 
Issue: 1 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000164220 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000164220
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:1:p:55-66




Template-Type: ReDIF-Article 1.0
Author-Name: Gary Gang Tian 
Author-X-Name-First: Gary Gang 
Author-X-Name-Last: Tian 
Author-Name: Guang Hua Wan 
Author-X-Name-First: Guang Hua 
Author-X-Name-Last: Wan 
Title: Interaction among China-related stocks: evidence from a causality test with a new procedure 
Abstract:
  The purpose of this study is to investigate a causal relationship among
 five different indices of shares issued by Chinese firms, A-, B- and
 H-shares listed in China and Hong Kong. This article re-examines the
 interactions among these China-related stocks using daily time series data
 by constructing a vector autoregresion (VAR) model. A new Granger
 no-causality testing procedure developed by Toda and Yamamoto was applied
 to test the causality link among these five stock indices. The results
 suggest that the 'closed' B-share markets in Shanghai and Shenzhen exhibit
 causality relations with each other during the entire period between 1993
 and 1999 but this pattern does not exist within A-share markets.
 Furthermore, evidence is also found of Granger causality running from Hong
 Kong H-shares to B-shares in Shanghai and Shenzhen, and from Shanghai
 B-shares to all the rest Chinese markets for the post-1996 period. 
Journal: Applied Financial Economics 
Pages: 67-72 
Issue: 1 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000164239 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000164239
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:1:p:67-72




Template-Type: ReDIF-Article 1.0
Author-Name: L. Lin 
Author-X-Name-First: L. 
Author-X-Name-Last: Lin 
Author-Name: J. Piesse 
Author-X-Name-First: J. 
Author-X-Name-Last: Piesse 
Title: Identification of corporate distress in UK industrials: a conditional probability analysis approach 
Abstract:
  Multivariate discriminant analysis (MDA) has long been used to classify
 failing and non-failing firms with high accuracy rates, although a number
 of methodological flaws are well known. The alternative approach based on
 conditional probability analysis (CPA) models have been applied to
 forecast mergers and acquisitions and extended to the prediction of
 corporate failure. This is used here to distinguish between distressed and
 non-distressed companies in the UK industrial sector for the period
 1985-1994. Results show that the CPA model is both efficient and
 consistent, has high accuracy levels and avoids the biased sampling
 problems that have been identified in MDA studies. 
Journal: Applied Financial Economics 
Pages: 73-82 
Issue: 2 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000176344 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000176344
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:2:p:73-82




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: A simple test of the Fama and French model using daily data: Australian evidence 
Abstract:
  The current study contributes to the empirical literature aimed at
 testing the Fama and French three-factor model, using daily Australian
 data. In general, the evidence found is quite favourable to the model
 based on formal asset pricing tests. However, when the estimated risk
 premia are taken into account, the support for the Fama-French model is
 less persuasive. In particular, a negative size premium is uncovered
 consistent with a wave of recent findings questioning its continued
 existence over recent years. 
Journal: Applied Financial Economics 
Pages: 83-92 
Issue: 2 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000176353 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000176353
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:2:p:83-92




Template-Type: ReDIF-Article 1.0
Author-Name: Carolina Castagnetti 
Author-X-Name-First: Carolina 
Author-X-Name-Last: Castagnetti 
Title: Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques 
Abstract:
  Two 'reduced-form' GARCH-M models are used to estimate the German swap
 spreads from a risk premium point of view. The first model makes use of a
 parametric GARCH in mean model that has been extended to the case of a
 vector autoregressive process. The second is a semiparametric model where
 the conditional variance is formalized as a GARCH process while
 conditional mean is an arbitrary function of it. It is shown that the
 monotonic relation implied by both GARCH in mean models between the delta
 swap spreads and its conditional variance holds for all maturities
 considered. Not surprisingly, the semiparametric model leads to a better
 explanation of the swap spreads dynamic than the parametric specification. 
Journal: Applied Financial Economics 
Pages: 93-104 
Issue: 2 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000176362 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000176362
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:2:p:93-104




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Harris 
Author-X-Name-First: Richard 
Author-X-Name-Last: Harris 
Title: The rational expectations hypothesis and the cross-section of bond yields 
Abstract:
  In the context of the bond market, empirical tests of the rational
 expectations hypothesis (REH) have without exception been tests of the
 time-series properties of interest rates. However, the REH also imposes
 restrictions on the cross-section of bond yields at each point in time.
 This study tests these restrictions using the Fama and MacBeth repeated
 cross-section regression procedure. Specifically, a long series of monthly
 cross-section regressions is estimated using zero coupon bond yield data
 for maturities from two months to thirty-five years. The REH is tested
 using the time-series average of the estimated slope parameter in the
 cross-section regressions. The maturity-specific risk premium is proxied
 by the time-series volatility of excess returns for each bond maturity.
 Time-variation in the risk premium is allowed for through time-variation
 in the volatility of excess returns, and in the market price of risk.
 While the risk premium proxy is significant in explaining the
 cross-section of excess returns, the REH is very strongly rejected. 
Journal: Applied Financial Economics 
Pages: 105-112 
Issue: 2 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000176371 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000176371
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:2:p:105-112




Template-Type: ReDIF-Article 1.0
Author-Name: Tatsuyoshi Miyakoshi 
Author-X-Name-First: Tatsuyoshi 
Author-X-Name-Last: Miyakoshi 
Author-Name: Yoshihiko Tsukuda 
Author-X-Name-First: Yoshihiko 
Author-X-Name-Last: Tsukuda 
Title: The causes of the long stagnation in Japan 
Abstract:
  The paper investigates whether the Japanese bank lending causes the long
 stagnation in the 1990s and if so whether this effect on the growth is
 more persistent than in the 1980s. Applying a VAR model for the annual
 prefecture panel data, the former can be verified by Granger causality
 test and the latter by impulse response function. There exists only one
 way causality from the loan to the GDP in the slump periods, while two way
 causalities exist in the 1980s. The shock in the loan equation is less
 persistent than the shock in GDP in the 1980s, but the persistence is
 reversed in the 1990s. 
Journal: Applied Financial Economics 
Pages: 113-120 
Issue: 2 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000176380 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000176380
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:2:p:113-120




Template-Type: ReDIF-Article 1.0
Author-Name: K. Chaudhuri 
Author-X-Name-First: K. 
Author-X-Name-Last: Chaudhuri 
Author-Name: S. Smiles 
Author-X-Name-First: S. 
Author-X-Name-Last: Smiles 
Title: Stock market and aggregate economic activity: evidence from Australia 
Abstract:
  Using the multivariate cointegration methodology, this article documents
 the evidence of long-run relationships between real stock price and
 measures of aggregate real activity including real GDP, real private
 consumption, real money and the real price of oil in the Australian
 market. Real stock return in Australia is related to temporary departures
 from the long-run relationship and to changes in real macroeconomic
 activity. The results also document that the information provided by the
 cointegration contain some additional information that is not already
 present in other sources of return variation such as term spread, future
 GDP growth or shocks to term spread. On the other hand, the influence of
 other markets, especially stock return variation in the US and New Zealand
 markets, significantly affects Australian stock return movements. 
Journal: Applied Financial Economics 
Pages: 121-129 
Issue: 2 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000176399 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000176399
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:2:p:121-129




Template-Type: ReDIF-Article 1.0
Author-Name: A. Harri 
Author-X-Name-First: A. 
Author-X-Name-Last: Harri 
Author-Name: B. W. Brorsen 
Author-X-Name-First: B. W. 
Author-X-Name-Last: Brorsen 
Title: Performance persistence and the source of returns for hedge funds 
Abstract:
  Hedge funds exhibit performance persistence if some funds have
 consistently higher returns than others. Several procedures are used to
 determine if performance persists. The results show that performance
 persists in hedge funds with some funds showing the greatest persistence
 across all procedures. The results also indicate a strong negative
 relation between hedge fund capitalization and returns, which is
 consistent with the hypothesis that hedge fund managers exploit market
 inefficiencies. 
Journal: Applied Financial Economics 
Pages: 131-141 
Issue: 2 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000176407 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000176407
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:2:p:131-141




Template-Type: ReDIF-Article 1.0
Author-Name: Wee Ching Pok 
Author-X-Name-First: Wee Ching 
Author-X-Name-Last: Pok 
Author-Name: Sunil Poshakwale 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Poshakwale 
Title: The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange 
Abstract:
  In investigating the impact of futures trading on spot market volatility,
 it is not obvious to what extent the results obtained using data from well
 developed and highly liquid markets are applicable to emerging markets.
 This paper provides evidence on the impact of the introduction of futures
 trading on spot market volatility using data from both the underlying and
 non-underlying stocks in the emerging Malaysian stock market. Results show
 that the onset of futures trading increases spot market volatility and the
 flow of information to the spot market. It is found that the underlying
 stocks respond more to recent news, while the non-underlying stocks
 respond more to old news. The lead-lag and causal relationship between
 futures trading activity and spot market volatility is also examined. VAR
 results show that the impact of the previous day's futures trading
 activity on volatility is positive but short (only a day). This is further
 confirmed by Granger's causality test. 
Journal: Applied Financial Economics 
Pages: 143-154 
Issue: 2 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000176416 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000176416
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:2:p:143-154




Template-Type: ReDIF-Article 1.0
Author-Name: David Peel 
Author-X-Name-First: David 
Author-X-Name-Last: Peel 
Author-Name: Michael Peel 
Author-X-Name-First: Michael 
Author-X-Name-Last: Peel 
Author-Name: Ioannis Venetis 
Author-X-Name-First: Ioannis 
Author-X-Name-Last: Venetis 
Title: Further empirical analysis of the time series properties of financial ratios based on a panel data approach 
Abstract:
  A new panel unit root by Chang (Journal of Econometrics, 110, 261-92,
 2002) is employed on a set of financial ratios with a view to improving
 the power of unit root tests when applied to a relatively small number of
 observations (in the present case 38 annual observations). The test is
 innovative in that it allows for cross-sectional dependencies and the
 asymptotic distribution of the test is standard. Although standard
 Dickey-Fuller tests suggest that individual financial ratio series are
 nonstationary, panel unit root tests strongly reject the null hypothesis
 of a joint unit root in the ratios. Taken together the evidence from the
 proposed new analysis implies strong persistence in the ratios but that
 their characterization as I(1) processes may be misleading. These findings
 have important implications for accounting and finance researchers who
 employ financial ratios as explanatory variables. 
Journal: Applied Financial Economics 
Pages: 155-163 
Issue: 3 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000187342 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000187342
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:155-163




Template-Type: ReDIF-Article 1.0
Author-Name: Sebastian Schich 
Author-X-Name-First: Sebastian 
Author-X-Name-Last: Schich 
Title: European stock market dependencies when price changes are unusually large 
Abstract:
  This article studies dependencies between European stock markets when
 returns are unusually large 'extreme', using daily data on stock market
 indices for Germany, the UK, France, The Netherlands and Italy from 1973
 to 2001. Dependency is measured by the conditional probability of an
 unusually large return in one market given an unusually large return in
 another and is estimated using an approach from multivariate extreme value
 theory. It finds the following. First, dependencies between markets in
 situations of unusually large returns have become closer over time.
 Second, they are generally higher for large negative returns than for
 large positive ones. Third, dependencies differ depending on the country
 pair considered. For example, stock markets in the Netherlands and France
 are more closely and those in the UK and Italy less closely linked to the
 German market. Fourth, overall dependencies are quite symmetric, in the
 sense that the conditional probability for an unusually large change given
 a large change in the other country is similar irrespective of which of
 the two countries the probability is conditioned on. 
Journal: Applied Financial Economics 
Pages: 165-177 
Issue: 3 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000187360 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000187360
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:165-177




Template-Type: ReDIF-Article 1.0
Author-Name: L. Cassia 
Author-X-Name-First: L. 
Author-X-Name-Last: Cassia 
Author-Name: G. Giudici 
Author-X-Name-First: G. 
Author-X-Name-Last: Giudici 
Author-Name: S. Paleari 
Author-X-Name-First: S. 
Author-X-Name-Last: Paleari 
Author-Name: R. Redondi 
Author-X-Name-First: R. 
Author-X-Name-Last: Redondi 
Title: IPO underpricing in Italy 
Abstract:
  This article analyses the first-day return of 182 IPOs listed on the
 Italian Stock Exchange from 1985 to 2001. It finds a significantly mean
 positive underpricing (21.87%). Contrary to the evidence detected in the
 USA by Loughran and Ritter and Ljungqvist and Wilhelm, it highlights that
 on the main board of the Italian Exchange IPO underpricing decreased in
 the late 1990s. It claims that such a pattern can be accounted for by two
 determinants: (i) the evolution of pricing strategies, from fixed-price
 IPOs to bookbuilding, (ii) the segmentation of the Italian Exchange with
 the birth of a new board for high-growth and technology firms (Nuovo
 Mercato). It shows that IPOs are intentionally underpriced: both public
 and private information available at the IPO is only partially
 incorporated in pricing the shares. The results suggest that negative
 feedback learned during the preselling is more fully incorporated into the
 offer price than positive information. Finally, it shows that price
 revisions are partially predictable on the basis of public information at
 the time of the offering. 
Journal: Applied Financial Economics 
Pages: 179-194 
Issue: 3 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000187333 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000187333
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:179-194




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Harris 
Author-X-Name-First: Richard 
Author-X-Name-Last: Harris 
Author-Name: C. Coskun Kucukozmen 
Author-X-Name-First: C. Coskun 
Author-X-Name-Last: Kucukozmen 
Author-Name: Fatih Yilmaz 
Author-X-Name-First: Fatih 
Author-X-Name-Last: Yilmaz 
Title: Skewness in the conditional distribution of daily equity returns 
Abstract:
  The conditional distribution of asset returns is important for a number
 of applications in finance, including financial risk management, asset
 pricing and option valuation. In the GARCH framework, it is typically
 assumed that returns are drawn from a symmetric conditional distribution
 such as the normal, Student-t or power exponential. However, the use of a
 symmetric distribution is inappropriate if the true conditional
 distribution of returns is skewed. This study models the conditional
 distribution of daily returns in five international equity market indices
 and a world equity index using the skewed generalised-t (SGT)
 distribution, a distribution that allows for a very wide range of skewness
 and kurtosis, and which nests the three most commonly used distributions
 as special cases. It is shown that the use of a conditional SGT
 distribution offers a substantial improvement in the fit of both GARCH and
 EGARCH models. Moreover, for both models, the study strongly rejects the
 restrictions on the SGT that are implied by the normal, Student-t and
 power exponential distributions. With the GARCH specification, the
 conditional distribution is negatively skewed for all six series. However,
 for three of these series - namely the US, Japan and the World index -
 this skewness can be explained by leverage effects, which are captured by
 the EGARCH model. For the remaining three series - the UK, Canada and
 Germany - the skewness in the conditional distribution of returns remains
 even after allowing for leverage effects. 
Journal: Applied Financial Economics 
Pages: 195-202 
Issue: 3 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000187379 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000187379
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:195-202




Template-Type: ReDIF-Article 1.0
Author-Name: Brian Lucey 
Author-X-Name-First: Brian 
Author-X-Name-Last: Lucey 
Author-Name: Shane Whelan 
Author-X-Name-First: Shane 
Author-X-Name-Last: Whelan 
Title: Monthly and semi-annual seasonality in the Irish equity market 1934-2000 
Abstract:
  This paper examines the monthly and semi-annual behaviour of the Irish
 equity market in the long term. Little has previously been written about
 the Irish market, and such work as has been undertaken has confined
 examination to relatively short time spans. The paper finds, over the
 1934-2000 period, a strong and persistent monthly effect with a January
 peak, as well as evidence of April and half-year seasonality. 
Journal: Applied Financial Economics 
Pages: 203-208 
Issue: 3 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/096031042000187397 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031042000187397
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:203-208




Template-Type: ReDIF-Article 1.0
Author-Name: Barbara Summers 
Author-X-Name-First: Barbara 
Author-X-Name-Last: Summers 
Author-Name: Evan Griffiths 
Author-X-Name-First: Evan 
Author-X-Name-Last: Griffiths 
Author-Name: Robert Hudson 
Author-X-Name-First: Robert 
Author-X-Name-Last: Hudson 
Title: Back to the future: an empirical investigation into the validity of stock index models over time 
Abstract:
  The use of technical analysis to predict security price movements from
 past price series has been supported by a number of academic research
 studies. These studies are broadly based on the premise that a technical
 trading rule should have constant validity over time. This premise is in
 accord with the practitioner rational for technical analysis, which is
 that, in the securities markets, history tends to repeat itself due to the
 relative constancy of human behaviour. The primary purpose of this paper
 is to investigate the extent to which technical trading rules have
 constant validity over time by determining the extent to which rules
 derived entirely from a particular time period can have validity over a
 variety of different time periods. It is found that rules derived from the
 data from the early period can be predictive at a later date and, rather
 unexpectedly, can even exceed the predictive power of rules derived from
 more contemporary data. It is hypothesized that this may be due to a
 decreasing signal to noise ratio in the data as the volatility of the
 index increases over time. The findings tend to support the assertion
 that, with respect to share trading, 'history repeats itself' with the
 caveat that there are factors that confound modelling in later periods. 
Journal: Applied Financial Economics 
Pages: 209-214 
Issue: 3 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000187351 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000187351
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:209-214




Template-Type: ReDIF-Article 1.0
Author-Name: A. Gregoriou 
Author-X-Name-First: A. 
Author-X-Name-Last: Gregoriou 
Author-Name: A. Kontonikas 
Author-X-Name-First: A. 
Author-X-Name-Last: Kontonikas 
Author-Name: N. Tsitsianis 
Author-X-Name-First: N. 
Author-X-Name-Last: Tsitsianis 
Title: Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK 
Abstract:
  This article investigates the day of the week anomaly in the FTSE 100
 Share Index over an 11-year time period from 1 January 1986 to 31 December
 1997. Its focus is to assess whether the day of the week effect continues
 to persist once transactions costs are considered. Unlike previous
 literature it uses the bid-ask spread as a proxy for transactions costs.
 It finds that once returns become robust to transactions costs the anomaly
 appears to fade away. It then extends the research by looking at the
 time-varying volatility of stock returns with use of a GARCH model. The
 GARCH results further support the fact that transaction costs appear to
 die away the day of the week anomaly in the UK Stock market. 
Journal: Applied Financial Economics 
Pages: 215-220 
Issue: 3 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000187388 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000187388
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:3:p:215-220




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Hans Franses 
Author-X-Name-First: Philip Hans 
Author-X-Name-Last: Franses 
Author-Name: Dick van Dijk 
Author-X-Name-First: Dick 
Author-X-Name-Last: van Dijk 
Author-Name: Andre Lucas 
Author-X-Name-First: Andre 
Author-X-Name-Last: Lucas 
Title: Short patches of outliers, ARCH and volatility modelling  
Abstract:
  The (Generalized) AutoRegressive Conditional Heteroscedasticity [(G)ARCH]
 model is tested for daily data on 22 exchange rates and 13 stock market
 indices using the standard Lagrange Multiplier [LM] test for GARCH and a
 LM test that is resistant to patches of additive outliers. The data span
 two samples of five years ranging from 1986 to 1995. Using asymptotic
 arguments and Monte Carlo simulations, in which the empirical method is
 evaluated, it is shown that patches of outliers can have significant
 effects on test outcomes. The main empirical result is that spurious GARCH
 is found in about 40% of the cases, while in many other cases evidence of
 GARCH is found even though such sequences of extraordinary observations
 seem to be present. 
Journal: Applied Financial Economics 
Pages: 221-231 
Issue: 4 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000201174 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000201174
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:4:p:221-231




Template-Type: ReDIF-Article 1.0
Author-Name: Guglielmo Maria Caporale 
Author-X-Name-First: Guglielmo Maria 
Author-X-Name-Last: Caporale 
Author-Name: Nicola Spagnolo 
Author-X-Name-First: Nicola 
Author-X-Name-Last: Spagnolo 
Title: Modelling East Asian exchange rates: a Markov-switching approach 
Abstract:
  This paper compares the ability of nonlinear and standard linear models
 to capture the dynamics of foreign exchanges rates in the presence of
 structural breaks. The analysis is conducted for three East Asian
 countries, namely Indonesia, South Korea and Thailand. It is shown that a
 Markov regime-switching model with shifts in the mean and variance (rather
 than a STAR model) is well suited to capture the nonlinearities in
 exchange rates. Such a model is found to outperform a random walk
 specification in terms of both in-sample fitting and out-of-sample
 forecasting. In order to evaluate competing forecasts, accuracy measures
 based on both the forecast errors and the variance forecast are used. 
Journal: Applied Financial Economics 
Pages: 233-242 
Issue: 4 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000201192 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000201192
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:4:p:233-242




Template-Type: ReDIF-Article 1.0
Author-Name: Hyun-Jung Ryoo 
Author-X-Name-First: Hyun-Jung 
Author-X-Name-Last: Ryoo 
Author-Name: Graham Smith 
Author-X-Name-First: Graham 
Author-X-Name-Last: Smith 
Title: The impact of stock index futures on the Korean stock market 
Abstract:
  This article investigates the impact on the spot market of trading in
 KOSPI 200 futures. Empirical results show that futures trading increases
 the speed at which information is impounded into spot market prices,
 reduces the persistence of information and increases spot market
 volatility. The spot and futures prices are cointegrated and there is
 bidirectional causality between the two markets. The lead-lag relation is
 asymmetric with weaker evidence that the spot index leads futures and
 stronger evidence that the stock index futures market leads the spot
 market. 
Journal: Applied Financial Economics 
Pages: 243-251 
Issue: 4 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000201183 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000201183
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:4:p:243-251




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Alan Speight 
Author-X-Name-First: Alan 
Author-X-Name-Last: Speight 
Title: Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility 
Abstract:
  Intra-day periodicity has been widely observed in financial data. Recent
 research examining intra-day foreign exchange rate volatility dynamics
 reports that failure to account for this periodicity results in
 inconsistent GARCH parameter estimates in relationship to theoretical
 predictions on temporal aggregation. This article seeks to appraise the
 generality of this conclusion to the FTSE-100 index futures market. The
 nature of periodicity is first examined. Subsequent empirical results
 concerning the temporal aggregation of GARCH models show that the use of
 returns that are not adjusted for such periodicity are misleading.
 However, adjustment using a sine-cosine wave method or standardization by
 mean absolute returns provide more consistent results, the latter method
 dominating in out-of-sample forecasting of the volatility of successive
 individual futures contracts. The potential time-to-maturity effects of
 single contracts are also considered, but are statistically rejected for
 both forms of periodicity-adjusted data. 
Journal: Applied Financial Economics 
Pages: 253-263 
Issue: 4 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000201165 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000201165
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:4:p:253-263




Template-Type: ReDIF-Article 1.0
Author-Name: Alexandros Milionis 
Author-X-Name-First: Alexandros 
Author-X-Name-Last: Milionis 
Title: The importance of variance stationarity in economic time series modelling. A practical approach 
Abstract:
  Although non-stationarity in the level of a time series is always tested
 (and there is a variety of tests for this purpose), non-stationarity in
 the variance is sometimes neglected in applied research. In this work, the
 consequences of neglecting variance non-stationarity in financial time
 series, and the conceptual difference between variance non-stationarity
 and conditional variance are discussed. An ad hoc method for testing and
 correcting for variance non-stationarity is suggested. It is shown that
 the presence of variance non-stationarity leads to misspecified univariate
 ARIMA models and correcting for it, the number of model parameters is
 vastly reduced. Implications for the tests of the hypothesis of weak form
 market efficiency (WFME) are discussed. More specifically it is argued
 that the usual autocorrelation tests are inappropriate when based on the
 differences of asset prices. Finally, it is shown how the analysis of
 outliers is affected by the presence of variance non-stationarity. 
Journal: Applied Financial Economics 
Pages: 265-278 
Issue: 4 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000201200 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000201200
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:4:p:265-278




Template-Type: ReDIF-Article 1.0
Author-Name: Imad Moosa 
Author-X-Name-First: Imad 
Author-X-Name-Last: Moosa 
Title: Is there a need for hedging exposure to foreign exchange risk? 
Abstract:
  The performance of three strategies of hedging exposure to foreign
 exchange risk are evaluated in terms of the ability to optimize the
 domestic currency value of the exposure. The results, based on data
 covering the exchange rates of three currencies against the US dollar,
 reveal that hedging or no hedging will not make any difference over a long
 period of time even if perfectly accurate forecasts are available. This
 result is attributed to the validity of the unbiased efficiency hypothesis
 in the long run. It is argued that if the exposure is large and
 non-recurring then it should be hedged by using forward contracts in
 preference to money market hedging. To add more flexibility to the
 operation in situations like this, an option hedge may be considered. 
Journal: Applied Financial Economics 
Pages: 279-283 
Issue: 4 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000201219 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000201219
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:4:p:279-283




Template-Type: ReDIF-Article 1.0
Author-Name: Teo Jasic 
Author-X-Name-First: Teo 
Author-X-Name-Last: Jasic 
Author-Name: Douglas Wood 
Author-X-Name-First: Douglas 
Author-X-Name-Last: Wood 
Title: The profitability of daily stock market indices trades based on neural network predictions: case study for the S&P 500, the DAX, the TOPIX and the FTSE in the period 1965-1999  
Abstract:
  A variety of new and powerful time series tools are available to test for
 predictive components in data which previously have been regarded as weak
 form efficient. The key issue is whether these new tools support
 profitable trading. A method is introduced based on univariate neural
 networks using untransformed data inputs to provide short-term predictions
 of the stock market indices returns. The profitability of trading signals
 generated from the out-of-sample short-term predictions for daily returns
 of S&P 500, DAX, TOPIX and FTSE stock market indices is evaluated over the
 period 1965-1999. The results provide strong evidence of high and
 consistent predictability contrasting the previous finding of weak form
 efficiency for index series and is notable because two of the series (S&P
 500 and DAX) are confirmed as random using conventional tests. The
 out-of-sample prediction performance of neural networks is evaluated using
 RMSE, NMSE, MAE and sign and direction change statistics against a
 benchmark linear autoregressive model. Significant information advantage
 is confirmed by the Pesaran-Timmermann test. Finally, it is shown that buy
 and sell signals derived from neural network predictions are significantly
 different from unconditional one-day mean return and are likely to provide
 significant net profits for plausible decision rules and transaction cost
 assumptions. 
Journal: Applied Financial Economics 
Pages: 285-297 
Issue: 4 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000201228 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000201228
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:4:p:285-297




Template-Type: ReDIF-Article 1.0
Author-Name: Uri Benzion 
Author-X-Name-First: Uri 
Author-X-Name-Last: Benzion 
Author-Name: Yochanan Shachmurove 
Author-X-Name-First: Yochanan 
Author-X-Name-Last: Shachmurove 
Author-Name: Joseph Yagil 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Yagil 
Title: Subjective discount functions - an experimental approach 
Abstract:
  This study estimates the degree of the exponential-function (EF)
 misvaluation and its variation with three parameters: time, the product
 price level and its growth rate, as well as with personal characteristics.
 The results suggest an undervaluation of the compound discounting formula
 given by the exponential function and an overvaluation of the
 simple-interest discounting function. Findings appear in line with the
 hyperbolic function and perhaps indirectly related to the overconfidence
 and overreaction phenomena. A possible implication of the study's findings
 is that at least part of the intertemporal-choice anomalous behaviour
 documented in the experimental literature of economic psychology can be
 attributed to misevaluation of the exponential function. 
Journal: Applied Financial Economics 
Pages: 299-311 
Issue: 5 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000211579 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000211579
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:5:p:299-311




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Hu 
Author-X-Name-First: Michael 
Author-X-Name-Last: Hu 
Author-Name: Christine Jiang 
Author-X-Name-First: Christine 
Author-X-Name-Last: Jiang 
Author-Name: Christos Tsoukalas 
Author-X-Name-First: Christos 
Author-X-Name-Last: Tsoukalas 
Title: The volatility impact of the European monetary system on member and non-member currencies 
Abstract:
  The objective of the European Monetary System (EMS) is to increase the
 coherence of its member economies and to facilitate the process towards
 the European Monetary Union. One major element in the process has been the
 coordinated effort in reducing the volatility of the member currencies
 through the Exchange Rate Mechanism (ERM). To the same end, the
 Basle-Nyborg agreement of the European Union (EU) central bankers aims at
 strengthening the credibility of the EMS through providing credit
 facilities for intramarginal interventions. In this paper, the impact that
 the establishment of the EMS and the ratification of the Basle-Nyborg
 agreement had on the exchange rates of all EU currencies is studied. A
 multivariate GARCH(1,1) model is applied to all EU exchange rates in three
 subperiods: from January 1975 to the establishment of the EMS (March
 1979); from March 1979 to the Basle-Nyborg agreement (September 1987); and
 from September 1987 to October 1991. Comparisons of the estimated
 parameters are performed across subperiods and between EMS and non-EMS
 currencies. The characteristics of the estimated conditional variances
 across subperiods are further examined with nonparametric tests. The
 findings suggest that the EMS and, especially, the Basle-Nyborg agreement
 have stabilized the European currencies. 
Journal: Applied Financial Economics 
Pages: 313-325 
Issue: 5 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000211588 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000211588
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:5:p:313-325




Template-Type: ReDIF-Article 1.0
Author-Name: A. Tahai 
Author-X-Name-First: A. 
Author-X-Name-Last: Tahai 
Author-Name: Robert Rutledge 
Author-X-Name-First: Robert 
Author-X-Name-Last: Rutledge 
Author-Name: Khondkar Karim 
Author-X-Name-First: Khondkar 
Author-X-Name-Last: Karim 
Title: An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model 
Abstract:
  This study investigates financial cointegration of G7 equity markets. The
 term 'international stock market integration' refers to an area of
 research in financial economics that covers many different aspects of the
 interrelationships across equity markets. The cointegration of order two
 model, I(2), that was developed by Johansen is used to specify potential
 cointegration structure. The empirical validity of this economic model is
 investigated by employing monthly stock indexes of the Group of Seven (G7)
 from March 1978 through December 1997 on Morgan Stanley's Capital
 International (MSCI) indices. This monthly time series data is used to
 estimate the vector error correction model of order two (VECM(2)). The
 joint cointegration tests show that (at p&#x3c;0.05) there is one common
 I(2) trend and two I(1) trends in the financial equity market returns of
 G7 countries. Potential explanations of these results and implications for
 portfolio diversification strategies are discussed. 
Journal: Applied Financial Economics 
Pages: 327-335 
Issue: 5 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000211597 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000211597
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:5:p:327-335




Template-Type: ReDIF-Article 1.0
Author-Name: M. S. B. Aw 
Author-X-Name-First: M. S. B. 
Author-X-Name-Last: Aw 
Author-Name: R. A. Chatterjee 
Author-X-Name-First: R. A. 
Author-X-Name-Last: Chatterjee 
Title: The performance of UK firms acquiring large cross-border and domestic takeover targets 
Abstract:
  This paper focuses upon cross-border acquisitions. A three-way comparison
 is made between the post-takeover performance of UK acquirers of domestic
 UK, US, and Continental European targets between 1991 and 1996. This study
 examines if UK firms acquiring large takeover targets experience
 cumulative abnormal returns significantly different from zero up to two
 years after the acquisition. This study finds that UK firms acquiring
 large takeover targets experience negative cumulative abnormal returns
 over the period examined, at various significance levels. Furthermore, the
 study finds that the post-takeover performance of UK firms acquiring UK
 targets is superior to that of UK firms acquiring US targets. In turn, the
 performance of UK firms acquiring US targets is better than that of UK
 firms acquiring Continental European targets. If this trend continues, the
 consequences for institutional investors and pension funds, which respond
 to a major takeover by increasing their holdings in the acquirer, could be
 serious. The shares they are buying are the very companies we show to be
 underperforming. And the particularly poor performance of UK companies
 acquiring in Europe suggests that this anomaly may become even more
 significant as European cross-border activity gathers pace. 
Journal: Applied Financial Economics 
Pages: 337-349 
Issue: 5 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000211605 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000211605
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:5:p:337-349




Template-Type: ReDIF-Article 1.0
Author-Name: Yongil Jeon 
Author-X-Name-First: Yongil 
Author-X-Name-Last: Jeon 
Author-Name: Stephen Miller 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Miller 
Title: The effect of the Asian financial crisis on the performance of Korean nationwide banks 
Abstract:
  The Asian financial crisis spread its effect quickly across a number of
 countries. Korea faced serious problems in her financial and corporate
 sectors. This study considers the performance of Korean nationwide banks
 before and immediately after the Asian financial crisis. The performance
 of Korean nationwide banks took a big hit in 1998. Most banks recovered
 somewhat in 1999 with the notable exception of the further deterioration
 of Seoul. Several factors possess strong correlations with bank
 performance. Among other standard findings, equity to assets correlates
 positively with bank performance, even when the government recapitalized a
 number of institutions that performed poorly. The Asian crisis did not
 affect the normal rules of good bank management. The government, however,
 directly intervened in the banking sector on a large scale to limit the
 scope of the crisis in the Korean economy. 
Journal: Applied Financial Economics 
Pages: 351-360 
Issue: 5 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000211614 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000211614
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:5:p:351-360




Template-Type: ReDIF-Article 1.0
Author-Name: Ken Holden 
Author-X-Name-First: Ken 
Author-X-Name-Last: Holden 
Author-Name: Magdi El-Bannany 
Author-X-Name-First: Magdi 
Author-X-Name-Last: El-Bannany 
Title: Investment in information technology systems and other determinants of bank profitability in the UK 
Abstract:
  This paper investigates whether investment in information technology
 systems affects bank profitability in the UK during the period 1976-1996.
 The results show that, when the other factors used in the literature are
 included, the number of automated teller machines installed by a bank has
 a positive impact on bank profitability. 
Journal: Applied Financial Economics 
Pages: 361-365 
Issue: 5 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000211623 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000211623
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:5:p:361-365




Template-Type: ReDIF-Article 1.0
Author-Name: James Steeley 
Author-X-Name-First: James 
Author-X-Name-Last: Steeley 
Title: Estimating time-varying risk premia in UK long-term government bonds 
Abstract:
  Simple models of time-varying risk premia are used to measure the risk
 premia in long-term UK government bonds. The parameters of the models can
 be estimated using nonlinear seemingly unrelated regression (NL-SUR),
 which permits efficient use of information across the entire yield curve
 and facilitates the testing of various cross-sectional restrictions. The
 estimated time-varying premia are found to be substantially different to
 those estimated using models that assume constant risk premia. 
Journal: Applied Financial Economics 
Pages: 367-373 
Issue: 5 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000211632 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000211632
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:5:p:367-373




Template-Type: ReDIF-Article 1.0
Author-Name: Guglielmo Maria Caporale 
Author-X-Name-First: Guglielmo Maria 
Author-X-Name-Last: Caporale 
Author-Name: Luis Gil-Alana 
Author-X-Name-First: Luis 
Author-X-Name-Last: Gil-Alana 
Title: Long range dependence in daily stock returns 
Abstract:
  The tests of Robinson (Journal of the American Statistical Association,
 89, 1420-37, 1994a) are used to analyse the degree of dependence in the
 intertemporal structure of daily stock returns (defined as the first
 difference of the logarithm of stock prices, where the series being
 considered is the S&P500 index). These tests have several distinguishing
 features compared with other procedures for testing for unit (or
 fractional) roots. In particular, they have a standard null limit
 distribution and they are the most efficient ones when carried out against
 the appropriate alternatives. In addition, they allow the incorporation of
 the Bloomfield (Biometrika, 60, 217-226, 1973) exponential spectral model
 for the underlying I(0) disturbances. The full sample, which comprises 17
 000 observations, is first divided in 10 subsamples of 1700 observations
 each. These are then grouped two by two, and five by five; finally, the
 whole sample is considered. The results indicate that the degree of
 dependence remains relatively constant over time, with the order of
 integration of stock returns fluctuating slightly above or below zero. On
 the whole, there is very little evidence of fractional integration,
 despite the length of the series. Therefore, it appears that the standard
 practice of taking first differences when modelling stock returns might be
 adequate. 
Journal: Applied Financial Economics 
Pages: 375-383 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673603 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673603
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:375-383




Template-Type: ReDIF-Article 1.0
Author-Name: Per Alkeback 
Author-X-Name-First: Per 
Author-X-Name-Last: Alkeback 
Author-Name: Niclas Hagelin 
Author-X-Name-First: Niclas 
Author-X-Name-Last: Hagelin 
Title: Expiration day effects of index futures and options: evidence from a market with a long settlement period 
Abstract:
  This study examines index futures and options expiration day effects on
 the Swedish market. While the results for the period 1988-1998 indicate
 that trading volumes on the cash market were significantly higher on
 expiration days than on other days, no evidence suggesting that price
 distortions occurred is found. This could be due to the longer settlement
 period on the Swedish market, compared with that on the Canadian, German,
 and the US markets, where price distortions have been documented. However,
 some price distortion may have been experienced for the first half of the
 sample period, a finding which the cause for is discussed. 
Journal: Applied Financial Economics 
Pages: 385-396 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673612 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673612
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:385-396




Template-Type: ReDIF-Article 1.0
Author-Name: Dale Cloninger 
Author-X-Name-First: Dale 
Author-X-Name-Last: Cloninger 
Author-Name: Edward Waller 
Author-X-Name-First: Edward 
Author-X-Name-Last: Waller 
Author-Name: Yvette Bendeck 
Author-X-Name-First: Yvette 
Author-X-Name-Last: Bendeck 
Author-Name: Lee Revere 
Author-X-Name-First: Lee 
Author-X-Name-Last: Revere 
Title: Returns on negative beta securities: implications for the empirical SML 
Abstract:
  Traditional textbook analysis either presumes or graphically depicts a
 monotonically positively sloped security market line (SML). Tests to
 empirically derive the SML also presume such a function. This paper argues
 that over the range of negative betas the SML is not positively sloped but
 negatively sloped. The SML over both negative and positive ranges,
 therefore, forms a 'V' shaped function with the point of the 'V' at a beta
 of zero and a return equal to the risk-free rate. Empirical tests confirm
 a negative sloped SML over the range of negative betas. The tests also
 indicate that the returns of negative beta securities equal or exceed
 those for their positive beta counterparts. Traditional theory suggests
 the returns of negative beta securities are less than the risk-free rate.
 The preliminary empirical analysis indicates otherwise. 
Journal: Applied Financial Economics 
Pages: 397-402 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673621 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673621
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:397-402




Template-Type: ReDIF-Article 1.0
Author-Name: Matthew Higgins 
Author-X-Name-First: Matthew 
Author-X-Name-Last: Higgins 
Author-Name: Alketa Hysenbegasi 
Author-X-Name-First: Alketa 
Author-X-Name-Last: Hysenbegasi 
Author-Name: Susan Pozo 
Author-X-Name-First: Susan 
Author-X-Name-Last: Pozo 
Title: Exchange-rate uncertainty and workers' remittances 
Abstract:
  A panel of nine Western Hemisphere nations is employed to test the
 proposition that the remittances of immigrants respond to risk variables,
 in particular to exchange-rate uncertainty. To estimate annual
 exchange-rate uncertainty, a nonparametric estimator based on monthly
 exchange rate returns is used. Also the instrumental variables procedure
 of Pagan and Ullah (Journal of Applied Econometrics, 3, 87-105, 1988) is
 employed to insure that the conclusions are robust to possible error in
 the measurement of exchange-rate uncertainty. The results give credence to
 the 'new economics of migration' approach which argues that immigrants are
 highly motivated by portfolio variables. 
Journal: Applied Financial Economics 
Pages: 403-411 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673630 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673630
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:403-411




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: Tim Fry 
Author-X-Name-First: Tim 
Author-X-Name-Last: Fry 
Author-Name: Emma Newton 
Author-X-Name-First: Emma 
Author-X-Name-Last: Newton 
Title: Censoring and its impact on multivariate testing of the Capital Asset Pricing Model 
Abstract:
  The primary objective of this paper is to assess the affect of data
 'censoring' on asset pricing tests. This is achieved by modifying tests to
 incorporate a 'selectivity bias' correction factor in a Gibbons (Journal
 of Financial Economics, 10, pp. 3-27, 1982) multivariate framework. The
 sample comprises daily Australian stock returns for 524 companies over the
 five-year period 1995 to 1999. First, it is found that the use of a
 'selectivity bias' correction factor is generally justified in stocks with
 a degree of censoring at about 50% or above. This represents approximately
 52% of the sample. Second, despite the first finding no evidence is found
 supporting the need for such a correction in asset pricing tests - the
 degree of support for the CAPM is not materially affected. 
Journal: Applied Financial Economics 
Pages: 413-420 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673649 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673649
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:413-420




Template-Type: ReDIF-Article 1.0
Author-Name: Nancy Beneda 
Author-X-Name-First: Nancy 
Author-X-Name-Last: Beneda 
Author-Name: Ik-Whan Kwon 
Author-X-Name-First: Ik-Whan 
Author-X-Name-Last: Kwon 
Title: Commercial bank entry into equity IPO underwriting: modern evidence 
Abstract:
  This study examines the increased participation in underwriting of equity
 initial public offerings (IPOs) by section 20 subsidiaries of commercial
 banks. Using a four year test period (January 1995 to December 1998) this
 study finds that the average underpricing of equity IPOs decreased
 significantly from 23.0% to 17.4% after the decision to relax revenue
 constraints, on Section 20 activities of commercial banks, by the Federal
 Reserve Board on 3 August 1996. A further finding is that the decrease in
 underpricing is highly related to the increasing IPO market share of
 commercial banks. This study also finds that IPO underwriter fees did not
 increase after bank entry. The results of this study provides further
 evidence that increased participation of commercial banks in new issues
 markets has had a positive impact on competition and information
 dissemination in new issues markets. 
Journal: Applied Financial Economics 
Pages: 421-428 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673658 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673658
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:421-428




Template-Type: ReDIF-Article 1.0
Author-Name: Dadang Muljawan 
Author-X-Name-First: Dadang 
Author-X-Name-Last: Muljawan 
Author-Name: Humayon Dar 
Author-X-Name-First: Humayon 
Author-X-Name-Last: Dar 
Author-Name: Maximilian Hall 
Author-X-Name-First: Maximilian 
Author-X-Name-Last: Hall 
Title: A capital adequacy framework for Islamic banks: the need to reconcile depositors' risk aversion with managers' risk taking 
Abstract:
  Conceptually, an Islamic bank has an equity-based capital structure,
 dominated by shareholders' equity and investment deposits based on profit
 and loss sharing (PLS). There is no need for capital adequacy regulations
 if the Islamic banks are structured as pure PLS-based organizations.
 However, because of informational asymmetry and risk aversion by
 investors, there currently exist fixed claim liabilities on the Islamic
 banking balance sheets. This necessitates the imposition of capital
 adequacy requirements, which aim at maintaining systemic stability by
 achieving two fundamental objectives. First, capital regulations should
 protect risk-averse (assumed unsophisticated) depositors. This requires a
 minimum equity capital cushion and an optimal assets-liabilities
 composition. Second, capital regulations should give the right incentives
 to shareholders to promote prudent behaviour by the banks. This requires
 analysis of the effect of financial participation by shareholders on
 Pareto optimality, and analysis of potential behaviour by shareholders
 when facing financial uncertainty. This paper combines modern banking
 theory and principal-agent analysis to develop a framework for an optimal
 capital structure for Islamic banks. The proposed capital regulation
 includes a minimum risk-based equity capital cushion (as required under
 the Basel Accord), a prudent assets-liabilities (capital) structure (i.e.
 appropriate proportions of PLS- and non-PLS-based assets and liabilities)
 and a minimum 'financial participation' requirement. It is inferred from
 the analysis that such capital adequacy requirements will improve the
 soundness of current Islamic banking practice, thus paving the way for the
 wider use of PLS by Islamic banks in the long run. 
Journal: Applied Financial Economics 
Pages: 429-441 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/9603100410001673667 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/9603100410001673667
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:429-441




Template-Type: ReDIF-Article 1.0
Author-Name: Reinhold Lamb 
Author-X-Name-First: Reinhold 
Author-X-Name-Last: Lamb 
Author-Name: Richard Zuber 
Author-X-Name-First: Richard 
Author-X-Name-Last: Zuber 
Author-Name: John Gandar 
Author-X-Name-First: John 
Author-X-Name-Last: Gandar 
Title: Don't lose sleep on it: a re-examination of the daylight savings time anomaly 
Abstract:
  A recent study finds evidence of a new financial market anomaly linking
 daylight savings time changes with market returns - spring and fall
 daylight savings time weekends are typically followed by large negative
 returns - and that these returns are significantly lower than regular
 weekend average returns. The present study finds that neither the
 consistency nor the magnitude and statistical significance claimed for
 this anomaly survives serious scrutiny. 
Journal: Applied Financial Economics 
Pages: 443-446 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673676 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673676
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:443-446




Template-Type: ReDIF-Article 1.0
Author-Name: Riza Demirer 
Author-X-Name-First: Riza 
Author-X-Name-Last: Demirer 
Author-Name: Donald Lien 
Author-X-Name-First: Donald 
Author-X-Name-Last: Lien 
Title: Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification  
Abstract:
  The main purpose of this article is to study whether firm-level return
 dispersions might have any significance in explaining asymmetric return
 correlations observed in equity market returns. Correlation asymmetry, in
 particular increased return correlations conditional on downside moves,
 implies that portfolio diversification will not be as successful during
 bear markets - periods during which portfolio diversification will be most
 needed. Similarly, low firm-level return dispersion imply that stocks
 within the portfolio behave the same way, making diversification harder.
 It is found that asymmetric correlations are associated with asymmetric
 firm-level return dispersions. The results indicate that portfolio
 managers need to not only take into account the asymmetry in return
 correlations but also be aware of how firm-level return dispersions behave
 during such periods when they need diversification most. 
Journal: Applied Financial Economics 
Pages: 447-456 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673685 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673685
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:447-456




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitrios Vougas 
Author-X-Name-First: Dimitrios 
Author-X-Name-Last: Vougas 
Title: Analysing long memory and volatility of returns in the Athens stock exchange 
Abstract:
  A recent paper by Barkoulas et al. (Applied Financial Economics, 10,
 177-84, 2000), examining long memory of returns in the Athens Stock
 Exchange (ASE, hereafter), finds evidence in favour of long memory. In
 this paper, long memory of returns in the ASE along with volatility are
 examined, using an ARFIMA-GARCH model, estimated via conditional maximum
 likelihood (ML, hereafter), and find weaker evidence in favour of long
 memory. 
Journal: Applied Financial Economics 
Pages: 457-460 
Issue: 6 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673694 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673694
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:6:p:457-460




Template-Type: ReDIF-Article 1.0
Author-Name: Leonardo Becchetti 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Becchetti 
Author-Name: Fabrizio Adriani 
Author-X-Name-First: Fabrizio 
Author-X-Name-Last: Adriani 
Title: Do high-tech stock prices revert to their 'fundamental' value? 
Abstract:
  By assuming that fundamentals matter, this article builds a discounted
 cash flow (DCF) model (which is assumed to be commonly used by
 fundamentalists) where the determination of the fundamental is affected by
 variables proxying for the unobserved firm quality and for the value of
 its real option for expansion. It finds on a sample of high-tech stocks
 that the cross-sectional distance from the fundamental is significantly
 affected by chartists' variables measuring stock momentum. It also tests
 whether stock returns are significantly affected by lagged deviations from
 the DCF fundamental value. Finding evidence of both 'reversion to the DCF
 fundamental' and insider trading (or delays in the adjustment of publicly
 available information), since negative deviations from the fundamental
 positively affect future stock returns but are, in the meantime,
 significantly affected by short-term future changes in fundamentals. 
Journal: Applied Financial Economics 
Pages: 461-476 
Issue: 7 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000220533 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000220533
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:461-476




Template-Type: ReDIF-Article 1.0
Author-Name: Ali Darrat 
Author-X-Name-First: Ali 
Author-X-Name-Last: Darrat 
Author-Name: Khaled Elkhal 
Author-X-Name-First: Khaled 
Author-X-Name-Last: Elkhal 
Author-Name: Gaurango Banerjee 
Author-X-Name-First: Gaurango 
Author-X-Name-Last: Banerjee 
Author-Name: Maosen Zhong 
Author-X-Name-First: Maosen 
Author-X-Name-Last: Zhong 
Title: Why do US banks borrow from the Fed? A fresh look at the 'reluctance' phenomenon 
Abstract:
  The role of several theoretical factors in determining the demand of US
 banks for borrowed reserves from the Fed is empirically investigated. The
 main objective is to isolate the candidate(s) most likely responsible for
 the recent observed phenomenon of banks reluctance to borrow from the Fed,
 particularly since the mid-1980s. The results indicate that the declining
 number of banks due to mergers and consolidations holds much of the weight
 for explaining the weakened demand for borrowed reserves since the
 mid-1980s. Consistent evidence is found suggesting that US banks may have
 been unlawfully exploiting the discount window service for profit-taking
 purposes. This finding proves credible and suggests the need for further
 loan scrutiny at the Federal discount window. 
Journal: Applied Financial Economics 
Pages: 477-484 
Issue: 7 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000216033 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000216033
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:477-484




Template-Type: ReDIF-Article 1.0
Author-Name: Aigbe Akhigbe 
Author-X-Name-First: Aigbe 
Author-X-Name-Last: Akhigbe 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Title: Bank acquisitions of security firms: the early evidence 
Abstract:
  A bank acquisition affects the combination of financial services that are
 offered, and the potential synergy between services. Consequently, an
 acquisition can affect the performance and risk of the bank. While much
 research is focused on bank acquisitions and other financial institutions,
 there is very little research on the performance following bank
 acquisitions of securities firms. Until recently, banks were restricted
 from acquiring securities firms. Thus, related research could only
 speculate on the effects from integrating bank and securities services, or
 measure the initial market response to related regulatory changes. It is
 found that the announcement effects when banks acquire security firms are
 not significant. Similar results are found for a matched sample of bank
 acquisitions of other banks. Second, bank acquirers of security firms do
 not experience a reduction in risk, offering no support for the
 diversification hypothesis. These results also hold when applying a
 cross-sectional analysis that controls for other characteristics of the
 acquirers. Third, banks that acquire security firms experience weaker
 performance following the acquisitions than banks that acquire other
 banks. The results may be attributed to the high level of risk of
 securities firms as independent entities, the high price paid to acquire
 these firms, and the difficulty in merging bank and securities operations
 and cultures. These findings do not refute the notion of beneficial
 synergies between banks and security firms. However, they may suggest that
 the favourable revaluations of banks as a result of signals about
 impending consolidation were excessive. Consequently, the price paid by
 banks for security firm targets may have been excessive, allowing a wealth
 transfer to the security firm shareholders before the wave of acquisitions
 occurred. In addition, the market may have underestimated the
 complications and cost resulting from the integration of security
 activities with banking activities. 
Journal: Applied Financial Economics 
Pages: 485-496 
Issue: 7 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000216042 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000216042
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:485-496




Template-Type: ReDIF-Article 1.0
Author-Name: Tsung-Wu Ho 
Author-X-Name-First: Tsung-Wu 
Author-X-Name-Last: Ho 
Title: The foreign exchange exposure of capital structure: the 1997 Asian crises revisited 
Abstract:
  The financial crisis of East Asia in 1997 was largely unanticipated and
 was characterized by the fact that drastic currency depreciation worsens
 the corporate capital structure and brought widespread financial turmoil.
 This paper attempts to examine the vicious cycle mechanism of East Asia
 crisis. A dynamic panel model is proposed to estimate the foreign exchange
 exposure of capital structure. Using precrisis data, it is shown that the
 Asian crisis is in fact a problem of structural vulnerability underlying
 most Asian economies. First, Hong Kong and Singapore have less risky
 capital structure before the crisis, which also have smaller exposure
 magnitude. Secondly, Thailand and Korea have more risky capital structure
 before the crisis and significant vicious cycles are found. These
 appropriately explain the vicious cycle between currency crisis and
 domestic financial turmoil: drastic depreciation worsens the debt ratio. 
Journal: Applied Financial Economics 
Pages: 497-505 
Issue: 7 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000216051 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000216051
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:497-505




Template-Type: ReDIF-Article 1.0
Author-Name: Subal Kumbhakar 
Author-X-Name-First: Subal 
Author-X-Name-Last: Kumbhakar 
Author-Name: Ana Lozano-Vivas 
Author-X-Name-First: Ana 
Author-X-Name-Last: Lozano-Vivas 
Title: Does deregulation make markets more competitive? Evidence of mark-ups in Spanish savings banks 
Abstract:
  Modelling and testing whether competitive pressures driven by
 deregulatory changes make markets more competitive are examined.
 Departures from competitive markets are modelled via mark-up prices.
 Empirically, a panel data is used on Spanish savings banking industry that
 is undergoing unprecedented changes caused by the deregulation of
 financial services, the establishment of the economic and monetary union
 and developments in information technology. Evidence of mark-ups in output
 markets is found, and such mark-ups are found to decline slowly over time.
 This finding suggests that the presence of deregulatory pressures improved
 the competitive strength of the Spanish savings banks. 
Journal: Applied Financial Economics 
Pages: 507-515 
Issue: 7 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000216060 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000216060
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:507-515




Template-Type: ReDIF-Article 1.0
Author-Name: Brian Lucey 
Author-X-Name-First: Brian 
Author-X-Name-Last: Lucey 
Title: Robust estimates of daily seasonality in the Irish equity market 
Abstract:
  This article examines, in a robust manner, the question of whether or not
 an unusual form of daily seasonality existed in the Irish market. Previous
 studies have indicated that the pattern of such seasonality in Ireland
 differs from that found elsewhere. Other research indicates that daily
 seasonality may not exist at all. The findings are that after adjusting
 for sample size and taking into account the non-normality of the data, the
 evidence for daily seasonality in the Irish market is very weak. This is
 confirmed by resampling methods. 
Journal: Applied Financial Economics 
Pages: 517-523 
Issue: 7 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000216079 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000216079
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:517-523




Template-Type: ReDIF-Article 1.0
Author-Name: N. Kohers 
Author-X-Name-First: N. 
Author-X-Name-Last: Kohers 
Author-Name: T. Kohers 
Author-X-Name-First: T. 
Author-X-Name-Last: Kohers 
Title: Information sensitivity of high tech industries: evidence from merger announcements 
Abstract:
  The uncertain nature of technological innovation and a potential
 misunderstanding of the complexities of high tech operations can lead to
 much speculation about the true worth of high tech firms. This valuation
 uncertainty is expected to heighten the information sensitivity of
 investors in high tech industries. To examine this prediction, this
 article investigates factors that influence the impact of high tech merger
 announcements on intra-industry firm valuations. The results show that
 investors in industry-related firms are highly sensitive to merger
 announcements involving high tech targets and that the industry responses
 are even stronger in takeovers with high information impact factors. 
Journal: Applied Financial Economics 
Pages: 525-536 
Issue: 7 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000216088 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000216088
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:7:p:525-536




Template-Type: ReDIF-Article 1.0
Author-Name: A. F. Darrat 
Author-X-Name-First: A. F. 
Author-X-Name-Last: Darrat 
Author-Name: D. A. Yousef 
Author-X-Name-First: D. A. 
Author-X-Name-Last: Yousef 
Title: Fertility, human capital, and macroeconomic performance: long-term interactions and short-run dynamics 
Abstract:
  Long-run interactions and short-run dynamics among the fertility rate,
 the accumulation of human capital and macroeconomic performance are
 examined in several developing countries. While fertility and human
 capital influence how fast countries grow as traditionally believed, it is
 argued that both of these growth-promoting factors may themselves be
 driven by income changes. Past research also neglects the theoretical
 possibility that the growth consequences of fertility and human capital
 are inherently slow to develop and require broader models that incorporate
 long- as well as short-term effects. Two main inferences emerge from the
 empirical analysis: (a) there exists a robust long-term (cointegrating)
 relation linking together fertility, human capital and economic growth in
 all countries studied. Thus, the failure of previous studies to account
 for the underlying long-term relation could seriously bias their
 inferences regarding the impact of fertility and/or human capital on
 economic growth in developing countries, and (b) coherent evidence is also
 obtained from a whole range of tests and models supportive of a pivotal
 role of human capital accumulation in shaping macroeconomic performance in
 the sample. 
Journal: Applied Financial Economics 
Pages: 537-554 
Issue: 8 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233854 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233854
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:8:p:537-554




Template-Type: ReDIF-Article 1.0
Author-Name: David Blake 
Author-X-Name-First: David 
Author-X-Name-Last: Blake 
Title: The impact of wealth on consumption and retirement behaviour in the UK 
Abstract:
  Housing and pension wealth are shown to be important determinants of
 personal sector consumption and retirement behaviour in the UK. Housing
 and state pension wealth have a positive effect on consumption, while
 private pension wealth promotes greater savings. Greater private defined
 benefit pension wealth encourages earlier retirement, while greater
 defined contribution pension wealth has the effect of delaying retirement.
 State pension wealth appears to have no effect on the retirement decision.
 Other variables relating to income, labour market and demographic status
 and spillovers from other sectors are also shown to be important. The
 consumption equation forecasts the late 1980s boom and the early 1990s
 slump in the UK better than other models that disregard housing and
 pension wealth. A particularly important cause of the boom was the huge
 private pension fund surpluses that accrued as a result of the stock
 market boom of the 1980s. 
Journal: Applied Financial Economics 
Pages: 555-576 
Issue: 8 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233863 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233863
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:8:p:555-576




Template-Type: ReDIF-Article 1.0
Author-Name: Tsangyao Chang 
Author-X-Name-First: Tsangyao 
Author-X-Name-Last: Chang 
Author-Name: WenRong Liu 
Author-X-Name-First: WenRong 
Author-X-Name-Last: Liu 
Author-Name: Steven Caudill 
Author-X-Name-First: Steven 
Author-X-Name-Last: Caudill 
Title: A re-examination of Wagner's law for ten countries based on cointegration and error-correction modelling techniques 
Abstract:
  Following Mann's (National Tax Journal, 33, 189-201, 1980) study, five
 different versions of Wagner's law are empirically examined using annual
 time-series data on ten countries over the period 1951 to 1996. Included
 are three of the emerging industrialized countries of Asia: South Korea,
 Taiwan, and Thailand, and seven industrialized countries: Australia,
 Canada, Japan, New Zealand, USA, the United Kingdom, and South Africa. The
 analysis is an advance over previous work in two respects. First, the
 stationarity properties of the data, the order of integration using the
 Augmented Dickey-Fuller (Journal of American Statistical Association, 74,
 427-31, 1979, Econometrica, 49(4), 1057-72, 1981) test and the Kwiatkowski
 et al. (Journal of Econometrics, 1, 159-78, 1992) test are empirically
 investigated. Second, the hypothesis of a long-run relationship between
 income and government spending is tested using bivariate cointegrated
 systems and by employing the methodology of cointegration analysis as
 suggested by Johansen and Juselius (Oxford Bulletin of Economics and
 Statistics, 52, 169-210, 1990) and Johansen (Journal of Policy Modelling,
 14, 313-34, 1992). Unidirectional Granger causality is found running from
 income to government spending for the newly industrialized countries of
 South Korea and Taiwan, and the industrialized countries of Japan, the
 United Kingdom, and the United States, supporting Wagner's hypothesis for
 those countries. For the five remaining countries in this study:
 Australia, Canada, New Zealand, South Africa, and Thailand, no causal
 relationship between income and government spending is found. 
Journal: Applied Financial Economics 
Pages: 577-589 
Issue: 8 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233872 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233872
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:8:p:577-589




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Bichsel 
Author-X-Name-First: Robert 
Author-X-Name-Last: Bichsel 
Author-Name: Jurg Blum 
Author-X-Name-First: Jurg 
Author-X-Name-Last: Blum 
Title: The relationship between risk and capital in Swiss commercial banks: a panel study 
Abstract:
  The relationship between changes in risk and changes in leverage for a
 panel of Swiss banks is investigated. Using market data for risk and both
 accounting and market data for capital over the period between 1990 and
 2002, a positive correlation is found between changes in capital and
 changes in risk, i.e., higher levels of capital are associated with higher
 levels of risk. Despite this positive correlation, however, a significant
 relationship between the default probability and the capital ratio is not
 found. 
Journal: Applied Financial Economics 
Pages: 591-597 
Issue: 8 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233881 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233881
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:8:p:591-597




Template-Type: ReDIF-Article 1.0
Author-Name: J. Evans 
Author-X-Name-First: J. 
Author-X-Name-Last: Evans 
Author-Name: J. Simpson 
Author-X-Name-First: J. 
Author-X-Name-Last: Simpson 
Author-Name: A. A. Mahate 
Author-X-Name-First: A. A. 
Author-X-Name-Last: Mahate 
Author-Name: R. Evans 
Author-X-Name-First: R. 
Author-X-Name-Last: Evans 
Title: Impact of operating and balance sheet performance of Japanese international banks on bank safety levels and risk ratings 
Abstract:
  Using a simultaneous equation model initially developed by Shrieves and
 Dahl this article shows that Japanese banks in comparison to European
 banks, have focused on factors other than those that impact on bank safety
 levels. This has left Japanese banks in a vulnerable position with respect
 to levels of non-performing loans and indicates that less attention has
 been paid to prudent credit risk assessment and management practices.
 Recent events and actions initiated by the Japanese government suggests
 that Japanese banks are in crisis in terms of their dangerously large
 burden of non-performing loans. The broad objective of this study is to
 demonstrate that the attention of any healthy and safe banking system
 needs to be focused on operating and balance sheet fundamentals. Focus
 needs to be on maximization of earnings, determination of the appropriate
 level of financial risk, careful management of expenses and the
 optimisation of bank size in a deregulated, competitive environment where
 prudent lending criteria are applied. 
Journal: Applied Financial Economics 
Pages: 599-610 
Issue: 8 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233890 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233890
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:8:p:599-610




Template-Type: ReDIF-Article 1.0
Author-Name: David Blake 
Author-X-Name-First: David 
Author-X-Name-Last: Blake 
Title: Modelling the composition of personal sector wealth in the UK 
Abstract:
  The allocation of UK personal sector wealth across five broad asset
 categories (net financial wealth, housing (and durable assets) wealth,
 state pension wealth, private pension wealth, and human capital) is
 investigated using the FAIDS (financial AIDS) model. Apart from total
 wealth and returns, additional variables relating to capital market
 imperfections, and demographic, labour market and cross-sector spillover
 effects turn out to be significant. The adjustment of portfolio weights to
 shocks is very slow, taking up to 21 years for some asset categories. 
Journal: Applied Financial Economics 
Pages: 611-630 
Issue: 9 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233395 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233395
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:611-630




Template-Type: ReDIF-Article 1.0
Author-Name: Karen Benson 
Author-X-Name-First: Karen 
Author-X-Name-Last: Benson 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Investigating performance benchmarks in the context of international trusts: Australian evidence 
Abstract:
  In the context of international funds, investigations have been made of a
 range of performance models including both domestic and international
 market index benchmarks and distinguishing selectivity and timing
 performance. A sample of Australian international equity trusts are
 examined over the period 1990 to 1999. Generally, findings confirm the
 widely held belief that funds are unable to time the market and that there
 is an inverse relationship between market timing and selectivity
 performance. Importantly however, it is found that the choice of index
 does have an impact on results, particularly at the individual fund level. 
Journal: Applied Financial Economics 
Pages: 631-644 
Issue: 9 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310032000 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:631-644




Template-Type: ReDIF-Article 1.0
Author-Name: Marco Taboga 
Author-X-Name-First: Marco 
Author-X-Name-Last: Taboga 
Title: The equity premium in the long-run 
Abstract:
  A new approach to the study of stock returns is proposed. A simple model
 is developed to show that, in the long run, the average rate of return on
 the market portfolio equals the average growth rate of income plus an
 average payout rate measuring the quantity of financial resources
 distributed or absorbed by quoted firms. This framework is exploited to
 calculate expected returns using US stock market data. 
Journal: Applied Financial Economics 
Pages: 645-650 
Issue: 9 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233412 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233412
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:645-650




Template-Type: ReDIF-Article 1.0
Author-Name: Nicolaas Groenewold 
Author-X-Name-First: Nicolaas 
Author-X-Name-Last: Groenewold 
Title: Fundamental share prices and aggregate real output 
Abstract:
  This study analyses the interrelationships between the share market and
 the macroeconomy within the framework of a structural vector
 autoregressive (SVAR) model. The model has just two variables - real share
 prices and real output - and uses a distinction between temporary and
 permanent shocks to identify macroeconomic and share market-shocks. The
 identification of the SVAR is based on a simple theoretical model of the
 two-way linkage between output and share prices. In one direction a
 version of the net-present-value model is used and in the other direction
 the wealth effect is relied on as the basis for the influence of share
 prices on output. The estimated model is used to examine the dynamic
 interaction between the two variables. The study goes on to use it to
 compute a fundamental share-price series based on the assumption that
 fundamentals are driven by real macroeconomic forces. 
Journal: Applied Financial Economics 
Pages: 651-661 
Issue: 9 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233421 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233421
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:651-661




Template-Type: ReDIF-Article 1.0
Author-Name: Laetitia Lepetit 
Author-X-Name-First: Laetitia 
Author-X-Name-Last: Lepetit 
Author-Name: Stephanie Patry 
Author-X-Name-First: Stephanie 
Author-X-Name-Last: Patry 
Author-Name: Philippe Rous 
Author-X-Name-First: Philippe 
Author-X-Name-Last: Rous 
Title: Diversification versus specialization: an event study of M&As in the European banking industry 
Abstract:
  This study examines the stock market valuation in terms of expected gains
 of mergers and acquisitions (M&As) amongst banks that were announced from
 1991 to 2001 in 13 European markets. M&As are classified according to
 activity, geographic specialization or diversification. A bivariate GARCH
 model is used to estimate abnormal returns taking beta conditional
 variability into account. The results document that there is, on average,
 a positive and significant increase in value for the group of targets'
 banks. Moreover, it is found that on average there is a positive and
 significant market reaction for the two types of transactions:
 cross-product diversification and geographic specialization. 
Journal: Applied Financial Economics 
Pages: 663-669 
Issue: 9 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233430 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233430
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:663-669




Template-Type: ReDIF-Article 1.0
Author-Name: Yuanchen Chang 
Author-X-Name-First: Yuanchen 
Author-X-Name-Last: Chang 
Title: A re-examination of variance-ratio test of random walks in foreign exchange rates 
Abstract:
  This paper employs a variance ratio test to reexamine the random walk
 hypothesis for the Canadian dollar, French franc, Deutsche mark, Japanese
 yen and British pound. In addition to standard normal test statistics, the
 bootstrap resampling technique is used to calculate the significance
 levels of variance ratio statistics over the period 7 August 1974 to 30
 December 1998. The results provide evidence rejecting the random walk
 hypothesis for the Japanese yen over the entire sample, while the results
 for the other four currencies are inconclusive. Furthermore, subperiod
 results show that from 1989 onwards the random walk hypothesis cannot be
 rejected for the Canadian dollar, French franc, Deutsche mark, and British
 pound. 
Journal: Applied Financial Economics 
Pages: 671-679 
Issue: 9 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233449 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233449
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:671-679




Template-Type: ReDIF-Article 1.0
Author-Name: K. R. Shanmugam 
Author-X-Name-First: K. R. 
Author-X-Name-Last: Shanmugam 
Author-Name: A. Das 
Author-X-Name-First: A. 
Author-X-Name-Last: Das 
Title: Efficiency of Indian commercial banks during the reform period 
Abstract:
  This article contributes to the banking efficiency literature by
 measuring technical efficiency of banks in four different ownership groups
 in India during the reform period, 1992-1999. It employs the stochastic
 frontier function methodology for panel data. The results indicate that
 the efficiency of raising interest margin is time invariant while the
 efficiencies of raising other outputs-non-interest income, investments and
 credits are time varying. The state bank group and foreign banks are more
 efficient than their counterparts. The reform period witnessed a
 relatively high efficiency for augmenting investments, which is consistent
 with economic growth objective of the reform measures. However, there are
 still larger gaps between the actual and potential performances of banks. 
Journal: Applied Financial Economics 
Pages: 681-686 
Issue: 9 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233458 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233458
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:681-686




Template-Type: ReDIF-Article 1.0
Author-Name: Barbara Casu 
Author-X-Name-First: Barbara 
Author-X-Name-Last: Casu 
Author-Name: Claudia Girardone 
Author-X-Name-First: Claudia 
Author-X-Name-Last: Girardone 
Title: Financial conglomeration: efficiency, productivity and strategic drive 
Abstract:
  Consolidation in the global banking industry has resulted in the
 emergence of financial conglomerates that conduct an extensive range of
 businesses with a group structure. To date, few studies have investigated
 the performance features of such groups. This study aims to extend the
 literature by evaluating the cost and profit efficiency and productivity
 change of Italian financial conglomerates during the 1990s using both
 parametric and nonparametric approaches. The impact of diversification and
 growth strategies on cost and profit efficiency is also investigated. The
 results seem to indicate that Italian banking groups have benefited from a
 consistent improvement in profit efficiency, while they have not
 experienced a clear increase in cost efficiency. Indeed, profit efficient
 banking groups display a high risk-high return profile. 
Journal: Applied Financial Economics 
Pages: 687-696 
Issue: 10 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000243529 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000243529
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:687-696




Template-Type: ReDIF-Article 1.0
Author-Name: Ibrahim Chowdhury 
Author-X-Name-First: Ibrahim 
Author-X-Name-Last: Chowdhury 
Title: Sources of exchange rate fluctuations: empirical evidence from six emerging market countries 
Abstract:
  This paper investigates sources of fluctuations in real and nominal US
 dollar exchange rates of selected emerging market economies by decomposing
 the exchange rate series into stochastic components induced by real and
 nominal factors. The dynamic effects and relative importance of real and
 nominal shocks in explaining the behaviour of these exchange rates are
 analysed. The results indicate that real shocks dominate nominal shocks
 for the exchange rate series examined. In turn, these findings have
 important economic implications. 
Journal: Applied Financial Economics 
Pages: 697-705 
Issue: 10 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000243538 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000243538
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:697-705




Template-Type: ReDIF-Article 1.0
Author-Name: John Cotter 
Author-X-Name-First: John 
Author-X-Name-Last: Cotter 
Title: Downside risk for European equity markets 
Abstract:
  This paper applies extreme value theory to measure downside risk for
 European equity markets. Two related measures, value at risk and the
 excess loss probability estimator provide a coherent approach to optimally
 protect investor wealth opportunities for low quantile and probability
 combinations. The fat-tailed characteristic of equity index returns is
 captured by explicitly modelling tail returns only. The paper finds the
 DAX100 is the most volatile index, and this generally becomes more
 pronounced as a move is made to lower quantile and probability estimates. 
Journal: Applied Financial Economics 
Pages: 707-716 
Issue: 10 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000243547 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000243547
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:707-716




Template-Type: ReDIF-Article 1.0
Author-Name: Marcel Dettling 
Author-X-Name-First: Marcel 
Author-X-Name-Last: Dettling 
Author-Name: Peter Buhlmann 
Author-X-Name-First: Peter 
Author-X-Name-Last: Buhlmann 
Title: Volatility and risk estimation with linear and nonlinear methods based on high frequency data 
Abstract:
  Accurate volatility predictions are crucial for the successful
 implementation of risk management. The use of high frequency data
 approximately renders volatility from a latent to an observable quantity,
 and opens new directions to forecast future volatilities. The goals in
 this paper are: (i) to select an accurate forecasting procedure for
 predicting volatilities based on high frequency data from various standard
 models and modern prediction tools; (ii) to evaluate the predictive
 potential of those volatility forecasts for both the realized and the true
 latent volatility; and (iii) to quantify the differences using volatility
 forecasts based on high frequency data and using a GARCH model for low
 frequency (e.g. daily) data, and study its implication in risk management
 for two widely used risk measures. The pay-off using high frequency data
 for the true latent volatility is empirically found to be still present,
 but magnitudes smaller than suggested by simple analysis. 
Journal: Applied Financial Economics 
Pages: 717-729 
Issue: 10 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000243556 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000243556
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:717-729




Template-Type: ReDIF-Article 1.0
Author-Name: Frank A. G. Den Butter 
Author-X-Name-First: Frank A. G. Den 
Author-X-Name-Last: Butter 
Author-Name: Pieter Jansen 
Author-X-Name-First: Pieter 
Author-X-Name-Last: Jansen 
Title: An empirical analysis of the German long-term interest rate 
Abstract:
  The short run and long run influences of the main determinants of the
 German long-term interest rate are estimated using quarterly data for the
 period 1982-2001. A major reason for the focus on the German interest rate
 is that this rate, and hence its determinants, will be dominant in
 explaining the developments of the long-term Euro-rate in the
 international capital market. The specification of the interest rate
 equation encompasses various theories on interest rate formation. Four of
 the analysed interest rate theories partially explain interest rate
 movement, and therefore together form an encompassing model in which the
 four theories are incorporated. The short-term German interest rate, the
 US and Japanese bond rates and the government balance appear to be the
 most prominent determinants of the German (and hence Euro) rate, but also
 the business cycle and the oil price have explanatory power of this
 interest rate. 
Journal: Applied Financial Economics 
Pages: 731-741 
Issue: 10 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000243565 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000243565
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:731-741




Template-Type: ReDIF-Article 1.0
Author-Name: F. Andre-le Pogamp 
Author-X-Name-First: F. Andre-le 
Author-X-Name-Last: Pogamp 
Author-Name: F. Moraux 
Author-X-Name-First: F. 
Author-X-Name-Last: Moraux 
Title: Valuing callable convertible bonds: a reduced approach 
Abstract:
  This paper analyses the pricing of corporate callable convertible bonds.
 It reconciles the applicability of the reduced form approach with optimal
 strategies usually discussed in the structural approach. One demonstrates
 that some conditions causing rational voluntary conversions may be
 effectively neglected. The main contribution of the paper is to show that
 adjusted American Capped Call options well duplicate 'classical' optimal
 strategies. Numerical experiments are then conducted. 
Journal: Applied Financial Economics 
Pages: 743-749 
Issue: 10 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000243574 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000243574
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:743-749




Template-Type: ReDIF-Article 1.0
Author-Name: Stephanos Papadamou 
Author-X-Name-First: Stephanos 
Author-X-Name-Last: Papadamou 
Author-Name: George Stephanides 
Author-X-Name-First: George 
Author-X-Name-Last: Stephanides 
Title: Evaluating the style-based risk model for equity mutual funds investing in Europe 
Abstract:
  American equity mutual funds of varying investment styles investing in
 Europe is examined, using Value at Risk (VaR) and expected tail loss (ETL)
 models developed through three techniques (parametric, nonparametric and
 style-based approach). Alternative VaR and ETL implementations might
 impact the market risk forecast. It is necessary to avoid biasing fund
 risk estimates. Particular attention is given to the style-based risk
 approach by comparing it to the other methods. A performance evaluation of
 the models is approached from two directions: statisical model selection
 and model selection based on a loss function. The empirical results show
 that the particular investment style of a mutual fund must guide and
 determine which VaR and ETL model may be applied in order to extract
 accurate risk estimates. For the least diversified funds that overweight
 growth and underweight value stocks, the style-based risk model produce
 significantly lower VaR and ETL estimates than do the other models. The
 results for the well-diversified fund show an opposite significance
 pattern. Through 'backtesting' procedures, additional evidence is provided
 for the significance of testing frequency and size of tail losses in order
 to rank risk models. 
Journal: Applied Financial Economics 
Pages: 751-760 
Issue: 10 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000243583 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000243583
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:10:p:751-760




Template-Type: ReDIF-Article 1.0
Author-Name: Sotiris Staikouras 
Author-X-Name-First: Sotiris 
Author-X-Name-Last: Staikouras 
Title: The information content of interest rate futures and time-varying risk premia 
Abstract:
  The objective of the present study is to examine the price discovery
 hypothesis in the short sterling futures market. The analytical framework
 employed, to examine the interaction between spot and futures rates, is
 based on a VAR cointegration model. The current research takes into
 account the necessary conditions, when testing the unbiasedness of the
 futures market, as well as the issues of risk neutrality and the rational
 use of all available and relevant information. The paper finds that the
 price discovery hypothesis holds for up to seven weeks prior to maturity
 of the futures contract. Furthermore, an examination of the sample period
 over which efficiency does not hold, provides evidence for the presence of
 time-varying risk premia. The findings also suggest that the premium and
 the expected spot change volatility are statistically significant, with
 the former being slightly lower than the latter. 
Journal: Applied Financial Economics 
Pages: 761-771 
Issue: 11 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000238912 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000238912
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:11:p:761-771




Template-Type: ReDIF-Article 1.0
Author-Name: Rajeev Goel 
Author-X-Name-First: Rajeev 
Author-X-Name-Last: Goel 
Author-Name: Iftekhar Hasan 
Author-X-Name-First: Iftekhar 
Author-X-Name-Last: Hasan 
Title: Funding new ventures: some strategies for raising early finance 
Abstract:
  This research provides formal insights into how new firms facing a number
 of potential investors might effectively raise funds at early stages,
 especially when a firm is small and/or a marketable product has not yet
 been developed. In the principal-agent framework, the firm can be seen as
 the principal, maximizing its revenues, and the potential investors aim to
 minimize payment for a share in ownership. The firm auctions incentive
 contracts to investors to secure seed money, while parting with a
 (minority) share of ownership. The effects of increased competition among
 investors on project size (research spending) and contractual design
 (incentive, fixed-price or cost-plus contracts) are examined and policy
 implications discussed. 
Journal: Applied Financial Economics 
Pages: 773-778 
Issue: 11 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/096031004200019680 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/096031004200019680
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:11:p:773-778




Template-Type: ReDIF-Article 1.0
Author-Name: Erdal Ozmen 
Author-X-Name-First: Erdal 
Author-X-Name-Last: Ozmen 
Author-Name: Aysun Gokcan 
Author-X-Name-First: Aysun 
Author-X-Name-Last: Gokcan 
Title: Deviations from PPP and UIP in a financially open economy: the Turkish evidence 
Abstract:
  This paper investigates the interrelations between purchasing power
 parity (PPP) and uncovered interest parity (UIP) in Turkey using Johansen
 cointegration analysis for a system containing Turkish and US inflation
 rates, interest rates, and exchange rate. The results of a structural
 model obtained by data-acceptable over-identifying restrictions over the
 cointegration space suggest the existence of two cointegration vectors
 representing UIP and PPP with proportionality and symmetry conditions,
 respectively. Consistent with the capital enhanced equilibrium exchange
 rates (CHEERs) approach, each of the international parity hypotheses is
 rejected when formulated independently. This is a theiry-consistent result
 for a financially open economy for which equilibrium conditions of asset
 and commodity markets may not be independent of each other. 
Journal: Applied Financial Economics 
Pages: 779-784 
Issue: 11 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000191671 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000191671
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:11:p:779-784




Template-Type: ReDIF-Article 1.0
Author-Name: H. R. Seddighi 
Author-X-Name-First: H. R. 
Author-X-Name-Last: Seddighi 
Author-Name: W. Nian 
Author-X-Name-First: W. 
Author-X-Name-Last: Nian 
Title: The Chinese stock exchange market: operations and efficiency 
Abstract:
  The Chinese stock market has developed rapidly since early 1990s, when
 the two stock exchanges, the Shanghai Securities Exchange and the Shenzhen
 Securities Exchange, were established. Until 2000, the number of listed
 domestic companies has reached over 1000, and market capitalization
 relative to GDP reached about 33.4%. As China joins WTO, the Chinese stock
 market will become a great concern of the global investors, and will play
 a more important role in the world economy. The purpose of this paper is
 to provide an up-to-data account of the Chinese stock exchange market and
 to test its efficiency. The daily data of the Shanghai Stock Exchange
 index and eight shares listed in the Shanghai Stock Exchanges are
 examined, for this purpose. The testing procedure involves three
 processes: (1) use the Durbin-Watson test, Durbin 'h' test, the Lagrange
 Multiplier test for autocorrelation to examine the assumption of the model
 that the successive occurrences are independent; (2) use the Dickey-Fuller
 tests for unit root to test the assumption that the occurrences are
 identically distributed; (3) use ARCH test to examine whether the
 residuals contain some hidden, possibly non-linear structure, and fit a
 GARCH-M(1,1) model to the first difference if the ARCH effect is found to
 be present in the share prices. 
Journal: Applied Financial Economics 
Pages: 785-797 
Issue: 11 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000180826 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000180826
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:11:p:785-797




Template-Type: ReDIF-Article 1.0
Author-Name: Sami Jarvinen 
Author-X-Name-First: Sami 
Author-X-Name-Last: Jarvinen 
Author-Name: Jari Kappi 
Author-X-Name-First: Jari 
Author-X-Name-Last: Kappi 
Title: Manipulation of the Bund futures market 
Abstract:
  This paper examines an anomaly called short squeeze and its consequences
 in the Bund futures market. By short squeeze, in the present context, is
 meant a phenomenon caused by the shortage of the cheapest-to-deliver Bunds
 in the market to meet the delivery requirement of the futures contract.
 The squeeze may be created by market participants who see the opportunity
 to corner the market for underlying in order to drive up the price of both
 the underlying asset and the derivative contract. The investigation is
 conducted by examining measures of relative mispricing, the implied value
 of the quality option embedded in the futures contract and the cost of
 choosing the second cheapest-to-deliver Bund. The results show some
 evidence of occasional squeezes in the Bund futures market. More
 importantly, the conditions that corroborate the manipulative behaviour
 are discussed. 
Journal: Applied Financial Economics 
Pages: 799-808 
Issue: 11 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000238895 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000238895
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:11:p:799-808




Template-Type: ReDIF-Article 1.0
Author-Name: Kevin Chiang 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Chiang 
Author-Name: T. Harikumar 
Author-X-Name-First: T. 
Author-X-Name-Last: Harikumar 
Title: Offering price clusters and underpricing in the US primary market 
Abstract:
  This study extends the microstructure literature by examining the
 offering prices in the United States Initial Public Offering (IPO) market
 for the presence of clusters. It is found that the use of whole prices is
 more frequent in the IPO market than in secondary stock markets. Offering
 prices in the IPO market exhibit a dominant clustering at whole fives and
 tens (5s and 0s) that cannot be adequately explained by existing
 hypotheses. Unlike other studies on IPO underpricing, this study examines
 the impact of offering price clusters on the degree of underpricing. It is
 documented that whole-priced IPOs are underpriced more relative to
 fractional-priced IPOs. It is found that the negotiations hypothesis and
 the implicit collusion hypothesis are not adequate explanations and leave
 this puzzle to be resolved by future research. 
Journal: Applied Financial Economics 
Pages: 809-822 
Issue: 11 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000238903 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000238903
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:11:p:809-822




Template-Type: ReDIF-Article 1.0
Author-Name: John Carlson 
Author-X-Name-First: John 
Author-X-Name-Last: Carlson 
Author-Name: Melody Lo 
Author-X-Name-First: Melody 
Author-X-Name-Last: Lo 
Title: Selective asymmetric intervention and sterilization 
Abstract:
  Monetary authorities commonly use interventions in foreign exchange
 markets to influence exchange rates. This paper uses Taiwan's data to show
 that how interventions respond to external shocks representing
 depreciation or appreciation pressures depends on other objectives of the
 monetary authority. If maintaining low inflation is important, then when
 authorities consider inflation to be too high, asymmetrical interventions
 are likely to result with more vigorous unsterilized interventions to
 offset depreciation pressures than to offset appreciation pressures.
 Empirical evidence from Taiwan supports these patterns when external
 shocks occur in the yen/US$ exchange rate. 
Journal: Applied Financial Economics 
Pages: 823-833 
Issue: 11 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000203000 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000203000
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:11:p:823-833




Template-Type: ReDIF-Article 1.0
Author-Name: Melvin Ayogu 
Author-X-Name-First: Melvin 
Author-X-Name-Last: Ayogu 
Author-Name: Hashem Dezhbakhsh 
Author-X-Name-First: Hashem 
Author-X-Name-Last: Dezhbakhsh 
Title: Strategic competition in the banking industry 
Abstract:
  A model of interbank rivalry is developed and tested in the context of a
 one period duopolistic game with stochastic variability in deposit and
 loan demand. A procedure involving two specification tests is used to
 examine model implications. Results confirm that banks change their
 lending rates not only in response to changing own cost conditions but
 also in recognition of mutual interdependence - strategic competition. The
 possibility that banks respond strategically to each other may have
 implications for antitrust analysis. 
Journal: Applied Financial Economics 
Pages: 835-845 
Issue: 12 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001685330 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001685330
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:12:p:835-845




Template-Type: ReDIF-Article 1.0
Author-Name: Aigbe Akhigbe 
Author-X-Name-First: Aigbe 
Author-X-Name-Last: Akhigbe 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Carolyn Spencer 
Author-X-Name-First: Carolyn 
Author-X-Name-Last: Spencer 
Title: Partial acquisitions, corporate control, and performance 
Abstract:
  A partial acquisition represents a unique form of corporate restructuring
 because it alters the ownership structure of two entities (in opposite
 ways), and therefore alters the form of control over the target's
 management. The proportion of the partial target that is owned by other
 shareholders is reduced by the increase in ownership by the partial
 acquirer. Yet, the transaction is unique in that the target firm continues
 as a going concern. Therefore, the target can be evaluated over time to
 determine the impact of the restructuring. Given the shift in ownership
 structure and control over the partial target, the performance of partial
 targets could be affected. It is found that while the partial targets
 experience favourable valuation effects at the time of the announcement,
 there is no evidence of unusual long-term performance beyond the initial
 announcement effects. Therefore, the realized benefits to the partial
 target due to improved monitoring by the partial acquirer are limited on
 average to the initial market reaction. However, there is much dispersion
 in the performance levels of the partial targets following the date at
 which they were partially acquired. A cross-sectional analysis to
 determine whether the variance in performance levels among partial targets
 can be attributed to corporate control characteristics. It is found that
 the performance of the partial targets subject to the least amount of
 control before the partial acquisition is more favourable following the
 acquisition. This finding attributed to the greater change in discipline
 as a result of the partial acquisition. In addition, it is found that the
 performance of the target following the partial acquisition is conditioned
 on characteristics of the partial acquisition itself that represent the
 partial acquirer's degree of control over the partial target. 
Journal: Applied Financial Economics 
Pages: 847-857 
Issue: 12 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001685349 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001685349
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:12:p:847-857




Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Keef 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Keef 
Author-Name: Melvin Roush 
Author-X-Name-First: Melvin 
Author-X-Name-Last: Roush 
Title: Day-of-the-week effects: New Zealand bank bills, 1985-2000 
Abstract:
  This study examines day-of-the-week effects in short term New Zealand
 bank bills with maturities of 30, 60 and 90 days. The analysis is based on
 a within-subject design. The spot interest rates within a week are treated
 as repeated measures on the same subject. These interest rates are
 transformed into orthogonal contrasts which can be analysed separately as
 dependent variables. Two analyses are conducted. The full data does not
 exhibit significant day-of-the-week effects. When the data is trimmed, to
 ameliorate the presence of fat tails, a Wednesday effect is observed for
 the three series. The ubiquitous weekend effect is observed for one series
 of interest rates. However, the reverse of the weekend effect is present
 for the two other series. The practical importance of the results is
 discussed. 
Journal: Applied Financial Economics 
Pages: 859-873 
Issue: 12 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000265417 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000265417
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:12:p:859-873




Template-Type: ReDIF-Article 1.0
Author-Name: Gunter Loffler 
Author-X-Name-First: Gunter 
Author-X-Name-Last: Loffler 
Title: Implied asset value distributions 
Abstract:
  In portfolio credit risk models, correlated credit events are often
 modelled by means of correlated latent variables. The latent variables are
 interpreted as the firms' asset values, and assumed to follow a normal
 distribution. A procedure is described that uses the information embodied
 in rating transition matrices to infer the shape of the latent variable
 distribution. Applying the approach to transition matrices of different
 origin yields consistent results. Compared to the normal distribution, the
 implied asset value distributions are fat-tailed, leading to a substantial
 increase of portfolio credit risk relative to the one under normality. The
 results are thus highly relevant for the design of credit risk measurement
 systems. 
Journal: Applied Financial Economics 
Pages: 875-883 
Issue: 12 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001685312 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001685312
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:12:p:875-883




Template-Type: ReDIF-Article 1.0
Author-Name: Charalambos Pattichis 
Author-X-Name-First: Charalambos 
Author-X-Name-Last: Pattichis 
Author-Name: Chongcheul Cheong 
Author-X-Name-First: Chongcheul 
Author-X-Name-Last: Cheong 
Author-Name: Tesfa Mehari 
Author-X-Name-First: Tesfa 
Author-X-Name-Last: Mehari 
Author-Name: Leighton Vaughan Williams 
Author-X-Name-First: Leighton Vaughan 
Author-X-Name-Last: Williams 
Title: Exchange rate uncertainty, UK trade and the euro 
Abstract:
  The impact of exchange rate uncertainty on the disaggregated imports of
 the UK is investigated by focusing on 15 major manufacturing categories.
 Contrary to several previous theoretical and empirical studies, this paper
 finds no evidence that exchange rate uncertainty has a positive impact on
 international trade. An important implication of this study for UK
 macroeconomic policy is that adoption of the euro would have, in terms of
 its effect on exchange rate risk, a positive impact on the country's trade
 and economic welfare. 
Journal: Applied Financial Economics 
Pages: 885-893 
Issue: 12 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001685321 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001685321
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:12:p:885-893




Template-Type: ReDIF-Article 1.0
Author-Name: Angela Black 
Author-X-Name-First: Angela 
Author-X-Name-Last: Black 
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Title: Long run trends and volatility spillovers in daily exchange rates 
Abstract:
  Recent evidence has suggested that a model capable of capturing multiple
 volatility dynamics best describes daily exchange rate volatility.
 Estimation of a model that can capture long-run and short-run volatility
 movement also allows issues relating to financial and economic integration
 between countries to be examined. More specifically, the long-run
 component for comovement can be examined and spillover effects tested for
 in mean and volatility, the latter of which is suggestive of policy
 co-ordination. Using a series of dollar exchange rates supportive evidence
 is reported of a long-run/short-run decomposition for volatility, and
 existence of three long-run volatility trends, one for the European series
 and a trend each for the non-European series. Further, significant
 volatility spillovers are reported, notably amongst the European series.
 These results are thus supportive of increased convergence between these
 economies. 
Journal: Applied Financial Economics 
Pages: 895-907 
Issue: 12 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000203037 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000203037
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:12:p:895-907




Template-Type: ReDIF-Article 1.0
Author-Name: Satheesh Aradhyula 
Author-X-Name-First: Satheesh 
Author-X-Name-Last: Aradhyula 
Author-Name: A. Tolga Ergun 
Author-X-Name-First: A. Tolga 
Author-X-Name-Last: Ergun 
Title: Trading collar, intraday periodicity and stock market volatility 
Abstract:
  Using five-minute data, market volatility in the Dow Jones Industrial
 Average is examined in the presence of trading collars. A polynomial
 specification is used for capturing intraday seasonality. Results indicate
 that market volatility is 3.4 % higher in declining markets when trading
 collars are in effect. Results also support a U-shaped intraday
 periodicity in volatility. 
Journal: Applied Financial Economics 
Pages: 909-913 
Issue: 13 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001673072 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001673072
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:909-913




Template-Type: ReDIF-Article 1.0
Author-Name: Rehim Kili 
Author-X-Name-First: Rehim 
Author-X-Name-Last: Kili 
Title: On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange 
Abstract:
  This paper analyses long memory properties of Istanbul Stock Exchange
 Market (ISE) National 100 daily dollar index returns, absolute and squared
 returns. Both parametric FIGARCH models and nonparametric methods are
 employed. Results indicate that, contrary to empirical evidence on some
 other emerging capital markets, daily returns do not possess long memory
 characteristics, however, similar to developed equity markets, evidence is
 provided of long memory dynamics in the conditional variance which can be
 modelled adequately by a FIGARCH model. 
Journal: Applied Financial Economics 
Pages: 915-922 
Issue: 13 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233638 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233638
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:915-922




Template-Type: ReDIF-Article 1.0
Author-Name: Henry Bryant 
Author-X-Name-First: Henry 
Author-X-Name-Last: Bryant 
Author-Name: Michael Haigh 
Author-X-Name-First: Michael 
Author-X-Name-Last: Haigh 
Title: Bid-ask spreads in commodity futures markets 
Abstract:
  Issues of recent interest and controversy regarding bid-ask spreads in
 commodity futures markets are investigated. First, competing spread
 estimators are applied to open outcry transactions data and resulting
 estimates are compared to observed spreads. This enables market
 microstructure researchers, regulators, exchange officials, and traders
 the opportunity to evaluate the usefulness and accuracy of bid-ask
 estimators in markets that do not report bid and ask data, providing an
 idea of the 'worst-case' transaction costs that are likely to be incurred.
 Also compared, are spreads observed before and after trading was automated
 (and made anonymous) on commodity futures markets, and it is discovered
 that spreads have generally widened since trading was automated, and that
 they have an increased tendency to widen in periods of high volatility.
 These findings suggest that commodity futures markets have an inherently
 different character than financial futures markets, and therefore merit
 separate investigation. 
Journal: Applied Financial Economics 
Pages: 923-936 
Issue: 13 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000284669 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000284669
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:923-936




Template-Type: ReDIF-Article 1.0
Author-Name: Manfred Keil 
Author-X-Name-First: Manfred 
Author-X-Name-Last: Keil 
Author-Name: Gary Smith 
Author-X-Name-First: Gary 
Author-X-Name-Last: Smith 
Author-Name: Margaret Smith 
Author-X-Name-First: Margaret 
Author-X-Name-Last: Smith 
Title: Shrunken earnings predictions are better predictions 
Abstract:
  Analysts' earnings forecasts are not perfectly correlated with actual
 earnings. One statistical consequence is that the most optimistic and most
 pessimistic forecasts are usually too optimistic and too pessimistic. The
 forecasts' accuracy can be improved by shrinking them towards the mean.
 Insufficient appreciation of this statistical principle may partly explain
 the success of contrarian investment strategies, in particular why stocks
 with the most optimistic earnings forecasts underperform those with the
 most pessimistic forecasts. 
Journal: Applied Financial Economics 
Pages: 937-943 
Issue: 13 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000284678 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000284678
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:937-943




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Shively 
Author-X-Name-First: Philip 
Author-X-Name-Last: Shively 
Title: Time-varying risk components in the single-factor market model: an exact most powerful invariant test 
Abstract:
  There is mounting evidence that stock prices have a time-varying
 predictable component. This paper tests for time-varying systematic risk,
 market compensation for systematic risk, and risk premiums in the
 single-factor market model to determine (1) whether the predictable
 stock-price component is due to time-varying risk premiums in an efficient
 market or an inefficient market with constant risk premiums, and (2)
 whether the time-varying risk premiums are due to time-varying systematic
 risk or time-varying market compensation for systematic risk. This paper
 applies an exact small-sample, pointwise most powerful invariant test to
 ten size and 12 industry portfolios. It finds consistent evidence of time
 variation in all three risk components over the full 35-year sample, but
 largely sporadic evidence of time variation over the five seven-year
 subsamples. Of the portfolios that show evidence of time-varying risk
 premiums, they are most likely the result of time-varying market
 compensation for systematic risk and not time-varying systematic risk. 
Journal: Applied Financial Economics 
Pages: 945-952 
Issue: 13 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000180817 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000180817
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:945-952




Template-Type: ReDIF-Article 1.0
Author-Name: M. McAleer 
Author-X-Name-First: M. 
Author-X-Name-Last: McAleer 
Author-Name: J. M. Sequeira 
Author-X-Name-First: J. M. 
Author-X-Name-Last: Sequeira 
Title: Efficient estimation and testing of oil futures contracts in a mutual offset system 
Abstract:
  With the globalization of financial and commodity markets, it is becoming
 increasingly important to recognize price linkages between markets beyond
 national boundaries. Models of futures pricing that incorporate such price
 linkages into the information set can be expected to be superior
 empirically. Test results obtained in the paper support this proposition
 strongly in the case of Brent crude oil futures contracts traded in a
 mutual offset system between the Singapore International Monetary Exchange
 (SIMEX) and the International Petroleum Exchange (IPE). Augmented models
 of SIMEX Brent futures contracts are obtained by incorporating the
 previous day's IPE Brent futures price into the equation system for the
 unbiased expectations and the cost-of-carry hypotheses, whereas augmented
 models of IPE Brent futures contracts are obtained by incorporating the
 same day's SIMEX Brent futures price in the system for the two hypotheses.
 On the basis of tests of zero restrictions, the system for the augmented
 unbiased expectations hypothesis is found to be superior empirically to
 the system for the standard Unbiased Expectations hypothesis, and the
 augmented cost-of-carry system is also found to be superior empirically to
 the standard cost-of-carry system for both SIMEX Brent futures and IPE
 Brent futures contracts. 
Journal: Applied Financial Economics 
Pages: 953-962 
Issue: 13 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000284687 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000284687
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:953-962




Template-Type: ReDIF-Article 1.0
Author-Name: Delphine Lautier 
Author-X-Name-First: Delphine 
Author-X-Name-Last: Lautier 
Author-Name: Alain Galli 
Author-X-Name-First: Alain 
Author-X-Name-Last: Galli 
Title: Simple and extended Kalman filters: an application to term structures of commodity prices 
Abstract:
  This article presents and compares two different Kalman filters. These
 methods provide a very interesting way to cope with the presence of
 non-observable variables, which is a frequent problem in finance. They are
 also very fast even in the presence of a large information volume. The
 first filter presented, which corresponds to the simplest version of a
 Kalman filter, can be used solely in the case of linear models. The second
 filter - the extended one - is a generalization of the first one, and it
 enables one to deal with non-linear models. However, it also introduces an
 approximation in the analysis, whose possible influence must be
 appreciated. The principles of the method and its advantages are first
 presented. It is then explained why it is interesting in the case of term
 structure models of commodity prices. Choosing a well-known term structure
 model, practical implementation problems are discussed and tested.
 Finally, in order to appreciate the impact of the approximation introduced
 for non-linear models, the two filters are compared. 
Journal: Applied Financial Economics 
Pages: 963-973 
Issue: 13 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000233629 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000233629
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:963-973




Template-Type: ReDIF-Article 1.0
Author-Name: P. Chelley-Steeley 
Author-X-Name-First: P. 
Author-X-Name-Last: Chelley-Steeley 
Title: Serial correlation in the returns of UK capitalization based portfolios 
Abstract:
  This article examines whether UK portfolio returns are time varying so
 that expected returns follow an AR(1) process as proposed by Conrad and
 Kaul for the USA. It explores this hypothesis for four portfolios that
 have been formed on the basis of market capitalization. The portfolio
 returns are modelled using a kalman filter signal extraction model in
 which the unobservable expected return is the state variable and is
 allowed to evolve as a stationary first order autoregressive process. It
 finds that this model is a good representation of returns and can account
 for most of the autocorrelation present in observed portfolio returns.
 This study concludes that UK portfolio returns are time varying and the
 nature of the time variation appears to introduce a substantial amount of
 autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link
 between the extent to which portfolio returns are time varying and the
 size of firms within a portfolio but not the monotonic one found for the
 USA. 
Journal: Applied Financial Economics 
Pages: 975-979 
Issue: 13 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000284696 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000284696
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:975-979




Template-Type: ReDIF-Article 1.0
Author-Name: Guglielmo Maria Caporale 
Author-X-Name-First: Guglielmo Maria 
Author-X-Name-Last: Caporale 
Author-Name: Nikolaos Philippas 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Philippas 
Author-Name: Nikitas Pittis 
Author-X-Name-First: Nikitas 
Author-X-Name-Last: Pittis 
Title: Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market 
Abstract:
  This paper examines the dynamic interactions between mutual fund flows
 and security returns in an emerging capital market, namely the Greek one.
 It adopts a testing strategy not requiring pre-testing (which might
 generate severe biases) but simply augmenting the system (Toda and
 Yamamoto, 1995, Journal of Econometrics, 66, 225-50). The resulting
 statistics follow standard distributions, and valid inference can be
 drawn. Further, possible feedbacks from international capital markets are
 taken into account by including in the system the Dow Jones index. By
 combining causality tests and generalized impulse response analysis (as in
 Pesaran and Shin, 1998, Economic Letters, 58, 17-29), it is found that
 momentum trading is the most plausible explanation for dynamic feedbacks,
 and that temporary price pressures might also be a relevant factor, whilst
 information revelation does not appear to play a role. 
Journal: Applied Financial Economics 
Pages: 981-989 
Issue: 14 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000263941 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000263941
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:981-989




Template-Type: ReDIF-Article 1.0
Author-Name: Paresh Kumar Narayan 
Author-X-Name-First: Paresh Kumar 
Author-X-Name-Last: Narayan 
Author-Name: Russell Smyth 
Author-X-Name-First: Russell 
Author-X-Name-Last: Smyth 
Title: Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts 
Abstract:
  This paper examines whether the Australian equity market is integrated
 with the equity markets of the G7 economies by applying both the Johansen
 (Statistical analysis of conintegrating vectors, Journal of Economic
 Dynamics and Control, 12, 231-54, 1988) and Gregory and Hansen
 (Residual-based tests for cointegration in models with regime shifts,
 Journal of Econometrics, 70, 99-126, 1996) approaches to cointegration.
 Some evidence of a pairwise long-run relationship between the Australian
 stock market and the stock markets of Canada, Italy, Japan and the United
 Kingdom is found, but the Australian equity market is not pairwise
 cointegrated with the equity markets of France, Germany or the USA. 
Journal: Applied Financial Economics 
Pages: 991-1004 
Issue: 14 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000261871 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000261871
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:991-1004




Template-Type: ReDIF-Article 1.0
Author-Name: George McKenzie 
Author-X-Name-First: George 
Author-X-Name-Last: McKenzie 
Author-Name: Simon Wolfe 
Author-X-Name-First: Simon 
Author-X-Name-Last: Wolfe 
Title: The impact of environmental risk on the UK banking sector 
Abstract:
  The aim of this paper is to examine the tensions that face the UK banking
 sector in assessing and managing credit risks associated with actual or
 potential environmental damage arising from the activities of borrowers.
 It was found that banks were more concerned with the reputational effects
 associated with lending to a polluter than with credit risk assessment.
 Concern exists with the potential legal risks arising from the application
 of the principle of joint and several liability by courts in cases
 involving environmental damage caused by borrowers. The paper concludes
 that further research is required on the role of (a) the supply chain in
 credit risk assessment and (b) partnership contracts between borrower,
 lender and environmental agencies. 
Journal: Applied Financial Economics 
Pages: 1005-1016 
Issue: 14 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000261880 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000261880
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:1005-1016




Template-Type: ReDIF-Article 1.0
Author-Name: Yoshiro Tsutsui 
Author-X-Name-First: Yoshiro 
Author-X-Name-Last: Tsutsui 
Author-Name: Kenjiro Hirayama 
Author-X-Name-First: Kenjiro 
Author-X-Name-Last: Hirayama 
Title: Appropriate lag specification for daily responses of international stock markets 
Abstract:
  This paper explores the international linkage of stock prices, using
 daily stock price indices of the four major economies (USA, UK, Germany,
 and Japan) from June 1974 to December 1997. It is argued that previous
 studies have not estimated the structural equation system reflecting the
 sequential occurrence of market closing, which is crucial in investigating
 the characteristics of daily responses among international stock markets.
 By estimating the structural equation system, it is found that the most
 recent market has the strongest effect, except for the case of Japanese
 effects on the German market. 
Journal: Applied Financial Economics 
Pages: 1017-1025 
Issue: 14 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310032000056735 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310032000056735
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:1017-1025




Template-Type: ReDIF-Article 1.0
Author-Name: Emilios Galariotis 
Author-X-Name-First: Emilios 
Author-X-Name-Last: Galariotis 
Title: Sources of contrarian profits and return predictability in emerging markets 
Abstract:
  Acknowledging a gap in the literature, the study performs an
 investigation on short-term contrarian profits and their sources for the
 Athens Stock Exchange (ASE). The methodology is based on Jegadeesh and
 Titman (Review of Financial Studies, 8, 973-93, 1995); however, this paper
 employs annually rebalanced size-sorted subsamples instead of a one-off
 arrangement throughout the sample period. Other key contributions relate
 to: (a) testing the effect on the empirical results of the choice of an
 equally as opposed to a value weighted index as a proxy for the market
 portfolio, and (b) testing for the January effect following the ongoing
 discussion and disagreement in the literature on seasonality. Empirical
 findings suggest that short-run contrarian profits are present in the ASE.
 Furthermore, although both underreaction to common factors and
 overreaction to the firm-specific return component, appear to contribute
 to profits; the contribution of overreaction is much larger than that of
 underreaction. Not only so, but any contribution of the later is
 restricted to the month of January. Seasonality however has no effect on
 firm specific overreaction. The selection of a value weighted or an
 equally weighted index does not alter the main findings, and thus does not
 explain predictability for this market. 
Journal: Applied Financial Economics 
Pages: 1027-1034 
Issue: 14 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000261802 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000261802
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:1027-1034




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitar Tonchev 
Author-X-Name-First: Dimitar 
Author-X-Name-Last: Tonchev 
Author-Name: Tae-Hwan Kim 
Author-X-Name-First: Tae-Hwan 
Author-X-Name-Last: Kim 
Title: Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia 
Abstract:
  This paper uses a new data set from three Eastern European countries
 (Czech Republic, Slovakia and Slovenia) to investigate whether the
 so-called calendar effects are present in the newly developing financial
 markets in those countries. Five calendar effects are examined in both
 mean by OLS regression and variance by GARCH; the day of the week effect,
 the January effect, the half-month effect, the turn of the month effect
 and the holiday effect. In the empirical analysis, very weak evidence has
 been found for the calendar effects in the three countries, and these
 effects, where they exist, have different characteristics in the different
 stock markets. 
Journal: Applied Financial Economics 
Pages: 1035-1043 
Issue: 14 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000264003 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000264003
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:1035-1043




Template-Type: ReDIF-Article 1.0
Author-Name: Pilar Abad 
Author-X-Name-First: Pilar 
Author-X-Name-Last: Abad 
Author-Name: Alfonso Novales 
Author-X-Name-First: Alfonso 
Author-X-Name-Last: Novales 
Title: Volatility transmission across the term structure of swap markets: international evidence 
Abstract:
  The behaviour of volatility across the term structure of interest rate
 swaps is characterized in three currencies (Deutsche mark, Japanese yen
 and US dollar). For that purpose, a modified GARCH-in mean model is used
 allowing for seasonal patterns in the mean and variance of interest rates
 and asymmetric responses to interest rate surprises. Daily interest rate
 changes are found (a) to be predictable, following autoregressive
 structures, and (b) to display weekly seasonality. Additionally, interest
 rate volatility is shown to (a) decrease with maturity, (b) be very
 persistent and hence, somewhat predictable, which is important when
 pricing derivatives on swap products, (c) show a tendency to be lower at
 the beginning of the week, increasing later on, and (d) to respond
 asymmetrically to interest rate innovations. These properties could
 clearly be used in risk management with interest rate swaps. Finally,
 significant transmission of volatility is found from the very short-term
 to longer-term interest rates. This evidence supports the importance
 attributed by most central banks to achieving stability in short-term
 interest rates. 
Journal: Applied Financial Economics 
Pages: 1045-1058 
Issue: 14 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000245563 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000245563
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:1045-1058




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Schaub 
Author-X-Name-First: Mark 
Author-X-Name-Last: Schaub 
Title: Market timing effects on the investment performance of Asia-Pacific and European ADRs listed on the New York stock exchange 
Abstract:
  This study tests early and aftermarket returns of Asia-Pacific and
 European equities traded on the New York Stock Exchange as American
 Depository Receipts (ADRs) for a period of three years from the date of
 issue. The results provide evidence that the US markets overpriced on
 average the Asian ADRs for the entire sample period from January 1987
 through September 2000. However, while the sample of Asia-Pacific equities
 issued from January 1987 through May 1998 underperformed the S&P 500 by
 almost 23%, the ADRs issued from May 1998 through September 2000 returned
 roughly the same as the S&P 500 for the three-year bear market holding
 period. These results may suggest timing of Asia-Pacific ADR issuance
 affects excess returns over the S&P 500 in the long run. On the other
 hand, the performance of the European ADR sample was roughly the same as
 the S&P 500 regardless of when issued. 
Journal: Applied Financial Economics 
Pages: 1059-1066 
Issue: 15 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331297658 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331297658
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1059-1066




Template-Type: ReDIF-Article 1.0
Author-Name: John Anderson 
Author-X-Name-First: John 
Author-X-Name-Last: Anderson 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Maximizing futures returns using fixed fraction asset allocation 
Abstract:
  While considerable evidence has been produced concerning the efficacy of
 trading rules in futures markets, the results have generally not allowed
 for the reinvestment of profits as might be observed for real traders.
 Similarly, the determination of the appropriate capital allocation
 required per futures contract traded has been largely unstructured so
 making reported percentage returns questionable. This paper provides
 evidence of the profitability of a simple and publicly available trading
 rule in five futures markets but more importantly incorporates the ability
 to reinvest any profits via the 'Optimal f ' technique described by Vince
 (1990). The results indicate that money management in speculative futures
 trading plays a more important role in trading rule profitability than
 previously considered by providing dramatic differences in profitability
 depending on how aggressively the trader capitalizes each futures
 contract. 
Journal: Applied Financial Economics 
Pages: 1067-1073 
Issue: 15 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000281167 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000281167
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1067-1073




Template-Type: ReDIF-Article 1.0
Author-Name: James Chong 
Author-X-Name-First: James 
Author-X-Name-Last: Chong 
Title: Options trading profits from correlation forecasts 
Abstract:
  This study examines the profitability of trading currency straddles on
 the basis of the volatility and correlation forecasts derived from various
 statistical models. There is evidence to demonstrate that for maximum
 wealth accumulation, a trader should employ sophisticated models like the
 exponential GARCH for correlation forecasts and simpler ones like the
 exponential weighted moving average for volatility forecasts. With
 differing transaction costs structure between traders, the directional
 bets taken by the models of the market maker for the most part appear
 successful, reaping large positive returns. This is especially evident for
 GBP/DEM straddles and to a lesser extent for JPY/DEM straddles. However,
 the options trading strategy profits of the price taker are insufficient
 to outweigh transaction costs, a result considered consistent with market
 efficiency. 
Journal: Applied Financial Economics 
Pages: 1075-1085 
Issue: 15 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000281194 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000281194
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1075-1085




Template-Type: ReDIF-Article 1.0
Author-Name: Hai-Chin Yu 
Author-X-Name-First: Hai-Chin 
Author-X-Name-Last: Yu 
Author-Name: Ming-Chang Huang 
Author-X-Name-First: Ming-Chang 
Author-X-Name-Last: Huang 
Title: Statistical properties of volatility in fractal dimensions and probability distribution among six stock markets 
Abstract:
  This study examines the statistical properties of volatility among New
 York, Tokyo, Taiwan, South Korea, Singapore and Hong Kong stock markets.
 Fractal dimensions, probability distribution and two-point volatility
 correlation are used to measure and compare volatility among the six over
 the 12-year period from 1 January 1990 to 31 December 2001. New York
 market is found to be the strongest among all in terms of market
 efficiency. Moreover, the Tokyo and Singapore markets are found to be very
 similar in fractal dimension and probability distribution, but different
 in their resistance to volatility: Tokyo has a higher ability to dissipate
 volatility. This phenomenon implies that the Tokyo market is more
 efficient than the Singapore market. Hong Kong market is similar to the
 Singapore market in its ability to dissipate volatility. Meanwhile,
 Taiwanese and Korean markets are the most two volatile markets among the
 six, but Taiwanese market is weaker than the Korean market in dissipating
 volatility. 
Journal: Applied Financial Economics 
Pages: 1087-1095 
Issue: 15 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331297694 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331297694
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1087-1095




Template-Type: ReDIF-Article 1.0
Author-Name: Peter Karungu 
Author-X-Name-First: Peter 
Author-X-Name-Last: Karungu 
Author-Name: Yohane Khamfula 
Author-X-Name-First: Yohane 
Author-X-Name-Last: Khamfula 
Title: Impact of export earnings fluctuation on capital formation: evidence from four SADC countries 
Abstract:
  This study attempts to empirically explore the association between export
 earnings fluctuation and capital formation in the following four Southern
 African Development Community (SADC) countries: Botswana, Mozambique,
 Zambia and Zimbabwe. Using cointegration and error correction models, the
 results of the study reveal that in the long run export earnings
 fluctuation positively and significantly influences capital formation in
 Zambia only. In the rest of the countries under study, export earnings
 fluctuation has an insignificant influence on capital formation. In the
 short run, changes in this main variable of interest (export earnings
 fluctuation) do not influence the adjustment process of capital formation
 towards its long-run equilibrium. 
Journal: Applied Financial Economics 
Pages: 1097-1103 
Issue: 15 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331297685 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331297685
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1097-1103




Template-Type: ReDIF-Article 1.0
Author-Name: Srinivas Nippani 
Author-X-Name-First: Srinivas 
Author-X-Name-Last: Nippani 
Author-Name: Kenneth Washer 
Author-X-Name-First: Kenneth 
Author-X-Name-Last: Washer 
Title: SARS: a non-event for affected countries' stock markets? 
Abstract:
  The impact of SARS on the stock markets of Canada, China, Hong Kong
 Special Administrative Region of China, Indonesia, the Philippines,
 Singapore, Thailand and Vietnam, is examined. The leading stock indices of
 these countries during the SARS outbreak are compared with a non-SARS
 period and also with the S&P 1200 Global Index. Conventional t-tests and
 the non-parametric Mann-Whitney test are used for the study. It is
 concluded that SARS had no negative impact on the affected countries'
 stock markets with the exception of China and Vietnam. 
Journal: Applied Financial Economics 
Pages: 1105-1110 
Issue: 15 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000310579 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000310579
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1105-1110




Template-Type: ReDIF-Article 1.0
Author-Name: Francisco Gonzalez 
Author-X-Name-First: Francisco 
Author-X-Name-Last: Gonzalez 
Title: Do equity investments affect banks' profitability? Evidence from OECD countries 
Abstract:
  This paper analyses the influence of equity investments on banks'
 profitability in a panel data of 24 OECD countries. The results suggest a
 positive influence of banks' equity investments on banks' interest rate
 margin and banks' net income that is not outweighed by additional
 requirements of provisions and capital that supervisory authorities
 establish to control bank risk. The positive effect equity investments
 have on banks' interest margin is consistent with the banks' ability as
 shareholders to obtain benefits in the lending relationship they also keep
 with firms. 
Journal: Applied Financial Economics 
Pages: 1111-1124 
Issue: 15 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331297669 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331297669
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1111-1124




Template-Type: ReDIF-Article 1.0
Author-Name: Christos Floros 
Author-X-Name-First: Christos 
Author-X-Name-Last: Floros 
Author-Name: Dimitrios Vougas 
Author-X-Name-First: Dimitrios 
Author-X-Name-Last: Vougas 
Title: Hedge ratios in Greek stock index futures market 
Abstract:
  This paper examines hedging in Greek stock index futures market. The
 focus is on various techniques to estimate constant or time-varying hedge
 ratios. For both available stock index futures contracts of the Athens
 Derivatives Exchange (ADEX), a variety of econometric models are employed
 to derive and estimate underlying hedge ratios. Standard OLS regressions,
 simple and vector error correction models, as well as multivariate
 generalized autoregressive heteroscedasticity (M-GARCH) models are
 employed to estimate corresponding hedge ratios that can be employed in
 hedging (viewed as risk management). In both cases for Greek stock index
 futures, M-GARCH models (capturing time-variation) provide best hedging
 ratios, in line with similar findings in the literature. These models are
 strongly recommended to risk managers dealing with Greek stock index
 futures. 
Journal: Applied Financial Economics 
Pages: 1125-1136 
Issue: 15 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331297702 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331297702
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1125-1136




Template-Type: ReDIF-Article 1.0
Author-Name: Claudia Buch 
Author-X-Name-First: Claudia 
Author-X-Name-Last: Buch 
Title: Cross-border banking and transmission mechanisms in Europe: evidence from German data 
Abstract:
  International activities of commercial banks play a potential role for
 the transmission of shocks across countries. This paper presents stylized
 facts of the integration of European banking markets and analyses the
 potential of banks to transmit shocks across countries. Although the
 openness of banking systems has increased, bilateral financial linkages
 among EU countries are relatively small. The exceptions are claims of
 German banks on a number of smaller countries. These data are used for an
 analysis of the determinants of cross-border lending patterns. 
Journal: Applied Financial Economics 
Pages: 1137-1149 
Issue: 16 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000316438 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000316438
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:16:p:1137-1149




Template-Type: ReDIF-Article 1.0
Author-Name: Ninon Kohers 
Author-X-Name-First: Ninon 
Author-X-Name-Last: Kohers 
Title: Acquisitions of private targets: the unique shareholder wealth implications 
Abstract:
  Acquisitions of privately-held targets provide unique shareholder wealth
 implications which prior studies have not addressed. This study provides a
 comparative analysis of private versus public target takeovers, including
 differences in merger motivations, method of payment inferences,
 shareholder wealth effects, and the factors driving these wealth changes.
 The results show that acquirer wealth gains in private target takeovers
 exceed those in public target takeovers, with large private targets being
 the key contributors to wealth gains. Acquirer gains do not appear to come
 at the expense of private target gains. These findings highlight the
 importance of target ownership in influencing the shareholder wealth
 changes in takeovers. 
Journal: Applied Financial Economics 
Pages: 1151-1165 
Issue: 16 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331297676 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331297676
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:16:p:1151-1165




Template-Type: ReDIF-Article 1.0
Author-Name: Vanitha Ragunathan 
Author-X-Name-First: Vanitha 
Author-X-Name-Last: Ragunathan 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Title: Correlations, integration and Hansen-Jagannathan bounds 
Abstract:
  Recent studies have documented the growing economic and financial
 integration between countries. Among other things, this has led to the
 argument that greater integration results in higher bilateral correlations
 between returns on national stock markets. This study endeavours to link
 the two issues by utilizing the assumption that if countries are
 integrated, they would have to display a minimum level of correlation.
 This is achieved by constructing a bound on the level of the bilateral
 correlation, as originally developed by Kasa (1995). In contrast to Kasa,
 the present studies demonstrate that the correlation bound may not be
 downward sloping in all cases and careful interpretation of the results is
 required. 
Journal: Applied Financial Economics 
Pages: 1167-1180 
Issue: 16 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000281149 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000281149
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:16:p:1167-1180




Template-Type: ReDIF-Article 1.0
Author-Name: Kamal Upadhyaya 
Author-X-Name-First: Kamal 
Author-X-Name-Last: Upadhyaya 
Author-Name: Franklin Mixon 
Author-X-Name-First: Franklin 
Author-X-Name-Last: Mixon 
Author-Name: Rabindra Bhandari 
Author-X-Name-First: Rabindra 
Author-X-Name-Last: Bhandari 
Title: Exchange rate adjustment and output in Greece and Cyprus: evidence from panel data 
Abstract:
  This paper studies the effect of currency depreciation in Greece and
 Cyprus using panel data from 1969 to 1998. An empirical model, which
 includes monetary as well as fiscal variables in addition to exchange
 rates, is developed. Two versions of this model, one with the real
 exchange rate and another with the nominal exchange rate and
 foreign-to-domestic price ratio are estimated. Before estimating the model
 the time series properties of the data are diagnosed using unit root and
 cointegration tests. The estimated results suggest that the exchange rate
 depreciation is expansionary in the short run. In the medium and long run
 it is neutral to the economy. 
Journal: Applied Financial Economics 
Pages: 1181-1185 
Issue: 16 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000282058 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000282058
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:16:p:1181-1185




Template-Type: ReDIF-Article 1.0
Author-Name: George Skiadopoulos 
Author-X-Name-First: George 
Author-X-Name-Last: Skiadopoulos 
Title: The Greek implied volatility index: construction and properties 
Abstract:
  There is a growing literature on implied volatility indices in developed
 markets. However, no similar research has been conducted in the context of
 emerging markets. In this paper, an implied volatility index (GVIX) is
 constructed for the fast developing Greek derivatives market. Next, the
 properties of GVIX are explored. In line with earlier results, GVIX can be
 interpreted as a gauge of the investor's sentiment. In addition, it is
 found that the underlying stock market can forecast the future movements
 of GVIX. However, the reverse relationship does not hold. Finally, a
 contemporaneous spillover between GVIX and the US volatility indices VXO
 and VXN is detected. The results have implications for portfolio
 management. 
Journal: Applied Financial Economics 
Pages: 1187-1196 
Issue: 16 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000280438 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000280438
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:16:p:1187-1196




Template-Type: ReDIF-Article 1.0
Author-Name: Ghulam Sarwar 
Author-X-Name-First: Ghulam 
Author-X-Name-Last: Sarwar 
Title: The informational role of option trading volume in the S&P 500 futures options markets 
Abstract:
  This paper analyses the dynamic relations between future price volatility
 of the S&P 500 index futures and trading volume of S&P 500 futures options
 to examine the informational role of the option volume in predicting the
 future price volatility. Using a pooled cross-sectional and time-series
 data framework, the paper uses the error components and dummy variable
 models to allow for the relations between volatility and volume to vary by
 the option's time-to-maturity and moneyness. The results suggest that
 previous call and put volumes have a strong predictive ability with
 respect to the future price volatility. The results also indicate that the
 future price volatility has a leading positive effect on the option
 volume, but that the rises and falls in volatility exert asymmetric
 influences on the option volume. These findings support the hypothesis
 that both the information- and hedge-related trading explain most of the
 trading volume of S&P 500 futures options. 
Journal: Applied Financial Economics 
Pages: 1197-1210 
Issue: 16 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000280483 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000280483
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:16:p:1197-1210




Template-Type: ReDIF-Article 1.0
Author-Name: James Payne 
Author-X-Name-First: James 
Author-X-Name-Last: Payne 
Author-Name: Hassan Mohammadi 
Author-X-Name-First: Hassan 
Author-X-Name-Last: Mohammadi 
Title: The transmission of shocks across real estate investment trust (REIT) markets 
Abstract:
  This paper examines the transmission of shocks across equity, mortgage,
 and hybrid real estate investment trusts (REITs). Though the augmented
 Dickey-Fuller, Phillips-Perron, and Kwiatkowski-Phillips-Schmidt-Shin unit
 root tests reveal that the respective REITs are integrated of order one,
 Johansen-Juselius cointegration tests suggest that the three REIT markets
 are not cointegrated. The absence of cointegration supports the
 proposition of financial market efficiency proposed by Granger and by
 Richards. Granger-causality tests and Wald tests of long-run relations are
 presented to examine the short-run dynamics of the respective REIT
 markets; moreover, the generalized impulse response analysis reveals that
 shocks across the REIT markets are disseminated quickly. 
Journal: Applied Financial Economics 
Pages: 1211-1217 
Issue: 17 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001692819 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001692819
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:17:p:1211-1217




Template-Type: ReDIF-Article 1.0
Author-Name: Samy Ben Naceur 
Author-X-Name-First: Samy Ben 
Author-X-Name-Last: Naceur 
Author-Name: Mohamed Goaied 
Author-X-Name-First: Mohamed 
Author-X-Name-Last: Goaied 
Title: The value relevance of accounting and financial information: panel data evidence 
Abstract:
  The value-relevance of the major corporate financial variables for
 Tunisian listed companies is investigated using a levels-based approach.
 The theoretical background of the paper is based on Ohlson's work
 (Contemporary Accounting Research, 11(2), 661-87, 1995) and Rees'
 empirical paper (Journal of Business, Finance and Economics, 24, 1111-40,
 1997). This paper reports that earnings and book value are value-relevant.
 It is found that dividend policy is a signalling device for Tunisian
 companies but debt and investment policies are not value-relevant. The
 results of segmentation by capitalization show that dividend policy is
 value-relevant only for smaller firms. The dividend coefficient is
 considerably larger for the medium ROE group and the book value variable
 is most influential when return on equity is abnormally high. 
Journal: Applied Financial Economics 
Pages: 1219-1224 
Issue: 17 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000203019 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000203019
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:17:p:1219-1224




Template-Type: ReDIF-Article 1.0
Author-Name: Kpate Adjaoute 
Author-X-Name-First: Kpate 
Author-X-Name-Last: Adjaoute 
Author-Name: Jean-Pierre Danthine 
Author-X-Name-First: Jean-Pierre 
Author-X-Name-Last: Danthine 
Title: Portfolio diversification: alive and well in Euro-land! 
Abstract:
  Diversification opportunities in Euro-land appear to have improved
 significantly since the advent of the euro, thus invalidating the
 prospects identified in the last years of the convergence-to-EMU period.
 Low frequency movements in the time series of return dispersions are
 identified suggestive of cycles and long swings in return correlations.
 The most recent post-euro period is clearly associated with an important
 upswing with return dispersions exceeding for the first time their peaks
 of the early 1990s. 
Journal: Applied Financial Economics 
Pages: 1225-1231 
Issue: 17 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000203028 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000203028
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:17:p:1225-1231




Template-Type: ReDIF-Article 1.0
Author-Name: Bill Dimovski 
Author-X-Name-First: Bill 
Author-X-Name-Last: Dimovski 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Title: Stakeholder representation on the boards of Australian initial public offerings 
Abstract:
  This paper analyses the board composition of Australian initial public
 offerings (IPOs) over the period 1994 to 1997. The recent management
 literature identifies a wide range of stakeholders beyond the traditional
 shareholders. Evan and Freeman, and Jones and Goldberg suggest that the
 importance of stakeholders should be reflected in board representation.
 Luoma and Goodstein provide evidence of increased stakeholder
 representation on the boards of American companies. This paper studies
 Australian IPOs and finds that this is not the case. This suggests that
 capital raising by new lists in the Australian equity market does not
 require stakeholder representation on the board. 
Journal: Applied Financial Economics 
Pages: 1233-1238 
Issue: 17 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001692800 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001692800
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:17:p:1233-1238




Template-Type: ReDIF-Article 1.0
Author-Name: Andreas Gintschel 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Gintschel 
Author-Name: Andreas Hackethal 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Hackethal 
Title: Multi-bank loan pool contracts: enhancing the profitability of small commercial banks 
Abstract:
  The study shows that multi-bank loan pool contracts improve the
 risk-return profile of banks' loan business. Banks write simple contracts
 on the proceeds from pooled loan portfolios, taking into account the
 free-rider problems in joint loan production. Thereby especially smaller
 banks benefit greatly from diversifying credit risk while limiting the
 efficiency loss due to adverse incentives. Calibration results are
 presented for a sample of German savings banks: the formation of loan
 pools reduces the volatility in default rates, proxying for credit risk,
 of loan portfolios by roughly 80%. Under reasonable assumptions, the gain
 in return on equity (in certainty equivalent terms) is around 200 basis
 points annually. 
Journal: Applied Financial Economics 
Pages: 1239-1252 
Issue: 17 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000281176 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000281176
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:17:p:1239-1252




Template-Type: ReDIF-Article 1.0
Author-Name: Theodore Syriopoulos 
Author-X-Name-First: Theodore 
Author-X-Name-Last: Syriopoulos 
Title: International portfolio diversification to Central European stock markets 
Abstract:
  The presence of short- and long-run linkages among major emerging Central
 European stock markets, namely Poland, Czech Republic, Hungary, and
 Slovakia, as well as developed markets, particularly Germany and the USA,
 is investigated. An error correction vector autoregressive model is
 estimated to detect cointegration relationships and the empirical findings
 support the presence of one cointegration vector, indicating a stationary
 long-run relationship. Both domestic and external forces affect stock
 market behaviour, leading to long-run equilibrium but the individual
 Central European markets tend to display stronger linkages with their
 mature counterparts rather than their neighbours. Long-run co-movements
 imply that diversifying risk and attaining superior portfolio returns by
 investing in different Central European markets may be limited for
 international investors. 
Journal: Applied Financial Economics 
Pages: 1253-1268 
Issue: 17 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000280465 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000280465
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:17:p:1253-1268




Template-Type: ReDIF-Article 1.0
Author-Name: Gregor Dorfleitner 
Author-X-Name-First: Gregor 
Author-X-Name-Last: Dorfleitner 
Title: How short-termed is the trading behaviour in Eurex futures markets? 
Abstract:
  This paper investigates empirically smoothing-out ratios and average
 holding periods of different Eurex futures such as the Euro-Bund, the DAX,
 the DJ Euro STOXX 50 future and others from 1999 to 2002. A methodology
 that only needs daily volume and open interest data is presented
 (including an innovative open interest correction algorithm). It can be
 shown that average holding periods decrease over time in most of the
 examined futures. Other interesting results are the June contract
 phenomenon in the DAX future and a 09/11 effect in several Eurex futures. 
Journal: Applied Financial Economics 
Pages: 1269-1279 
Issue: 17 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000280456 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000280456
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:17:p:1269-1279




Template-Type: ReDIF-Article 1.0
Author-Name: Francesco Pattarin 
Author-X-Name-First: Francesco 
Author-X-Name-Last: Pattarin 
Author-Name: Riccardo Ferretti 
Author-X-Name-First: Riccardo 
Author-X-Name-Last: Ferretti 
Title: The Mib30 index and futures relationship: econometric analysis and implications for hedging 
Abstract:
  The interactions between the Mib30 stock market index and its future
 contract are examined. Using daily data for the 1994-2002 period, it is
 found that the cost-of-carry model holds as an equilibrium relationship
 between spot and futures prices. Deviations from equilibrium are corrected
 by movements in the spot market, but cross-market dynamics are also
 important in the short run. We model the time-varying volatility of daily
 returns' as an autoregressive conditional heteroscedastic process; this
 model used to estimate minimum-variance hedge ratios. In- and
 out-of-sample comparisons with static hedging show that, by carefully
 choosing the ARCH specification, a significant improvement in variance
 reduction can be achieved. 
Journal: Applied Financial Economics 
Pages: 1281-1289 
Issue: 18 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331313578 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331313578
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1281-1289




Template-Type: ReDIF-Article 1.0
Author-Name: Rajeeva Sinha 
Author-X-Name-First: Rajeeva 
Author-X-Name-Last: Sinha 
Title: The role of hostile takeovers in corporate governance 
Abstract:
  The study makes a distinction between the role of hostile takeovers as a
 mechanism for downsizing and exit in the process of 'creative destruction'
 and the role of hostile takeovers as a corporate governance mechanism for
 curbing managerial slack and opportunism. The likelihood that
 underperforming firms with ineffective internal governance structures are
 the targets of hostile takeover bids is examined using a panel data for a
 matched sample of firms in the UK. The study does not find
 underperformance in firms as a significant factor in the likelihood of a
 hostile takeover bid. The findings of the literature reporting a
 significant influence of underperformance in hostile takeovers appear to
 be the outcome of a mis-specified model. The study also compares the
 relationship between governance structure and performance for firms
 subject to a hostile takeover bid with firms that did not receive a tender
 offer. The empirical findings do not show that firms with relatively
 ineffective internal governance structure are the likely targets for
 hostile takeover bids. 
Journal: Applied Financial Economics 
Pages: 1291-1305 
Issue: 18 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000280492 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000280492
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1291-1305




Template-Type: ReDIF-Article 1.0
Author-Name: Samih Antoine Azar 
Author-X-Name-First: Samih Antoine 
Author-X-Name-Last: Azar 
Title: Excess volatility in the US stock market: evidence to the contrary 
Abstract:
  This study re-evaluates the empirical evidence on excess volatility as
 pioneered by Shiller (Market Volatility, MIT Press, Cambridge, MA). The
 results show that a simple, non-dynamic, model of the price of the market
 stock as a function of the dividend on the market is supported. Moreover
 the evidence on cointegration between the real market stock price and its
 real dividend is weaker than previously reported. The study shows strong
 evidence to conclude that excess volatility is absent from the US stock
 market, which implies that this market is more rational than has been
 previously thought. 
Journal: Applied Financial Economics 
Pages: 1307-1311 
Issue: 18 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000282076 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000282076
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1307-1311




Template-Type: ReDIF-Article 1.0
Author-Name: Dipankor Coondoo 
Author-X-Name-First: Dipankor 
Author-X-Name-Last: Coondoo 
Author-Name: Paramita Mukherjee 
Author-X-Name-First: Paramita 
Author-X-Name-Last: Mukherjee 
Title: Components of volatility and their empirical measures: a note 
Abstract:
  A descriptive decomposition of the observed volatility of a variable into
 three components is proposed here. These components have been named the
 Strength, Duration and Persistence of volatility. This decomposition is
 unique and is such that measurement and analysis of these components will
 facilitate both a better understanding of the nature of volatility of a
 variable and, more importantly, a comparison of the patterns of volatility
 of two or more variables. The proposed methodology is illustrated here by
 applying it to the time series of daily observations on three variables,
 viz., stock return, inter-bank call money rate and foreign institutional
 investment, pertaining to India. 
Journal: Applied Financial Economics 
Pages: 1313-1318 
Issue: 18 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331313550 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331313550
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1313-1318




Template-Type: ReDIF-Article 1.0
Author-Name: Kyriaki Kosmidou 
Author-X-Name-First: Kyriaki 
Author-X-Name-Last: Kosmidou 
Author-Name: Fotios Pasiouras 
Author-X-Name-First: Fotios 
Author-X-Name-Last: Pasiouras 
Author-Name: Jordan Floropoulos 
Author-X-Name-First: Jordan 
Author-X-Name-Last: Floropoulos 
Title: Linking profits to asset-liability management of domestic and foreign banks in the UK 
Abstract:
  This paper employs the statistical cost accounting method on a sample of
 36 domestic and 44 foreign banks operating in the UK over the period
 1996-2002 to examine the relationship between profits and asset-liability
 composition. The sample was initially split into high and low profit banks
 by comparing their operating profit with the industry average. The results
 show that high profit banks experience considerably lower cost of
 liabilities for most sources of funding, which can cover any losses from
 the lower rate of return on assets that they experience compared to their
 lower profit competitors. The sample was then split into domestic and
 foreign banks. The operating profit that domestic banks experience
 appeared to be generated by the loans that they hold on their earning
 assets portfolio and their fixed assets while the operating profit of
 foreign banks was generated by all the assets that comprise their
 portfolios. Turning to liabilities, in both cases customer and short-term
 funding was found to be more costly than other sources of funding. 
Journal: Applied Financial Economics 
Pages: 1319-1324 
Issue: 18 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000293146 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000293146
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1319-1324




Template-Type: ReDIF-Article 1.0
Author-Name: Edward Jones 
Author-X-Name-First: Edward 
Author-X-Name-Last: Jones 
Author-Name: Jo Danbolt 
Author-X-Name-First: Jo 
Author-X-Name-Last: Danbolt 
Title: Joint venture investments and the market value of the firm 
Abstract:
  The impact of Joint Venture announcements on the market value of UK
 listed companies is examined. Based on a sample of 158 announcements of
 either joint venture formation or joint venture activities, significant
 positive market-adjusted abnormal returns of 0.5% on the announcement date
 are observed. Cross-sectional analysis reveals that abnormal returns are
 significantly lower when undertaken by large companies, or where the
 project is located in Asia. On the other hand, market-adjusted returns are
 found to be significantly higher when the project is large compared to the
 size of the company undertaking the investment, and where the project is
 either domestic or located within the European Union. 
Journal: Applied Financial Economics 
Pages: 1325-1331 
Issue: 18 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100412331313569 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331313569
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1325-1331




Template-Type: ReDIF-Article 1.0
Author-Name: Stavros Degiannakis 
Author-X-Name-First: Stavros 
Author-X-Name-Last: Degiannakis 
Title: Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 
Abstract:
  Predicting the one-step-ahead volatility is of great importance in
 measuring and managing investment risk more accurately. Taking into
 consideration the main characteristics of the conditional volatility of
 asset returns, an asymmetric Autoregressive Conditional Heteroscedasticity
 (ARCH) model is estimated. The model is extended to also capture (i) the
 skewness and excess kurtosis that the asset returns exhibit, and (ii) the
 fractional integration of the conditional variance. The model, which takes
 into consideration both the fractional integration of the conditional
 variance as well as the skewed and leptokurtic conditional distribution of
 innovations, produces the most accurate one-day-ahead volatility
 forecasts. The study recommends to portfolio managers and traders that
 extended ARCH models generate more accurate volatility forecasts of stock
 returns. 
Journal: Applied Financial Economics 
Pages: 1333-1342 
Issue: 18 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/0960310042000285794 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000285794
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1333-1342




Template-Type: ReDIF-Article 1.0
Author-Name: Juan Angel Lafuente 
Author-X-Name-First: Juan Angel 
Author-X-Name-Last: Lafuente 
Author-Name: Jesus Ruiz 
Author-X-Name-First: Jesus 
Author-X-Name-Last: Ruiz 
Title: The New Market effect on return and volatility of Spanish stock indexes 
Abstract:
  Recently (April 2000), the New Market index began to be computed in the
 Spanish Stock Exchange as a relevant indicator of the new technological
 firms' behaviour in the Spanish economy. This paper provides empirical
 evidence about the relationships between the return and volatility of
 Spanish sector indexes and the New Market index volatility. Using GARCH
 methodology, empirical results reveal a positive significant impact on the
 financial, industrial and utilities sector volatility, that is, high
 volatility in New Market tends to increase volatility in the other
 sectors. On the other hand, only a statistical effect is detected on
 returns of the industrial sector, suggesting that only this sector require
 a risk premium when shocks in the technological sector increase the global
 market risk. 
Journal: Applied Financial Economics 
Pages: 1343-1350 
Issue: 18 
Volume: 14 
Year: 2004 
X-DOI: 10.1080/09603100410001692828 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100410001692828
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1343-1350




Template-Type: ReDIF-Article 1.0
Author-Name: Andy Kwan 
Author-X-Name-First: Andy 
Author-X-Name-Last: Kwan 
Author-Name: Ah-Boon Sim 
Author-X-Name-First: Ah-Boon 
Author-X-Name-Last: Sim 
Author-Name: Yangru Wu 
Author-X-Name-First: Yangru 
Author-X-Name-Last: Wu 
Title: On the size and power of normalized autocorrelation coefficients 
Abstract:
  Tests based on normalized autocorrelation coefficients have been commonly
 used by applied researchers to examine the randomness of economic and
 financial time series. This paper investigates via Monte Carlo simulation
 the finite-sample properties of these tests for randomness, paying special
 attention to empirical sizes and power levels. Monte Carlo simulation
 results indicate that parametric autocorrelation coefficients suffer from
 severe size distortions, namely their empirical sizes are often too small
 in the case of nonnormal distributions. However, these size distortions
 are well corrected by nonparametric autocorrelation coefficient proposed
 previously. Moreover, the power levels of the nonparametric test are very
 close to those of the parametric tests in commonly used samples,
 suggesting that there is no noticeable loss from using this 'robust
 autocorrelation' test in the area of testing for the randomness of a time
 series. On the whole, results strongly favour the use of the nonparametric
 autocorrelation coefficient in empirical applications. 
Journal: Applied Financial Economics 
Pages: 1-11 
Issue: 1 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000236149 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000236149
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:1-11




Template-Type: ReDIF-Article 1.0
Author-Name: Ahmad Ismail 
Author-X-Name-First: Ahmad 
Author-X-Name-Last: Ismail 
Author-Name: Ian Davidson 
Author-X-Name-First: Ian 
Author-X-Name-Last: Davidson 
Title: Further analysis of mergers and shareholder wealth effects in European banking 
Abstract:
  Although bank mergers have been a topic of ongoing research in the USA,
 particularly in view of reforms instituted by the Riegle-Neal Interstate
 Banking and Branching Efficiency Act of 1994, the evidence on shareholder
 wealth effects in European bank mergers is thin. A key question is whether
 the changes in the banking industry are applicable worldwide or reflect
 segmentation at the regional level. In this paper results are provided
 from a larger and more recent sample than previous studies. In contrast to
 previous findings, findings here are more consistent with those of US bank
 mergers, leading to the conclusion that there is less geographical
 heterogeneity in the industry than previous studies indicated. In
 particular, low target abnormal returns are found, which, it is believed,
 stem from the fact that acquirers are not willing to pay high premiums in
 a competitive environment in which profitability levels are eroding. It
 was found that abnormal returns are higher in bank-to-bank rather than
 cross-product deals, suggesting that there is still scope for exploiting
 economies of scale and market power within the banking sector. The
 evidence in relation to cross-border deals compared to national deals is
 mixed, giving some weak evidence in favour of the view that there are
 gains to geographical diversification. 
Journal: Applied Financial Economics 
Pages: 13-30 
Issue: 1 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000282300 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000282300
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:13-30




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: David Sokulsky 
Author-X-Name-First: David 
Author-X-Name-Last: Sokulsky 
Title: The stock market impact of German reunification: international evidence 
Abstract:
  This study uses a country beta market model and a multivariate GARCH
 conditional beta model to examine if German reunification has impacted
 upon country returns, across different nations. The results suggest a
 stronger reaction in European countries particularly those with closer
 economic links. The analysis also revealed that the most significant
 individual events occur in August 1990. 
Journal: Applied Financial Economics 
Pages: 31-42 
Issue: 1 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000281158 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000281158
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:31-42




Template-Type: ReDIF-Article 1.0
Author-Name: Klaus Abberger 
Author-X-Name-First: Klaus 
Author-X-Name-Last: Abberger 
Title: A simple graphical method to explore tail-dependence in stock-return pairs 
Abstract:
  For a bivariate data set the dependence structure cannot only be measured
 globally, for example with the Bravais-Pearson correlation coefficient,
 but the dependence structure can also be analysed locally. In this article
 the exploration of dependencies in the tails of the bivariate distribution
 is discussed. For this a graphical method which is called a chi-plot and
 which was introduced by Fisher and Switzer is used. Examples with
 simulated data sets illustrate that the chi-plot is suitable for the
 exploration of dependencies. This graphical method is then used to examine
 stock-return pairs. The kind of tail-dependence between returns has
 consequences, for example, for the calculation of the value at risk and
 should be modelled carefully. The application of the chi-plot to various
 daily stock-return pairs shows that different dependence structures can be
 found. This graph can therefore be an interesting aid for the modelling of
 returns. 
Journal: Applied Financial Economics 
Pages: 43-51 
Issue: 1 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000280429 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000280429
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:43-51




Template-Type: ReDIF-Article 1.0
Author-Name: George Diacogiannis 
Author-X-Name-First: George 
Author-X-Name-Last: Diacogiannis 
Author-Name: Nikolaos Patsalis 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Patsalis 
Author-Name: Nickolaos Tsangarakis 
Author-X-Name-First: Nickolaos 
Author-X-Name-Last: Tsangarakis 
Author-Name: Emanuel Tsiritakis 
Author-X-Name-First: Emanuel 
Author-X-Name-Last: Tsiritakis 
Title: Price limits and overreaction in the Athens stock exchange 
Abstract:
  In this paper the phenomenon of short-term overreaction and the existence
 of price limits on the Athens Stock Exchange (ASE) are examined. An 8%
 price limit was imposed in August 1992 and remained in place until
 February 2000. The sample consists of 114 shares traded on the ASE for the
 period 1995-1998. An event study methodology is used in which the event is
 defined as an increase or decrease in the stock price that activates the
 price limit for one, two or three days. The findings confirm the
 occurrence of short-term overreactions on the ASE during the period under
 investigation. 
Journal: Applied Financial Economics 
Pages: 53-61 
Issue: 1 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100412331313587 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331313587
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:53-61




Template-Type: ReDIF-Article 1.0
Author-Name: Khalid Al-Saad 
Author-X-Name-First: Khalid 
Author-X-Name-Last: Al-Saad 
Author-Name: Imad Moosa 
Author-X-Name-First: Imad 
Author-X-Name-Last: Moosa 
Title: Seasonality in stock returns: evidence from an emerging market 
Abstract:
  This study investigates the nature of seasonality in the monthly stock
 returns derived from a general index of the Kuwait Stock Exchange. A
 structural time series model incorporating stochastic dummies reveals that
 seasonality is present but it is deterministic as implied by the constancy
 of the monthly seasonal factors over the sample period. Two conventional
 models that incorporate deterministic seasonal dummies corroborate these
 results. Moreover, seasonality is found to take the form of a July effect,
 as opposed to the better-recognized January effect. This finding is
 attributed to the 'summer holiday effect'. 
Journal: Applied Financial Economics 
Pages: 63-71 
Issue: 1 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000281185 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000281185
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:63-71




Template-Type: ReDIF-Article 1.0
Author-Name: Karl Pinno 
Author-X-Name-First: Karl 
Author-X-Name-Last: Pinno 
Author-Name: Apostolos Serletis 
Author-X-Name-First: Apostolos 
Author-X-Name-Last: Serletis 
Title: Long swings in the Canadian dollar 
Abstract:
  This paper uses daily, monthly, and quarterly observations for the
 Canadian dollar - US dollar nominal exchange rate over the recent flexible
 exchange rate period (from 2 January 1973 to 11 June 2004), and a new
 statistical model of exchange rate dynamics, developed by Engel and
 Hamilton to test the null hypothesis that the value of the Canadian dollar
 is characterized by long swings (i.e. it moves in one direction for long
 periods of time). Results indicate that only with quarterly data does the
 segmented trends model outperfom the random walk model. In fact, the
 performance of the segmented trends model declines as the frequency of the
 data increases, suggesting that at higher frequencies the segmented trends
 model has a more difficult time in distinguishing trends. 
Journal: Applied Financial Economics 
Pages: 73-76 
Issue: 2 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000282292 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000282292
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:2:p:73-76




Template-Type: ReDIF-Article 1.0
Author-Name: Alberto Humala 
Author-X-Name-First: Alberto 
Author-X-Name-Last: Humala 
Title: Interest rate pass-through and financial crises: do switching regimes matter? the case of Argentina 
Abstract:
  The dynamic relationship between a money market (interbank) rate and
 different short-term lending rates is analysed by measuring the
 pass-through process between these rates in the Argentinean banking
 system. Neither linear single-equation modelling nor linear multi-equation
 systems capture efficiently this relationship. The presence of several
 episodes of financial crises alters the speed and degree of response to
 shocks in the interbank rate. Thus, a Markov switching VAR model shows
 that under normal financial conditions short-run stickiness is higher for
 those rates on loans with higher credit risk. But it also shows that when
 there is a high-volatility scenario, the pass-through increases
 considerably for all interest rates. The MSIAH(2)-VAR(1) identifies
 correctly periods of financial distress (in which regime switch occurs). 
Journal: Applied Financial Economics 
Pages: 77-94 
Issue: 2 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000297908 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000297908
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:2:p:77-94




Template-Type: ReDIF-Article 1.0
Author-Name: Emma Iglesias 
Author-X-Name-First: Emma 
Author-X-Name-Last: Iglesias 
Author-Name: Garry Phillips 
Author-X-Name-First: Garry 
Author-X-Name-Last: Phillips 
Title: Analysing one-month Euro-market interest rates by fractionally integrated models 
Abstract:
  This article considers the modelling of short-term interest rates with
 the ARFIMA model in six European countries based on daily data in the
 1990s using the Modified Profile Likelihood estimation method. This allows
 one to study the different convergence processes that have been followed
 in each case. Empirical evidence shows that, even with this estimation
 method, the standard AIC tends to select models that in some cases are in
 accordance with traditional inference but in other cases may not be so.
 Analysing these results, the series for Switzerland appears to be an I(1)
 series, which conflicts with the findings in previous literature. 
Journal: Applied Financial Economics 
Pages: 95-106 
Issue: 2 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000293155 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000293155
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:2:p:95-106




Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Keef 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Keef 
Author-Name: Melvin Roush 
Author-X-Name-First: Melvin 
Author-X-Name-Last: Roush 
Title: Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index 
Abstract:
  This study investigates the day-of-the-week effects in the pre-holiday
 returns of the Standard & Poor's 500 stock index. The period investigated
 is 1930-1999. The analysis is based on within-day contrasts and
 between-day contrasts. There are three major findings. First, the results
 are consistent with prior research in that there is a strong pre-holiday
 effect up to 1987, but the pre-holiday effect is greatly diminished after
 1987. Second, contrary to that frequently observed in the literature for
 typical days, there is no evidence of a weekend effect in pre-holiday
 returns. Third, a Labor Day effect is observed in the pre-1987 era. The
 return on the day before Labor Day is significantly greater than the
 return before other holidays that fall on a Monday. However, this effect
 is not observed after 1987. A number of other findings are discussed. 
Journal: Applied Financial Economics 
Pages: 107-119 
Issue: 2 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000293164 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000293164
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:2:p:107-119




Template-Type: ReDIF-Article 1.0
Author-Name: Perry Sadorsky 
Author-X-Name-First: Perry 
Author-X-Name-Last: Sadorsky 
Title: Stochastic volatility forecasting and risk management 
Abstract:
  This paper compares the forecasting performance of the range-based
 stochastic volatility model with a number of other well-known forecasting
 models. Each forecasting model is applied to a financial data set that
 includes daily futures prices on, the S&P 500, ten year US government bond
 series, crude oil prices, and the foreign currency exchange rate between
 the Canadian and US dollar. Forecasts are evaluated out of sample using
 forecast summary statistics as well as value at risk measures like
 conditional coverage, independence and unconditional coverage. Overall the
 forecast summary statistics show that for each financial series, moving
 average, exponential smoothing and AR5 models to be better at forecasting
 the log range than the stochastic volatility model. Value at risk
 calculated from the stochastic volatility models does not reject
 independence in each of the four financial series studied but does reject
 conditional and unconditional coverage in all of the series studied. The
 empirical density model does not reject unconditional coverage in three
 out of the four financial series studied. All of the parametric models
 reject conditional coverage. These results show how difficult it is to
 design a good parametric value at risk model. 
Journal: Applied Financial Economics 
Pages: 121-135 
Issue: 2 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000299926 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000299926
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:2:p:121-135




Template-Type: ReDIF-Article 1.0
Author-Name: Abdul Magid Gadad 
Author-X-Name-First: Abdul Magid 
Author-X-Name-Last: Gadad 
Author-Name: Hardy Thomas 
Author-X-Name-First: Hardy 
Author-X-Name-Last: Thomas 
Title: Sources of shareholders' wealth gains from asset sales 
Abstract:
  This paper uses an event study approach to examine the performance
 improvements accruing to those UK firms making assets sales in a single
 divestiture. It is found that a divestiture announcement leads to an
 increase in shareholders' wealth of between 0.81% and 1.04% depending on
 the expected return model employed. The source of the wealth gain can be
 attributed to the relaxing of credit constraints achieved by reducing the
 level of debt. 
Journal: Applied Financial Economics 
Pages: 137-141 
Issue: 2 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000297917 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000297917
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:2:p:137-141




Template-Type: ReDIF-Article 1.0
Author-Name: William Dare 
Author-X-Name-First: William 
Author-X-Name-Last: Dare 
Author-Name: John Gandar 
Author-X-Name-First: John 
Author-X-Name-Last: Gandar 
Author-Name: Richard Zuber 
Author-X-Name-First: Richard 
Author-X-Name-Last: Zuber 
Author-Name: Robert Pavlik 
Author-X-Name-First: Robert 
Author-X-Name-Last: Pavlik 
Title: In search of the source of informed trader information in the college football betting market 
Abstract:
  The movement between the opening and closing of betting lines on sports
 events has been shown to contain valuable information. The purpose of this
 study is to search for the source of this valuable information. Changes in
 college football betting lines are examined with respect to information
 from the widely disseminated Dunkel Index, the Associated Press Writers'
 Poll, and lagged performance variables. It is found that bettors use this
 information to bet but that this information is not significant to betting
 outcomes, which indicates noise trading. Most importantly, it is shown
 that the unexplained betting line movements are most important in
 explaining final game outcomes. This result leads to the conclusion that
 informed bettors are using private information. 
Journal: Applied Financial Economics 
Pages: 143-152 
Issue: 3 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000306961 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000306961
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:3:p:143-152




Template-Type: ReDIF-Article 1.0
Author-Name: Melisso Boschi 
Author-X-Name-First: Melisso 
Author-X-Name-Last: Boschi 
Title: International financial contagion: evidence from the Argentine crisis of 2001-2002 
Abstract:
  The aim of this study is to look for evidence of financial contagion
 suffered by several countries as a result of the latest Argentine crisis.
 Attention is focused on a set of countries: Brazil, Mexico, Russia,
 Turkey, Uruguay, and Venezuela. Three financial markets are focused on
 exclusively: foreign exchange, stock exchange and sovereign debt. In order
 to test the hypothesis of contagion, Vector Autoregression (VAR) models
 and instantaneous correlation coefficients corrected for
 heteroscedasticity are estimated. The analysis shows that there is no
 evidence of contagion. This result provides empirical support for the
 non-crisis-contingent theories of international financial contagion. 
Journal: Applied Financial Economics 
Pages: 153-163 
Issue: 3 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000306943 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000306943
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:3:p:153-163




Template-Type: ReDIF-Article 1.0
Author-Name: Brian Lucey 
Author-X-Name-First: Brian 
Author-X-Name-Last: Lucey 
Author-Name: Angel Pardo 
Author-X-Name-First: Angel 
Author-X-Name-Last: Pardo 
Title: Why investors should not be cautious about the academic approach to testing for stock market anomalies 
Abstract:
  The ability of investors to implement seasonal strategies implied by
 academic papers has been widely criticized, most recently by Hudson et al.
 (Applied Financial Economics, 12, 681-86, 2002). This paper addresses
 these concerns, and provides an example of a strategy derived from
 academic papers that indicates how and to what profitability such a
 strategy can be implemented. In particular, the pre-holiday anomaly is
 examined, where returns tend to be higher on the day before a holiday.
 After checking that the pre-holiday return compensates market frictions,
 the existence and the changing nature of such anomaly is tested. Finally,
 the profitability of the pre-holiday trading strategy in an
 out-of-the-sample period is assessed by checking that the pre-holiday
 profit is clearly different from the result an investor would obtain on a
 set of randomly selected days. This evidence is provided for three large
 stocks and an index in two different markets, Spain and Ireland. 
Journal: Applied Financial Economics 
Pages: 165-171 
Issue: 3 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000313213 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000313213
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:3:p:165-171




Template-Type: ReDIF-Article 1.0
Author-Name: M. A. Martinez 
Author-X-Name-First: M. A. 
Author-X-Name-Last: Martinez 
Author-Name: M. Tapia 
Author-X-Name-First: M. 
Author-X-Name-Last: Tapia 
Author-Name: J. Yzaguirre 
Author-X-Name-First: J. 
Author-X-Name-Last: Yzaguirre 
Title: Information transmission around block trades on the Spanish stock exchange 
Abstract:
  This study investigates the informational effects of large transactions,
 or Block Trades (BT), in the Spanish Stock Exchange (SSE). In the open
 market period, this topic was not facilitated in the SSE as it was in
 other markets until 1998. The SSE thus provides a special environment for
 analysing the information transmission of these specific transactions. It
 is assumed that information can be better reflected by changes in true
 asset value, proxied by the midpoint of bid-ask best quotes. Therefore, we
 will look at changing true asset value orders instead of trades. Three
 different effects are studied around BTs: price, liquidity and information
 transmission. To capture them, three different endogenous variables are
 considered: true asset returns, relative spreads and adverse selection
 spread component. With this approach, no clear effects of BTs are found.
 The main result of the study is that there seems to be an increase in
 information asymmetries when one looks at the adverse selection spread
 component in some of the different subsample classifications (buyer,
 seller and sweeping BT), but there is no significant permanent effect on
 returns. This result could be related to insiders trading in the market.
 In sharp contrast with adverse selection evidence, a temporary decrease in
 bid/ask spread around BTs is also observed. These changes reflect
 temporary liquidity effects related to other spread components (order
 processing costs and inventory costs). 
Journal: Applied Financial Economics 
Pages: 173-186 
Issue: 3 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000306952 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000306952
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:3:p:173-186




Template-Type: ReDIF-Article 1.0
Author-Name: Kate Phylaktis 
Author-X-Name-First: Kate 
Author-X-Name-Last: Phylaktis 
Author-Name: Gikas Manalis 
Author-X-Name-First: Gikas 
Author-X-Name-Last: Manalis 
Title: Price transmission dynamics between informationally linked securities 
Abstract:
  The paper examines whether location of trade matters in the pricing of
 internationally listed securities by examining the price dynamics of
 stocks listed on the Greek and the two German stock exchanges, Frankfurt
 and Berlin. Through the investigation of the various possibilities of
 short-run and long-run arbitrage profits it is found that the prices of
 stocks in the German markets are priced with reference to the Greek
 market, implying that the location of trade does not matter and that there
 is a certain degree of market integration. In contrast, it is found that
 the price discovery process takes place in the German markets, although
 most of the trading volume is concentrated in the Greek market. 
Journal: Applied Financial Economics 
Pages: 187-201 
Issue: 3 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000306970 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000306970
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:3:p:187-201




Template-Type: ReDIF-Article 1.0
Author-Name: Soosung Hwang 
Author-X-Name-First: Soosung 
Author-X-Name-Last: Hwang 
Author-Name: Steve Satchell 
Author-X-Name-First: Steve 
Author-X-Name-Last: Satchell 
Title: GARCH model with cross-sectional volatility: GARCHX models 
Abstract:
  This study introduces GARCH models with cross-sectional market
 volatility, which are called GARCHX models. The cross-sectional market
 volatility is a special case of common heteroscedasticity in asset
 specific returns, which is suggested by Connor and Linton (2001) as an
 important component in individual asset volatility. Using UK and US data,
 we find that daily return volatility can be better specified with GARCHX
 models, but GARCHX models do not necessarily perform better than
 conventional GARCH models in forecasting. 
Journal: Applied Financial Economics 
Pages: 203-216 
Issue: 3 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000314214 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000314214
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:3:p:203-216




Template-Type: ReDIF-Article 1.0
Author-Name: Maria de Boyrie 
Author-X-Name-First: Maria 
Author-X-Name-Last: de Boyrie 
Author-Name: Simon Pak 
Author-X-Name-First: Simon 
Author-X-Name-Last: Pak 
Author-Name: John Zdanowicz 
Author-X-Name-First: John 
Author-X-Name-Last: Zdanowicz 
Title: The impact of Switzerland's money laundering law on capital flows through abnormal pricing in international trade 
Abstract:
  The objective of this research is to determine the impact of
 Switzerland's money laundering law on the movement of money through false
 invoicing in international trade. This study evaluates every reported
 import and export transaction between the USA and Switzerland during the
 period 1995-2000. The study indicates that there were significant changes
 in the degree of abnormal international trade pricing subsequent to the
 enactment of Switzerland's antimoney laundering law. The study supports
 the view that individuals and companies will find substitute techniques
 and channels to launder money when central banking authorities enact
 legislation that only focuses on financial institutions. 
Journal: Applied Financial Economics 
Pages: 217-230 
Issue: 4 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000313200 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000313200
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:4:p:217-230




Template-Type: ReDIF-Article 1.0
Author-Name: Paul McGuinness 
Author-X-Name-First: Paul 
Author-X-Name-Last: McGuinness 
Author-Name: Michael Ferguson 
Author-X-Name-First: Michael 
Author-X-Name-Last: Ferguson 
Title: The ownership structure of listed Chinese State-owned enterprises and its relation to corporate performance 
Abstract:
  In this study, the extant literature relating to the link between the
 ownership structure of Mainland PRC-incorporated enterprises and firm
 performance, is extended and updated by considering SOEs with substantial
 'foreign' (i.e., non-Mainland) ownership. This analysis is carried out for
 the population of H-share issuers listed on HKEx's Main Board as of May
 2004. As with several of the previous studies, evidence of a negative
 association between 'free-float' size and corporate performance is
 apparent. Moreover, it is found that despite sizeable foreign ownership
 stakes, such stakes are not significantly associated with corporate
 performance. However, there is some preliminary evidence to indicate that
 profitability is generally higher in issuers where two or more major
 foreign investors are present. 
Journal: Applied Financial Economics 
Pages: 231-246 
Issue: 4 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000319246 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000319246
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:4:p:231-246




Template-Type: ReDIF-Article 1.0
Author-Name: Jen-Je Su 
Author-X-Name-First: Jen-Je 
Author-X-Name-Last: Su 
Title: On the size and power of testing for no autocorrelation under weak assumptions 
Abstract:
  Recently, Lobato (Journal of the American Statistical Association, 96,
 1066-76, 2001) proposed a robust test of no autocorrelation on a time
 series when the series is possibly dependent. While the Lobato test is
 shown to be accurate in size, its power performance is unsatisfactory.
 This paper seeks to improve the power of the Lobato test without
 comprising its good size property. Based on the recent works of Jansson
 (2004) and Phillips et al. (2003), two classes of modified Lobato tests
 are suggested. It is found that the Lobato test and its Phillips-Sun-Jin
 modification exhibit very similar control over size while the Jansson
 modification tends to be more vulnerable to size distortion. It is also
 found that both modified tests dominate the Lobato test in terms of local
 asymptotic power and in terms of finite sample power and the
 Phillips-Sun-Jin modification seems to outperform the Jansson
 modification. Autocorrelations in monthly financial asset (stock/bond)
 returns are investigated. 
Journal: Applied Financial Economics 
Pages: 247-257 
Issue: 4 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000319237 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000319237
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:4:p:247-257




Template-Type: ReDIF-Article 1.0
Author-Name: Ayub Mehar 
Author-X-Name-First: Ayub 
Author-X-Name-Last: Mehar 
Title: The financial repercussion of cost, revenue and profit: an extension in the BEP and CVP analysis 
Abstract:
  The study measures the impacts of the profitability factors on the
 capital structure of a firm. A simulation analysis has been applied in the
 study and the impacts of Cost, Revenue, Profit, Tax Liability and Dividend
 have been tested. It has been found that capital growth of a firm does not
 depend on the profitability factors. However, the factors of the
 profitability are important in determination of the liquidity position of
 a firm. It is interesting that a large number of studies have measured the
 effects of capital structure on the profitability, but the present study
 measured the effect of the profits' factors on the capital structure of a
 firm. 
Journal: Applied Financial Economics 
Pages: 259-271 
Issue: 4 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000314205 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000314205
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:4:p:259-271




Template-Type: ReDIF-Article 1.0
Author-Name: Chien-Liang Chiu 
Author-X-Name-First: Chien-Liang 
Author-X-Name-Last: Chiu 
Author-Name: Mingchih Lee 
Author-X-Name-First: Mingchih 
Author-X-Name-Last: Lee 
Author-Name: Chun-Da Chen 
Author-X-Name-First: Chun-Da 
Author-X-Name-Last: Chen 
Title: Removal of an investment restriction: the 'B' share experience from China's stock markets 
Abstract:
  This paper investigates the impact of CSRC allowing domestic residents to
 invest in the B-share stock market. An ARJI model is used to analyse the
 jump dynamics process during the pre- and post-event periods and impulse
 response functions are employed to demonstrate the volatility
 transmissions between the A- and B-share markets. Results indicate that
 the jump intensity and the jump frequency of Shanghai and Shenzhen stock
 markets increases. Moreover, the volatility transmissions between A- and
 B-share markets accelerates. It is therefore concluded that the CSRC, by
 permitting domestic residents to invest in B shares, will impact the A-
 and B-share stock markets. 
Journal: Applied Financial Economics 
Pages: 273-285 
Issue: 4 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000314232 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000314232
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:4:p:273-285




Template-Type: ReDIF-Article 1.0
Author-Name: Michel Normandin 
Author-X-Name-First: Michel 
Author-X-Name-Last: Normandin 
Author-Name: Pascal St-Amour 
Author-X-Name-First: Pascal 
Author-X-Name-Last: St-Amour 
Title: Recursive measures of total wealth and portfolio return 
Abstract:
  This paper presents and assesses a procedure to generate recursive
 measures of aggregate total wealth and portfolio return. The procedure is
 more flexible and yields more realistic measures, compared to the
 classical replacement cost and present value methods. 
Journal: Applied Financial Economics 
Pages: 287-291 
Issue: 4 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000339749 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000339749
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:4:p:287-291




Template-Type: ReDIF-Article 1.0
Author-Name: Pornsit Jiraporn 
Author-X-Name-First: Pornsit 
Author-X-Name-Last: Jiraporn 
Title: An empirical analysis of corporate takeover defences and earnings management: evidence from the US 
Abstract:
  This study explores the impact of corporate takeover defences on the
 extent of earnings management in the US. Theoretically, it is not obvious
 whether takeover defences alleviate or exacerbate earnings management.
 Four well-known corporate takeover defences are examimed: blank check
 preferred stock, poison pills, classified boards and dual class stock. In
 spite of their similarity as takeover defences, the empirical evidence
 indicates that they do not influence the degree of earnings management in
 the same way. Specifically, blank check preferred stock does not have a
 significant impact on earnings management. Poison pills and classified
 boards are found to reduce earnings management, on average, by 1.9% and
 1.5% respectively. On the contrary, dual class stock exacerbates earnings
 management by increasing the degree of abnormal accruals by 2.6% on
 average. The results are robust even after controlling for firm size,
 profitability, financial distress, growth opportunities and information
 asymmetry. 
Journal: Applied Financial Economics 
Pages: 293-303 
Issue: 5 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000323607 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000323607
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:5:p:293-303




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Zuber 
Author-X-Name-First: Richard 
Author-X-Name-Last: Zuber 
Author-Name: Patrick Yiu 
Author-X-Name-First: Patrick 
Author-X-Name-Last: Yiu 
Author-Name: Reinhold Lamb 
Author-X-Name-First: Reinhold 
Author-X-Name-Last: Lamb 
Author-Name: John Gandar 
Author-X-Name-First: John 
Author-X-Name-Last: Gandar 
Title: Investor-fans? An examination of the performance of publicly traded English Premier League teams 
Abstract:
  This paper considers the game-related performance of the publicly traded
 teams in the English Premier League. It is found that the price behaviour
 of the publicly traded soccer team market to be very insensitive to game
 outcomes in terms of both returns and trading volume. It is believed that
 the results point to a new type of investor in professional sports - these
 investor fans do not trade on information that may affect cash flows but,
 rather, appear to obtain value from mere ownership. 
Journal: Applied Financial Economics 
Pages: 305-313 
Issue: 5 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000338713 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000338713
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:5:p:305-313




Template-Type: ReDIF-Article 1.0
Author-Name: Pierre-Guillaume Meon 
Author-X-Name-First: Pierre-Guillaume 
Author-X-Name-Last: Meon 
Author-Name: Laurent Weill 
Author-X-Name-First: Laurent 
Author-X-Name-Last: Weill 
Title: Can mergers in Europe help banks hedge against macroeconomic risk? 
Abstract:
  This study investigates the motive of geographic risk diversification in
 the lending activity for bank mergers in the EU on a sample of large
 banking groups. Geographic diversification should allow banks to reduce
 their risk. It is observed that the loan portfolios of European banks are
 home-biased. The portfolio approach is applied to explore the risk-return
 efficiency of the locations of banks' activities. Mergers between pairs of
 banks are also studied. Evidence of the sub-optimality of the loan
 portfolios of European banks in terms of geographic risk diversification,
 and of the existence of potential gains from inter-country pair mergers is
 also provided. 
Journal: Applied Financial Economics 
Pages: 315-326 
Issue: 5 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000323629 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000323629
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:5:p:315-326




Template-Type: ReDIF-Article 1.0
Author-Name: Aigbe Akhigbe 
Author-X-Name-First: Aigbe 
Author-X-Name-Last: Akhigbe 
Author-Name: Ronald Kudla 
Author-X-Name-First: Ronald 
Author-X-Name-Last: Kudla 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Title: Why are some corporate earnings restatements more damaging? 
Abstract:
  If an earnings restatement is simply an accounting adjustment to old
 information that is no longer being used for valuation purposes, it will
 not necessarily cause a change in a firm's value. However, the restatement
 may contain information that is used to reassess the future cash flows and
 credibility of the firm. It is found that the earnings restatements elicit
 a strong negative market response. Moreover, the market response is
 conditioned on the content of the earnings restatements. The
 market-imposed penalty is more severe when the restatement is attributed
 to an adjustment in revenue, when it is forced by the auditor or the SEC,
 and when the revised earnings level is lower than two proxies used to
 measure expected earnings. 
Journal: Applied Financial Economics 
Pages: 327-336 
Issue: 5 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000338722 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000338722
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:5:p:327-336




Template-Type: ReDIF-Article 1.0
Author-Name: Ayub Mehar 
Author-X-Name-First: Ayub 
Author-X-Name-Last: Mehar 
Title: Is debt a substitute of equity? Relevancy of financial policy in current economic scenarios 
Abstract:
  It is concluded in this study that debt and equity are not alternative
 sources of finance, they have been proved as complementary sources of
 finance. The study is based on a theorem. According to the theorem,
 leverage ratio of a company depends on its operational and financial
 activities including sales, profits, inventories and working capital. The
 validity of the theorem has been tested through Global 500 companies. The
 combination of debt and equity may vary from industry to industry.
 However, debt cannot be applied as a substitute of equity. The results
 suggest that financial structures of companies need an overhauling and
 entire system of financial regulations should be changed. A standardized
 combination of debt and equity will be helpful in optimal allocation of
 financial resources. 
Journal: Applied Financial Economics 
Pages: 337-366 
Issue: 5 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000314188 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000314188
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:5:p:337-366




Template-Type: ReDIF-Article 1.0
Author-Name: Andrea Schertler 
Author-X-Name-First: Andrea 
Author-X-Name-Last: Schertler 
Title: European venture capital markets: fund providers and investment characteristics 
Abstract:
  Using a European panel data set, this paper presents evidence that fund
 providers' investment preferences matter for venture capital investment
 characteristics. For example, pension funds more often prefer investments
 in firms at an early development stage than non-financial corporations and
 banks. 
Journal: Applied Financial Economics 
Pages: 367-380 
Issue: 6 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056601 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056601
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:6:p:367-380




Template-Type: ReDIF-Article 1.0
Author-Name: Brian Lucey 
Author-X-Name-First: Brian 
Author-X-Name-Last: Lucey 
Title: Are local or international influences responsible for the pre-holiday behaviour of Irish equities? 
Abstract:
  The pre-holiday behaviour of equity price and return indices on the Irish
 Stock Exchange do not display consistent positive pre-holiday returns.
 This is contrary to the majority of studies in this area, and the result
 is found across a number of sectoral indices. The analysis also indicates
 that these curious results are driven by local, as opposed to
 international, influences. 
Journal: Applied Financial Economics 
Pages: 381-389 
Issue: 6 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310052000337678 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310052000337678
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:6:p:381-389




Template-Type: ReDIF-Article 1.0
Author-Name: Pablo de Andres Alonso 
Author-X-Name-First: Pablo de Andres 
Author-X-Name-Last: Alonso 
Author-Name: Felix J. Lopez Iturriaga 
Author-X-Name-First: Felix J. Lopez 
Author-X-Name-Last: Iturriaga 
Author-Name: Juan A. Rodriguez Sanz 
Author-X-Name-First: Juan A. Rodriguez 
Author-X-Name-Last: Sanz 
Title: Financial decisions and growth opportunities: a Spanish firm's panel data analysis 
Abstract:
  This paper analyses the influence of financial leverage decisions,
 dividend payout policies and the ownership structure on the firm market
 value when companies either face, or do not face, profitable growth
 opportunities. A sample of 101 large non-financial publicly-traded Spanish
 companies is used. The results confirm the relevance of debt and dividends
 in terms of firm value creation by showing a negative relationship between
 firm value and both leverage and dividend payments in the presence of
 growth opportunities. On the contrary, this relationship turns out to be
 positive when firms have no profitable investment projects. The results
 also demonstrate the relevance of ownership structure in the allocation of
 firm resources. 
Journal: Applied Financial Economics 
Pages: 391-407 
Issue: 6 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500039201 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500039201
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:6:p:391-407




Template-Type: ReDIF-Article 1.0
Author-Name: Patricia Chelley-Steeley 
Author-X-Name-First: Patricia 
Author-X-Name-Last: Chelley-Steeley 
Author-Name: James Steeley 
Author-X-Name-First: James 
Author-X-Name-Last: Steeley 
Title: The leverage effect in the UK stock market 
Abstract:
  This study seeks to explain the leverage effect in UK stock returns by
 reference to the return volatility, leverage and size characteristics of
 UK companies. A leverage effect is found that is stronger for smaller
 companies and has greater explanatory power over the returns of smaller
 companies. The properties of a theoretical model that predicts that
 companies with higher leverage ratios will experience greater leverage
 effects are explored. On examining leverage ratio data, it is found that
 there is a propensity for smaller companies to have higher leverage
 ratios. The transmission of volatility shocks between the companies is
 also examined and it is found that the volatility of larger firm returns
 is important in determining both the volatility and returns of smaller
 firms, but not the reverse. Moreover, it is found that where volatility
 spillovers are important, they improve out-of-sample volatility forecasts. 
Journal: Applied Financial Economics 
Pages: 409-423 
Issue: 6 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310052000337669 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310052000337669
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:6:p:409-423




Template-Type: ReDIF-Article 1.0
Author-Name: Ayub Mehar 
Author-X-Name-First: Ayub 
Author-X-Name-Last: Mehar 
Title: Impacts of equity financing on liquidity position of a firm 
Abstract:
  It is concluded in the study that equity financing plays a central role
 in determination of the liquidity position of a firm. A 'U-shaped'
 relation between the equities and working capital has been observed, in
 the long-term. While, depreciation fund has been classified as a source of
 liquidity. It is the important conclusion that long-term debt may
 deteriorate the liquidity position of a firm. The study is based on a
 simulation analysis and 225 listed companies of the Karachi Stock Exchange
 are included in the model. 
Journal: Applied Financial Economics 
Pages: 425-438 
Issue: 6 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000314197 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000314197
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:6:p:425-438




Template-Type: ReDIF-Article 1.0
Author-Name: Emmanuel Davradakis 
Author-X-Name-First: Emmanuel 
Author-X-Name-Last: Davradakis 
Title: Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis 
Abstract:
  This paper examines in a non-parametric setup whether a long-run
 relationship exists between monetary fundamentals and the dollar spot
 exchange rates for 19 countries. Although the Johansen's parametric
 approach failed to retrieve a long-relationship for any of the countries
 considered, the Bierens (1997a) non-parametric approach suggests that
 there is one cointegrating relationship for the majority of the countries
 considered. In addition, the [1, -1] cointegrating vector between the
 fundamentals and the log-level of the dollar exchange rate could not be
 rejected in the non-parametric formulation. 
Journal: Applied Financial Economics 
Pages: 439-446 
Issue: 7 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056593 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056593
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:439-446




Template-Type: ReDIF-Article 1.0
Author-Name: Ali Darrat 
Author-X-Name-First: Ali 
Author-X-Name-Last: Darrat 
Author-Name: Salah Abosedra 
Author-X-Name-First: Salah 
Author-X-Name-Last: Abosedra 
Author-Name: Hassan Aly 
Author-X-Name-First: Hassan 
Author-X-Name-Last: Aly 
Title: Assessing the role of financial deepening in business cycles: the experience of the United Arab Emirates 
Abstract:
  The relation between financial market development and the severity of
 business cycles in the economy of the United Arab Emirates is
 investigated. No evidence is found of a dampening effect from financial
 deepening on cyclical fluctuations in the short-run, but strong effects in
 the long-run. These results extend recent findings on the financial
 development/economic growth nexus and imply that growth volatility
 reductions expected from further financial developments are slow to
 materialize especially in countries with relatively large and
 well-functioning financial sectors. 
Journal: Applied Financial Economics 
Pages: 447-453 
Issue: 7 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500039417 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500039417
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:447-453




Template-Type: ReDIF-Article 1.0
Author-Name: Kalu Ojah 
Author-X-Name-First: Kalu 
Author-X-Name-Last: Ojah 
Author-Name: Justo Manrique 
Author-X-Name-First: Justo 
Author-X-Name-Last: Manrique 
Title: Determinants of corporate debt structure in a privately dominated debt market: a study of the Spanish capital market 
Abstract:
  To date, corporate debt structure research has focused largely on
 national debt markets characterized by both public and private debts
 supplies. However, given that most national debt markets are characterized
 by the absence of public debt supply, the representative debt market of
 Spain is used to extend the research on corporate debt structure. A
 double-hurdle test approach reveals that the likelihood of using bank debt
 is positively related to firm size and information availability but
 negatively related to firm credit worthiness, while the likelihood of
 using non-bank private debt is positively related to firm size, growth
 potential, relative firm size and degree of leverage. Further, it is found
 that the amount of bank debt firms hold is positively related to firm
 size, growth potential, information asymmetry, and age but negatively
 related to information availability. The amount of non-bank private debt
 is positively related to firm size but negatively to growth potential and
 age. Moreover, it is found that though some roles of private debt
 providers are similar in the two distinct national debt markets, some
 roles of public debt suppliers are supplanted by non-bank private debt
 suppliers in a debt market bereft of public debt supply. 
Journal: Applied Financial Economics 
Pages: 455-468 
Issue: 7 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000319228 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000319228
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:455-468




Template-Type: ReDIF-Article 1.0
Author-Name: Tetsushi Homma 
Author-X-Name-First: Tetsushi 
Author-X-Name-Last: Homma 
Author-Name: Yoshiro Tsutsui 
Author-X-Name-First: Yoshiro 
Author-X-Name-Last: Tsutsui 
Author-Name: Uri Benzion 
Author-X-Name-First: Uri 
Author-X-Name-Last: Benzion 
Title: Exchange rate and stock prices in Japan 
Abstract:
  This paper explores whether export intensity and net foreign position of
 the Japanese firms are carefully watched by investors and are properly
 reflected in the stock prices. By estimating a multifactor model including
 the TOPIX, the call rate, the exchange rate, and other variables
 representing the characteristics of individual firms, the market
 efficiency of the Japanese stock market has been examined. Novelty of this
 paper is in that the channels of the effect of exchange rate on stock
 prices are explicitly formulated and estimated directly, and in that the
 use of daily data enables knowledge to be gained on the market efficiency.
 The main results are as follows: (i) Japanese investors adequately
 consider the characteristics of the firms, such as the exporting behaviour
 and net foreign position. (ii) The market efficiency of the semistrong
 form has been improved throughout the period. (iii) Stock investors
 correctly evaluate firms' foreign asset position and appropriately respond
 to the change of the exchange rate after 1992. In contrast, investors
 began to pay attention to exporting firms much earlier, that is, since
 1985. 
Journal: Applied Financial Economics 
Pages: 469-478 
Issue: 7 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056668 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056668
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:469-478




Template-Type: ReDIF-Article 1.0
Author-Name: Daniel Giamouridis 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Giamouridis 
Title: Inferring option-implied investors' risk preferences 
Abstract:
  Risk preference functions across the wealth domain are estimated from
 option prices and asset realized returns using: (a) a semiparametric
 probability model, the Edgeworth Series Expansion model, and (b) a new
 data set consisting of eurodollar and WTI oil markets' data. The empirical
 preference functions are examined and found consistent with the market
 conditions of the period under study. The risk aversion estimates are also
 similar to these found by alternative methodologies. 
Journal: Applied Financial Economics 
Pages: 479-488 
Issue: 7 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056684 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056684
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:479-488




Template-Type: ReDIF-Article 1.0
Author-Name: Rui Alpalhao 
Author-X-Name-First: Rui 
Author-X-Name-Last: Alpalhao 
Author-Name: Paulo Alves 
Author-X-Name-First: Paulo 
Author-X-Name-Last: Alves 
Title: The Portuguese equity risk premium: what we know and what we don't know 
Abstract:
  Estimates of appropriate equity risk premiums are abundant in finance
 textbooks. Unfortunately, these estimates are ill suited to small and data
 scarce markets such as the Portuguese. The literature is reviewed to
 select techniques to overcome this difficulty, and estimates of equity
 risk premiums suited to the Portuguese market produced. Historical equity
 premiums are computed and the study finds what is believed to be a better
 understanding of the subject with the help of the Godfrey-Espinosa
 approach and of implied risk premiums. The Godfrey-Espinosa model is
 applied to a number of other European markets, and it is concluded that
 the Portuguese market implies a higher exposure to risk, namely when
 compared to other Euronext member markets. It is concluded that the
 valuation of Portuguese equities should carry a higher risk premium than
 the ones generally suggested in finance textbooks, and that the merger of
 the Lisbon Stock Exchange with Euronext should lead to a reduction in the
 appropriate risk premiums for Portuguese blue chips. 
Journal: Applied Financial Economics 
Pages: 489-498 
Issue: 7 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500038799 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500038799
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:489-498




Template-Type: ReDIF-Article 1.0
Author-Name: Sotiris Staikouras 
Author-X-Name-First: Sotiris 
Author-X-Name-Last: Staikouras 
Title: Equity returns of financial institutions and the pricing of interest rate risk 
Abstract:
  This study investigates the issue of whether financial intermediaries'
 common stock returns incorporate a risk premium for their inherent
 exposure to unexpected changes in interest rates. A wide range of
 financial institutions is employed to test the hypothesis that the
 interest rate risk is priced by capital markets. In addition, the above
 sample is extended by incorporating firms from the non-financial sector. A
 two-factor model with the market portfolio and the changes in market
 yields, as exogenously specified risk variables, is employed. The model is
 estimated via a seemingly unrelated regression estimation (SURE) framework
 with both cross-equation restrictions and within equation nonlinear
 constraints on the parameters. The findings indicate that financial
 institutions' equity returns incorporate a risk premium for their exposure
 to market yields' surprises. The return generating function of the
 insurance business could be further explained by an additional factor such
 as currency movements. It is also empirically supported that the market
 premium drops out from the estimation process. When commercial and
 industrial firms are included in the estimation process, the findings
 unveil a reduction in the magnitude of the interest rate risk premium. 
Journal: Applied Financial Economics 
Pages: 499-508 
Issue: 7 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500039557 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500039557
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:499-508




Template-Type: ReDIF-Article 1.0
Author-Name: Susana Menendez-Requejo 
Author-X-Name-First: Susana 
Author-X-Name-Last: Menendez-Requejo 
Title: Market valuation of the analysts' recommendations: the Spanish stock market 
Abstract:
  The aim of this paper is the analysis of the return and the trading
 volume of the analysts' recommendations, taking the column The Indiscrete
 from Cinco Dias, one of the most disseminated Spanish financial
 newspapers, as the database in the period 1997-1999. The results show that
 the market reacts before the publication of the recommendations, the
 cumulative return for the buying recommendations being 1.13% and -2% for
 sells. The trading volume, in number of shares, turnover euros and number
 of trades are greater than average before any type of recommendations and
 also after buy recommendations. 
Journal: Applied Financial Economics 
Pages: 509-518 
Issue: 7 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056585 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056585
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:509-518




Template-Type: ReDIF-Article 1.0
Author-Name: Imed Drine 
Author-X-Name-First: Imed 
Author-X-Name-Last: Drine 
Author-Name: Christophe Rault 
Author-X-Name-First: Christophe 
Author-X-Name-Last: Rault 
Title: Can the Balassa-Samuelson theory explain long-run real exchange rate movements in OECD countries? 
Abstract:
  This study tests empirically the Balassa-Samuelson (BS) hypothesis using
 annual data for 12 OECD countries. New panel data cointegration techniques
 recently developed by Pedroni (2000) are applied and the results are
 compared with those obtained with conventional Johansen (1995)'s time
 series cointegration tests. Whereas standard time series approach turns
 out to be unable to put in evidence a significant long-run relationship is
 largely accepted for all countries using recent advances in the
 econometrics of non-stationary dynamic panels methods. This result doesn't
 mean however that the BS is uniformly supported by data for all OECD
 countries, since actually four of them (Australia, Belgium, Canada and the
 USA) are proved not to follow the BS path. Closer examinations of the
 three key components of the BS hypothesis enable one to identify clearly
 the causes of this empirical failure. It is found that the absence of a
 positive long-run relationship between real exchange rate and the relative
 prices of non-traded goods is the reason for this rejections. A possible
 explanation is that the PPP may not be confirmed for tradable goods in
 these countries. 
Journal: Applied Financial Economics 
Pages: 519-530 
Issue: 8 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500039623 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500039623
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:8:p:519-530




Template-Type: ReDIF-Article 1.0
Author-Name: Daryl Collins 
Author-X-Name-First: Daryl 
Author-X-Name-Last: Collins 
Author-Name: Shana Gavron 
Author-X-Name-First: Shana 
Author-X-Name-Last: Gavron 
Title: Measuring equity market contagion in multiple financial events 
Abstract:
  This paper expands the current body of literature on the empirical
 evidence of stock market contagion by measuring the occurrence of
 contagion across 42 countries during nine financial events. The selected
 list of events includes those that have been commonly tested as well as
 those that are more recent, originate from smaller markets and are less
 tested. Results indicate that there are 44 incidences of contagion in
 total during these nine events, with the recent Argentine Crisis of 2001
 causing the most incidents of contagion. 
Journal: Applied Financial Economics 
Pages: 531-538 
Issue: 8 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056759 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056759
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:8:p:531-538




Template-Type: ReDIF-Article 1.0
Author-Name: Abdulnasser Hatemi-J 
Author-X-Name-First: Abdulnasser 
Author-X-Name-Last: Hatemi-J 
Author-Name: Eduardo Roca 
Author-X-Name-First: Eduardo 
Author-X-Name-Last: Roca 
Title: Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries 
Abstract:
  Using bootstrap causality tests with leveraged adjustments, the link
 between exchange rates and stock prices in Malaysia, Indonesia,
 Philippines and Thailand is investigated for the periods immediately
 before and during the 1997 Asian crisis. Two variables are found to be
 significantly linked in the non-crisis period but not at all during the
 crisis period. The implications of this result in terms of hedging, market
 efficiency, market integration and policy intervention are explained in
 the paper. 
Journal: Applied Financial Economics 
Pages: 539-546 
Issue: 8 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056635 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056635
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:8:p:539-546




Template-Type: ReDIF-Article 1.0
Author-Name: Paresh Kumar Narayan 
Author-X-Name-First: Paresh Kumar 
Author-X-Name-Last: Narayan 
Author-Name: Russell Smyth 
Author-X-Name-First: Russell 
Author-X-Name-Last: Smyth 
Title: Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models 
Abstract:
  This paper examines whether stock prices for a sample of 22 OECD
 countries can be best represented as mean reversion or random walk
 processes. A sequential trend break test proposed by Zivot and Andrews is
 implemented, which has the advantage that it can take account of a
 structural break in the series, as well as panel data unit root tests
 proposed by Im et al., which exploits the extra power in the panel
 properties of the data. Results provide strong support for the random walk
 hypothesis. 
Journal: Applied Financial Economics 
Pages: 547-556 
Issue: 8 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000314223 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000314223
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:8:p:547-556




Template-Type: ReDIF-Article 1.0
Author-Name: A. Mansur 
Author-X-Name-First: A. 
Author-X-Name-Last: Mansur 
Author-Name: M. Masih 
Author-X-Name-First: M. 
Author-X-Name-Last: Masih 
Author-Name: Vicky Ryan 
Author-X-Name-First: Vicky 
Author-X-Name-Last: Ryan 
Title: The term structure of interest rates in Australia: an application of long run structural modelling 
Abstract:
  The term structure of interest rates in Australia, using data of
 different types as well as frequencies covering the period 1991(11) to
 2000(9) is investigated using a relatively new modelling strategy
 previously untested on Australian interest rate data. Developed by Pesaran
 and Shin (2002), this strategy incorporates long-run structural
 relationships in an otherwise unrestricted vector autoregression model
 (VAR). The econometric tests indicate that in Australia, contrary to
 popular belief, long-term interest rates more often than not lead
 shorter-term interest rates, at least for the interest rates and time
 period under investigation. While these findings are not conclusive, if
 they are an accurate representation of interest rate behaviour, this does
 pose a major challenge for the monetary policy in Australia. The findings
 are consistent with the recent experience of the USA as well (Sarno and
 Thornton, 2003). The findings of the study based on recent rigorous
 time-series techniques tend to cast doubts on the efficiency and
 effectiveness of current monetary policy in Australia. 
Journal: Applied Financial Economics 
Pages: 557-573 
Issue: 8 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056742 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056742
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:8:p:557-573




Template-Type: ReDIF-Article 1.0
Author-Name: Beat Reber 
Author-X-Name-First: Beat 
Author-X-Name-Last: Reber 
Author-Name: Bob Berry 
Author-X-Name-First: Bob 
Author-X-Name-Last: Berry 
Author-Name: Steve Toms 
Author-X-Name-First: Steve 
Author-X-Name-Last: Toms 
Title: Firm resources and quality signalling: evidence from UK initial public offerings 
Abstract:
  This study examines the relative importance of financial structure,
 advisers' reputations, and managerial experience on the market value
 achieved by an initial public offering (IPO). A sample of 172 UK IPOs on
 the Official list of the London Stock Exchange during the period 1992-1996
 indicates that the extent to which existing owners keep a stake in the
 business, and managerial expertise at board level, have a significant
 impact on the performance of the IPO. Advisers' reputations appear to be
 irrelevant. The findings are comparable to recent studies that cover a
 similar sample period. 
Journal: Applied Financial Economics 
Pages: 575-586 
Issue: 8 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000323610 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000323610
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:8:p:575-586




Template-Type: ReDIF-Article 1.0
Author-Name: Luis Arango 
Author-X-Name-First: Luis 
Author-X-Name-Last: Arango 
Author-Name: Yanneth Betancourt 
Author-X-Name-First: Yanneth 
Author-X-Name-Last: Betancourt 
Title: A signal of imperfect portfolio capital adjustments from the domestic and foreign Colombian debt 
Abstract:
  This paper studies the relationship between the yields of the Colombian
 bonds traded in the domestic (secondary) market and the yields of the
 sovereign global securities traded abroad during 1999-2001. The hypothesis
 successfully tested is that, under capital mobility, a comovement should
 exist between the two yields. However, the results suggest that capital
 mobility is not perfect. By invoking concepts of duration and immunization
 evidence is found of an M-TAR adjustment cointegration between the two
 yields plus a constant risk premium for bonds with maturity in 2003 and a
 symmetric adjustment cointegration plus a risk term between the yields of
 securities with maturity in 2004. Since these assets are issued by the
 same issuer (the Colombian Government) the credit risk is the same for
 them while the study considers that the risk premium is purely connected
 to currency risks produced by exchange-rate and inflation risks. 
Journal: Applied Financial Economics 
Pages: 587-597 
Issue: 9 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500065594 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500065594
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:9:p:587-597




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Yang 
Author-X-Name-First: Jian 
Author-X-Name-Last: Yang 
Title: Government bond market linkages: evidence from Europe 
Abstract:
  This paper examines linkages among six major European government bond
 markets (Germany, France, Italy, UK, Belgium and the Netherlands) during
 1988-2003. There is weak evidence that a stable long-run relationship
 exists among the six markets during the sample period. Granger causal
 linkages are generally not pronounced between the markets, while the
 contemporaneous correlation is strong between bond market innovations.
 Allowing for both Granger causal relationships and contemporaneous
 correlation, forecast error variance decomposition suggests that European
 bond markets are generally interdependent without a distinctive
 leadership. There is also some evidence that the UK and Italy may be less
 integrated with other markets, possibly due to their nonparticipation in
 the European Monetary System during part of the sample period. 
Journal: Applied Financial Economics 
Pages: 599-610 
Issue: 9 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056775 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056775
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:9:p:599-610




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Bayless 
Author-X-Name-First: Mark 
Author-X-Name-Last: Bayless 
Author-Name: Kelly Price 
Author-X-Name-First: Kelly 
Author-X-Name-Last: Price 
Author-Name: Margaret Monroe Smoller 
Author-X-Name-First: Margaret Monroe 
Author-X-Name-Last: Smoller 
Title: Firm characteristics, market conditions, and the pattern of performance after seasoned equity offers 
Abstract:
  This paper uses a characteristics-based approach to examine the pattern
 of abnormal returns after seasoned equity offerings. Unlike previous
 studies the risk class of issuers are allowed to change in each of a
 series of six-month holding periods and firms are classified into
 categories based on performance measures, the use of proceeds and market
 conditions at the time of issue. This methodology reveals that negative
 abnormal returns persist for only about 3.5 years on average following
 offers and are driven by the 37% of firms that reduce capital spending.
 These and other results suggest that post-issue abnormal returns vary in a
 way that is consistent with quasi-efficient capital markets. 
Journal: Applied Financial Economics 
Pages: 611-622 
Issue: 9 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056700 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056700
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:9:p:611-622




Template-Type: ReDIF-Article 1.0
Author-Name: Edward Jones 
Author-X-Name-First: Edward 
Author-X-Name-Last: Jones 
Author-Name: Jo Danbolt 
Author-X-Name-First: Jo 
Author-X-Name-Last: Danbolt 
Title: Empirical evidence on the determinants of the stock market reaction to product and market diversification announcements 
Abstract:
  The announcement of product and market diversification projects lead to
 significant abnormal returns of 1.1%. However, the gains are higher for
 new products than for new markets, and for companies with high
 price-earnings ratios and low (or zero) dividend yields. 
Journal: Applied Financial Economics 
Pages: 623-629 
Issue: 9 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500065461 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500065461
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:9:p:623-629




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Pastor 
Author-X-Name-First: Jose 
Author-X-Name-Last: Pastor 
Author-Name: Lorenzo Serrano 
Author-X-Name-First: Lorenzo 
Author-X-Name-Last: Serrano 
Title: Efficiency, endogenous and exogenous credit risk in the banking systems of the Euro area 
Abstract:
  The implantation of the Euro in 11 of the EU states has driven the big
 banks to expand their presence in other European countries, which may have
 negative consequences on their credit risk in view of the disadvantages
 involved in entering new markets. The aim of this study is to analyse the
 efficiency and the credit risk of the banks of the most important
 countries of the Euro area, using a one-stage parametric stochastic
 procedure that allows one to identify whether the behaviour towards risk
 of the banks analysed was more cautious or more reckless during the period
 analysed. The results indicate that adjustments for risk are important in
 the case of profit efficiency but not in the case of cost efficiency. 
Journal: Applied Financial Economics 
Pages: 631-649 
Issue: 9 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500065214 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500065214
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:9:p:631-649




Template-Type: ReDIF-Article 1.0
Author-Name: Jonathan Batten 
Author-X-Name-First: Jonathan 
Author-X-Name-Last: Batten 
Author-Name: Warren Hogan 
Author-X-Name-First: Warren 
Author-X-Name-Last: Hogan 
Author-Name: Gady Jacoby 
Author-X-Name-First: Gady 
Author-X-Name-Last: Jacoby 
Title: Measuring credit spreads: evidence from Australian Eurobonds 
Abstract:
  Recent theoretical models including the closed-form valuation model of
 Longstaff and Schwartz (1995) predict that credit spreads are driven by
 both an asset and interest rate factor. In empirical studies the credit
 spread may be expressed as either the difference between, or ratio of, the
 risky bond to a riskless bond. Using a daily sample of non-callable
 Australian dollar denominated Eurobonds it is found, consistent with
 theory, that changes in credit spreads are negatively related to both
 changes in the return on All Ordinaries stock Index and changes in the
 Government bond yield. Interestingly, the ratio measure - termed a
 relative credit spread - tends to be statistically more significant than
 the alternate measure based upon the difference - termed an actual credit
 spread. However, it is shown that this result is spurious and due to the
 way in which relative credit spreads are constructed. Noting Duffee's
 (1998) warning against using callable bonds, the use of only non-callable
 Eurobonds provides a cleaner result when compared with tests conducted by
 Longstaff and Schwartz (1995). 
Journal: Applied Financial Economics 
Pages: 651-666 
Issue: 9 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500056809 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056809
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:9:p:651-666




Template-Type: ReDIF-Article 1.0
Author-Name: Panayiotis Diamandis 
Author-X-Name-First: Panayiotis 
Author-X-Name-Last: Diamandis 
Author-Name: Georgios Kouretas 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Kouretas 
Author-Name: Leonidas Zarangas 
Author-X-Name-First: Leonidas 
Author-X-Name-Last: Zarangas 
Title: Expectations and the black market premium for foreign currency in Greece 
Abstract:
  In this paper an attempt is made to provide an understanding of the black
 market premium. To this end the operation of the parallel or black market
 for US dollars in Greece during the recent float is investigated. A series
 of tests is employed in order to examine the role of changes in agents'
 expectations about the official exchange rate in determining the black
 market premium. To test the impact of anticipated and unanticipated shocks
 to the official exchange rate on the black market premium, the two-step
 procedure recommended by Barro (1977) and modified by Hoffman et al.
 (1994) is employed. The main finding of this analysis is that expectations
 of devaluation cause movements in the black market premium for Greece and
 this result suggest that portfolio balance models may be appropriate for
 understanding the behaviour of the black market premium in Greece. 
Journal: Applied Financial Economics 
Pages: 667-677 
Issue: 10 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107842 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107842
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:10:p:667-677




Template-Type: ReDIF-Article 1.0
Author-Name: Abhay Abhyankar 
Author-X-Name-First: Abhay 
Author-X-Name-Last: Abhyankar 
Author-Name: Keng-Yu Ho 
Author-X-Name-First: Keng-Yu 
Author-X-Name-Last: Ho 
Author-Name: Huainan Zhao 
Author-X-Name-First: Huainan 
Author-X-Name-Last: Zhao 
Title: Long-run post-merger stock performance of UK acquiring firms: a stochastic dominance perspective 
Abstract:
  Using the idea of stochastic dominance, the long-run post-merger stock
 performance of UK acquiring firms is studied. Performance is compared by
 using the entire distribution of returns rather than only the mean as in
 traditional event studies. The main results are as follows: First, it is
 found that, in general, acquiring firms do not significantly underperform
 in three years after merger since no evidence of first- or second-order
 stochastic dominance relation between acquirer and benchmark portfolios is
 observed. Second, it is found that acquirers paying excessively large
 premiums are stochastically dominated by their benchmark portfolio
 implying that overpayment is a possible reason for post-merger
 underperformance. Consistent with previous studies, it is found that cash
 financed mergers outperform stock financed ones. Finally, no evidence is
 observed that glamour acquirers underperform value ones as no stochastic
 dominance relations between the two. In general, the results underline the
 importance of examining long-run post-merger stock performance from
 alternative perspectives. 
Journal: Applied Financial Economics 
Pages: 679-690 
Issue: 10 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500065305 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500065305
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:10:p:679-690




Template-Type: ReDIF-Article 1.0
Author-Name: Toni Gravelle 
Author-X-Name-First: Toni 
Author-X-Name-Last: Gravelle 
Author-Name: James Morley 
Author-X-Name-First: James 
Author-X-Name-Last: Morley 
Title: A Kalman filter approach to characterizing the Canadian term structure of interest rates 
Abstract:
  This paper employs a Kalman filter approach to test the Expectations
 Hypothesis and characterize how term premia have changed over time for
 short-term Canadian interest rates. The Kalman filter approach is extended
 to account for changes in interest rate volatility, possible permanent
 changes in term premia, and overlapping forecast errors. The Expectations
 Hypothesis is strongly rejected with estimated term premia displaying
 significant time variation. There is some evidence of a positive
 relationship between term premia and interest rate volatility, although
 other macroeconomic and political factors are important, especially
 exchange rate volatility. Also, estimated term premia were actually
 negative during the late 1980s. 
Journal: Applied Financial Economics 
Pages: 691-705 
Issue: 10 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107917 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107917
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:10:p:691-705




Template-Type: ReDIF-Article 1.0
Author-Name: Theodore Panagiotidis 
Author-X-Name-First: Theodore 
Author-X-Name-Last: Panagiotidis 
Title: Market capitalization and efficiency. Does it matter? Evidence from the Athens Stock Exchange 
Abstract:
  The efficient market hypothesis (EMH) is tested in the case of the Athens
 Stock Exchange (ASE) after the introduction of the euro for three
 different indices. The underlying assumption is that stock prices would be
 more transparent; their performance easier to compare; the exchange rate
 risk eliminated and as a result we expect the new currency to strengthen
 the argument in favour of the EMH. The FTSE/ASE20, which consists of 'high
 capitalization' companies, the FTSE/ASE Mid 40, which consists of medium
 sized companies and the FTSE/ASE Small Cap, which covers the next 80
 companies, are used. Five statistical tests are employed to test the
 residuals of the random walk model: the BDS, McLeod-Li, Engle LM, Tsay and
 Bicovariance test. Bootstrap as well as asymptotic values of these tests
 are estimated. The random walk hypothesis is rejected in all three cases
 and alternative GARCH models are estimated. 
Journal: Applied Financial Economics 
Pages: 707-713 
Issue: 10 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107883 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107883
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:10:p:707-713




Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Burton 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Burton 
Title: Concurrent capital expenditure and the stock market reaction to corporate alliance announcements 
Abstract:
  This paper examines the effect of concurrent capital expenditure on the
 market reaction to corporate alliance announcements. Based on a large
 sample of announcements made in the UK between 1993 and 1995, the evidence
 suggests that the market response is most favourable when new investment
 does not form part of the joint activity. The results also suggest that
 the decision to formalize the partnerships through the establishment of a
 joint venture impacts negatively on announcement period share returns. The
 findings are shown to be consistent with a scenario whereby the market
 response reflects concern about the dangers of overly-committed
 partnerships. 
Journal: Applied Financial Economics 
Pages: 715-729 
Issue: 10 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500077060 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500077060
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:10:p:715-729




Template-Type: ReDIF-Article 1.0
Author-Name: Kyriaki Kosmidou 
Author-X-Name-First: Kyriaki 
Author-X-Name-Last: Kosmidou 
Author-Name: Fotios Pasiouras 
Author-X-Name-First: Fotios 
Author-X-Name-Last: Pasiouras 
Author-Name: Angelos Tsaklanganos 
Author-X-Name-First: Angelos 
Author-X-Name-Last: Tsaklanganos 
Title: Factors influencing the profits and size of Greek banks operating abroad: a pooled time-series study 
Abstract:
  This paper extends the literature on foreign banking by developing a
 model that attempts to explain the performance of Greek banks operating
 abroad using a balanced pooled time-series dataset. Five variables are
 drawn from the multinational banking literature and represent
 ownership-specific and location-specific factors. The profits of the
 subsidiaries operating abroad were found to be related to the profits of
 the parent bank, the trade between Greece and the host country, the
 difference in the GDP growth between the two countries, the years
 operating in the host market and the time trend. The size of the
 subsidiaries was found to be related to the size of the parent bank, the
 trade, the GDP growth, the years of operation and the time trend.
 Furthermore, the results indicate that models developed using variables
 drawn from the multinational banking literature provide a better
 description of the size of the subsidiaries of Greek banks operating
 abroad rather than their profits. 
Journal: Applied Financial Economics 
Pages: 731-738 
Issue: 10 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107677 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107677
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:10:p:731-738




Template-Type: ReDIF-Article 1.0
Author-Name: Ghulam Sorwar 
Author-X-Name-First: Ghulam 
Author-X-Name-Last: Sorwar 
Title: Implied derivative security prices based two-factor interest model: a UK application 
Abstract:
  In this paper the extended Box Method recently introduced to finance is
 used to value bond and option prices based on the two-factor CKLS interest
 rate model. The two-factor CKLS model is estimated using the one-year
 Eurodollar rate for the UK as the long rate and either the one-week, or
 one-month Euro dollar rate for the UK as the short rate. Overall, it is
 found that both and option prices are sensitive to the model used. 
Journal: Applied Financial Economics 
Pages: 739-744 
Issue: 10 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310042000339730 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000339730
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:10:p:739-744




Template-Type: ReDIF-Article 1.0
Author-Name: Jerry Coakley 
Author-X-Name-First: Jerry 
Author-X-Name-Last: Coakley 
Author-Name: Stuart Snaith 
Author-X-Name-First: Stuart 
Author-X-Name-Last: Snaith 
Title: Testing for symmetry and proportionality in a European panel 
Abstract:
  Symmetry and proportionality for 15 European economies 1973 : 04-1998 :
 12 is tested in a panel regression framework that allows for permanent
 shocks. Support is found for both restrictions and thus for general
 relative PPP in the US dollar but not the German mark panel. 
Journal: Applied Financial Economics 
Pages: 745-752 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107974 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107974
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:745-752




Template-Type: ReDIF-Article 1.0
Author-Name: Charlotte Christiansen 
Author-X-Name-First: Charlotte 
Author-X-Name-Last: Christiansen 
Title: Variance-in-mean effects of the long forward-rate slope 
Abstract:
  This paper contains an empirical analysis of the dependence of the long
 forward-rate slope on the long-rate variance. The long forward-rate slope
 and the long rate are described by a bivariate GARCH-in-mean model. In
 accordance with theory, a negative long-rate variance-in-mean effect for
 the long forward-rate slope is documented. Thus, the greater the long-rate
 variance, the steeper the long forward-rate curve slopes downward (the
 long forward-rate slope is negative). The variance-in-mean effect is both
 statistically and economically significant. 
Journal: Applied Financial Economics 
Pages: 753-755 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500166152 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500166152
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:753-755




Template-Type: ReDIF-Article 1.0
Author-Name: John Jackson 
Author-X-Name-First: John 
Author-X-Name-Last: Jackson 
Author-Name: Henry Thompson 
Author-X-Name-First: Henry 
Author-X-Name-Last: Thompson 
Author-Name: Juliet Zheng 
Author-X-Name-First: Juliet 
Author-X-Name-Last: Zheng 
Title: Third country news in the monetary model of the exchange rate 
Abstract:
  With third country bonds added to the monetary model of exchange rate
 news, third country news would have a theoretical effect on exchange rate
 news. The present paper uncovers empirical evidence of third country (USA)
 news for a number of exchange rates. Further, insignificant income,
 interest rate, and inflation variables in the two country model become
 significant with third country news, suggesting model misspecification.
 The unexplained variance of exchange rates may not be due to speculative
 bubbles as supposed, and foreign exchange markets may not be as efficient
 as they have appeared. 
Journal: Applied Financial Economics 
Pages: 757-764 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500108139 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500108139
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:757-764




Template-Type: ReDIF-Article 1.0
Author-Name: Rodolfo Aquino 
Author-X-Name-First: Rodolfo 
Author-X-Name-Last: Aquino 
Title: Exchange rate risk and Philippine stock returns: before and after the Asian financial crisis 
Abstract:
  This paper examines whether the Philippine stock market prices exchange
 rate risk during the period 1992-2001; specifically, before and after the
 onset of the Asian financial crisis. Using a two-factor arbitrage pricing
 theory model, the evidence presented in the paper suggests that stock
 returns did not react significantly to foreign exchange rate fluctuations
 before the period of the crisis. After the onset of the crisis, however,
 Philippine firms started to exhibit cross-sectional differences in their
 reaction to exchange rate movements. Furthermore, during the post-crisis
 period, investors began to expect a risk premium on their investments for
 their perceived added exposure to exchange rate risk. In the larger,
 macroeconomic sense, this implies market inefficiencies in the foreign
 exchange or stock market or both and inadequate hedging by local firms for
 foreign exchange risk. 
Journal: Applied Financial Economics 
Pages: 765-771 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107784 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107784
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:765-771




Template-Type: ReDIF-Article 1.0
Author-Name: Fernando Fernandez-Rodriguez 
Author-X-Name-First: Fernando 
Author-X-Name-Last: Fernandez-Rodriguez 
Author-Name: Christian Gonzalez-Martel 
Author-X-Name-First: Christian 
Author-X-Name-Last: Gonzalez-Martel 
Author-Name: Simon Sosvilla-Rivero 
Author-X-Name-First: Simon 
Author-X-Name-Last: Sosvilla-Rivero 
Title: Optimization of technical rules by genetic algorithms: evidence from the Madrid stock market 
Abstract:
  This paper investigates the profitability of a simple and very common
 technical trading rule applied to the General Index of the Madrid Stock
 Market. The optimal trading rule parameter values are found using a
 genetic algorithm. The results suggest that, for reasonable trading costs,
 the technical trading rule is always superior to a risk-adjusted
 buy-and-hold strategy. 
Journal: Applied Financial Economics 
Pages: 773-775 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107818 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107818
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:773-775




Template-Type: ReDIF-Article 1.0
Author-Name: Roger Atindehou 
Author-X-Name-First: Roger 
Author-X-Name-Last: Atindehou 
Author-Name: Jean Pierre Gueyie 
Author-X-Name-First: Jean Pierre 
Author-X-Name-Last: Gueyie 
Author-Name: Edoh Kossi Amenounve 
Author-X-Name-First: Edoh Kossi 
Author-X-Name-Last: Amenounve 
Title: Financial intermediation and economic growth: evidence from Western Africa 
Abstract:
  The relationship between finance and economic growth has received
 considerable attention in economic development literature during recent
 decades. However, little interest has been devoted to African countries,
 and specifically, to West African countries. This paper tries to fill that
 gap, by using causality tests to empirically examine the relationship
 between finance and economic growth, in the context of West African
 country members of the Economic Community of West African States (ECOWAS).
 In all but a few countries, results indicate a weak causal relationship
 between finance and economic development on one side, and between economic
 development and finance on the other side. These results imply, ceteris
 paribus, that leaders of West African countries should focus their
 economic and monetary policies on the development of financial
 intermediation, which in turn will favour economic growth. 
Journal: Applied Financial Economics 
Pages: 777-790 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500108030 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500108030
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:777-790




Template-Type: ReDIF-Article 1.0
Author-Name: Patricia Chelley-Steeley 
Author-X-Name-First: Patricia 
Author-X-Name-Last: Chelley-Steeley 
Author-Name: Weihua Qian 
Author-X-Name-First: Weihua 
Author-X-Name-Last: Qian 
Title: Testing for market segmentation in the A and B share markets of China 
Abstract:
  Recent research has suggested that the A and B share markets of China may
 be informationally segmented. In this paper volatility patterns in the A
 and B share market are studied to establish whether volatility changes to
 the A and B share markets are synchronous. A consequence of new
 information, when investors act upon it is that volatility rises. This
 means that if the A and B markets are perfectly integrated volatility
 changes to each market would be expected to occur at the same time.
 However, if they are segmented there is no reason for volatility changes
 to occur on the same day. Using the iterative cumulative sum of squares
 across the different markets. Evidence is found of integration between the
 two A share markets but not between the A and B markets. 
Journal: Applied Financial Economics 
Pages: 791-802 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500118930 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500118930
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:791-802




Template-Type: ReDIF-Article 1.0
Author-Name: Ian Fraser 
Author-X-Name-First: Ian 
Author-X-Name-Last: Fraser 
Author-Name: Heather Tarbert 
Author-X-Name-First: Heather 
Author-X-Name-Last: Tarbert 
Author-Name: Kai Hong Tee 
Author-X-Name-First: Kai Hong 
Author-X-Name-Last: Tee 
Title: An empirical study of the impact of financial reporting disclosures on UK investment trusts 
Abstract:
  While an extensive literature exists on the market impact of accounting
 disclosures, there is little prior work on the market impact of accounting
 disclosures on investment trusts within the UK. The prior literature that
 exists suggests an absence of information content. This paper investigates
 whether financial statements for investment trusts contain information
 content over the period of the annual reporting cycle. The results
 indicate that the preliminary earning report (PER) and annual general
 meeting (AGM) contain information content in this setting. In addition,
 the results demonstrate a clear size effect with stronger market reaction
 in the case of smaller investment trusts. 
Journal: Applied Financial Economics 
Pages: 803-807 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107941 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107941
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:803-807




Template-Type: ReDIF-Article 1.0
Author-Name: Yuanchen Chang 
Author-X-Name-First: Yuanchen 
Author-X-Name-Last: Chang 
Author-Name: Mao-Wei Hung 
Author-X-Name-First: Mao-Wei 
Author-X-Name-Last: Hung 
Author-Name: Chiuling Lu 
Author-X-Name-First: Chiuling 
Author-X-Name-Last: Lu 
Title: Trade, R&D spending and financial development 
Abstract:
  This paper assesses the importance of financial development and R&D
 spending for exports using both a theoretical model and econometric
 testing. It is shown that financial development and R&D expenditures are
 positively related to exports and the balance of manufactured goods. The
 results suggest that countries that want to increase their exports should
 invest more in R&D activities and increase the priority of their financial
 reforms. 
Journal: Applied Financial Economics 
Pages: 809-819 
Issue: 11 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500077102 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500077102
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:809-819




Template-Type: ReDIF-Article 1.0
Author-Name: Tak-Kee Hui 
Author-X-Name-First: Tak-Kee 
Author-X-Name-Last: Hui 
Title: Portfolio diversification: a factor analysis approach 
Abstract:
  One of the main purposes of modern portfolio theory is to deal with the
 merit of international diversification, which is closely linked to the
 issue of co-movement and interdependence between stock markets. The
 globalization of equity markets and the increasing growth potential of the
 emerging Asian markets in the recent years have attracted significant
 attention in their co-movements. This study aims to investigate the
 potential of diversifying into US and Asia Pacific markets in the
 perspective of a Singaporean investor. A factor analysis is first used to
 screen out certain stock markets before the portfolio is computed. In view
 of the recent Asian financial crisis in mid-1997, the study is also
 extended to include international diversification choices after the Asian
 crisis to provide a more comprehensive study for Singaporean investors.
 The idea of this research can be repeated from a different perspective
 such as the US point of view. 
Journal: Applied Financial Economics 
Pages: 821-834 
Issue: 12 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500187901 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500187901
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:12:p:821-834




Template-Type: ReDIF-Article 1.0
Author-Name: Hossein Asgharian 
Author-X-Name-First: Hossein 
Author-X-Name-Last: Asgharian 
Author-Name: Bjorn Hansson 
Author-X-Name-First: Bjorn 
Author-X-Name-Last: Hansson 
Title: A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models 
Abstract:
  The common approach for constructing factor mimicking portfolios is to go
 long in assets with high loadings and to short-sell those with low
 loadings on some background factors. As a result portfolios containing
 stocks with low loading on the background factor receive negative betas
 against the corresponding mimicking portfolio. Thus, such portfolios
 appear as hedges against the background risk and may in tests of asset
 pricing models receive significant positive intercepts. The final result
 regarding acceptance or rejection of an asset pricing model may therefore
 to some extent be understood as a random outcome. 
Journal: Applied Financial Economics 
Pages: 835-847 
Issue: 12 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500166186 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500166186
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:12:p:835-847




Template-Type: ReDIF-Article 1.0
Author-Name: Oscar Bajo-Rubio 
Author-X-Name-First: Oscar 
Author-X-Name-Last: Bajo-Rubio 
Author-Name: Carmen Diaz-Roldan 
Author-X-Name-First: Carmen 
Author-X-Name-Last: Diaz-Roldan 
Author-Name: Vicente Esteve 
Author-X-Name-First: Vicente 
Author-X-Name-Last: Esteve 
Title: Is the Fisher effect non-linear? some evidence for Spain, 1963-2002 
Abstract:
  In this paper the role of non-linearities in the relationship between
 nominal interest rates and inflation is examined, in order to shed some
 additional light on the mostly unfavourable evidence on the presence of a
 full Fisher effect. The analysis is applied to the case of Spain for the
 period 1963-2002, which allows previous results on the subject to be
 re-examined and extended. The empirical methodology makes use of recent
 developments on threshold cointegration, so that cointegration between a
 pair of variables should be expected only once a certain threshold was
 reached. 
Journal: Applied Financial Economics 
Pages: 849-854 
Issue: 12 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500123187 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500123187
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:12:p:849-854




Template-Type: ReDIF-Article 1.0
Author-Name: William Crowder 
Author-X-Name-First: William 
Author-X-Name-Last: Crowder 
Author-Name: Chanwit Phengpis 
Author-X-Name-First: Chanwit 
Author-X-Name-Last: Phengpis 
Title: Stability of the S&P 500 futures market efficiency conditions 
Abstract:
  Brenner and Kroner (1995) laid out the necessary conditions for futures
 market efficiency when the asset price data are characterized by
 stochastic trends. Specifically, a no arbitrage profit condition implies
 that spot, futures and cost-of-carry will be cointegrated, unless the
 cost-of-carry is stationary, in which case spot and futures will be
 cointegrated. This is examined for the S&P 500 futures market. The results
 are intriguing since evidence is initially found that spot and futures are
 themselves cointegrated. But a deeper analysis demonstrates that this
 cointegrating relationship is not stable. However, including the
 three-month Treasury bill rate as a proxy for the cost-of-carry yields one
 stable cointegrating (or equilibrium) relationship. This suggests that the
 evidence of cointegration between spot and futures alone is spurious and
 that researchers need to be careful about conclusions drawn from
 cointegration analysis of market efficiency conditions. 
Journal: Applied Financial Economics 
Pages: 855-866 
Issue: 12 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500077193 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500077193
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:12:p:855-866




Template-Type: ReDIF-Article 1.0
Author-Name: Faruk Selcuk 
Author-X-Name-First: Faruk 
Author-X-Name-Last: Selcuk 
Title: Asymmetric stochastic volatility in emerging stock markets 
Abstract:
  Daily stock market volatility in a sample of emerging market economies is
 investigated utilizing an asymmetric stochastic volatility (ASV) model
 which is estimated with Markov Chain Monte Carlo (MCMC) method. The
 results indicate that the ASV model captures the volatility dynamics in
 those stock markets successfully. Particularly, it is shown that
 volatility has a significant persistency and the variability of volatility
 is higher as compared to advanced economies. The paper also provides
 evidence for significant negative correlation between shocks to the stock
 market index and shocks to volatility, the so-called 'leverage effect'.
 Furthermore, the estimation results show that the persistency in
 volatility and the variability of volatility are negatively related:
 higher variability of volatility implies lower persistency in volatility
 series and vice versa. In addition, persistency in volatility and the
 magnitude of leverage effect are negatively correlated: high persistency
 is associated with relatively lower leverage effect. 
Journal: Applied Financial Economics 
Pages: 867-874 
Issue: 12 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500077136 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500077136
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:12:p:867-874




Template-Type: ReDIF-Article 1.0
Author-Name: Marisa Cenci 
Author-X-Name-First: Marisa 
Author-X-Name-Last: Cenci 
Author-Name: Andrea Gheno 
Author-X-Name-First: Andrea 
Author-X-Name-Last: Gheno 
Title: Equity and debt valuation with default risk: a discrete structural model 
Abstract:
  Structural models' main source of uncertainty is the stochastic evolution
 of the firm's asset value. These models are commonly used to value
 corporate debt at the issue and hence to determine its yield given the
 amortization plan. This paper proposes two discrete models to value
 securities issued by a firm which can default before the maturity of its
 debt either for exogenous or endogenous causes. In either case the equity
 value is set as the price of a knock-out call option with a discrete
 monitoring barrier. The first model considers a debt refundable through
 the payment of known endowments and takes into account that the firm
 defaults as it fails to meet a promised payment. In the second model the
 firm's debt is made of a single issue of zero coupon bonds and includes
 the possibility that the firm defaults prior to the maturity of the debt
 if its asset value falls below a time dependent barrier. The particular
 evolution of the asset value, which shows discontinuity in the drift and
 diffusion coefficient, prevents the use of closed form solutions for
 options with a discrete monitoring barrier. The evaluation of the option
 is performed through non-recombining binomial trees. 
Journal: Applied Financial Economics 
Pages: 875-881 
Issue: 12 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500118849 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500118849
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:12:p:875-881




Template-Type: ReDIF-Article 1.0
Author-Name: Osman Suliman 
Author-X-Name-First: Osman 
Author-X-Name-Last: Suliman 
Title: Interest rate volatility, exchange rates, and external contagion 
Abstract:
  US interest rate volatility and contagion effects (propagation of crises)
 are investigated using GARCH equations over the period 1993.01-1998.12.
 The period includes two main financial crises: the 1994 Mexican peso
 crisis and the 1997 Japanese yen crisis. Contagion is more likely to occur
 in cointegrated markets with available open channels. The purchasing power
 and interest parities' channels suggest that the domestic inflation rate
 reflects some influence of the foreign exchange rate. The results indicate
 that, although the bulk of the US interest volatility is idiosyncratic,
 spillovers from Mexican exchange rate changes are more likely to induce
 contagion effects on US interest rates than Japanese exchange rates,
 possibly because of increased capital flows after NAFTA. Further, unlike
 the floating rate of Japan, the Mexican fixed exchange rate encourages
 international capital flows. 
Journal: Applied Financial Economics 
Pages: 883-894 
Issue: 12 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500119086 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500119086
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:12:p:883-894




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Yang 
Author-X-Name-First: Jian 
Author-X-Name-Last: Yang 
Author-Name: James Kolari 
Author-X-Name-First: James 
Author-X-Name-Last: Kolari 
Author-Name: Guozhong Zhu 
Author-X-Name-First: Guozhong 
Author-X-Name-Last: Zhu 
Title: European public real estate market integration 
Abstract:
  This study examines dynamic linkages among nine European public real
 estate markets, with particular attention to the impact of the recent
 establishment of the European Economic and Monetary Union (EMU). Forecast
 error variance decomposition results show that the real estate markets of
 larger EMU economies (Germany, France, Netherlands) became more integrated
 with other European markets after the establishment of the EMU in 1999. By
 contrast, increased real estate market integration is not found for some
 smaller EMU economies (Belgium and Spain). Also, the real estate markets
 of non-EMU economies (United Kingdom, Switzerland, and Denmark) exhibited
 either little change or less integration. The EMU has been beneficial in
 terms of increasing real estate market integration among EMU member
 countries with more advanced industrial structures. 
Journal: Applied Financial Economics 
Pages: 895-905 
Issue: 13 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500187877 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500187877
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:895-905




Template-Type: ReDIF-Article 1.0
Author-Name: Joao Paulo Tome Calado 
Author-X-Name-First: Joao Paulo Tome 
Author-X-Name-Last: Calado 
Author-Name: Maria Teresa Medeiros Garcia 
Author-X-Name-First: Maria Teresa Medeiros 
Author-X-Name-Last: Garcia 
Author-Name: Sergio Emanuel Tome Mendes Pereira 
Author-X-Name-First: Sergio Emanuel Tome Mendes 
Author-X-Name-Last: Pereira 
Title: An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case 
Abstract:
  The volatility implications of derivatives listing are not understood.
 Theoretical and empirical analyses on this issue have led to conflicting
 conclusions. This paper analyses the volatility effect of the initial
 exchange-listing of options and futures on the Portuguese capital market. 
Journal: Applied Financial Economics 
Pages: 907-913 
Issue: 13 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120159 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120159
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:907-913




Template-Type: ReDIF-Article 1.0
Author-Name: Frans Buelens 
Author-X-Name-First: Frans 
Author-X-Name-Last: Buelens 
Author-Name: Julien van den Broeck 
Author-X-Name-First: Julien van den 
Author-X-Name-Last: Broeck 
Title: Belgian railroad stock returns, 1836-1957  
Abstract:
  This new time series on price and return indices for the Belgian railroad
 sector during the 19th century and comparison with the historical risk
 premium confirms the risk premium to be positive although not that high as
 was commonly understood. 
Journal: Applied Financial Economics 
Pages: 915-930 
Issue: 13 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120084 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120084
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:915-930




Template-Type: ReDIF-Article 1.0
Author-Name: Ahmet Sengonul 
Author-X-Name-First: Ahmet 
Author-X-Name-Last: Sengonul 
Author-Name: Willem Thorbecke 
Author-X-Name-First: Willem 
Author-X-Name-Last: Thorbecke 
Title: The effect of monetary policy on bank lending in Turkey 
Abstract:
  This paper investigates how monetary policy affects bank lending in
 Turkey. Kashyap and Stein (2000) show that if contractionary monetary
 policy affects the supply of bank loans, it will reduce lending more at
 banks with less liquid balance sheets. Here, it is found that this is true
 in Turkey, indicating that there is a lending channel of monetary
 transmission there. 
Journal: Applied Financial Economics 
Pages: 931-934 
Issue: 13 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310050010225 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310050010225
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:931-934




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Rhodes 
Author-X-Name-First: Mark 
Author-X-Name-Last: Rhodes 
Title: Diversification efficiency and deposit rates 
Abstract:
  There is an increased sophistication in the provision of financial
 services by UK financial mutuals. This article presents evidence of a more
 complex process of price setting by these firms. From a theoretical model
 of the determination of deposit rates, the rate setting behaviour of firms
 is estimated empirically. Controlling for different service provision and
 firm characteristics heterogeneous levels of deposit rates are found to be
 offered by different building societies. This is indicative of differing
 levels of efficiency achieved by these firms 
Journal: Applied Financial Economics 
Pages: 935-945 
Issue: 13 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500187802 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500187802
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:935-945




Template-Type: ReDIF-Article 1.0
Author-Name: C. Weir 
Author-X-Name-First: C. 
Author-X-Name-Last: Weir 
Author-Name: D. Laing 
Author-X-Name-First: D. 
Author-X-Name-Last: Laing 
Author-Name: M. Wright 
Author-X-Name-First: M. 
Author-X-Name-Last: Wright 
Title: Undervaluation, private information, agency costs and the decision to go private 
Abstract:
  There is widespread anecdotal evidence that poor stock market performance
 is an important reason for taking a company private. The results support
 the perceived undervaluation hypothesis. The finding also applies to
 management buy-outs, which indicates that the management of these firms
 had private information. It is also found that firms going private had
 non-optimal governance structures, higher board and institutional
 ownership. The last finding is consistent with going private transactions
 providing institutions with a means of existing firms with poor market
 valuation, particularly during a time of very limited pressure from the
 market for corporate control. 
Journal: Applied Financial Economics 
Pages: 947-961 
Issue: 13 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500278221 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500278221
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:947-961




Template-Type: ReDIF-Article 1.0
Author-Name: Jorge Perez-Rodriguez 
Author-X-Name-First: Jorge 
Author-X-Name-Last: Perez-Rodriguez 
Author-Name: Salvador Torra 
Author-X-Name-First: Salvador 
Author-X-Name-Last: Torra 
Author-Name: Julian Andrada-Felix 
Author-X-Name-First: Julian 
Author-X-Name-Last: Andrada-Felix 
Title: Are Spanish Ibex35 stock future index returns forecasted with non-linear models? 
Abstract:
  This study employs different nonlinear models (smooth transition
 autoregressive models (STAR), artificial neural networks (ANN) and nearest
 neighbours (NN)) to study the predictability of one-step-ahead forecast
 returns for the Ibex35 stock future index at a one year forecast horizon.
 It is found that the STAR, ANN and NN models beat the random walk (RW) and
 linear autoregressive (AR) models in out-of-sample forecast statistical
 accuracy, and also when economic criteria were used in a simple trading
 strategy including the impact of transaction costs on trading strategy
 profits. Finally, the overall results suggest that the nonlinear models
 (particularly ANN and NN) considered for the Ibex35 stock future index
 appear to provide a reasonable description of asset price movements in
 improving returns forecasts for the chosen horizon. 
Journal: Applied Financial Economics 
Pages: 963-975 
Issue: 14 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500108220 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500108220
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:963-975




Template-Type: ReDIF-Article 1.0
Author-Name: Marco Barassi 
Author-X-Name-First: Marco 
Author-X-Name-Last: Barassi 
Author-Name: Guglielmo Maria Caporale 
Author-X-Name-First: Guglielmo Maria 
Author-X-Name-Last: Caporale 
Author-Name: Stephen Hall 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Hall 
Title: Interest rate linkages: identifying structural relations 
Abstract:
  This paper examines the structural linkages that may exist between the G7
 national interest rates. Its aim is to exploit some new techniques in
 cointegration analysis to see to what extent conclusions can be drawn
 purely from the data without imposing any arbitrary identification
 conditions. Linkages between I(1) series are examined as structural
 relations, using a technique that is a variation of a method proposed by
 Davidson that involves the introduction of the new concept of an
 irreducible cointegrating vector. In order to distinguish between
 structural and solved irreducible cointegrating relations, the ranking of
 irreducible cointegrating vectors according to the criterion of minimum
 variance is introduced. This methodology is applied to the system linking
 the G7 short-term interest rates, obtaining some interesting results. 
Journal: Applied Financial Economics 
Pages: 977-986 
Issue: 14 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120308 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120308
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:977-986




Template-Type: ReDIF-Article 1.0
Author-Name: Cumhur Erdem 
Author-X-Name-First: Cumhur 
Author-X-Name-Last: Erdem 
Author-Name: Cem Kaan Arslan 
Author-X-Name-First: Cem Kaan 
Author-X-Name-Last: Arslan 
Author-Name: Meziyet Sema Erdem 
Author-X-Name-First: Meziyet Sema 
Author-X-Name-Last: Erdem 
Title: Effects of macroeconomic variables on Istanbul stock exchange indexes 
Abstract:
  Price volatility spillovers in ISE indexes were analysed based on monthly
 data from January 1991 to January 2004 for exchange rate, interest rate,
 inflation, industrial production and M1 money supply. The Exponential
 Generalized Autoregressive Conditional Heteroscedasticity model was used
 to test univariate volatility spillovers for macroeconomic variables. It
 was found that there exists unidirectional strong volatility spillover
 from inflation, interest rate to all stock price indexes. There are
 spillovers from M1 money supply to financial index, and from exchange rate
 to both IMKB 100 and industrial indexes. There is no volatility spillover
 from industrial production to any index. 
Journal: Applied Financial Economics 
Pages: 987-994 
Issue: 14 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120365 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120365
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:987-994




Template-Type: ReDIF-Article 1.0
Author-Name: Aktham Maghyereh 
Author-X-Name-First: Aktham 
Author-X-Name-Last: Maghyereh 
Author-Name: Hiatham Al-Zuobi 
Author-X-Name-First: Hiatham 
Author-X-Name-Last: Al-Zuobi 
Title: Free trade agreements and equity market integration: the case of the US and Jordan 
Abstract:
  This study is aimed mainly to examine the impact of the US-Jordan Free
 Trade Agreement (UJFTA) on the degree of equity market's linkage. This
 issue is carried out through an asymmetric version of the Dynamic
 Conditional Correlation (DCC) model of Engle (2002) and developed by
 Sheppard (2002), which allows for asymmetries in both volatilities and
 conditional correlations. The empirical evidence suggests that the UJFTA
 has indeed increased substantially and significantly the linkages of the
 Jordanian capital market with the US equity markets. These results
 strongly support the argument that the direct trade flows is one of the
 most important determinant of cross-country linkages in equity markets. 
Journal: Applied Financial Economics 
Pages: 995-1005 
Issue: 14 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120654 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120654
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:995-1005




Template-Type: ReDIF-Article 1.0
Author-Name: Jyrki Ali-Yrkko 
Author-X-Name-First: Jyrki 
Author-X-Name-Last: Ali-Yrkko 
Author-Name: Ari Hyytinen 
Author-X-Name-First: Ari 
Author-X-Name-Last: Hyytinen 
Author-Name: Mika Pajarinen 
Author-X-Name-First: Mika 
Author-X-Name-Last: Pajarinen 
Title: Does patenting increase the probability of being acquired? Evidence from cross-border and domestic acquisitions 
Abstract:
  A firm that owns a patent has a legal right to exclude. Applying for the
 patent, however, discloses discovery of an invention by the firm. Both the
 ownership of the right and the disclosure of the discovery expose the firm
 to an acquisition, because other firms may be interested in buying the
 right or the invention for a number of reasons. This idea of patent-driven
 mergers and acquisitions (M&As) is tested using a large sample of Finnish
 firms that are mostly private and small. It is found that patenting by a
 Finnish firm is positively correlated with the probability that the firm
 is acquired by a foreign firm. 
Journal: Applied Financial Economics 
Pages: 1007-1017 
Issue: 14 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500186978 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500186978
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:1007-1017




Template-Type: ReDIF-Article 1.0
Author-Name: Bartosz Gebka 
Author-X-Name-First: Bartosz 
Author-X-Name-Last: Gebka 
Title: Dynamic volume-return relationship: evidence from an emerging capital market 
Abstract:
  The relationship between the changes in trading volume and subsequent
 returns for stocks traded on the Warsaw Stock Exchange (WSE) is tested.
 High volume stocks are found to experience strong price reversals and low
 volume stocks to experience weak price reversals and even continuations.
 Focusing on longer portfolio selection periods does not strengthen these
 results, and focusing on extreme change in past trading volume and past
 returns does so only for some high volume portfolios. The sign of volume
 changes is more informative than the magnitude. The results can be
 interpreted as evidence of the prevalence of uninformed traders on the
 WSE. 
Journal: Applied Financial Economics 
Pages: 1019-1029 
Issue: 14 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500278429 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500278429
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:1019-1029




Template-Type: ReDIF-Article 1.0
Author-Name: G. A. Karathanassis 
Author-X-Name-First: G. A. 
Author-X-Name-Last: Karathanassis 
Author-Name: S. N. Spilioti 
Author-X-Name-First: S. N. 
Author-X-Name-Last: Spilioti 
Title: An empirical application of the clean-surplus valuation model: the case of the Athens Stock Exchange 
Abstract:
  Recent studies on equity valuation suggest that security prices should be
 determined by book value and discounted future abnormal earnings (Ohlson,
 1995; Feltham and Ohlson, 1995). This paper examines the empirical
 validity of these theoretical models for the Greek equity market. More
 specifically, it uses a panel data methodology to study equity prices for
 important sectors of the economy. To anticipate the results, these models
 appear to be reliable price valuation models, for Greek equities. 
Journal: Applied Financial Economics 
Pages: 1031-1036 
Issue: 14 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500107628 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107628
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:1031-1036




Template-Type: ReDIF-Article 1.0
Author-Name: Antoine Giannetti 
Author-X-Name-First: Antoine 
Author-X-Name-Last: Giannetti 
Title: On investing in the long run when stock returns are mean-reverting 
Abstract:
  How risky is it to invest in the stock market in the long run? Under the
 random walk hypothesis for stock returns, it has been shown that risk is
 increasing with the investment time horizon. Using the insights of
 variance ratios literature, this paper shows that, if stock returns are
 mean-reverting in the long run, then such a conclusion may be reversed. As
 a practical consequence, portfolio insurance cost would decrease with time
 horizon. 
Journal: Applied Financial Economics 
Pages: 1037-1040 
Issue: 14 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120373 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120373
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:1037-1040




Template-Type: ReDIF-Article 1.0
Author-Name: Mouawiya Al-Awad 
Author-X-Name-First: Mouawiya 
Author-X-Name-Last: Al-Awad 
Author-Name: Nasri Harb 
Author-X-Name-First: Nasri 
Author-X-Name-Last: Harb 
Title: Financial development and economic growth in the Middle East 
Abstract:
  This paper investigates the linkages between financial development and
 economic growth in the Middle East using newly developed methods of panel
 cointegration along with the popular time series methodologies such as the
 Johansen's cointegration, Granger causality, and the variance
 decompositions. The results indicate that, in the long run financial
 development and economic growth may be related to some level. In the short
 run, the panel causality tests point to real economic growth as the force
 that drives changes in financial development while individual countries'
 causality tests fail to give a clear evidence of the direction of
 causations. 
Journal: Applied Financial Economics 
Pages: 1041-1051 
Issue: 15 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120639 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120639
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1041-1051




Template-Type: ReDIF-Article 1.0
Author-Name: Barbara Casu 
Author-X-Name-First: Barbara 
Author-X-Name-Last: Casu 
Author-Name: Claudia Girardone 
Author-X-Name-First: Claudia 
Author-X-Name-Last: Girardone 
Title: An analysis of the relevance of off-balance sheet items in explaining productivity change in European banking 
Abstract:
  The 1990s have witnessed a significant growth in bank income generated
 through non-traditional activities, especially for large EU universal
 banking institutions. Using the non-parametric Malmquist methodology this
 study analyses the impact of the inclusion of off-balance sheet (OBS)
 business in the definition of banks' output when estimating total factor
 productivity change indexes. Whereas the results reinforce the prevalent
 view in the recent literature, indicating that the exclusion of
 non-traditional activities leads to a misspecification of banks' output,
 the impact of the inclusion of these activities varies. Overall, the
 inclusion of OBS items results in an increase in estimated productivity
 levels for all countries under study. However, the impact seems to be the
 biggest on technological change rather than efficiency change. 
Journal: Applied Financial Economics 
Pages: 1053-1061 
Issue: 15 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120688 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120688
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1053-1061




Template-Type: ReDIF-Article 1.0
Author-Name: Egil Matsen 
Author-X-Name-First: Egil 
Author-X-Name-Last: Matsen 
Title: International diversification, growth, and welfare with non-traded income risk and incomplete markets 
Abstract:
  The study asks how the potential benefits from cross-border asset trade
 are affected by the presence of non-traded income risk in incomplete
 markets. It is shown that the mean consumption growth may be lower with
 full integration than in financial autarky. This can occur because: the
 hedging demand for risky high-return projects may fall as the investment
 opportunity set increases, and precautionary savings may fall as the
 unhedgeable non-traded income variance decreases upon financial
 integration. It is also shown that international asset trade increases
 welfare if it increases the risk-adjusted growth rate. This is always the
 case in the model, but the effect may be close to negligible. The welfare
 gain is smaller the higher the correlation between the domestic non-traded
 income process and foreign asset returns. 
Journal: Applied Financial Economics 
Pages: 1063-1072 
Issue: 15 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500120670 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120670
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1063-1072




Template-Type: ReDIF-Article 1.0
Author-Name: Colin Fyfe 
Author-X-Name-First: Colin 
Author-X-Name-Last: Fyfe 
Author-Name: John Paul Marney 
Author-X-Name-First: John Paul 
Author-X-Name-Last: Marney 
Author-Name: Heather Tarbert 
Author-X-Name-First: Heather 
Author-X-Name-Last: Tarbert 
Title: Risk adjusted returns from technical trading: a genetic programming approach 
Abstract:
  In this study, Genetic Programming is used to generate technical trading
 rules. These are assessed in terms of their basic returns and their risk
 adjusted returns. It is found that while the basic returns are impressive
 by comparison with buy and hold, they do not outperform buy and hold after
 risk-adjustment. 
Journal: Applied Financial Economics 
Pages: 1073-1077 
Issue: 15 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500306709 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500306709
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1073-1077




Template-Type: ReDIF-Article 1.0
Author-Name: Asli Bayar 
Author-X-Name-First: Asli 
Author-X-Name-Last: Bayar 
Author-Name: Zeynep Onder 
Author-X-Name-First: Zeynep 
Author-X-Name-Last: Onder 
Title: Liquidity and price volatility of cross-listed French stocks 
Abstract:
  The changes in the volatility and liquidity of French stocks are examined
 before and after their cross-listing on the German electronic market, the
 Xetra. The results are mixed in terms of the change in liquidity and
 volatility of stocks after cross-listing. It is found that for many stocks
 volatility of stock prices increases and liquidity declines after
 cross-listing. Furthermore, similar results are obtained when market
 volatility in the Paris Bourse is controlled for. These results suggest
 the migration of orders to the Xetra and the deterioration of the quality
 of the Paris Bourse with the cross listing of French stocks on the German
 market, especially for those stocks that are continuously traded on the
 Xetra. These results seem to be against the integration of the French and
 German markets during the period analysed in this study. Furthermore, the
 findings indicate that the trading scheme and the characteristics of the
 stock should be considered in examining the cross-listing effects. 
Journal: Applied Financial Economics 
Pages: 1079-1094 
Issue: 15 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500187083 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500187083
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1079-1094




Template-Type: ReDIF-Article 1.0
Author-Name: Chien-Liang Chiu 
Author-X-Name-First: Chien-Liang 
Author-X-Name-Last: Chiu 
Author-Name: Ming-Chih Lee 
Author-X-Name-First: Ming-Chih 
Author-X-Name-Last: Lee 
Author-Name: Jui-Cheng Hung 
Author-X-Name-First: Jui-Cheng 
Author-X-Name-Last: Hung 
Title: Estimation of Value-at-Risk under jump dynamics and asymmetric information 
Abstract:
  This paper employs three Value-at-Risk (VaR) models (GARJI, ARJI and
 asymmetric GARCH) to compare the performance of 1-day-ahead VaR estimates.
 The influences of price jumps and asymmetric information on the
 performance of VaR are investigated. Two stock indices (Dow Jones and S&P
 500) and one exchange rate (Japanese yen) are illustrated for estimating
 the model-based VaR. The results suggest for asset returns which exhibit
 time-variant jumps and information asymmetry, the VaR estimates generated
 by the GARJI and ARJI models provide reliable accuracy for low and high
 confidence levels. Moreover, as MRSB indicated, the GARJI model is more
 efficient than alternative models. 
Journal: Applied Financial Economics 
Pages: 1095-1106 
Issue: 15 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500108410 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500108410
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1095-1106




Template-Type: ReDIF-Article 1.0
Author-Name: Kai Leitemo 
Author-X-Name-First: Kai 
Author-X-Name-Last: Leitemo 
Author-Name: &#xd8;istein R&#xf8;island 
Author-X-Name-First: &#xd8;istein 
Author-X-Name-Last: R&#xf8;island 
Author-Name: Ragnar Torvik 
Author-X-Name-First: Ragnar 
Author-X-Name-Last: Torvik 
Title: Monetary policy rules and the exchange rate channel 
Abstract:
  A discretionary monetary policy leads to suboptimal stabilization in
 models with the New Keynesian assumption of forward-looking price setting,
 and various policy rules that improve the discretionary equilibrium have
 been considered in the literature. The empirical evidence for
 forward-looking price determination is mixed. This note shows, however,
 that forward-looking price setting is not essential for the results.
 Policy rules that improve welfare under the New Keynesian assumptions,
 also do so within a traditional backward-looking model if asset prices,
 such as the exchange rate, are forward-looking. 
Journal: Applied Financial Economics 
Pages: 1165-1170 
Issue: 16 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500358684 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500358684
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:16:p:1165-1170




Template-Type: ReDIF-Article 1.0
Author-Name: San-Lin Chung 
Author-X-Name-First: San-Lin 
Author-X-Name-Last: Chung 
Author-Name: Mark Shackleton 
Author-X-Name-First: Mark 
Author-X-Name-Last: Shackleton 
Title: On the use and improvement of Hull and White's control variate technique 
Abstract:
  A study of the use and improvement of Hull and White's (1988) control
 variate technique in pricing options is provided. It contributes to the
 literature in two ways. First it is shown that it is not optimal to use
 the entire error of a control variate against its known price (usually a
 closed-form solution) to correct and improve the unknown error of the
 unknown price of a complex option and a better error correction fraction
 is derived. Secondly, while Hull and White only advocated the use of the
 simplest European option control variate, it is shown how to choose better
 controls to reduce pricing errors more effectively and the role of so
 called static hedges as the best theoretical control variates is
 discussed. 
Journal: Applied Financial Economics 
Pages: 1171-1179 
Issue: 16 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500359195 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500359195
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:16:p:1171-1179




Template-Type: ReDIF-Article 1.0
Author-Name: Susanne Kruse 
Author-X-Name-First: Susanne 
Author-X-Name-Last: Kruse 
Author-Name: Matthias Meitner 
Author-X-Name-First: Matthias 
Author-X-Name-Last: Meitner 
Author-Name: Michael Schroder 
Author-X-Name-First: Michael 
Author-X-Name-Last: Schroder 
Title: On the pricing of GDP-linked financial products 
Abstract:
  This paper discusses the pricing of GDP-linked financial products.
 GDP-linked bonds for instance are bonds which pay a coupon tied to the
 changes of GDP (Gross Domestic Product): if economic growth is low, the
 coupon decreases while a strong economic rise leads to a higher coupon.
 Therefore these innovative financial instruments are able to translate
 changes in the business cycle and long-term prospects into changes in the
 issuing country's debt service, taking into account GDP development.
 Against the background of a growing interest in macro-indexed financial
 instruments and Argentinas very recent offer to issue GDP-linked bonds,
 different characteristics of GDP-linked bonds are briefly discussed and a
 simple pricing approach for GDP-linked bonds and European options on GDP
 development is provided assuming a Black-Scholes type environment. 
Journal: Applied Financial Economics 
Pages: 1125-1133 
Issue: 16 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500359260 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500359260
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:16:p:1125-1133




Template-Type: ReDIF-Article 1.0
Author-Name: Su-Lien Lu 
Author-X-Name-First: Su-Lien 
Author-X-Name-Last: Lu 
Author-Name: Chau-Jung Kuo 
Author-X-Name-First: Chau-Jung 
Author-X-Name-Last: Kuo 
Title: How to gauge the credit risk of guarantee issues in a Taiwanese bills finance company: an empirical investigation using a market-based approach 
Abstract:
  This paper presents a formal methodology, using a market-based risk
 neutral approach, to gauge the credit risk of guarantee issues in a
 Taiwanese bills finance company. In particular, the probability of default
 is endogenously determined. Evidence shows that the recovery rate plays an
 important role in credit risk of a bills finance company's guarantee
 issues. On the other hand, credit risk is also correlated with different
 industries and business cycles, and care must be taken to consider these
 factors. Faced with the implementation of the Basel Capital Accord, it is
 anticipated that this paper will be helpful to Taiwan's financial
 institutions. 
Journal: Applied Financial Economics 
Pages: 1153-1164 
Issue: 16 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310052000345543 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310052000345543
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:16:p:1153-1164




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Title: Cointegrating behaviour between spot and forward exchange rates 
Abstract:
  This paper re-considers cointegrating behaviour between forward and spot
 exchange rates and the implications for the forward rate unbiasedness
 hypothesis. Extant empirical evidence examining forward and future spot
 rates is mixed, offering results both for and against cointegration; the
 forward rate as an unbiased predictor of the spot rate; and the existence
 of a time-varying risk premium. However, recent research has suggested
 that such analysis may be subject to bias and that models of cointegration
 between forward and current spot rates should instead serve as a starting
 point for analysis of exchange rate behaviour. Johansen cointegration
 analysis supports this contention showing that erroneous inferences can be
 made by merely using future spot rate data. Subsequently both single
 equation and panel estimation methods support cointegration between
 forward and current spot rates, but that the forward rate is a biased
 predictor. Further, single equation tests are conducted over a rolling
 window of five years through our sample. These results largely confirm
 those for the full sample. 
Journal: Applied Financial Economics 
Pages: 1135-1144 
Issue: 16 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500359476 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500359476
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:16:p:1135-1144




Template-Type: ReDIF-Article 1.0
Author-Name: Paul McGuinness 
Author-X-Name-First: Paul 
Author-X-Name-Last: McGuinness 
Title: A re-examination of the holiday effect in stock returns: the case of Hong Kong 
Abstract:
  A strong pre-holiday effect is revealed in this study of Hong Kong stock
 returns. Importantly, the effect does not appear to be modulated by
 day-of-the-week effects, which themselves are highly volatile and
 inconsistent across various sub-periods. As documented in earlier studies
 for the 1970s and 1980s, a Chinese Lunar New Year (CLNY) effect has been
 highly significant in explaining Hong Kong's overall pre-holiday return
 effect. Re-examination of the issue here indicates that the effect has
 continued throughout the last 15 years. More tellingly, after controlling
 for Hong Kong holidays, a pre-US holiday return effect is absent from Hong
 Kong returns for the 1990-2005 sub-period despite its significance between
 1975 and 1990. Besides confirming earlier evidence of an inherited US
 holiday effect in Hong Kong returns during the 1970s and 1980s, it is
 instructive to note that the waning US pre-holiday effect, as documented
 in various studies since, can be viewed through the prism of Hong Kong
 returns. While the US pre-holiday effect appears to have been purged, Hong
 Kong's own holiday effect, other than that relating to the CLNY, has
 generally weakened. Finally, despite the persistence of a strong CLNY
 pre-holiday daily return effect, a 'seasonal' run-up in stock returns in
 the weeks prior to the CLNY is less apparent than hitherto. 
Journal: Applied Financial Economics 
Pages: 1107-1123 
Issue: 16 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500359575 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500359575
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:16:p:1107-1123




Template-Type: ReDIF-Article 1.0
Author-Name: Peijie Wang 
Author-X-Name-First: Peijie 
Author-X-Name-Last: Wang 
Author-Name: Trefor Jones 
Author-X-Name-First: Trefor 
Author-X-Name-Last: Jones 
Title: A different approach to estimating betas of securities subject to thin trading and serial correlation 
Abstract:
  This paper enquires whether the parameters of asset pricing models can be
 better represented by cointegration analysis to correct the bias in
 &#x3b2; estimates. Due to the existence of correlation in lagged series,
 cointegration analysis, or regression in levels, would produce better
 estimates of asset pricing model parameters than the regressional analysis
 of rates of return if the series are cointegrated. In addition, the
 estimation is empirically simpler. 
Journal: Applied Financial Economics 
Pages: 1145-1152 
Issue: 16 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500359773 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500359773
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:16:p:1145-1152




Template-Type: ReDIF-Article 1.0
Author-Name: W. D. Walls 
Author-X-Name-First: W. D. 
Author-X-Name-Last: Walls 
Title: Modelling heavy tails and skewness in film returns 
Abstract:
  The average of box-office revenue is dominated by extreme outcomes, with
 most films earning little and most revenues flowing to a few blockbusters.
 In this paper the skewness and heavy tails of film returns are formally
 modelled using skew-Normal and skew-t distributions. Logarithmic
 skew-Normal and skew-t models of the distribution of box-office revenue
 are fitted conditional on star actors and directors, budget, release
 pattern, genre, rating, and year of release. The estimates show
 significantly more skewness and heavier tails than the log-Normal
 distribution. It is also found that a wide theatrical release has a much
 smaller impact on box-office revenue when heavy tails and skewness are
 explicitly modelled. 
Journal: Applied Financial Economics 
Pages: 1181-1188 
Issue: 17 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/0960310050391040 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310050391040
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1181-1188




Template-Type: ReDIF-Article 1.0
Author-Name: Samer Al-Rjoub 
Author-X-Name-First: Samer 
Author-X-Name-Last: Al-Rjoub 
Author-Name: Oscar Varela 
Author-X-Name-First: Oscar 
Author-X-Name-Last: Varela 
Author-Name: M. Kabir Hassan 
Author-X-Name-First: M. Kabir 
Author-X-Name-Last: Hassan 
Title: The size effect reversal in the USA 
Abstract:
  The paper examines the size effect reversal in the USA over the period
 1970-1999, using data for the ten size deciles in the CRSP tapes during
 this 40-year period. Betas for small-firm portfolios increase as the
 return interval analysed increases, and are lower than large-firm
 portfolios for daily data but higher for monthly and quarterly data.
 Differences between small- and large-firm portfolio returns are associated
 with higher betas as return intervals increase, with lower betas for daily
 data, and higher for quarterly data. Before 1981 when the small-firm
 effect was published, smaller firms' relative risk coefficients were
 biased downwards compared to aggregated coefficients, while larger firms'
 were biased upwards, as expected. But after 1981, a partial reversal
 occurred with larger firms' relative risk coefficients also biased
 downwards and by more than the smaller firms. In the post-period, relative
 risk measures generated higher abnormal returns for large firms than for
 small firms, effectively a large-firm effect, because large firms' risks
 were more understated, possibly due to their relatively less frequent
 trading. However, these abnormal returns were reduced for large (and
 small) firms when using more appropriate aggregated risk coefficients. 
Journal: Applied Financial Economics 
Pages: 1189-1197 
Issue: 17 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500359542 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500359542
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1189-1197




Template-Type: ReDIF-Article 1.0
Author-Name: Tamir Levy 
Author-X-Name-First: Tamir 
Author-X-Name-Last: Levy 
Author-Name: Joseph Yagil 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Yagil 
Title: The informational content of article publication: the case of twin stocks 
Abstract:
  This study investigates the mispricing of Royal Dutch and Shell Transport
 stocks documented in the literature. It is found that the actual market
 co-movement of the two companies' stocks has gradually become asymptotic
 to its theoretical counterpart subsequent to the publication of empirical
 studies that investigated the mispricing phenomenon. These findings imply
 that market participants incorporate published academic studies into their
 learning curve. However, it took nine years to rectify the mispricing
 problem, a fact that seems inconsistent with market efficiency, where
 information should be reflected immediately in stock prices. 
Journal: Applied Financial Economics 
Pages: 1199-1202 
Issue: 17 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500386875 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500386875
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1199-1202




Template-Type: ReDIF-Article 1.0
Author-Name: David VanderLinden 
Author-X-Name-First: David 
Author-X-Name-Last: VanderLinden 
Author-Name: Kristijan Nikolov 
Author-X-Name-First: Kristijan 
Author-X-Name-Last: Nikolov 
Title: Enhancing returns on yen: minimizing risk reversal costs 
Abstract:
  Cash managers and other investors with excess Japanese yen could choose
 to invest in dollars and to use zero-cost currency options collars (or
 risk reversals) to limit fluctuations in the dollar-yen exchange rate (as
 illustrated by VanderLinden and Gramlich, 2005). However, traders know
 that there is a market-driven, time-varying cost to risk reversals that
 can reduce their effectiveness in hedging. This paper evaluates a decision
 rule to reduce the impact of risk reversal costs. This rule, based on a
 30-day moving average of risk reversal costs, appears to minimize risk
 reversal costs when used with the dollar-yen exchange rate. Whether
 application of the rule significantly improves risk-adjusted returns is
 less clear. 
Journal: Applied Financial Economics 
Pages: 1203-1211 
Issue: 17 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500387410 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500387410
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1203-1211




Template-Type: ReDIF-Article 1.0
Author-Name: Choong Tze Chua 
Author-X-Name-First: Choong Tze 
Author-X-Name-Last: Chua 
Author-Name: Winston Koh 
Author-X-Name-First: Winston 
Author-X-Name-Last: Koh 
Author-Name: Krishna Ramaswamy 
Author-X-Name-First: Krishna 
Author-X-Name-Last: Ramaswamy 
Title: Comparing returns of US treasuries versus equities: implications for market and portfolio efficiency 
Abstract:
  We test the efficiency of the US Treasury market by comparing the
 performance of two yield-spread mean-reverting trades, a 'riding the yield
 curve' trade and a comparable strategy in the S&P Index. From 1969 to
 2000, 'riding the yield curve' and the S&P index are approximately
 equidistant from the efficient frontier, while one yield-spread trade was
 highly profitable, and outperformed an equivalent investment in the S&P
 index by 4.3 times. The large excess returns suggest possible market
 inefficiencies in the market. Nevertheless, market efficiency in the US
 Treasury bond market appears to have improved considerably since the late
 1980s, and the scope for excess returns has diminished. 
Journal: Applied Financial Economics 
Pages: 1213-1218 
Issue: 17 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500391560 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500391560
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1213-1218




Template-Type: ReDIF-Article 1.0
Author-Name: Peijie Wang 
Author-X-Name-First: Peijie 
Author-X-Name-Last: Wang 
Title: A re-examination of the predicting power of forward premia 
Abstract:
  The paper proposes that the spot exchange rate consist of two parts.
 Important information content is with its underlying movement, in
 accordance with the development in the economy and the adjustment in
 economic activity. The paper then extracts the underlying movement from
 the spot exchange rate using the state space method and the frequency
 domain method. The extracted component is persistent as expected, catching
 trend movement and matching the statistical characteristics of the forward
 premium to some degree. Based on the results, the paper is able to reject
 the finding in many previous studies that the forward premium predicts the
 future spot rate in a completely wrong way. The paper concludes that the
 forward premium does not help explain the future spot rate as its most
 feasible result. 
Journal: Applied Financial Economics 
Pages: 1219-1225 
Issue: 17 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500360920 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500360920
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1219-1225




Template-Type: ReDIF-Article 1.0
Author-Name: Taufiq Choudhry 
Author-X-Name-First: Taufiq 
Author-X-Name-Last: Choudhry 
Title: September 11 and time-varying beta of United States companies 
Abstract:
  The tragic events of 11 September 2001 in the USA is said to have
 adversely affected the global economy and the financial markets around the
 world. This paper empirically investigates the effects of the terrorist
 attacks and the period after on the time-varying beta (risk) of a few
 companies in the USA. Daily data from 1991 to 2002 and the bivariate
 MA-GARCH model are applied to create the time-varying betas for the firms.
 Results indicate that September 11 events and the period after affected
 most of the US companies under investigation. The size and direction of
 the effect varies according to the firms. All companies did not experience
 an increase in their beta. 
Journal: Applied Financial Economics 
Pages: 1227-1242 
Issue: 17 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500358742 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500358742
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1227-1242




Template-Type: ReDIF-Article 1.0
Author-Name: Don Bredin 
Author-X-Name-First: Don 
Author-X-Name-Last: Bredin 
Author-Name: Caroline Gavin 
Author-X-Name-First: Caroline 
Author-X-Name-Last: Gavin 
Author-Name: Gerard O'Reilly 
Author-X-Name-First: Gerard 
Author-X-Name-Last: O'Reilly 
Title: US monetary policy announcements and Irish stock market volatility 
Abstract:
  The influence of foreign monetary policy decisions on the volatility of
 the Irish stock market is investigated. Specifically, the influence of US
 monetary policy announcements on the ISEQ is examined. Evidence of the
 so-called calm before the storm is found, i.e., there appears to be a
 decline in volatility on the day prior to an FOMC meeting and a subsequent
 increase in volatility after the results of the FOMC meeting is made
 known. Also evidence is found to suggest that ISEQ volatility is
 influenced by surprise changes in US monetary policy. Moreover, US
 monetary surprises appear to affect Irish stock return volatility
 asymmetrically with a surprise tightening of US monetary policy leading to
 an increase in Irish stock return volatility. This paper represents an
 important step in addressing the issues of spillover identification
 between the USA and the Irish stock market. 
Journal: Applied Financial Economics 
Pages: 1243-1250 
Issue: 17 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500390836 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390836
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1243-1250




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: Tim Fry 
Author-X-Name-First: Tim 
Author-X-Name-Last: Fry 
Author-Name: E. Bissoondoyal-Bheenick 
Author-X-Name-First: E. 
Author-X-Name-Last: Bissoondoyal-Bheenick 
Title: Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence 
Abstract:
  In this paper, an alternative method of estimating the systematic risk
 for Canadian stocks is presented and empirically investigated. The method
 proposed is applied to a set of data impacted by censoring - the presence
 of zero returns, which occurs in extreme cases of thin trading. The
 approach used is the sample selectivity model, which is a two-step
 procedure: with a selectivity component and a regression component. In
 addition, this study compares the new beta estimate to the standard OLS
 beta and the Dimson Beta. The results indicate that the
 selectivity-corrected beta does correct the downward bias of the OLS
 estimates and possesses desirable statistical properties. 
Journal: Applied Financial Economics 
Pages: 1251-1258 
Issue: 18 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500396585 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500396585
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:18:p:1251-1258




Template-Type: ReDIF-Article 1.0
Author-Name: Ben Marshall 
Author-X-Name-First: Ben 
Author-X-Name-Last: Marshall 
Author-Name: Rachael Cahan 
Author-X-Name-First: Rachael 
Author-X-Name-Last: Cahan 
Title: Is the 52-week high momentum strategy profitable outside the US? 
Abstract:
  This paper uses Australian stock data to provide the first out-of-sample
 test of the 52-week high momentum strategy. The robustness of price and
 industry momentum strategies is also considered. We find the 52-week high
 momentum strategy is highly profitable on Australian stocks that have been
 approved for short-selling. The average return is 2.14% per month, which
 is considerably larger than the equivalent return for this strategy in the
 US and the return to other momentum strategies in Australia. The
 profitability of the 52-week high momentum strategy is robust to stocks of
 different size and liquidity and persists after risk-adjustment. 
Journal: Applied Financial Economics 
Pages: 1259-1267 
Issue: 18 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500386008 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500386008
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:18:p:1259-1267




Template-Type: ReDIF-Article 1.0
Author-Name: John Goddard 
Author-X-Name-First: John 
Author-X-Name-Last: Goddard 
Author-Name: Manouche Tavakoli 
Author-X-Name-First: Manouche 
Author-X-Name-Last: Tavakoli 
Author-Name: John Wilson 
Author-X-Name-First: John 
Author-X-Name-Last: Wilson 
Title: Determinants of profitability in European manufacturing and services: evidence from a dynamic panel model 
Abstract:
  Recent advances in panel data econometrics are used to investigate the
 determinants of profitability for manufacturing and service sector firms
 in Belgium, France, Italy and the UK, for the period 1993-2001. The paper
 synthesizes empirical models that have been used by researchers in
 industrial economics, strategic management and accounting and finance.
 Despite the formation of the European Union's Single Market in goods and
 services, abnormal profit still appears to persist significantly from year
 to year. There is evidence of a negative size-profitability relationship,
 but the relationship between market share and profitability is positive,
 and stronger in manufacturing than in services. The relationship between a
 firm's gearing ratio and its profitability is negative, but firms with
 higher liquidity tend to be more profitable. 
Journal: Applied Financial Economics 
Pages: 1269-1282 
Issue: 18 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500387139 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500387139
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:18:p:1269-1282




Template-Type: ReDIF-Article 1.0
Author-Name: Susana Alvarez 
Author-X-Name-First: Susana 
Author-X-Name-Last: Alvarez 
Author-Name: Victor Gonzalez 
Author-X-Name-First: Victor 
Author-X-Name-Last: Gonzalez 
Title: Performance of Spanish firms going public: windows of opportunity and the informative effect 
Abstract:
  The aim of this paper is to analyse the performance of firms that went
 public on Madrid Stock Exchange in the period 1985-1997. Results show that
 no relation exists between the ownership structure of a firm and the
 decline in returns subsequent to its going public, although a signaling
 effect does exist with respect to the quality of the firm that is
 associated with the percentage of equity retained at the moment of going
 public. On the other hand, the decline in returns appears to be determined
 by the firms exploiting the existence of windows of opportunity and by the
 adjustment made by firms in their profit figures. 
Journal: Applied Financial Economics 
Pages: 1283-1297 
Issue: 18 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500391479 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500391479
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:18:p:1283-1297




Template-Type: ReDIF-Article 1.0
Author-Name: Hakan Saritas 
Author-X-Name-First: Hakan 
Author-X-Name-Last: Saritas 
Author-Name: Hakan Aygoren 
Author-X-Name-First: Hakan 
Author-X-Name-Last: Aygoren 
Title: International indexing as a means of portfolio diversification 
Abstract:
  Global investing offers investors a larger pool of investment
 opportunities and tremendous diversification. However, despite the
 increased integration of world economies, there are still important
 variations among overseas capital markets. Complexities of overseas
 investing can often ensnare even the best active asset managers.
 International indexing is an option to overcome the difficulties of global
 investing. This study considers international indexing as a means of
 portfolio diversification. Performances of 15 international indexes are
 evaluated using monthly return data from 1998 through 2002. Returns are
 measured against ISE-100 Index (Istanbul Stock Exchange-100 Index)
 returns. The results of the study suggest that international indexing does
 not offer superior returns compared to the ISE-100 index. 
Journal: Applied Financial Economics 
Pages: 1299-1304 
Issue: 18 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500187844 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500187844
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:18:p:1299-1304




Template-Type: ReDIF-Article 1.0
Author-Name: Luis Vicente 
Author-X-Name-First: Luis 
Author-X-Name-Last: Vicente 
Author-Name: Luis Ferruz 
Author-X-Name-First: Luis 
Author-X-Name-Last: Ferruz 
Title: Performance persistence in Spanish equity funds 
Abstract:
  Past literature shows that tests of performance persistence do not agree
 in the most important mutual fund markets and so there is a need for
 further research in other smaller countries such as Spain, one of the
 biggest growth fund markets in Europe in the nineties. Spanish equity
 funds investing in domestic stocks exhibit mixed results when performance
 persistence is analysed. These results were obtained from an exhaustive
 application of parametric and non-parametric procedures proposed in the
 past financial literature. 
Journal: Applied Financial Economics 
Pages: 1305-1313 
Issue: 18 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500389697 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389697
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:18:p:1305-1313




Template-Type: ReDIF-Article 1.0
Author-Name: Ching-Chung Lin 
Author-X-Name-First: Ching-Chung 
Author-X-Name-Last: Lin 
Author-Name: Min-Hsien Chiang 
Author-X-Name-First: Min-Hsien 
Author-X-Name-Last: Chiang 
Title: Volatility effect of ETFs on the constituents of the underlying Taiwan 50 Index 
Abstract:
  Owing to the growing importance of the Taiwan Top 50 Tracker Fund (TTT),
 the first and the only Taiwanese Exchange Traded Fund (ETF), this study
 investigates the change in the volatility of the component stocks of the
 Taiwan 50 Index after the introduction of TTT. Using the volatility
 measure proposed by Andersen et al. (2001) and the unconditional variance
 of a GARCH model to measure the volatilities of the constituents of the
 Taiwan 50 Index, the empirical results of this study demonstrate that the
 volatility of the component stocks increased following the establishment
 of TTT. The patterns of volatility change do not differ statistically
 among different size categories. However, the volatilities of the
 electronic and the financial sector TTT constituent companies increased
 significantly after the introduction of TTT, while the volatility of
 companies in the mixed sector reduced. 
Journal: Applied Financial Economics 
Pages: 1315-1322 
Issue: 18 
Volume: 15 
Year: 2005 
X-DOI: 10.1080/09603100500389630 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389630
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:15:y:2005:i:18:p:1315-1322




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Taylor 
Author-X-Name-First: Mark 
Author-X-Name-Last: Taylor 
Title: Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought 
Abstract:
  This study provides a critical review of the research literature on
 long-run Purchasing Power Parity and the stability of real exchange rates. 
Journal: Applied Financial Economics 
Pages: 1-17 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390067 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390067
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:1-17




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Hans Franses 
Author-X-Name-First: Philip Hans 
Author-X-Name-Last: Franses 
Author-Name: Dick van Dijk 
Author-X-Name-First: Dick 
Author-X-Name-Last: van Dijk 
Title: A simple test for PPP among traded goods 
Abstract:
  The so-called Harrod-Balassa-Samuelson model implies that relative prices
 of non-traded goods may be nonstationary and, hence, that PPP should
 preferably be tested on real exchange rates based on prices of traded
 goods only. A simple test for PPP among traded goods is proposed that can
 be applied to real exchange rates based on prices of all (that is, both
 traded and non-traded) goods. The study shows through simulations that the
 test is reliable for a sample size commonly considered in practice. Upon
 applying the test to bilateral real exchange rates based on the general
 CPI among a group of industrialized countries during the post Bretton
 Woods period, we find little evidence in favour of PPP among traded goods.
 This does not change when we use real exchange rates based on various
 components of the CPI. 
Journal: Applied Financial Economics 
Pages: 19-27 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390711 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390711
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:19-27




Template-Type: ReDIF-Article 1.0
Author-Name: Jomana Amara 
Author-X-Name-First: Jomana 
Author-X-Name-Last: Amara 
Author-Name: David Papell 
Author-X-Name-First: David 
Author-X-Name-Last: Papell 
Title: Testing for Purchasing Power Parity using stationary covariates 
Abstract:
  Purchasing Power Parity is tested for in post-Bretton Woods real exchange
 rate data from 20 developed countries using univariate tests and covariate
 augmented versions of the Augmented Dickey-Fuller (CADF) and feasible
 point optimal (CPT) unit root tests. The covariates are a combination of
 stationary variables - inflation, monetary, income, and current account. A
 cross method comparison of the results is performed. Very strong evidence
 is found of PPP using the CPT test, rejecting the unit root null for 12
 out of the 20 countries at the 5% significance level or better, and six
 more at the 10% level. Much less evidence is found of PPP with the CADF
 and univariate tests. 
Journal: Applied Financial Economics 
Pages: 29-39 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500389374 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389374
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:29-39




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Sager 
Author-X-Name-First: Michael 
Author-X-Name-Last: Sager 
Title: Explaining the persistence of deviations from PPP: a non-linear Harrod-Balassa-Samuelson effect? 
Abstract:
  Researchers have long been vexed by the persistence of real exchange rate
 deviations from linear-form PPP. Two of the more popular explanations
 involve the role of supply shocks to the exchange rate, for instance as
 captured by the Harrod-Balassa-Samuelson (HBS) hypothesis that emphasizes
 the role of intra-economy productivity differentials, and non-linear
 adjustment dynamics reflecting, inter alia, non-trivial transaction costs
 and investor heterogeneity within the foreign exchange market. hese
 explanations are typically considered in isolation of one another. By
 contrast, this study explores whether a non-linear model that incorporates
 the HBS effect, as well as Terms of Trade shocks, can account for the
 persistence of deviations from PPP. Using quarterly data for three major
 exchange rates, it concludes in favour of a significant explanatory role
 for both variables within linear VECMs and non-linear ESTAR models.
 However, no strong evidence is found to suggest that these ESTAR models
 encompass their linear alternatives, implying that the economic benefit of
 modelling PPP deviations as a non-linear process is limited once account
 has been made of relevant supply shocks. 
Journal: Applied Financial Economics 
Pages: 41-61 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390489 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390489
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:41-61




Template-Type: ReDIF-Article 1.0
Author-Name: Jerry Coakley 
Author-X-Name-First: Jerry 
Author-X-Name-Last: Coakley 
Author-Name: Stuart Snaith 
Author-X-Name-First: Stuart 
Author-X-Name-Last: Snaith 
Title: Testing for symmetry and proportionality in a European panel 
Abstract:
  Symmetry and proportionality is tested for in 15 European economies
 1973:04-1998:12 in a panel regression framework that allows for permanent
 shocks. Support is found for both symmetry and proportionality and thus
 for general relative PPP in the US dollar but not the German mark panel. 
Journal: Applied Financial Economics 
Pages: 63-71 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500389812 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389812
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:63-71




Template-Type: ReDIF-Article 1.0
Author-Name: Guglielmo Maria Caporale 
Author-X-Name-First: Guglielmo Maria 
Author-X-Name-Last: Caporale 
Author-Name: Mario Cerrato 
Author-X-Name-First: Mario 
Author-X-Name-Last: Cerrato 
Title: Panel data tests of PPP: a critical overview 
Abstract:
  This study reviews recent developments in the analysis of non-stationary
 panels, focusing on empirical applications of panel unit root and
 cointegration tests in the context of PPP. It highlights various drawbacks
 of existing methods. First, unit root tests suffer from severe size
 distortions in the presence of negative moving average errors. Second, the
 common demeaning procedure to correct for the bias resulting from
 homogeneous cross-sectional dependence is not effective; more worryingly,
 it introduces cross-correlation when it is not already present. Third,
 standard corrections for the case of heterogeneous cross-sectional
 dependence do not generally produce consistent estimators. Fourth, if
 there is between-group correlation in the innovations, the SURE estimator
 is affected by similar problems to FGLS methods, and does not necessarily
 outperform OLS. Finally, cointegration between different groups in the
 panel could also be a source of size distortions. Some empirical
 guidelines are offered to deal with these problems, but the study
 concludes that panel methods are unlikely to solve the PPP puzzle. 
Journal: Applied Financial Economics 
Pages: 73-91 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500389143 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389143
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:73-91




Template-Type: ReDIF-Article 1.0
Author-Name: Christoph Fischer 
Author-X-Name-First: Christoph 
Author-X-Name-Last: Fischer 
Title: PPP: a disaggregated view 
Abstract:
  By disaggregating price indices, it becomes apparent that the real
 exchange rate consists of the real exchange rate for a single good and a
 weighted sum of relative prices between goods. When applying a battery of
 panel unit root tests to this sum and its components, it is found that
 both the sum and the relative prices are non-stationary. This implies that
 PPP is invalid even if the LOP holds for all goods. The findings contrast
 with the result from panel unit root tests that real exchange rates as a
 whole are stationary. Several suggestions for solving the conflict are
 discussed. 
Journal: Applied Financial Economics 
Pages: 93-108 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500389218 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389218
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:93-108




Template-Type: ReDIF-Article 1.0
Author-Name: Jean-Francois Villeneuve 
Author-X-Name-First: Jean-Francois 
Author-X-Name-Last: Villeneuve 
Author-Name: Jagdish Handa 
Author-X-Name-First: Jagdish 
Author-X-Name-Last: Handa 
Title: Purchasing Power Parity as a long-term memory process: evidence from Canada 
Abstract:
  This paper uses cointegration and fractional cointegration techniques to
 test for purchasing power parity (PPP) between the Canadian and the US
 currencies during the floating exchange period from 1974:1 to 2001:12. The
 focus is on whether the deviations from the cointegrating relationship
 possess long memory and may be well-described by a fractionally
 cointegrated process. The Johansen-Juselius procedure does yield an
 appropriate cointegration vector, thereby supporting PPP as a long-run
 relationship. However, it is also found that the deviations from PPP do
 not follow a fractionally cointegrated stationary process, so that PPP at
 best holds only weakly even in the long run. 
Journal: Applied Financial Economics 
Pages: 109-117 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/0960310052000345831 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/0960310052000345831
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:109-117




Template-Type: ReDIF-Article 1.0
Author-Name: Marcus Lahtinen 
Author-X-Name-First: Marcus 
Author-X-Name-Last: Lahtinen 
Title: The Purchasing Power Parity puzzle: a sudden nonlinear perspective 
Abstract:
  The aim of this study is to construct a simple nonlinear model for the US
 dollar-euro real exchange rate. The nonlinear model considered allows the
 adjustment towards long-run equilibrium to be sudden as well as smooth. It
 was found that the adjustment is sudden. 
Journal: Applied Financial Economics 
Pages: 119-125 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390000 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390000
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:119-125




Template-Type: ReDIF-Article 1.0
Author-Name: Pan Yotopoulos 
Author-X-Name-First: Pan 
Author-X-Name-Last: Yotopoulos 
Author-Name: Yasuyuki Sawada 
Author-X-Name-First: Yasuyuki 
Author-X-Name-Last: Sawada 
Title: Exchange rate misalignment: a new test of long-run PPP based on cross-country data 
Abstract:
  A new empirical procedure is formulated and implemented to test long-run
 PPP by using cross-country data. It is found that out of a total of 153
 countries, 132 and 105 countries have achieved PPP within 20 years and ten
 years, respectively. 
Journal: Applied Financial Economics 
Pages: 127-134 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500391123 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500391123
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:127-134




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitrios Sideris 
Author-X-Name-First: Dimitrios 
Author-X-Name-Last: Sideris 
Title: Purchasing Power Parity in economies in transition: evidence from Central and East European countries 
Abstract:
  The present study tests for the validity of long-run Purchasing Power
 Parity (PPP) for 17 European economies in transition. Analysis is
 performed following the methodological suggestions expressed in recent
 studies for PPP. Long-run PPP is initially tested for each economy
 vis-a-vis the USA, using the Johansen cointegration methodology and then
 for the whole set of countries using the Larsson et al. (2001) panel
 cointegration technique. The analysis provides support for long-run
 equilibria, but the coefficients of the estimated cointegrating vectors
 violate the symmetry and proportionality hypotheses suggested by PPP. We
 provide some arguments for these findings, based on the existing
 literature on transition and foreign exchange markets. 
Journal: Applied Financial Economics 
Pages: 135-143 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390141 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390141
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:135-143




Template-Type: ReDIF-Article 1.0
Author-Name: Mohammad Hasan 
Author-X-Name-First: Mohammad 
Author-X-Name-Last: Hasan 
Title: A century of Purchasing Power Parity: evidence from Canada and Australia 
Abstract:
  This study empirically examines the Purchasing Power Parity hypothesis
 using more than a century span of annual data of Australia, Canada and
 Britain and a battery of unit root tests. The study finds support for the
 validity of the Purchasing Power Parity hypothesis in the long-run within
 the framework of both linear and non-linear cointegration tests. The error
 correction models indicate that it takes four to five years for the
 short-run deviations from PPP to revert back to the long-run equilibrium.
 The results also indicate a non-linear mean reversion behaviour in the
 case of Canada. Overall, the evidence of support for the PPP hypothesis is
 robust across specifications and testing procedures. 
Journal: Applied Financial Economics 
Pages: 145-156 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390091 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390091
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:145-156




Template-Type: ReDIF-Article 1.0
Author-Name: Mariam Camarero 
Author-X-Name-First: Mariam 
Author-X-Name-Last: Camarero 
Author-Name: Juan Carlos Cuestas 
Author-X-Name-First: Juan Carlos 
Author-X-Name-Last: Cuestas 
Author-Name: Javier Ordonez 
Author-X-Name-First: Javier 
Author-X-Name-Last: Ordonez 
Title: Purchasing Power Parity versus the EU in the Mediterranean countries 
Abstract:
  This study applies a group of unit root and stationarity tests to study
 the hypothesis of Purchasing Power Parity in ten Mediterranean countries.
 The real effective exchange rate with the European Union turns out to be
 stationary for five of the countries analysed, once the presence of
 structural changes and nonlinearities are accounted for. 
Journal: Applied Financial Economics 
Pages: 157-167 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390620 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390620
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:157-167




Template-Type: ReDIF-Article 1.0
Author-Name: Joseph Kargbo 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Kargbo 
Title: Purchasing Power Parity and real exchange rate behaviour in Africa 
Abstract:
  African policy makers have being implementing exchange rate policy
 reforms based on the assumption that long-run PPP holds in Africa. This
 study conducted a detailed empirical investigation to ascertain whether or
 not there is empirical support for long-run PPP in African countries.
 Because of the significant black market premium, we applied Johansen's
 cointegration method to annual data on official and black market exchange
 rates, and the GDP deflators of 40 countries covering the 1958-2003
 period. The research shows overwhelming support for long-run PPP in
 Africa, thus, PPP is a reliable guide for exchange rate determination and
 exchange rate policy reform in African countries. 
Journal: Applied Financial Economics 
Pages: 169-183 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500389291 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389291
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:169-183




Template-Type: ReDIF-Article 1.0
Author-Name: Daniele Antonucci 
Author-X-Name-First: Daniele 
Author-X-Name-Last: Antonucci 
Author-Name: Alessandro Girardi 
Author-X-Name-First: Alessandro 
Author-X-Name-Last: Girardi 
Title: Structural changes and deviations from the Purchasing Power Parity within the euro area 
Abstract:
  This study focuses on macroeconomic convergence within the euro area over
 the period 1984-2002. The theoretical framework builds on the generalized
 purchasing power parity hypothesis, which is empirically tested using
 vector error correction models with broken deterministic components. The
 euro area turns out to be an integrated entity, even if national economies
 still exhibit a certain degree of heterogeneity. The results also suggest
 that up to now the 'euro-effect' in fostering integration within the euro
 area has been quite weak. 
Journal: Applied Financial Economics 
Pages: 185-198 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500389432 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389432
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:185-198




Template-Type: ReDIF-Article 1.0
Author-Name: Sofiane Sekioua 
Author-X-Name-First: Sofiane 
Author-X-Name-Last: Sekioua 
Author-Name: Menelaos Karanasos 
Author-X-Name-First: Menelaos 
Author-X-Name-Last: Karanasos 
Title: The real exchange rate and the Purchasing Power Parity puzzle: further evidence 
Abstract:
  This study presents additional evidence on the convergence speeds of real
 exchange rates. Using median unbiased estimation, impulse response
 analysis and long horizon data sampled annually and monthly, we estimate
 the speeds at which deviations from purchasing power parity (PPP) die out.
 Both monthly and annual data have been used since temporal aggregation has
 been proposed as a possible cause of the implausibly large half-lives
 reported in the literature. Moreover, since reporting only point estimates
 provides an incomplete picture of the speed of convergence towards PPP,
 median unbiased confidence intervals are also estimated. The results show
 that the confidence intervals for the half-lives are typically very wide.
 Interestingly, however, the intervals estimated using monthly data are
 tighter than those estimated with annual data, though, they do not help
 solve the PPP puzzle. In fact, it appears that the point estimates of the
 half-lives obtained with monthly data are much larger. Therefore, on the
 basis of the evidence reported in this study, the results on temporal
 aggregation by Taylor (2001) are unlikely to have a major role in
 empirically explaining the PPP puzzle. 
Journal: Applied Financial Economics 
Pages: 199-211 
Issue: 1-2 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500389945 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500389945
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:199-211




Template-Type: ReDIF-Article 1.0
Author-Name: Alexander Mende 
Author-X-Name-First: Alexander 
Author-X-Name-Last: Mende 
Title: 09/11 on the USD/EUR foreign exchange market 
Abstract:
  We study the relationship between foreign exchange trading activity at a
 small bank in Germany and volatility on the USD/EUR foreign exchange
 market around the events of 09/11/2001. We find that volatility and
 bid-ask spreads are by far larger at that time, but the shock is not
 persistent. The positive correlation between volume and volatility does
 not break up, but intensifies strongly indicating the arrival of new
 information and increased price risk. We conclude that the USD/EUR foreign
 exchange market maintains its liquid structure and its efficient
 processing of exogenous shocks. 
Journal: Applied Financial Economics 
Pages: 213-222 
Issue: 3 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500386206 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500386206
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:3:p:213-222




Template-Type: ReDIF-Article 1.0
Author-Name: Geoffrey Loudon 
Author-X-Name-First: Geoffrey 
Author-X-Name-Last: Loudon 
Author-Name: Kien Nguyen 
Author-X-Name-First: Kien 
Author-X-Name-Last: Nguyen 
Title: Evidence on the issuer effect in warrant overpricing 
Abstract:
  Prior literature offers evidence that warrant prices tend to be higher
 than the prices of matched options. Explanations for warrant overpricing
 include a liquidity premium, hedging costs, market power and investor
 perceptions. Each of these explanations suggest that overpricing is likely
 to be related to the identity of the issuer. Any such issuer effect may
 also be affected by differences in credit risk. This study reconfirms the
 existence of a large excess warrant premium and provides evidence that it
 is significantly related to the identity of the warrant issuer, even after
 taking into account important liquidity and hedging factors. 
Journal: Applied Financial Economics 
Pages: 223-232 
Issue: 3 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390976 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390976
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:3:p:223-232




Template-Type: ReDIF-Article 1.0
Author-Name: Benjamas Jirasakuldech 
Author-X-Name-First: Benjamas 
Author-X-Name-Last: Jirasakuldech 
Author-Name: Riza Emekter 
Author-X-Name-First: Riza 
Author-X-Name-Last: Emekter 
Author-Name: Peter Went 
Author-X-Name-First: Peter 
Author-X-Name-Last: Went 
Title: Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies 
Abstract:
  We investigate the presence of rational speculative bubbles in the
 exchange rates of the British pound, the Canadian dollar, the Danish
 krone, the Japanese yen and the South African rand against the US dollar.
 The unit root test shows that the exchange rates and fundamental variables
 - money supply, income and interest rates - are integrated of order one,
 indicating no rational speculative bubbles. Further, the cointegration
 test indicates evidence of a long-run relationship between the exchange
 rate series and the fundamental variables, corroborating that no
 speculative bubble is present. The results of the non-parametric duration
 dependence test suggest that rational expectations bubbles do not affect
 these exchange rates. 
Journal: Applied Financial Economics 
Pages: 233-243 
Issue: 3 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500378997 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500378997
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:3:p:233-243




Template-Type: ReDIF-Article 1.0
Author-Name: Janchung Wang 
Author-X-Name-First: Janchung 
Author-X-Name-Last: Wang 
Author-Name: Hsinan Hsu 
Author-X-Name-First: Hsinan 
Author-X-Name-Last: Hsu 
Title: Degree of market imperfection and the pricing of stock index futures 
Abstract:
  Capital markets are imperfect. Market imperfections differ among markets.
 This study uses a theoretical valuation model derived by Hsu and Wang
 (2004) to estimate the degrees of market imperfection for mature and
 immature markets, and tests the applicability of the model. Moreover, this
 study proposes some theoretical hypotheses and empirical tests regarding
 the relationship between the degree of market imperfection and futures
 pricing. The evidence indicates that the Hsu and Wang (2004) model appears
 to provide a reasonable measure of the degree of market imperfection for
 real capital markets. The theoretical hypotheses and empirical results
 indicate that larger market imperfections are relatively more mispriced
 based on the model of perfect-market assumption, suggesting that the
 impact of market imperfection on the pricing of stock index futures is
 enormous, and cannot be neglected. Thus, when investors more closely
 examine the applicability of the cost of carry model for pricing mature
 and immature futures markets, they should note the degree of imperfection
 for the markets in which they are participating. 
Journal: Applied Financial Economics 
Pages: 245-258 
Issue: 3 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500386768 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500386768
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:3:p:245-258




Template-Type: ReDIF-Article 1.0
Author-Name: Jui-Cheng Hung 
Author-X-Name-First: Jui-Cheng 
Author-X-Name-Last: Hung 
Author-Name: Chien-Liang Chiu 
Author-X-Name-First: Chien-Liang 
Author-X-Name-Last: Chiu 
Author-Name: Ming-Chih Lee 
Author-X-Name-First: Ming-Chih 
Author-X-Name-Last: Lee 
Title: Hedging with zero-value at risk hedge ratio 
Abstract:
  In this paper we derive a new mean-risk hedge ratio based on the concept
 of Value at Risk (VaR). The proposed zero-VaR hedge ratio has an
 analytical solution and it converges to the MV hedge ratio under a pure
 martingale process or normality. A bivariate constant correlation
 GARCH(1,1) model with an error correction term is employed to estimate
 expected returns and time-varying volatilities of the spot and futures in
 S&P 500 index. The empirical results indicates that the joint normality
 and martingale process do not hold for S&P 500 futures and the
 conventional minimum variance hedge is inappropriate for a hedger who only
 cares about downside risk. Eventually, this article provides an
 alternative hedging method for a practitioner to use the concept of
 Value-at-Risk to reflect the risk-averse level. 
Journal: Applied Financial Economics 
Pages: 259-269 
Issue: 3 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500394127 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500394127
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:3:p:259-269




Template-Type: ReDIF-Article 1.0
Author-Name: Y. Malevergne 
Author-X-Name-First: Y. 
Author-X-Name-Last: Malevergne 
Author-Name: V. Pisarenko 
Author-X-Name-First: V. 
Author-X-Name-Last: Pisarenko 
Author-Name: D. Sornette 
Author-X-Name-First: D. 
Author-X-Name-Last: Sornette 
Title: On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns 
Abstract:
  Using synthetic tests performed on time series with time dependence in
 the volatility with both Pareto and Stretched-Exponential distributions,
 it is shown that for samples of moderate sizes the standard generalized
 extreme value (GEV) estimator is quite inefficient due to the possibly
 slow convergence toward the asymptotic theoretical distribution and the
 existence of biases in the presence of dependence between data. Thus, it
 cannot distinguish reliably between rapidly and regularly varying classes
 of distributions. The Generalized Pareto distribution (GPD) estimator
 works better, but still lacks power in the presence of strong dependence.
 Applied to 100 years of daily returns of the Dow Jones Industrial Average
 and over one years of five-minutes returns of the Nasdaq Composite index,
 the GEV and GDP estimators are found insufficient to prove that the
 distributions of empirical returns of financial time series are regularly
 varying, because the rapidly varying exponential or stretched exponential
 distributions are equally acceptable. 
Journal: Applied Financial Economics 
Pages: 271-289 
Issue: 3 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500391008 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500391008
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:3:p:271-289




Template-Type: ReDIF-Article 1.0
Author-Name: Wessel Marquering 
Author-X-Name-First: Wessel 
Author-X-Name-Last: Marquering 
Author-Name: Johan Nisser 
Author-X-Name-First: Johan 
Author-X-Name-Last: Nisser 
Author-Name: Toni Valla 
Author-X-Name-First: Toni 
Author-X-Name-Last: Valla 
Title: Disappearing anomalies: a dynamic analysis of the persistence of anomalies 
Abstract:
  This study examines several well-known stock market anomalies before and
 after they were published. If the anomalies are a result of data snooping
 or data crunching, these are expected to disappear in the data soon after
 they have been reported. Moreover, increased awareness of anomalies among
 investors will diminish possible profits as more investors will trade
 based on these anomalies. Employing dynamic analyses, strong evidence is
 found that the weekend effect, the holiday effect, the time-of-the-month
 effect and the January effect have disappeared after these anomalies have
 been published. The turn-of-the-month effect seems still present, whereas
 the small firm effect has recently resurrected. The timing of disappearing
 or reappearing anomalies typically often coincides with the timing of
 academic publications. 
Journal: Applied Financial Economics 
Pages: 291-302 
Issue: 4 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500400361 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500400361
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:4:p:291-302




Template-Type: ReDIF-Article 1.0
Author-Name: Roberto Savona 
Author-X-Name-First: Roberto 
Author-X-Name-Last: Savona 
Title: Do mutual funds styles reflect a country-specific investment philosophy? The Italian case 
Abstract:
  This study investigates whether domestic managers and their foreign
 counterparts differ in terms of return patterns over time, and where such
 difference originates. Reasons of financial sophistication of mutual fund
 markets lead to the assumption that money managers may behave differently
 from one country to another. In a sense, it would be a latent philosophy
 underlying the investment strategies, which is able to discriminate funds
 on the basis of their country origin. To explore this possibility, we rely
 on the Italian market, which represents an intriguing case study in that
 mutual fund industry has experienced dramatic growth of domestic as well
 as foreign-type funds. Consistent with this supposition, our analyses,
 carried out on a dataset of 4178 open-ended mutual funds, proved that
 dissimilarities were induced by different dominant styles. Italian funds
 appeared globally focused on a constant bond-liquidity strategy, whereas
 foreign funds showed dramatic shift from Bond to Equity between the
 sub-periods 1998-2000 and 2001-2002. 
Journal: Applied Financial Economics 
Pages: 303-318 
Issue: 4 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500386685 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500386685
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:4:p:303-318




Template-Type: ReDIF-Article 1.0
Author-Name: Brian Lucey 
Author-X-Name-First: Brian 
Author-X-Name-Last: Lucey 
Author-Name: Edel Tully 
Author-X-Name-First: Edel 
Author-X-Name-Last: Tully 
Title: Seasonality, risk and return in daily COMEX gold and silver data 1982-2002 
Abstract:
  This study examines seasonality in the conditional and unconditional mean
 and variance of daily gold and silver contracts over the 1982-2002
 periods. Using COMEX cash and futures data, we find that the evidence is
 weak for the mean but strong for the variance. There appears to be a
 negative Monday effect in both gold and silver, across cash and futures
 markets. Within a GARCH framework we find that the Monday seasonal does
 not disappear, indicating that it is not a risk-related artefact, the
 Monday dummy in the variance equations being significant also. No evidence
 of an ARCH-in-Mean effect is found. 
Journal: Applied Financial Economics 
Pages: 319-333 
Issue: 4 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500386586 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500386586
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:4:p:319-333




Template-Type: ReDIF-Article 1.0
Author-Name: Ali Darrat 
Author-X-Name-First: Ali 
Author-X-Name-Last: Darrat 
Author-Name: Ross Dickens 
Author-X-Name-First: Ross 
Author-X-Name-Last: Dickens 
Author-Name: Osamah Al-Khazali 
Author-X-Name-First: Osamah 
Author-X-Name-Last: Al-Khazali 
Title: Interactions between mortgage and other capital markets in the USA: has financial deregulation made a difference? 
Abstract:
  The degree of short- and long-term interreactions between the mortgage
 and other capital markets in the USA is explored. The study also
 investigates whether financial market deregulation impacts the underlying
 interrelations. Theory alone provides little practical guidance on both
 issues. The empirical results are derived from monthly data using
 multivariate models and numerous sensitivity tests. The results
 consistently support regulators' common posture that the mortgage market
 is essentially localized over the long term. Nevertheless, the results do
 show that the mortgage market exhibits pronounced short-term
 interrelations with other capital markets, especially the long-term
 Treasury security market. Compelling evidence is also found that financial
 market deregulation had little impact on the degree of markets'
 interrelations. 
Journal: Applied Financial Economics 
Pages: 335-345 
Issue: 4 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500186606 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500186606
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:4:p:335-345




Template-Type: ReDIF-Article 1.0
Author-Name: Oludele Akinloye Akinboade 
Author-X-Name-First: Oludele Akinloye 
Author-X-Name-Last: Akinboade 
Author-Name: Daniel Makina 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Makina 
Title: Mean reversion and structural breaks in real exchange rates: South African evidence 
Abstract:
  The paper tests for mean reversion, that is, purchasing power parity
 (PPP), in the bilateral real exchange rate series of the South African
 rand against those of the dollar, the pound sterling, the euro and the
 yen, these being the currencies of the country's main trading partners.
 The relevance of considering structural breaks in PPP tests is
 demonstrated. Using standard unit root tests without considering
 structural breaks, one is unable to reject the null hypothesis of a unit
 root in the exchange rate series. The additive outlier model clearly
 demonstrates the importance of multiple sudden structural breaks and
 supports the stationarity of the rand's bilateral real exchange rates. As
 expected the innovative outlier model, which seeks to suggest gradual
 shifts, only identifies a limited number of breaks and does not support
 mean reversion. 
Journal: Applied Financial Economics 
Pages: 347-358 
Issue: 4 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500401260 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500401260
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:4:p:347-358




Template-Type: ReDIF-Article 1.0
Author-Name: Dennis Mooney 
Author-X-Name-First: Dennis 
Author-X-Name-Last: Mooney 
Author-Name: Richard Zuber 
Author-X-Name-First: Richard 
Author-X-Name-Last: Zuber 
Author-Name: John Gandar 
Author-X-Name-First: John 
Author-X-Name-Last: Gandar 
Author-Name: Reinhold Lamb 
Author-X-Name-First: Reinhold 
Author-X-Name-Last: Lamb 
Title: The reaction of stock returns to Department of Homeland Security threat level changes 
Abstract:
  This paper examines the impact of changes in the Department of Homeland
 Security's threat levels on asset prices in the airline and insurance
 industries. If changes in threat levels contain new information, they
 would be expected to influence asset prices in one or both industries. The
 paper finds that increases and decreases in threat levels have no
 discernible effect on domestic and foreign-based airline or insurance
 prices. It appears that financial markets either do not view these changes
 as credible or view their incremental value as negligible. 
Journal: Applied Financial Economics 
Pages: 361-369 
Issue: 5 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500396668 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500396668
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:361-369




Template-Type: ReDIF-Article 1.0
Author-Name: Kim Hiang Liow 
Author-X-Name-First: Kim Hiang 
Author-X-Name-Last: Liow 
Title: Dynamic relationship between stock and property markets 
Abstract:
  This paper investigates the long-run and short term relationships between
 stock and property markets. Focus is on the combined and relative impacts
 of a real estate system that comprises residential and office property
 prices on general stock market prices. Using Autoregressive Distributed
 Lag (ARDL) cointegration procedure, a long-run contemporaneous
 relationship is found between the stock and property prices. Additionally,
 both the long-run and short-term influences of the combined residential
 and office property prices on the stock market prices weakened after
 controlling for changes in the macroeconomic influences. Whilst the stock
 market prices are largely influenced by the office property prices in the
 long run; the residential property prices impact stronger on the stock
 market prices in the short-term. Thus the combined perspective has
 significant implications in mixed asset allocation that includes stock and
 property investments. 
Journal: Applied Financial Economics 
Pages: 371-376 
Issue: 5 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500390885 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390885
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:371-376




Template-Type: ReDIF-Article 1.0
Author-Name: Bala Arshanapalli 
Author-X-Name-First: Bala 
Author-X-Name-Last: Arshanapalli 
Author-Name: Edmond d'Ouville 
Author-X-Name-First: Edmond 
Author-X-Name-Last: d'Ouville 
Author-Name: Frank Fabozzi 
Author-X-Name-First: Frank 
Author-X-Name-Last: Fabozzi 
Author-Name: Lorne Switzer 
Author-X-Name-First: Lorne 
Author-X-Name-Last: Switzer 
Title: Macroeconomic news effects on conditional volatilities in the bond and stock markets 
Abstract:
  This paper investigates the sources of time-varying risk for the US stock
 and bond markets. The model captures the change in the risk premium due to
 each market's own volatility risk and the covariance risk. We test for the
 effects of macroeconomic news on time-varying volatility as well as
 time-varying covariance, and whether such news induces time-varying risk
 premia in either of the markets. We find that stocks and bonds have higher
 volatility on the day of macroeconomic announcements. This higher
 volatility is transitory but because it can be anticipated, it induces
 increases in the risk premium in both markets. 
Journal: Applied Financial Economics 
Pages: 377-384 
Issue: 5 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500511068 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500511068
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:377-384




Template-Type: ReDIF-Article 1.0
Author-Name: Asjeet Lamba 
Author-X-Name-First: Asjeet 
Author-X-Name-Last: Lamba 
Author-Name: Mohamed Ariff 
Author-X-Name-First: Mohamed 
Author-X-Name-Last: Ariff 
Title: Short selling restrictions and market completeness: the Malaysian experience 
Abstract:
  We examine the market's reaction around a series of events on the Kuala
 Lumpur Stock Exchange (KLSE) where the Malaysian government removed short
 selling restrictions on selected stocks and then subsequently reimposed
 these restrictions. These events provide a unique opportunity to analyse
 the effects of short selling restrictions on the price formation process
 in an emerging market. It has been argued that the impact on prices from
 incorporating negative information via short sales should lead to a
 correction of the upward bias in prices prevalent under short selling
 restrictions. This should result in lower prices and observed returns
 around the announcement of the removal of short selling restrictions.
 Conversely, it can be argued that the removal of these restrictions helps
 complete markets, permitting full price discovery. This is particularly
 important in a market like Malaysia where stock options are not traded.
 Here the immediate impact of a removal of short selling restrictions would
 be an upward revision in security prices resulting in positive observed
 returns. The opposite revaluation effects should hold in the situation
 when short selling restrictions are reimposed. We find evidence consistent
 with the explanation that the removal of short selling restrictions
 results in more complete markets and is valued by market participants,
 particularly for actively traded stocks. 
Journal: Applied Financial Economics 
Pages: 385-393 
Issue: 5 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500396619 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500396619
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:385-393




Template-Type: ReDIF-Article 1.0
Author-Name: George Emm Halkos 
Author-X-Name-First: George Emm 
Author-X-Name-Last: Halkos 
Author-Name: Theodore Krintas 
Author-X-Name-First: Theodore 
Author-X-Name-Last: Krintas 
Title: Behavioural and fundamental explanations of discounts on closed end funds: an empirical analysis 
Abstract:
  This study extracts two factors related to the variability of
 Premium/Discount: a behavioural and a fundamental. Evidence is provided to
 show that by using both factors one can achieve a better understanding of
 discounts as theories and the Closed End Funds Puzzle support it. 
Journal: Applied Financial Economics 
Pages: 395-404 
Issue: 5 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500400312 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500400312
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:395-404




Template-Type: ReDIF-Article 1.0
Author-Name: Chien-Liang Chiu 
Author-X-Name-First: Chien-Liang 
Author-X-Name-Last: Chiu 
Author-Name: Shu-Mei Chiang 
Author-X-Name-First: Shu-Mei 
Author-X-Name-Last: Chiang 
Author-Name: Feng Kao 
Author-X-Name-First: Feng 
Author-X-Name-Last: Kao 
Title: The relationship between the S&P 500 spot and futures indices: brothers or cousins? 
Abstract:
  This paper applies the GARJI model to investigate the impact of news on
 the S&P 500 spot and index futures. We show their reactions are dissimilar
 to good or bad news. Hence, though they are like brothers, they are
 cousins. Besides, the persistence and sensitivity parameters for the
 arrival of jump events are quite high and significant. It means a high
 probability of many jumps today seems to be followed by a high probability
 of many jumps tomorrow. We suggest it is necessary to consider the time
 series dynamics in the jump size distribution when studying the impact of
 news on financial markets. 
Journal: Applied Financial Economics 
Pages: 405-412 
Issue: 5 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500400239 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500400239
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:405-412




Template-Type: ReDIF-Article 1.0
Author-Name: James Payne 
Author-X-Name-First: James 
Author-X-Name-Last: Payne 
Author-Name: Thomas Zuehlke 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Zuehlke 
Title: Duration dependence in real estate investment trusts 
Abstract:
  Hazard models are used to test for duration dependence in the market for
 real estate investments trusts. Duration dependence implies an ability to
 predict the turning points of a cycle. In a sense, these models attempt to
 predict the timing of mean reversion of the market indices. Since the only
 sample information used in these tests is the length of time between
 turning points of the cycle, this methodology avoids the more challenging
 task of modelling the quantitative values of the series, and should
 provide relatively robust results because of the relatively weak structure
 imposed on the estimation process. Empirical evidence of duration
 dependence is found for all samples except mortgage REIT expansions. 
Journal: Applied Financial Economics 
Pages: 413-423 
Issue: 5 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500391099 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500391099
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:413-423




Template-Type: ReDIF-Article 1.0
Author-Name: Antoine Giannetti 
Author-X-Name-First: Antoine 
Author-X-Name-Last: Giannetti 
Title: Optimal use of futures contracts for the competitive firm 
Abstract:
  Standard futures hedging policies are based on the so-called optimal
 hedge ratio which implicitly ignores the competitive environment in which
 the firm operates. The purpose of this study is to derive an optimal
 hedging policy for a firm facing random production costs and a downward
 sloping demand curve for its product. In this context, the study shows
 that the optimal number of futures contracts is positively related to the
 elasticity of the firm's demand function. 
Journal: Applied Financial Economics 
Pages: 425-427 
Issue: 5 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500400262 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500400262
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:425-427




Template-Type: ReDIF-Article 1.0
Author-Name: Oliver Schnusenberg 
Author-X-Name-First: Oliver 
Author-X-Name-Last: Schnusenberg 
Title: The stock market behaviour prior and subsequent to new highs 
Abstract:
  Until recently, the empirical focus of the finance literature has been on
 the long-accepted weak-form and potentially semistrong-form of market
 efficiency, as initially argued by Sharpe and by Lintner. A recently
 heavily researched area of behavioural financial research may bring us one
 step closer to understanding the psychology of investors and its effects
 on financial markets. The objective of this article is to investigate the
 aggregate behaviour of the stock market immediately prior and subsequent
 to new stock market highs over the period 1988 to 2002. General results
 indicate that abnormal returns over five windows prior to new level highs
 with highs of 50, 100, 500, and 1000 points in the Dow Jones Industrial
 Average and the S&P 500 index are significantly lower than returns over
 the same windows on non-high days. Interestingly, there is little momentum
 associated with abnormal returns subsequent to new highs. Furthermore,
 there is some evidence that the variance of abnormal returns in the
 windows surrounding new high days is significantly larger than the
 variance of abnormal returns over the same window on non-high days for all
 levels investigated and both prior and subsequent to the new high days.
 These results indicate that new index highs in a stock market index
 present a psychological barrier for investors, who trade cautiously as the
 new index high is approached. The larger return variance prior and
 subsequent to the new high day is indicative of active buying and selling
 activity prior and subsequent to the new high. 
Journal: Applied Financial Economics 
Pages: 429-438 
Issue: 6 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500400437 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500400437
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:6:p:429-438




Template-Type: ReDIF-Article 1.0
Author-Name: Thierry Ane 
Author-X-Name-First: Thierry 
Author-X-Name-Last: Ane 
Title: Short and long term components of volatility in Hong Kong stock returns 
Abstract:
  This study considers the ability of the Component-GARCH model to capture
 the stylized features of volatility in 14 stocks traded on the Stock
 Exchange of Hong Kong. The relative merits of several GARCH models nested
 in the Component-GARCH are investigated using the standard likelihood
 ratio test. The results suggest that the decomposition of the conditional
 variance into a permanent or long-run and a transitory or short-run
 component significantly improves the goodness-of-fit. A roll-over
 estimation method is then used to present out-of-sample tests of the
 forecasting ability of both the GARCH and Component-GARCH models. Although
 the traditional GARCH model slightly outperforms the Component-GARCH when
 forecasting short-term volatility, it is shown that only the latter model
 provides accurate volatility forecasts at longer time horizons. Similar
 findings were obtained using weekly returns, confirming the robustness of
 the results. 
Journal: Applied Financial Economics 
Pages: 439-460 
Issue: 6 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500397203 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500397203
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:6:p:439-460




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Ajayi 
Author-X-Name-First: Richard 
Author-X-Name-Last: Ajayi 
Author-Name: Seyed Mehdian 
Author-X-Name-First: Seyed 
Author-X-Name-Last: Mehdian 
Author-Name: Mark Perry 
Author-X-Name-First: Mark 
Author-X-Name-Last: Perry 
Title: A test of US equity market reaction to surprises in an era of high trading volume 
Abstract:
  This paper examines the reactions of investors to the arrival of
 unexpected information in five major US equity markets from 1990 to 2001,
 a period characterized by high daily trading volume and the increasing
 presence of noise-traders. Market surprises are identified using a
 strictly quantitative approach, cumulative abnormal returns are calculated
 and tracked for a period of 30 days after each favourable or unfavourable
 event. The empirical results provide evidence that investors' reactions
 during the sample period are consistent with the prediction of the
 Uncertain Information Hypothesis in all markets except NASDAQ. One major
 implication of these results for investors is that implementing a
 contrarian strategy of buying current losers and selling current winners
 will not generate superior returns. 
Journal: Applied Financial Economics 
Pages: 461-469 
Issue: 6 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500400510 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500400510
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:6:p:461-469




Template-Type: ReDIF-Article 1.0
Author-Name: Talla Al-Deehani 
Author-X-Name-First: Talla 
Author-X-Name-Last: Al-Deehani 
Title: Seasonality as an unobservable component: the case of Kuwait stock market 
Abstract:
  This paper uses structural time series methodology to investigate
 seasonality factors for the returns of Kuwait stock market and its various
 sectors. The results indicate the existence of positive pre-summer
 seasonal factors for the market and most of the sectors, which can be
 explained by the summer holiday effect. Significant seasonal factors are
 found to be stochastic rather than deterministic, which cannot be handled
 by traditional time series models that assume deterministic seasonality. 
Journal: Applied Financial Economics 
Pages: 471-478 
Issue: 6 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500414636 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500414636
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:6:p:471-478




Template-Type: ReDIF-Article 1.0
Author-Name: Nunzio Cappuccio 
Author-X-Name-First: Nunzio 
Author-X-Name-Last: Cappuccio 
Author-Name: Diego Lubian 
Author-X-Name-First: Diego 
Author-X-Name-Last: Lubian 
Author-Name: Davide Raggi 
Author-X-Name-First: Davide 
Author-X-Name-Last: Raggi 
Title: Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model 
Abstract:
  This study provides empirical evidence on asymmetry in financial returns
 using a simple stochastic volatility model which allows a parsimonious yet
 flexible treatment of both skewness and heavy tails in the conditional
 distribution of returns. In particular, it is assumed that returns have a
 Skew-GED conditional distribution. Inference is conducted under a Bayesian
 framework using Markov Chain Monte Carlo methods for estimating the
 properties of the posterior distributions of the parameters. One is also
 able to perform some specification testing via Bayes factors. The data set
 consists of daily and weekly returns on the DJ30, S&P500 and Nasdaq US
 stock market indexes. The estimation results are consistent with the
 presence of substantial asymmetry and heavy tails in the distribution of
 US stock market indexes. 
Journal: Applied Financial Economics 
Pages: 479-490 
Issue: 6 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500397179 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500397179
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:6:p:479-490




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Sollis 
Author-X-Name-First: Robert 
Author-X-Name-Last: Sollis 
Title: Testing for bubbles: an application of tests for change in persistence 
Abstract:
  This study investigates changes in the persistence of the S&P Composite
 dividend-price ratio. Recently developed tests are employed that allow for
 breaks between periods in which the data are integrated of order zero,
 I(0), and integrated of order one, I(1). One of the tests finds a break
 from I(0) to I(1) in the mid-1970s and two of the tests find a break from
 I(0) to I(1) in the early, to mid-1950s. The results are discussed in
 light of the rational bubble hypothesis. 
Journal: Applied Financial Economics 
Pages: 491-498 
Issue: 6 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/13504850500398989 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/13504850500398989
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:6:p:491-498




Template-Type: ReDIF-Article 1.0
Author-Name: Apostolos Serletis 
Author-X-Name-First: Apostolos 
Author-X-Name-Last: Serletis 
Author-Name: Jagat Jit Virk 
Author-X-Name-First: Jagat Jit 
Author-X-Name-Last: Virk 
Title: Monetary aggregation, inflation, and welfare 
Abstract:
  The welfare implications of alternative monetary aggregation procedures
 are investigated by providing a comparison among simple-sum, Divisia, and
 currency equivalent monetary aggregates at different levels of monetary
 aggregation. Evidence is found that the choice of monetary aggregation
 procedure is crucial in evaluating the welfare cost of inflation. 
Journal: Applied Financial Economics 
Pages: 499-512 
Issue: 7 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600598064 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600598064
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:7:p:499-512




Template-Type: ReDIF-Article 1.0
Author-Name: Dobrom&#x142; Serwa 
Author-X-Name-First: Dobrom&#x142; 
Author-X-Name-Last: Serwa 
Title: Do emerging financial markets react to monetary policy announcements? Evidence from Poland 
Abstract:
  This paper provides evidence on the short-run reactions of an emerging
 financial market to monetary policy announcements. An instrumental
 variable estimation approach is employed, based on the 'identification
 through heteroscedasticity' technique, to estimate the impact of a change
 in the official interest rate and its surprise component on asset prices
 in Poland. The recently introduced methodology controls for possible
 feedback relationships between financial variables and official interest
 rate changes. In this analysis, the short-term interest rates respond
 significantly to official interest rate changes, but neither the long-term
 interest rates, stock indices, nor foreign exchange rates react to
 monetary announcements in the expected direction. 
Journal: Applied Financial Economics 
Pages: 513-523 
Issue: 7 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426481 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426481
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:7:p:513-523




Template-Type: ReDIF-Article 1.0
Author-Name: Matteo Manera 
Author-X-Name-First: Matteo 
Author-X-Name-Last: Manera 
Author-Name: Michael McAleer 
Author-X-Name-First: Michael 
Author-X-Name-Last: McAleer 
Author-Name: Margherita Grasso 
Author-X-Name-First: Margherita 
Author-X-Name-Last: Grasso 
Title: Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns 
Abstract:
  This paper estimates the dynamic conditional correlations in the returns
 on Tapis oil spot and one-month forward prices for the period 2 June 1992
 to 16 January 2004, using recently developed multivariate conditional
 volatility models, namely the Constant Conditional Correlation
 Multivariate GARCH (CCC-MGARCH) model of Bollerslev (1990), Vector
 Autoregressive Moving Average-GARCH (VARMA-GARCH) model of Ling and
 McAleer (2003), VARMA-Asymmetric GARCH (VARMA-AGARCH) model of Hoti et al.
 (2002), and the Dynamic Conditional Correlation (DCC) model of Engle
 (2002). The dynamic correlations are extremely useful in determining
 whether the spot and forward returns are substitutes or complements, which
 can be used to hedge against contingencies. Both the univariate ARCH and
 GARCH estimates are significant for spot and forward returns, whereas the
 estimates of the asymmetric effect at the univariate level are not
 statistically significant for either spot or forward returns. Standard
 diagnostic tests show that the AR(1)-GARCH(1, 1) and AR(1)-GJR(1, 1)
 specifications are statistically adequate for both the conditional mean
 and the conditional variance. The multivariate estimates for the
 VAR(1)-GARCH(1, 1) and VAR(1)-AGARCH(1, 1) models show that the ARCH and
 GARCH effects for spot (forward) returns are significant in the
 conditional volatility model for spot (forward) returns. Moreover, there
 are significant interdependences in the conditional volatilities between
 the spot and forward markets. The multivariate asymmetric effects are
 significant for both spot and forward returns. Overall the multivariate
 VAR(1)-AGARCH(1, 1) dominates its symmetric counterpart. The calculated
 constant conditional correlations between the conditional volatilities of
 spot and forward returns using CCC-GARCH(1, 1), VAR(1)-GARCH(1, 1) and
 VAR(1)-AGARCH(1, 1) are very close to 0.93. Virtually identical results
 are obtained when the three constant conditional correlation models are
 extended to include two lags in both the ARCH and GARCH components.
 Finally, the estimates of the two DCC parameters are statistically
 significant, which makes it clear that the assumption of constant
 conditional correlation is not supported empirically. This is highlighted
 by the dynamic conditional correlations between spot and forward returns,
 for which its sample mean is virtually identical to the computed constant
 conditional correlation, regardless of whether a DCC-GARCH(1, 1) or a
 DCC-GARCH(2, 2) is used. For these models, the dynamic conditional
 correlations are in the range (0.417, 0.993) and (0.446, 0.993),
 signifying medium to extreme interdependence. Therefore, the dynamic
 volatilities in the returns in Tapis oil spot and forward markets are
 generally interdependent over time. These findings suggest that a sensible
 hedging strategy would consider spot and forward markets as being
 characterized by different degrees of substitutability. 
Journal: Applied Financial Economics 
Pages: 525-533 
Issue: 7 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426465 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426465
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:7:p:525-533




Template-Type: ReDIF-Article 1.0
Author-Name: Taeyoon Sung 
Author-X-Name-First: Taeyoon 
Author-X-Name-Last: Sung 
Author-Name: Daehwan Kim 
Author-X-Name-First: Daehwan 
Author-X-Name-Last: Kim 
Author-Name: Ludwig Chincarini 
Author-X-Name-First: Ludwig 
Author-X-Name-Last: Chincarini 
Title: Corporate scandals and the market response of dividend payout changes 
Abstract:
  This paper examines whether the dividend valuation changed after
 corporate accounting scandals such as that of Enron in October 2001 broke
 out. We find that dividend increasing firms experienced positive abnormal
 returns in the industry affected by corporate scandals up to four months
 after the first scandal in the industry became public. We interpret this
 finding in the context of the agency theory of Jensen (1986). To provide a
 perspective, we examine the dividend valuation from early 1980s to early
 2000s, and find that the dividend valuation increased consistently for
 this time period. We also find that the dividend valuation was highest in
 the information technology industry after the year 2000. These findings
 fit well with the agency theory as well. 
Journal: Applied Financial Economics 
Pages: 535-549 
Issue: 7 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426390 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426390
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:7:p:535-549




Template-Type: ReDIF-Article 1.0
Author-Name: Daphna Shwarts-Asher 
Author-X-Name-First: Daphna 
Author-X-Name-Last: Shwarts-Asher 
Author-Name: Uri Ben-zion 
Author-X-Name-First: Uri 
Author-X-Name-Last: Ben-zion 
Author-Name: Shaul Gabbay 
Author-X-Name-First: Shaul 
Author-X-Name-Last: Gabbay 
Author-Name: Joseph Yagil 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Yagil 
Title: Launching a corporate website and market efficiency 
Abstract:
  Using an event study analysis, this paper investigates the effect of
 launching a website on corporate stock returns. We find that for domestic
 firms (traded in the US) the effect on returns is not statistically
 significant. However, for foreign stocks traded on US capital markets the
 effect is generally positive and statistically significant. For such
 firms, which are smaller than their US counterparts, the Internet
 contributes to their exposure and increases their profit prospects. 
Journal: Applied Financial Economics 
Pages: 551-559 
Issue: 7 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426341 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426341
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:7:p:551-559




Template-Type: ReDIF-Article 1.0
Author-Name: Ebru Guven Solakoglu 
Author-X-Name-First: Ebru Guven 
Author-X-Name-Last: Solakoglu 
Title: Testing purchasing power parity hypothesis for transition economies 
Abstract:
  This study tests the PPP hypothesis for transition economies by using a
 panel approach. The results show that PPP holds for transition economies
 suggesting a half-life convergence of about one year. This study also
 compares the convergence rates for 'less open' and 'more open' transition
 countries. It is found that 'more open' transition economies converge
 faster than 'less open' transition economies. 
Journal: Applied Financial Economics 
Pages: 561-568 
Issue: 7 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426531 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426531
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:7:p:561-568




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Lensink 
Author-X-Name-First: Robert 
Author-X-Name-Last: Lensink 
Author-Name: Victor Murinde 
Author-X-Name-First: Victor 
Author-X-Name-Last: Murinde 
Title: Does foreign bank entry really stimulate gross domestic investment? 
Abstract:
  This paper investigates the linear as well as non-linear properties of
 the relationship between the entry of foreign-owned private banks and
 changes in gross domestic investment. A standard model of aggregate
 investment behaviour, in which an indicator for foreign banks is one of
 the determinants, is estimated and tested on a cross-section of data from
 54 countries. The regression results suggest that the relationship between
 foreign bank entry and aggregate investment mimics a U-curve: low (high)
 values of foreign bank entry have negative (positive) effects on domestic
 investment. The threshold value for the U-curve is also identified and
 represents the critical point at which foreign bank entry starts to
 stimulate aggregate investment. Overall, therefore, the evidence suggests
 that there is a robust non-linear (U-curve) relationship, so that the
 presence of foreign banks leads to investment expansion only after foreign
 bank presence becomes large enough as a share of local banking activity. 
Journal: Applied Financial Economics 
Pages: 569-582 
Issue: 8 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600649701 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600649701
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:8:p:569-582




Template-Type: ReDIF-Article 1.0
Author-Name: Seppo Pynnonen 
Author-X-Name-First: Seppo 
Author-X-Name-Last: Pynnonen 
Author-Name: Warren Hogan 
Author-X-Name-First: Warren 
Author-X-Name-Last: Hogan 
Author-Name: Jonathan Batten 
Author-X-Name-First: Jonathan 
Author-X-Name-Last: Batten 
Title: Modelling credit spreads on yen Eurobonds within an equilibrium correction framework 
Abstract:
  This study develops an equilibrium correction model (ECM) of the credit
 spreads on quality Japanese yen Eurobonds based on the Longstaff and
 Schwartz (1995) continuous time, closed form solution of the
 arbitrage-free value on risky debt. The solution predicts testable
 relationships between the credit spread and several important factors
 involved, including the risk-free interest rate, firm asset volatility,
 and the firm asset return correlation with changes in the risk-free rate.
 In the frictionless continuous time approach a key assumption is that the
 markets adjust without delays to the new equilibrium. In reality, however,
 adjustments take time, such that the markets may be temporally out of the
 equilibrium. The results of this study show that unlike other findings
 from the USA, Japanese spreads are stationary. Accordingly, an implied
 equilibrium correction procedure is incorporated into the modelling
 process. While traditional theories of credit-spread behaviour predict
 that changes in the risk free interest rate and asset factors are
 negatively correlated with changes in credit spreads on risky bonds, it is
 found that the asset factor, as proxied by the change in the stock market
 index, has only a very limited effect, whereas the interest rate factor
 has the over-riding influence both in the long and short run. Furthermore,
 whereas an increase in asset volatility should have an increasing effect
 on the credit spread, it is found that the prevailing spread change
 volatility has a more pronounced effect. There is also evidence that
 changes in the term structure affects both the long run equilibrium as
 well as the short run changes in the spread. Furthermore, the asset return
 correlation with the risk free rate receives empirical support to affect
 the credit spread in the manner predicted by the Longstaff and Schwartz
 (1995) theoretical model. 
Journal: Applied Financial Economics 
Pages: 583-606 
Issue: 8 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600684740 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600684740
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:8:p:583-606




Template-Type: ReDIF-Article 1.0
Author-Name: Daiki Maki 
Author-X-Name-First: Daiki 
Author-X-Name-Last: Maki 
Title: Variance ratio tests for a unit root in the presence of a mean shift: small sample properties and an application to purchasing power parity 
Abstract:
  This study proposes a unit root test for a time series having a mean
 shift at an unknown point. The proposed test using a variance ratio as a
 test statistic can be used to test a wide range of linear and nonlinear
 processes characterized by a mean shift. Monte Carlo simulations indicate
 that our tests are more powerful than Dickey-Fuller type tests in regard
 to linear and nonlinear processes. When the test is applied to the
 Japanese real exchange rate, the empirical results show strong evidence
 that the Japanese real exchange rate has a stationary process around a
 mean shift. 
Journal: Applied Financial Economics 
Pages: 607-615 
Issue: 8 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600597934 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600597934
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:8:p:607-615




Template-Type: ReDIF-Article 1.0
Author-Name: T. McCluskey 
Author-X-Name-First: T. 
Author-X-Name-Last: McCluskey 
Author-Name: B. M. Burton 
Author-X-Name-First: B. M. 
Author-X-Name-Last: Burton 
Author-Name: D. M. Power 
Author-X-Name-First: D. M. 
Author-X-Name-Last: Power 
Author-Name: C. D. Sinclair 
Author-X-Name-First: C. D. 
Author-X-Name-Last: Sinclair 
Title: Evidence on the Irish stock market's reaction to dividend announcements 
Abstract:
  This study investigates the manner in which the Irish stock market
 responds to company announcements about dividend payments. In particular,
 the paper examines whether the predictions of the 'signalling' hypothesis
 hold or if more recent findings (which suggest that there is little
 value-relevant information contained in dividend changes) better
 characterize the Irish market. Data were obtained for a sample of 50
 companies whose shares were traded on the Dublin Stock Exchange from 1987
 to 2001. Abnormal returns were then calculated for the whole sample and
 for various dividend-earnings change combinations. The results suggest
 that dividend announcements are important for Irish investors, but
 earnings signals appear to have a stronger impact on equity values. 
Journal: Applied Financial Economics 
Pages: 617-628 
Issue: 8 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600639058 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600639058
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:8:p:617-628




Template-Type: ReDIF-Article 1.0
Author-Name: Jarrod Johnston 
Author-X-Name-First: Jarrod 
Author-X-Name-Last: Johnston 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Title: Impact of managerial control on IPO performance: the case of mutual holding companies 
Abstract:
  Variation in IPO performance may be partially explained by differences in
 managerial control. In general, this characteristic has been ignored,
 perhaps because of the difficulty in testing its influence. The IPOs by
 mutual thrifts offer a laboratory in which the influence of managerial
 control can be assessed. Mutual thrifts can either issue all of their
 stock to investors (stockholder ownership) or can have the majority of the
 stock distributed to their respective mutual holding company (MHC). The
 MHC approach places the majority of shares with depositors, which
 essentially transfers voting power to the managers. Thus, managerial
 control is more pronounced because governance is limited. The average
 initial return of stockholder owned thrifts is substantially higher than
 the initial return of MHCs. This difference remains even after controlling
 for other factors. The significantly lower initial returns of MHCs are
 attributed to less uncertainty for MHCs, which allows for a lower degree
 of underpricing. The long-run performance of MHCs is not statistically
 different from that of stockholder owned thrifts, which could either
 suggest that MHCs attempt to maximize value, or that governance of the
 stockholder owned thrifts is ineffective. 
Journal: Applied Financial Economics 
Pages: 629-637 
Issue: 8 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600691869 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600691869
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:8:p:629-637




Template-Type: ReDIF-Article 1.0
Author-Name: Paresh Kumar Narayan 
Author-X-Name-First: Paresh Kumar 
Author-X-Name-Last: Narayan 
Author-Name: Russell Smyth 
Author-X-Name-First: Russell 
Author-X-Name-Last: Smyth 
Title: The dynamic relationship between real exchange rates, real interest rates and foreign exchange reserves: empirical evidence from China 
Abstract:
  This article examines the long-run and short-run relationship between
 China's real exchange rate, foreign exchange reserves and the real
 interest rate differential between China and the United States using
 monthly data from 1980 to 2002. Extensive testing for unit roots allowing
 for up to two structural breaks in the trend indicates that the variables
 are not integrated of the same order. Thus, the bounds testing approach to
 cointegration is used, which finds that there is a single long-run
 relationship between the three variables. In the long run the real
 exchange rate has a statistically significant positive effect on foreign
 exchange reserves. The coefficient on the real interest rate differential
 is also positive, but is statistically insignificant. In the short-run it
 is found that the relationship between the real exchange rate, real
 interest rate differential and foreign exchange reserves is non-monotonic. 
Journal: Applied Financial Economics 
Pages: 639-651 
Issue: 9 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500401278 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500401278
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:9:p:639-651




Template-Type: ReDIF-Article 1.0
Author-Name: Ali Ataullah 
Author-X-Name-First: Ali 
Author-X-Name-Last: Ataullah 
Author-Name: Hang Le 
Author-X-Name-First: Hang 
Author-X-Name-Last: Le 
Title: Economic reforms and bank efficiency in developing countries: the case of the Indian banking industry 
Abstract:
  Using the Indian banking industry as a case study, this paper proposes
 and tests hypotheses regarding the possibility of a relationship between
 three elements of the Economic Reforms (ERs) - namely, fiscal reforms,
 financial reforms, and private investment liberalisation - and bank
 efficiency in developing countries. Bank efficiency is measured using data
 envelopment analysis (DEA); the relationship between the measured
 efficiency and various bank-specific characteristics and environmental
 factors associated with the ERs is examined using the OLS and the GMM
 estimations. Our results show an improvement in the efficiency of banks,
 especially that of foreign banks, after the ERs. We find a positive
 relationship between the level of competition and bank efficiency.
 However, a negative relationship between the presence of foreign banks and
 bank efficiency is found, which we attribute to a short-run increase in
 costs due to the introduction of new banking technology by foreign banks.
 Furthermore, we find that fiscal deficits negatively influence bank
 efficiency. 
Journal: Applied Financial Economics 
Pages: 653-663 
Issue: 9 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500407440 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500407440
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:9:p:653-663




Template-Type: ReDIF-Article 1.0
Author-Name: Hong Bo 
Author-X-Name-First: Hong 
Author-X-Name-Last: Bo 
Author-Name: Jan Jacobs 
Author-X-Name-First: Jan 
Author-X-Name-Last: Jacobs 
Author-Name: Elmer Sterken 
Author-X-Name-First: Elmer 
Author-X-Name-Last: Sterken 
Title: A threshold uncertainty investment model for the Netherlands 
Abstract:
  This paper presents a threshold uncertainty investment model for Dutch
 firms. The proposed uncertainty measure is constructed as an empirical
 proxy for the standard real options multiple. The uncertainty measure
 serves as the threshold variable in estimating a piecewise linear
 accelerator investment model using Hansen's panel data threshold
 estimation procedure. It is found that in the regime of low uncertainty in
 which the empirical proxy for the real options multiple is below the
 estimated threshold, the estimated accelerator effect on investment is
 higher than that in the regime of high uncertainty. The result indicates
 that firms delay investment due to positive values of waiting. 
Journal: Applied Financial Economics 
Pages: 665-673 
Issue: 9 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600685002 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600685002
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:9:p:665-673




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Yang 
Author-X-Name-First: Jian 
Author-X-Name-Last: Yang 
Title: Information transmission between Eurocurrency and domestic interest rates: evidence from the UK 
Abstract:
  This study examines mean and volatility linkages between the UK domestic
 and Europound interest rates during the 1983-2002 period. Recursive
 cointegration analysis identifies a structural break in the long-run
 relationship between the domestic and Europound rates around the September
 1992 European currency crisis. Further subperiod analysis clearly shows
 that there exists feedback between the UK domestic and Europound rates
 during both subperiods and that both mean and volatility linkages have
 been weakened after the 1992 crisis. 
Journal: Applied Financial Economics 
Pages: 675-685 
Issue: 9 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600687768 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600687768
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:9:p:675-685




Template-Type: ReDIF-Article 1.0
Author-Name: Geraldine Ryan 
Author-X-Name-First: Geraldine 
Author-X-Name-Last: Ryan 
Title: Irish stock returns and inflation: a long span perspective 
Abstract:
  A major issue in financial economics is the behaviour of stock returns
 over long as opposed to short horizons. This paper looks at the
 relationship between continuously compounded nominal returns and inflation
 over both short and long horizons. Using over two centuries of annual data
 for Ireland, this paper finds support for the Generalized Fisher
 Hypothesis; namely that real stock returns are independent of expected
 inflation over the long run, and a positive relationship between ex post
 long-horizon nominal stock returns and inflation. 
Journal: Applied Financial Economics 
Pages: 699-706 
Issue: 9 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600691919 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600691919
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:9:p:699-706




Template-Type: ReDIF-Article 1.0
Author-Name: C. James Hueng 
Author-X-Name-First: C. James 
Author-X-Name-Last: Hueng 
Title: Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets 
Abstract:
  The difficulty of short-selling stocks in the Chinese markets conforms to
 the assumption of the 'Differences-of-Opinion' theory and therefore,
 provides an empirical framework for testing the theory. The results show
 evidence supporting the theory: heavier trading predicts a more negatively
 skewed return. 
Journal: Applied Financial Economics 
Pages: 707-716 
Issue: 10 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426697 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426697
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:10:p:707-716




Template-Type: ReDIF-Article 1.0
Author-Name: Ling Hu 
Author-X-Name-First: Ling 
Author-X-Name-Last: Hu 
Title: Dependence patterns across financial markets: a mixed copula approach 
Abstract:
  This paper studies the modelling and estimation of dependence across
 international financial markets, with a focus on the structure of
 dependence. A new approach is proposed based on a mixed copula model and
 the model is constructed so that it can capture various patterns of
 dependence structures. The marginal distribution of asset returns in each
 market is estimated non-parametrically and a quasi-ML method is used to
 estimate the mixed copula. The methodology is applied to estimate the
 dependence across several international stock markets. The empirical
 findings are shown to have some implications that are important for a wide
 range of multivariate studies in Economics and Finance. 
Journal: Applied Financial Economics 
Pages: 717-729 
Issue: 10 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426515 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426515
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:10:p:717-729




Template-Type: ReDIF-Article 1.0
Author-Name: Yung-Ho Chang 
Author-X-Name-First: Yung-Ho 
Author-X-Name-Last: Chang 
Author-Name: Massoud Metghalchi 
Author-X-Name-First: Massoud 
Author-X-Name-Last: Metghalchi 
Author-Name: Chia-Chung Chan 
Author-X-Name-First: Chia-Chung 
Author-X-Name-Last: Chan 
Title: Technical trading strategies and cross-national information linkage: the case of Taiwan stock market 
Abstract:
  This study tests four prevalent moving average technical trading rules
 for Taiwan stock markets. More notably, cross-national information from
 the US stock markets is also incorporated in our technical trading rules
 to project Taiwan stock market movements. We then design trading
 strategies and investigate their predictive power over buy-and-hold
 strategy. Our results suggest that technical trading rules are predictive
 for Taiwan stock markets. Applying the information reflected in the US
 stock markets to project Taiwan stock market movements is comparable to
 using Taiwan stock market information in isolation because these two
 markets are strongly correlated. Finally our results indicate that
 Leverage/Money strategy helps investors to beat buy-and-hold strategy. 
Journal: Applied Financial Economics 
Pages: 731-743 
Issue: 10 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426374 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426374
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:10:p:731-743




Template-Type: ReDIF-Article 1.0
Author-Name: Soo Khoon Goh 
Author-X-Name-First: Soo Khoon 
Author-X-Name-Last: Goh 
Author-Name: Guay Lim 
Author-X-Name-First: Guay 
Author-X-Name-Last: Lim 
Author-Name: Nilss Olekalns 
Author-X-Name-First: Nilss 
Author-X-Name-Last: Olekalns 
Title: Deviations from uncovered interest parity in Malaysia 
Abstract:
  This paper applies the Switching ARCH (SWARCH) model of Hamilton and
 Susmel (1994) to investigate the dynamics of deviations from Uncovered
 Interest Parity (UIP) for Malaysia for the sample period 1978-2002. In
 particular, the deviations (or the risk premium) are modelled as a time
 series subject to discrete regime shifts between two possible states,
 &#x201c;high volatility&#x201d; and &#x201c;low volatility&#x201d;. We
 find that the SWARCH model provides a better description of the data and
 implies a much lower degree of volatility persistence than conventional
 ARCH models. Overall, the SWARCH model provides a clearer picture of how
 the UIP deviations have evolved over time and how the changes in the
 volatility of the deviations have coincided with major changes in
 financial liberalisation in Malaysia. This adds credibility to the
 hypothesis that the shifts are not statistical artefacts but indeed
 reflect real economic changes. 
Journal: Applied Financial Economics 
Pages: 745-759 
Issue: 10 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500404231 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500404231
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:10:p:745-759




Template-Type: ReDIF-Article 1.0
Author-Name: Sushanta Mallick 
Author-X-Name-First: Sushanta 
Author-X-Name-Last: Mallick 
Title: Policy instruments to avoid output collapse: an optimal control model for India 
Abstract:
  This paper identifies the key policy instruments to be monitored in order
 to avoid output collapse in the short run for developing countries that
 come under the IMF-supported adjustment programmes. Changes in exchange
 rate and aggregate domestic credit are the standard instruments in a
 Fund-supported policy package used to target balance of payments (BOP)
 improvement and inflation reduction. Within a small macroeconometric
 policy-oriented model of India, this paper carries out optimal control
 exercises to obtain optimal policies for desired targets. The analysis
 thus carried out indicates that demand contraction based on domestic
 credit restriction leads to improvement in the BOP and reduction in
 inflation rather than increased output. This paper suggests using
 instruments such as credit flow to the private sector on the monetary
 side, and public spending on basic infrastructure on the fiscal side, so
 as to make adjustment programmes growth-oriented even in the short term. 
Journal: Applied Financial Economics 
Pages: 761-776 
Issue: 10 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600684948 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600684948
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:10:p:761-776




Template-Type: ReDIF-Article 1.0
Author-Name: Eun Ahn 
Author-X-Name-First: Eun 
Author-X-Name-Last: Ahn 
Author-Name: Jin Man Lee 
Author-X-Name-First: Jin Man 
Author-X-Name-Last: Lee 
Title: Volatility relationship between stock performance and real output 
Abstract:
  This paper investigates the interaction between stock index returns and
 the real output growth for five countries. This study focuses on the
 second moment relationship using various forms of the bivariate
 generalized autoregressive conditional heteroscedastic models (BGARCH).
 This study shows that interactivity between stock returns and growth rates
 are robust at the second order. The results imply that high volatility in
 the stock market is likely to be followed by increased volatility in the
 output sector and periods of high volatility in real output is likely to
 be followed by increased volatility in the stock market. 
Journal: Applied Financial Economics 
Pages: 777-784 
Issue: 11 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500424775 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500424775
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:11:p:777-784




Template-Type: ReDIF-Article 1.0
Author-Name: Saziye Gazioglu 
Author-X-Name-First: Saziye 
Author-X-Name-Last: Gazioglu 
Author-Name: W. David McCausland 
Author-X-Name-First: W. David 
Author-X-Name-Last: McCausland 
Title: Resource discovery and stock market hysteresis 
Abstract:
  This paper provides a possible explanation for stock market hysteresis
 following a resource discovery. The existence of a parallel stock market
 effect is shown, independent of the standard 'Dutch disease' effect of a
 resource discovery. That is, there is a long-run fall in the stock market
 value in response to the resource discovery. Furthermore, it is shown that
 a sufficiently large discovery may lead to a switch from a 'high' to a
 'low' stock market value equilibrium. If the resource discovery proves
 subsequently to be unfounded, the economy will become stuck in the low
 stock market value state. In other words, there is stock market
 hysteresis. 
Journal: Applied Financial Economics 
Pages: 785-788 
Issue: 11 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426580 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426580
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:11:p:785-788




Template-Type: ReDIF-Article 1.0
Author-Name: Shrimal Perera 
Author-X-Name-First: Shrimal 
Author-X-Name-Last: Perera 
Author-Name: Michael Skully 
Author-X-Name-First: Michael 
Author-X-Name-Last: Skully 
Author-Name: J. Wickramanayake 
Author-X-Name-First: J. 
Author-X-Name-Last: Wickramanayake 
Title: Competition and structure of South Asian banking: a revenue behaviour approach 
Abstract:
  This paper examines the nature of competition and structure in South
 Asian banking markets. It also assesses whether traditional interest-based
 product market segments are more competitive than those that also include
 fee- and commission-based products. The reduced form Panzar-Rosse
 specification tests show that bank revenues appear to be earned under
 conditions of monopolistic competition during the period 1995 to 2003. In
 Bangladesh and Pakistan competition is greater in the traditional
 interest-based product markets while Indian and Sri Lankan domestic
 commercial banks seem to face more competitive pressure in the fee-based
 product market from other financial intermediaries. 
Journal: Applied Financial Economics 
Pages: 789-801 
Issue: 11 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600687461 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600687461
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:11:p:789-801




Template-Type: ReDIF-Article 1.0
Author-Name: Luis Ferruz Agudo 
Author-X-Name-First: Luis Ferruz 
Author-X-Name-Last: Agudo 
Author-Name: Maria Vargas Magallon 
Author-X-Name-First: Maria Vargas 
Author-X-Name-Last: Magallon 
Author-Name: Jose Sarto 
Author-X-Name-First: Jose 
Author-X-Name-Last: Sarto 
Title: Evaluation of performance and conditional information: the case of Spanish mutual funds 
Abstract:
  The performance of Spanish domestic equities improves considerably when
 diverse public information variables are taken into consideration. We have
 taken up to eight independent variables into consideration to evaluate the
 performance of a largely unexplored market over a broad horizon. 
Journal: Applied Financial Economics 
Pages: 803-817 
Issue: 11 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500397245 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500397245
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:11:p:803-817




Template-Type: ReDIF-Article 1.0
Author-Name: Ana Filipa Carvalho 
Author-X-Name-First: Ana Filipa 
Author-X-Name-Last: Carvalho 
Author-Name: Jose Sa da Costa 
Author-X-Name-First: Jose Sa da 
Author-X-Name-Last: Costa 
Author-Name: Jose Assis Lopes 
Author-X-Name-First: Jose Assis 
Author-X-Name-Last: Lopes 
Title: A systematic modelling strategy for futures markets volatility 
Abstract:
  Over the past decade, econometric modelling of the volatility clustering
 phenomenon has been a very active area of research and several new
 approaches have been proposed and tested. Given the ever greater role of
 futures markets in risk management in modern economic theory, it seems
 advisable to formulate a systematic methodology for modelling these
 financial tools. In this paper, using soybean futures data, a systematic
 modelling strategy is proposed that takes into account the various aspects
 that should be incorporated in a bona fide volatility model. Several
 volatility models are analysed and compared in terms of their in-sample
 fit adequacy and predictive ability. Special attention is devoted to the
 asymmetric effect that the arrival of news may have on volatility. The
 proposed approach is sufficiently broad to be applied to other futures
 markets. 
Journal: Applied Financial Economics 
Pages: 819-833 
Issue: 11 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426408 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426408
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:11:p:819-833




Template-Type: ReDIF-Article 1.0
Author-Name: Timotheos Angelidis 
Author-X-Name-First: Timotheos 
Author-X-Name-Last: Angelidis 
Author-Name: Alexandros Benos 
Author-X-Name-First: Alexandros 
Author-X-Name-Last: Benos 
Title: Liquidity adjusted value-at-risk based on the components of the bid-ask spread 
Abstract:
  This paper proposes a method of calculating a Liquidity Adjusted
 Value-at-Risk (L-VaR) measure. Traditional VaR approaches assume perfect
 markets, where an investor can buy or sell any amount of stock without
 causing a significant price change. Such a hypothesis is seldom verified
 in practice, especially in emerging markets, consequently underestimating
 the VaR risk measure. An attempt is made to remedy this shortcoming by
 first estimating the bid-ask spread components in order to calculate
 accurately both the endogeneous and the exogenous liquidity risk. Under
 this framework, the liquidation price of a position will not be the spread
 midpoint, but at most the bid price. The Madhavan et al. (1997) model is
 extended by incorporating the traded volume and find that liquidity risk,
 for an emerging stock market, displays an inverse U-shape pattern
 throughout the day. For the high-priced, high-capitalization stocks of the
 Athens Stock Exchange, it represents 3.40% of total market risk, while for
 the low capitalization ones, it is even higher at 11%. VaR measures are
 then adjusted for such spread variation since, neglecting such effect,
 leads so serious failure of VaR backtesting. 
Journal: Applied Financial Economics 
Pages: 835-851 
Issue: 11 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426440 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426440
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:11:p:835-851




Template-Type: ReDIF-Article 1.0
Author-Name: Clinton Watkins 
Author-X-Name-First: Clinton 
Author-X-Name-Last: Watkins 
Author-Name: Michael McAleer 
Author-X-Name-First: Michael 
Author-X-Name-Last: McAleer 
Title: Pricing of non-ferrous metals futures on the London Metal Exchange 
Abstract:
  The London Metal Exchange (LME) is the most important centre for spot and
 futures trading in the main industrially-used non-ferrous metals. In this
 study, data on 3-month futures contracts for aluminium, aluminium alloy,
 copper, lead, nickel, tin, and zinc are analysed. The risk premium
 hypothesis and the cost-of-carry model are the standard theoretical models
 for pricing futures contracts, but these two models have rarely been
 estimated within a unified framework for metals futures. Single equation
 versions of the risk premium hypothesis and the cost-of-carry model are
 nested within a more general model. If the spot price, futures price,
 interest rate, and stock level variables contain stochastic trends, long
 run versions of the general model can be estimated within a cointegration
 framework. Various long run pricing models are estimated using daily LME
 price data for the period 1 February 1986 to 30 September 1998. Likelihood
 ratio tests are used to test restrictions on the general model to examine
 the validity of alternative nested specifications. 
Journal: Applied Financial Economics 
Pages: 853-880 
Issue: 12 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600756514 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600756514
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:12:p:853-880




Template-Type: ReDIF-Article 1.0
Author-Name: Jonathan Batten 
Author-X-Name-First: Jonathan 
Author-X-Name-Last: Batten 
Author-Name: Francis In 
Author-X-Name-First: Francis 
Author-X-Name-Last: In 
Title: Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework 
Abstract:
  This study applies a multivariate EGARCH model, developed from the
 closed-form valuation model of Longstaff and Schwartz (1995), to explain
 the time-varying volatility of credit spreads on AAA and AA rated yen
 Eurobonds with different maturities. While the results support the
 theoretical proposition that relative credit spreads returns are
 negatively related to both changes in Japanese Government Bond (JGB)
 yields and changes in the Nikkei 225 Index, the key innovation of this
 study is that there is also evidence of a high level of volatility
 interaction and persistence between yen Eurobonds. However the volatility
 transmission mechanism is asymmetric in that negative innovations tend to
 increase the volatility in other bonds more than positive innovations. 
Journal: Applied Financial Economics 
Pages: 881-892 
Issue: 12 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600684757 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600684757
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:12:p:881-892




Template-Type: ReDIF-Article 1.0
Author-Name: Lester Hadsell 
Author-X-Name-First: Lester 
Author-X-Name-Last: Hadsell 
Title: A TARCH examination of the return volatility-volume relationship in electricity futures 
Abstract:
  Four electricity futures markets on NYMEX between 1996 and 1999 are
 examined using a TARCH model. The evidence suggests traders had an
 asymmetric reaction to new information. Evidence also is found for a
 correlation between futures returns and trading volume in two markets (COB
 and PV). 
Journal: Applied Financial Economics 
Pages: 893-901 
Issue: 12 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426663 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426663
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:12:p:893-901




Template-Type: ReDIF-Article 1.0
Author-Name: C. L. Dunis 
Author-X-Name-First: C. L. 
Author-X-Name-Last: Dunis 
Author-Name: Jason Laws 
Author-X-Name-First: Jason 
Author-X-Name-Last: Laws 
Author-Name: Ben Evans 
Author-X-Name-First: Ben 
Author-X-Name-Last: Evans 
Title: Trading futures spreads: an application of correlation and threshold filters 
Abstract:
  A clear motivation for this paper is the investigation of a correlation
 filter to improve the return/risk performance of spread trading models. A
 further motivation for this paper is the extension of trading futures
 spreads beyond the 'Fair Value' type of model used by Butterworth and
 Holmes (2002). The trading models tested are the following: the
 cointegration 'fair value' approach; reverse moving average (of which the
 results of the 20-day model are shown here); traditional regression
 techniques; and Neural Network Regression. Also shown is the effectiveness
 of two types of filter: a standard filter and a correlation filter on the
 trading rule returns. Results show that the best model for trading the
 WTI-Brent spread is the MACD model, which proved to be profitable, both
 in- and out-of-sample. This is evidenced by out-of-sample annualised
 returns of 26.35% for the standard filter and 26.15% for the correlation
 filter (inclusive of transactions costs). 
Journal: Applied Financial Economics 
Pages: 903-914 
Issue: 12 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426432 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426432
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:12:p:903-914




Template-Type: ReDIF-Article 1.0
Author-Name: Sunil Mohanty 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Mohanty 
Author-Name: Edward Aw 
Author-X-Name-First: Edward 
Author-X-Name-Last: Aw 
Title: Rationality of analysts' earnings forecasts: evidence from dow 30 companies 
Abstract:
  We test the rationality of analysts' earnings forecasts for Dow 30
 companies using an improved statistical methodology that accounts for
 non-stationarity in time-series data, non-normality in co-integrating
 regression, and serial correlation of forecast errors. Using
 one-quarter-ahead forecasts from 1984:Q4-2000:Q1 and analyzing
 firm-by-firm for Dow 30, we find that the earnings forecasts for at least
 two-third of our sample firms are consistent with the prediction of
 rational expectations hypothesis (REH). The most important implication of
 this finding is that it is premature to conclude that analysts' estimates
 are irrational and systematically biased. 
Journal: Applied Financial Economics 
Pages: 915-929 
Issue: 12 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426564 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426564
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:12:p:915-929




Template-Type: ReDIF-Article 1.0
Author-Name: Chanwit Phengpis 
Author-X-Name-First: Chanwit 
Author-X-Name-Last: Phengpis 
Title: Are emerging stock market price indices really stationary? 
Abstract:
  This study re-examines the univariate property of stock market price
 indices in ten emerging markets which are evidenced by prior empirical
 work, specifically by Chaudhuri and Wu (2003), to be I(0) or stationary.
 Important findings from variants of standard Dickey and Fuller (1979,
 1981) and Zivot and Andrews (1992) unit root tests include: (1) the
 majority of these price indices can be more appropriately regarded as I(1)
 or non-stationary, and (2) the I(1) processes in these price indices have
 been increasingly discernible over time. These results imply non-mean
 reversion in stock market prices and unpredictability based on past prices
 in the majority of emerging stock markets under investigation. 
Journal: Applied Financial Economics 
Pages: 931-939 
Issue: 13 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500386099 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500386099
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:13:p:931-939




Template-Type: ReDIF-Article 1.0
Author-Name: Wolfgang Drobetz 
Author-X-Name-First: Wolfgang 
Author-X-Name-Last: Drobetz 
Author-Name: Gabrielle Wanzenried 
Author-X-Name-First: Gabrielle 
Author-X-Name-Last: Wanzenried 
Title: What determines the speed of adjustment to the target capital structure? 
Abstract:
  A dynamic adjustment model and panel methodology are used to investigate
 the determinants of a time varying target capital structure. Because firms
 may temporarily deviate from their target capital structure in the
 presence of adjustment costs, the adjustment process is also endogenized.
 Specifically, we analyse the impact of firm-specific characteristics as
 well as macroeconomic factors on the speed of adjustment to the target
 debt ratio. The sample comprises a panel of 90 Swiss firms over the years
 from 1991 to 2001. We document that faster growing firms and those that
 are further away from their optimal capital structure adjust more readily.
 The results also reveal interesting interrelations between the adjustment
 speed and well-known business cycle variables. Most important, the speed
 of adjustment is higher when the term spread is higher and when economic
 prospects are good. 
Journal: Applied Financial Economics 
Pages: 941-958 
Issue: 13 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426358 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426358
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:13:p:941-958




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Alan Speight 
Author-X-Name-First: Alan 
Author-X-Name-Last: Speight 
Title: Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market 
Abstract:
  Recent research has suggested that intra-day volatility may possess a
 component structure due to heterogeneous information arrivals. This paper
 reports evidence for the existence of such components in FTSE-100 stock
 index futures returns data. Preliminary GARCH model estimates support
 previous evidence for other markets indicating the breakdown of
 theoretical GARCH temporal aggregation properties over the intra-day
 period. However, the fractional integration properties of absolute and
 squared returns, and FIGARCH conditional volatility model estimates, lend
 strong support to the contention that volatility dynamics results from
 multiple sources given the invariance of the fractional difference
 parameter estimates to the degree of intra-day data temporal aggregation. 
Journal: Applied Financial Economics 
Pages: 959-972 
Issue: 13 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426507 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426507
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:13:p:959-972




Template-Type: ReDIF-Article 1.0
Author-Name: Costas Karfakis 
Author-X-Name-First: Costas 
Author-X-Name-Last: Karfakis 
Title: Is there an empirical link between the dollar price of the euro and the monetary fundamentals? 
Abstract:
  This paper examines the empirical link between the dollar exchange rate
 of the euro and the monetary fundamentals. The exchange rate is found to
 be cointegrated with money and income differentials, while the homogeneity
 restrictions are supported by the data. The weak form restrictions of the
 present-value model of the foreign exchange market are not rejected by the
 data, but the most stringent restrictions are strongly rejected. An
 estimated error-correction model explains a substantial part of the
 short-run exchange rate volatility and outperforms the random walk
 forecasts. 
Journal: Applied Financial Economics 
Pages: 973-980 
Issue: 13 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600638969 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600638969
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:13:p:973-980




Template-Type: ReDIF-Article 1.0
Author-Name: Geoffrey Loudon 
Author-X-Name-First: Geoffrey 
Author-X-Name-Last: Loudon 
Title: Is the risk-return relation positive? Further evidence from a stochastic volatility in mean approach 
Abstract:
  Existing evidence on the relation between risk and return is conflicting.
 This evidence is extended by estimating a stochastic volatility in mean
 model using equity returns from a mix of ten emerging and five developed
 markets. Results suggest that while the relation is significantly positive
 for China and significantly negative for Australia, it is insignificant
 for the remaining markets studied. Findings also vary across subperiods
 related to the Asian financial crisis of 1997 to 1998. Model estimates
 identify some important differences across these markets in the nature of
 volatility in terms of its own volatility, persistence and predictability. 
Journal: Applied Financial Economics 
Pages: 981-992 
Issue: 13 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600825269 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600825269
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:13:p:981-992




Template-Type: ReDIF-Article 1.0
Author-Name: Theophano Patra 
Author-X-Name-First: Theophano 
Author-X-Name-Last: Patra 
Author-Name: Sunil Poshakwale 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Poshakwale 
Title: Economic variables and stock market returns: evidence from the Athens stock exchange 
Abstract:
  This research examines the short run dynamic adjustments and the long run
 equilibrium relationships between selected macroeconomic variables,
 trading volume and stock returns in the emerging Greek stock market during
 the period 1990 to 1999. Empirical results show that short run and long
 run equilibrium relationship exists between inflation, money supply and
 trading volume and the stock prices in the Athens stock exchange. No short
 run or long run equilibrium relationship is found between the exchange
 rates and stock prices. The results of this research are consistent with
 the theoretical arguments and practical developments that occurred in the
 Greek stock markets during the sample period. The results also imply that
 the ASE is informationally inefficient because publicly available
 information on macroeconomic variables and trading volumes can be
 potentially used in predicting stock prices. 
Journal: Applied Financial Economics 
Pages: 993-1005 
Issue: 13 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426523 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426523
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:13:p:993-1005




Template-Type: ReDIF-Article 1.0
Author-Name: Matthew Sackett 
Author-X-Name-First: Matthew 
Author-X-Name-Last: Sackett 
Author-Name: Sherrill Shaffer 
Author-X-Name-First: Sherrill 
Author-X-Name-Last: Shaffer 
Title: Substitutes versus complements among credit risk management tools 
Abstract:
  Practitioners, regulators and researchers have long recognized important
 conceptual distinctions among screening, monitoring and collection of
 loans. However, virtually no empirical studies have explored whether these
 tools of risk management are employed as net substitutes or as net
 complements. This paper finds evidence that, across the US banking
 industry, screening and monitoring behave as net substitutes but
 collection is complementary to screening and monitoring. A subset of
 low-risk banks suggests that best practices may involve net
 substitutability between each pair of these tools and, further, that any
 weakness in screening is fully offset by strength in monitoring and vice
 versa. 
Journal: Applied Financial Economics 
Pages: 1007-1017 
Issue: 14 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600841878 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600841878
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:14:p:1007-1017




Template-Type: ReDIF-Article 1.0
Author-Name: Wessel Marquering 
Author-X-Name-First: Wessel 
Author-X-Name-Last: Marquering 
Title: Do consumption-based asset pricing models explain return predictability? 
Abstract:
  This paper studies whether time series predictability is consistent with
 risk-based asset pricing models. Whereas earlier papers - e.g. Kirby
 (1998), Cecchetti, et al. (2000) and Avramov (2004) - show that returns
 are too predictable to be explained by rational asset pricing, we find
 that the predictability typically found in linear forecasting models is
 not necessarily larger than can be expected from rational asset pricing.
 More specifically, when preferences are summarized by habit persistence
 with habit and risk aversion parameters equal to 0.97 and 4.8 (or greater)
 respectively, a degree of predictability is obtained that is compatible
 with the predictability found in the recent literature. 
Journal: Applied Financial Economics 
Pages: 1019-1027 
Issue: 14 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426416 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426416
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:14:p:1019-1027




Template-Type: ReDIF-Article 1.0
Author-Name: R. Stafford Johnson 
Author-X-Name-First: R. Stafford 
Author-X-Name-Last: Johnson 
Author-Name: Richard Zuber 
Author-X-Name-First: Richard 
Author-X-Name-Last: Zuber 
Author-Name: John Gandar 
Author-X-Name-First: John 
Author-X-Name-Last: Gandar 
Title: Binomial pricing of fixed-income securities for increasing and decreasing interest rate cases 
Abstract:
  The option features embedded in many bonds and fixed-income securities
 have made the binomial interest rate tree approach to bond valuation a
 valuable model for pricing debt securities. Fundamental to the application
 of the binomial model to bond valuation is the assumption about the
 underlying stochastic process. There are two general approaches to
 modelling stochastic interest rate movements using a binomial model - the
 equilibrium model and the calibration model. Both models assume that the
 interest rate's logarithmic return is normally distributed. However, a
 number of empirical studies have provided evidence that the return
 distributions of a number of securities exhibit persistent skewness. In
 modelling interest rate patterns, the existence of skewness in a binomial
 process impacts not only the values of the up and down parameters, but
 also the probabilities of the underlying rate increasing or decreasing
 each period. The purpose of this study is to show how a binomial model of
 interest rates can be extended to incorporate skewness and to illustrate
 the impact skewness can have on the pricing of bonds and mortgage backed
 securities - a security whose discount rate, as well as cash flows, are
 sensitive to interest-rate risk. 
Journal: Applied Financial Economics 
Pages: 1029-1046 
Issue: 14 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426473 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426473
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:14:p:1029-1046




Template-Type: ReDIF-Article 1.0
Author-Name: Gordon Tang 
Author-X-Name-First: Gordon 
Author-X-Name-Last: Tang 
Author-Name: Wai Cheong Shum 
Author-X-Name-First: Wai Cheong 
Author-X-Name-Last: Shum 
Title: Risk-return relationships in the Hong Kong stock market: revisit 
Abstract:
  This study revisits the risk-return relationships in the Hong Kong stock
 market using a conditional model based on up and down markets. Beta is
 found significantly and positively (negatively) related to realized
 returns when the market excess returns are positive (negative). The same
 results are found for unsystematic risk, total risk and kurtosis of stock
 returns during up and down markets when they are added to the model.
 Furthermore, skewness is significantly but negatively (positively) related
 to realized returns during up (down) markets. These results indicate that
 other risk measures in addition to beta are also important in pricing
 risky assets and investors do not hold diversified portfolios in this
 market. Moreover, the results support investors' preference that they
 prefer positive skewness but dislike kurtosis. 
Journal: Applied Financial Economics 
Pages: 1047-1058 
Issue: 14 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426671 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426671
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:14:p:1047-1058




Template-Type: ReDIF-Article 1.0
Author-Name: Claudio Morana 
Author-X-Name-First: Claudio 
Author-X-Name-Last: Morana 
Author-Name: Andrea Beltratti 
Author-X-Name-First: Andrea 
Author-X-Name-Last: Beltratti 
Title: Structural breaks and common factors in the volatility of the Fama-French factor portfolios 
Abstract:
  In this paper the time series properties of the Fama-French factor
 returns volatility processes are studied. Among the original findings of
 this paper, structural breaks in the volatility of the factors, and strong
 coincidence between the timing of the breaks in the volatility of the
 market portfolio and the timing of the breaks in the volatility of SMB are
 emphasized. Moreover, analyses of the break free series show that two
 common long memory factors drive the long-run evolution of the series. The
 first factor mainly affects the volatility of the market and the
 volatility of SMB, while the second one mainly affects the volatility of
 HML. These results imply that the time-varying volatility of stocks is
 driven mainly by the time-varying volatility of the market as a whole and
 of the HML portfolio, while the volatility of SMB does not seem to be an
 independent driving force. 
Journal: Applied Financial Economics 
Pages: 1059-1073 
Issue: 14 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426598 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426598
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:14:p:1059-1073




Template-Type: ReDIF-Article 1.0
Author-Name: Pascal Francois 
Author-X-Name-First: Pascal 
Author-X-Name-Last: Francois 
Title: Tax loss carry-forwards and optimal leverage 
Abstract:
  Standard contingent claims models of the levered firm examine capital
 structure choices with the assumption that full offsets of corporate
 losses are allowed. However, restrictions on tax loss carry-forwards
 (TLCF) are the rule rather than the exception. The EBIT model of Goldstein
 et al. (2001) is extended to measure how optimal leverage is affected by
 restrictions on TLCF. The restricted TLCF case reconciles the static
 trade-off model with the evidence that (i) optimal leverage is decreasing
 with firm growth and (ii) firms benefiting from TLCF may issue debt less
 aggressively. 
Journal: Applied Financial Economics 
Pages: 1075-1083 
Issue: 14 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426549 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426549
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:14:p:1075-1083




Template-Type: ReDIF-Article 1.0
Author-Name: Frank Fabozzi 
Author-X-Name-First: Frank 
Author-X-Name-Last: Fabozzi 
Author-Name: Borjana Racheva-Iotova 
Author-X-Name-First: Borjana 
Author-X-Name-Last: Racheva-Iotova 
Author-Name: Stoyan Stoyanov 
Author-X-Name-First: Stoyan 
Author-X-Name-Last: Stoyanov 
Title: An empirical examination of the return distribution characteristics of agency mortgage pass-through securities 
Abstract:
  The study investigates whether the stable Paretian hypothesis is more
 adequate to explain the returns of US agency mortgage pass-through
 securities than the traditional normal distribution assumption. The daily
 returns of six representative index generics of Lehman Brothers are
 investigated in the framework of three different probabilistic models:
 independent, identically distributed model, the EWMA model, and the
 ARMA-GARCH model. It is found that the stable Paretian hypothesis better
 explains not only the tails but the central part of the distribution as
 well. 
Journal: Applied Financial Economics 
Pages: 1085-1094 
Issue: 15 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500438775 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500438775
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:15:p:1085-1094




Template-Type: ReDIF-Article 1.0
Author-Name: Georgi Nalbantov 
Author-X-Name-First: Georgi 
Author-X-Name-Last: Nalbantov 
Author-Name: Rob Bauer 
Author-X-Name-First: Rob 
Author-X-Name-Last: Bauer 
Author-Name: Ida Sprinkhuizen-Kuyper 
Author-X-Name-First: Ida 
Author-X-Name-Last: Sprinkhuizen-Kuyper 
Title: Equity style timing using support vector regressions 
Abstract:
  The disappointing performance of value and small cap strategies shows
 that style consistency may not provide the long-term benefits often
 assumed in the literature. In this study it is examined whether the
 short-term variation in the US size and value premium is predictable.
 Style-timing strategies are documented based on technical and (macro-)
 economic predictors using a recently developed artificial intelligence
 tool called Support Vector Regressions (SVR). SVR are known for their
 ability to tackle the standard problem of overfitting, especially in
 multivariate settings. The findings indicate that both premiums are
 predictable under fair levels of transaction costs and various forecasting
 horizons. 
Journal: Applied Financial Economics 
Pages: 1095-1111 
Issue: 15 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426556 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426556
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:15:p:1095-1111




Template-Type: ReDIF-Article 1.0
Author-Name: Bryan Mase 
Author-X-Name-First: Bryan 
Author-X-Name-Last: Mase 
Title: Investor awareness and the long-term impact of FTSE 100 index redefinitions 
Abstract:
  This study finds an asymmetric long-run abnormal return performance
 following stocks' inclusion in or deletion from the FTSE 100 Index. This
 asymmetry suggests that investors' awareness of stocks is influenced by
 index changes. These results extend those documented by Chen et al. (2004)
 for the S&P 500. 
Journal: Applied Financial Economics 
Pages: 1113-1118 
Issue: 15 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447479 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447479
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:15:p:1113-1118




Template-Type: ReDIF-Article 1.0
Author-Name: Ana del Rio 
Author-X-Name-First: Ana del 
Author-X-Name-Last: Rio 
Author-Name: Garry Young 
Author-X-Name-First: Garry 
Author-X-Name-Last: Young 
Title: The determinants of unsecured borrowing: evidence from the BHPS 
Abstract:
  The British Household Panel Survey (BHPS) for 1995 and 2000 is used to
 examine the determinants of participation in the unsecured debt market and
 the amount borrowed. Age, income, positive financial prospects and housing
 tenure are found to be significant in probit models for participation.
 Income is the main variable explaining cross-sectional differences in
 unsecured debts. 
Journal: Applied Financial Economics 
Pages: 1119-1144 
Issue: 15 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500438791 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500438791
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:15:p:1119-1144




Template-Type: ReDIF-Article 1.0
Author-Name: Markus Haas 
Author-X-Name-First: Markus 
Author-X-Name-Last: Haas 
Author-Name: Stefan Mittnik 
Author-X-Name-First: Stefan 
Author-X-Name-Last: Mittnik 
Author-Name: Marc Paolella 
Author-X-Name-First: Marc 
Author-X-Name-Last: Paolella 
Title: Modelling and predicting market risk with Laplace-Gaussian mixture distributions 
Abstract:
  While much of classical statistical analysis is based on Gaussian
 distributional assumptions, statistical modelling with the Laplace
 distribution has gained importance in many applied fields. This phenomenon
 is rooted in the fact that, like the Gaussian, the Laplace distribution
 has many attractive properties. This paper investigates two methods of
 combining them and their use in modelling and predicting financial risk.
 Based on 25 daily stock return series, the empirical results indicate that
 the new models offer a plausible description of the data. They are also
 shown to be competitive with, or superior to, use of the hyperbolic
 distribution, which has gained some popularity in asset-return modelling
 and, in fact, also nests the Gaussian and Laplace. 
Journal: Applied Financial Economics 
Pages: 1145-1162 
Issue: 15 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500438817 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500438817
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:15:p:1145-1162




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Schaub 
Author-X-Name-First: Mark 
Author-X-Name-Last: Schaub 
Title: Investor overreaction to going concern audit opinion announcements 
Abstract:
  The finance literature extensively documents the existence of stock
 market anomalies, such as the January effect, the day of the week effect
 and the small firm effect. Many of these anomalies were discovered or
 clarified while investigating what has come to be known as the
 overreaction hypothesis. This paper examines investor overreaction to
 going concern audit opinion announcements made in the major financial
 press. The evidence presented suggests the sell-off by investors on the
 announcement date is followed by a major buy-back of the announcing firms'
 shares over the next few days. For the 79 announcing firms in the sample
 spanning 1984 to 1996, nearly 70% of the average losses on the
 announcement date are recovered the five days following going concern
 audit opinion announcements. 
Journal: Applied Financial Economics 
Pages: 1163-1170 
Issue: 16 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447511 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447511
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:16:p:1163-1170




Template-Type: ReDIF-Article 1.0
Author-Name: Li Yang 
Author-X-Name-First: Li 
Author-X-Name-Last: Yang 
Author-Name: Francis Tapon 
Author-X-Name-First: Francis 
Author-X-Name-Last: Tapon 
Author-Name: Yiguo Sun 
Author-X-Name-First: Yiguo 
Author-X-Name-Last: Sun 
Title: International correlations across stock markets and industries: trends and patterns 1988-2002 
Abstract:
  Data from eight major stock markets world-wide and five industries in
 each market are analysed. The correlations of return indices between
 countries and industries are studied with the hope of finding answers or
 confirming previous empirical answers to the following questions and the
 implications of these findings for investment strategy determined. (1) Do
 both the country-specific correlations and industry-specific correlations
 fluctuate significantly over time between 1988 and 2002? (2) Are the
 country-specific and industry-specific correlations positively related to
 stock market volatilities? It is concluded that: First, the correlations
 among national stock markets have been increasing between 1988 and 2002
 and the correlations are not constant over the time period of this
 research. This indicates that the effect of globalization outweighs
 country-specific factors in determining the co-movements of the markets.
 Second, the correlations are positively related to volatility in the stock
 markets in this sample. Correlations rise in periods when conditional
 volatility of markets is large. Finally, in most cases, correlations
 between national stock markets are greater than those between the five
 industries chosen in these markets, indicating that investment
 diversification across industries provides greater risk reduction benefits
 than diversification across countries. 
Journal: Applied Financial Economics 
Pages: 1171-1183 
Issue: 16 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447529 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447529
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:16:p:1171-1183




Template-Type: ReDIF-Article 1.0
Author-Name: Zhihua Zhang 
Author-X-Name-First: Zhihua 
Author-X-Name-Last: Zhang 
Author-Name: Rose Neng Lai 
Author-X-Name-First: Rose Neng 
Author-X-Name-Last: Lai 
Title: Pricing efficiency and arbitrage: Hong Kong derivatives markets revisited 
Abstract:
  This study updates the issue of arbitrage and joint market efficiency of
 the Hong Kong derivatives markets from three aspects: (1) put-call-futures
 parity is tested on a much more recent and larger data set (2002-2004);
 (2) the period covers several major events that exert remarkable shocks to
 the economy; and (3) the data set is generated from the more mature
 markets. Contradicting previous researches which conclude that the markets
 are theoretically efficient, our findings suggest that the
 put-call-futures parity is violated. However, ex-post and ex-ante tests
 indicate that although arbitrage opportunities indeed exist, profit
 magnitudes are not attractive. We therefore conclude that these markets
 are efficiently priced, albeit theoretically inefficient. 
Journal: Applied Financial Economics 
Pages: 1185-1198 
Issue: 16 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447552 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447552
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:16:p:1185-1198




Template-Type: ReDIF-Article 1.0
Author-Name: Chikashi Tsuji 
Author-X-Name-First: Chikashi 
Author-X-Name-Last: Tsuji 
Title: Does EVA beat earnings and cash flow in Japan? 
Abstract:
  The objective of this paper is to evaluate the effectiveness of Economic
 Value Added (EVA), a metric that is increasingly used in Japan as a
 measure of corporate value. EVA is compared with several other valuation
 measures including cash flow, operating income, and profit after tax from
 the viewpoint of both levels and changes. Also two different forms of EVA
 are examined by using the Weighted Cost of Capital (WACC) from the Capital
 Asset Pricing Model (CAPM) and the WACC from the Fama-French (1993) model.
 The results reveal that corporate market values in both levels and changes
 have stronger linkages with cash flow and other earnings measures than
 either form of EVA. 
Journal: Applied Financial Economics 
Pages: 1199-1216 
Issue: 16 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447537 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447537
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:16:p:1199-1216




Template-Type: ReDIF-Article 1.0
Author-Name: Anna Vong 
Author-X-Name-First: Anna 
Author-X-Name-Last: Vong 
Title: Rate of subscription and after-market volatility in Hong Kong IPOs 
Abstract:
  The majority of the empirical literature on initial public offerings
 (IPOs) concentrates on the impact of newly listed companies'
 characteristics on the initial return. It is implicitly assumed that
 investors act only in accordance with the information they have collected
 before the application deadline and that the market reaction towards the
 public listing of a new offering will only be known on the first day of
 trading. Using data from a large sample of IPOs in Hong Kong, the study
 shows that an offering's rate of subscription contains important
 information of its own. Namely, it is demonstrated that the well-known
 relationship between initial returns and the ex-post volatility of returns
 actually is spurious, volatility being associated with the unpredicted
 component of the subscription rate. 
Journal: Applied Financial Economics 
Pages: 1217-1224 
Issue: 16 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447545 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447545
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:16:p:1217-1224




Template-Type: ReDIF-Article 1.0
Author-Name: Katty Perez Aquino 
Author-X-Name-First: Katty Perez 
Author-X-Name-Last: Aquino 
Author-Name: Sunil Poshakwale 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Poshakwale 
Title: Price determinants of American Depositary Receipts (ADR): a cross-sectional analysis of panel data 
Abstract:
  Evidence on ADR price discovery is provided using data for a large sample
 from 13 different countries for the period 1990 to 2000. Using Seemingly
 Unrelated Regression (SUR) and Feasible Generalized Least Squares (FGLS)
 models that incorporate both contemporaneous and lagged factors as
 exogenous variables in a cross-sectional panel data the findings indicate
 that movements in the underlying shares are the most influential factor
 affecting ADR prices. Further and contrary to the evidence provided in
 previous studies, the findings suggest that changes in the exchange rate
 significantly influence ADR prices. The results confirm previous findings
 that ADR price discovery occurs in the US stock market where they are
 listed and traded. Although, innovations in the home stock market do
 contribute to the ADR price discovery, its impact is not as strong as the
 one found for the innovations in the US stock market. 
Journal: Applied Financial Economics 
Pages: 1225-1237 
Issue: 16 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447503 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447503
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:16:p:1225-1237




Template-Type: ReDIF-Article 1.0
Author-Name: William Shambora 
Author-X-Name-First: William 
Author-X-Name-Last: Shambora 
Title: Will retiring boomers really cause a stock market meltdown? 
Abstract:
  The meltdown hypothesis predicts a large fall in stock prices when baby
 boomers cash in their equity holdings to fund their retirement. Using an
 estimated vector autoregression model this paper finds empirical evidence
 that retiring baby boomers will induce a drag on the stock market, but
 most likely not of meltdown proportions. An important discovery is that
 the response to shocks to the supply of equity securities is a key factor
 in short-term market price movements. Foreign buying associated with the
 current account deficit is shown to be a minor influence on stock prices. 
Journal: Applied Financial Economics 
Pages: 1239-1250 
Issue: 17 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500438783 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500438783
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1239-1250




Template-Type: ReDIF-Article 1.0
Author-Name: Jorge Selaive 
Author-X-Name-First: Jorge 
Author-X-Name-Last: Selaive 
Author-Name: Vicente Tuesta 
Author-X-Name-First: Vicente 
Author-X-Name-Last: Tuesta 
Title: Can fluctuations in the consumption-wealth ratio help to predict exchange rates? 
Abstract:
  It is accepted that standard macroeconomic variables are not capable of
 predicting ex ante the majority of short term changes in exchange rates.
 Lettau and Ludvigson (2001) find that fluctuations in the common long-term
 trend in consumption, asset wealth, and labour income (hereby,
 consumption-wealth ratio) is a strong predictor of the excess returns.
 This study examines the role of the consumption-wealth ratio in predicting
 the change in the nominal exchange rate for seven industrialized
 economies. Evidence is found that fluctuations in the consumption wealth
 ratio help to predict in-sample all currencies. Out-of-sample, the results
 suggest that the consumption wealth ratio may play a significant role
 forecasting the Canadian dollar. 
Journal: Applied Financial Economics 
Pages: 1251-1263 
Issue: 17 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426705 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426705
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1251-1263




Template-Type: ReDIF-Article 1.0
Author-Name: Osamah Al-Khazali 
Author-X-Name-First: Osamah 
Author-X-Name-Last: Al-Khazali 
Author-Name: Ali Darrat 
Author-X-Name-First: Ali 
Author-X-Name-Last: Darrat 
Author-Name: Mohsen Saad 
Author-X-Name-First: Mohsen 
Author-X-Name-Last: Saad 
Title: Intra-regional integration of the GCC stock markets: the role of market liberalization 
Abstract:
  The study examines empirically whether, and to what extent, equity
 markets in the Gulf Cooperation Council (GCC) are integrated
 inter-regionally. According to the official Charter of the GCC, building
 stronger ties among financial and capital markets of member states is a
 chief objective of the GCC. The results for the equity markets of Saudi
 Arabia, Kuwait, Bahrain and Oman suggest that these markets share a common
 stochastic trend that binds them together over the long-run. The results
 from alternative tests also indicate that measures taken since 1997 to
 liberalize the capital markets in the Gulf region are at least partly
 responsible for linking the Gulf markets. At least two implications emerge
 from these results. First, portfolio diversifications in the context of
 the Gulf region should bring little or no benefits to investors with
 long-term horizons, although short-term gains remain a possibility.
 Second, further steps to liberalize capital markets in the region appear
 an appropriate strategy for achieving a more integrated capital markets in
 the Gulf. 
Journal: Applied Financial Economics 
Pages: 1265-1272 
Issue: 17 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426630 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426630
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1265-1272




Template-Type: ReDIF-Article 1.0
Author-Name: Twm Evans 
Author-X-Name-First: Twm 
Author-X-Name-Last: Evans 
Title: Efficiency tests of the UK financial futures markets and the impact of electronic trading systems 
Abstract:
  This paper undertakes tests for market efficiency of three UK financial
 futures contracts: FTSE100 futures (stock index futures), Long Gilt (bond
 futures), Short Sterling (interest rate futures) and also examines the
 impact of the introduction of electronic trading system on their market
 efficiency. The analysis is based on the notion of weak-form informational
 efficiency of the Efficient Market Hypothesis (EMH). For robustness, the
 study employs three test methods, ADF unit root test, KPSS test and Lo &
 MacKinlay Variance Ratio test, to investigate the randomness of the
 futures price fluctuation, which generally signifies market efficiency.
 Any evidence of market weak-form inefficiency implies that the futures
 prices do not follow a random walk process and the past price of the
 financial instrument can be used to forecast the futures price to obtain
 superior profit. The results show that the three markets under
 investigation are weak-form informational efficient. Before the
 introduction of electronic trading system, the UK bond futures market is
 relatively the most efficient among the three markets under investigation.
 After automation, the efficiency of FTSE100 futures contract improves to
 become the most efficient among the three markets under investigation. 
Journal: Applied Financial Economics 
Pages: 1273-1283 
Issue: 17 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500438767 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500438767
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1273-1283




Template-Type: ReDIF-Article 1.0
Author-Name: J. Colin Glass 
Author-X-Name-First: J. Colin 
Author-X-Name-Last: Glass 
Author-Name: Donal McKillop 
Author-X-Name-First: Donal 
Author-X-Name-Last: McKillop 
Title: The impact of differing operating environments on US Credit Union Performance, 1993-2001 
Abstract:
  Today US credit unions operate within a highly competitive financial
 market place. Set against this competitive operating environment, the
 present study employs stochastic frontier analysis to evaluate the
 performance of large credit unions (assets greater than $50 million) over
 the period 1993 to 2001. Although credit unions may share a common
 co-operative philosophy, differences between credit unions are also
 apparent across a range of operational, structural and locational
 characteristics (environmental conditions). The impact of these different
 environmental influences is modelled in two ways. One assumes that
 environmental factors affect the efficiency with which the production
 process is operated, while the second assumes that the environment affects
 the production process itself. Net and gross cost efficiency measures are
 obtained for both models, with the differences between these measures for
 a specific credit union being viewed as the impact that environmental
 variables have on the inefficiency of that credit union. In addition, if
 it is assumed that the main environmental factors are accounted for in the
 modelling, then a credit union's net efficiency measure may be interpreted
 as a measure of managerial performance when operating in equivalent
 environments. The analysis revealed that different environments (the age
 of the credit union; the potential for expansion within the existing
 common bond; whether the credit union has the option of expansion through
 the addition of select employee groups; whether the credit union is state
 or federally regulated; whether insurance is provided at state or federal
 level; as well as regional characteristics such as per capita income and
 the level of unemployment) account for much of the variability in cost
 efficiency between credit unions and once credit unions are placed in
 broadly equivalent operating environments only marginal differences are
 apparent in their managerial performance. 
Journal: Applied Financial Economics 
Pages: 1285-1300 
Issue: 17 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426713 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426713
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1285-1300




Template-Type: ReDIF-Article 1.0
Author-Name: Daiki Maki 
Author-X-Name-First: Daiki 
Author-X-Name-Last: Maki 
Title: Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework 
Abstract:
  The term structure of interest rates in Japan is analysed by means of a
 cointegration test in a non-linear smooth transition autoregression (STAR)
 framework. The STAR approach tests for the null hypothesis with no
 cointegration against cointegration including a globally stationary
 process. The results of the STAR cointegration test, differing from the
 results of cointegration tests assuming linear adjustment, show that the
 long-run equilibrium relationship between long-term and short-term
 interest rates is stable with non-linear adjustment. The results indicate
 non-linear adjustment in the term structure of Japanese interest rates. 
Journal: Applied Financial Economics 
Pages: 1301-1307 
Issue: 17 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500426572 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426572
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1301-1307




Template-Type: ReDIF-Article 1.0
Author-Name: Jer-Shiou Chiou 
Author-X-Name-First: Jer-Shiou 
Author-X-Name-Last: Chiou 
Author-Name: Pei-Shan Wu 
Author-X-Name-First: Pei-Shan 
Author-X-Name-Last: Wu 
Author-Name: Ming-Chih Lee 
Author-X-Name-First: Ming-Chih 
Author-X-Name-Last: Lee 
Title: Variation of interest-rate parity and its asymmetry on stock return in a jump-diffusion process 
Abstract:
  Two-stage methodology is developed to verify how the unanticipated
 asymmetry variations affect the stock returns. A GARCH model is
 investigated on residuals from a CIP identification followed by an ARJI
 model examination of the stock return. Consequently, a negative exogenous
 change can result of a more downward impact on stock return. Although this
 exogenous change is environmental, it could be implicated in macro-data.
 Because of the similarity in politics and economics, Korea and Taiwan were
 considered. Based upon the derivation of CIP, stock returns are found to
 be asymmetrically sensitive to the environment. The conditional jumps are
 larger than those where the news is of no substance. The findings
 demonstrate the importance of the stability. 
Journal: Applied Financial Economics 
Pages: 1309-1316 
Issue: 17 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447495 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447495
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1309-1316




Template-Type: ReDIF-Article 1.0
Author-Name: Antonios Antoniou 
Author-X-Name-First: Antonios 
Author-X-Name-Last: Antoniou 
Author-Name: Emilios Galariotis 
Author-X-Name-First: Emilios 
Author-X-Name-Last: Galariotis 
Author-Name: Spyros Spyrou 
Author-X-Name-First: Spyros 
Author-X-Name-Last: Spyrou 
Title: The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach 
Abstract:
  On face value studies documenting contrarian profits challenge the
 efficient markets paradigm. However most of them assume that systematic
 risk is constant when in reality it varies (Ross, 1989) especially in
 emerging markets (Aggarwal et al., 1999). The study in the first instance
 investigates whether there are long-term contrarian profits in a thinly
 traded market, and whether such profits can be rationalized by time
 variation in risk using a Kalman Filtering approach. The results indicate
 that failing to incorporate time variation in risk may lead to biased
 conclusions and present false evidence against the Efficient Market
 Hypothesis. 
Journal: Applied Financial Economics 
Pages: 1317-1329 
Issue: 18 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600606180 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606180
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:18:p:1317-1329




Template-Type: ReDIF-Article 1.0
Author-Name: Christos Christodoulou-Volos 
Author-X-Name-First: Christos 
Author-X-Name-Last: Christodoulou-Volos 
Author-Name: Fotios Siokis 
Author-X-Name-First: Fotios 
Author-X-Name-Last: Siokis 
Title: Long range dependence in stock market returns 
Abstract:
  Many authors have investigated the possibility of long-range dependence,
 or long memory, in asset returns, but very little evidence has been found
 for long memory in either stock or exchange rate returns. This paper
 examines the presence of long-range dependence in a sample of 34 stock
 index returns using the semiparametric methods suggested by Geweke and
 Porter-Hudak (1983) and Robinson (1995). The results provide significant
 and robust evidence of fractional dynamics in most major and small stock
 markets over the sample periods. Depending on the test used, statistically
 significant long memory is detected in approximately 65% of the series. It
 appears that most stock returns are long-term dependent, suggesting stock
 market inefficiency and a high degree of predictability. 
Journal: Applied Financial Economics 
Pages: 1331-1338 
Issue: 18 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600829519 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600829519
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:18:p:1331-1338




Template-Type: ReDIF-Article 1.0
Author-Name: Beat Reber 
Author-X-Name-First: Beat 
Author-X-Name-Last: Reber 
Author-Name: Caroline Fong 
Author-X-Name-First: Caroline 
Author-X-Name-Last: Fong 
Title: Explaining mispricing of initial public offerings in Singapore 
Abstract:
  This study examines the relative importance of underpricing as a signal
 of firm value, underwriter certification, subscription levels of shares on
 offer, and uncertainty surrounding firm value on mispricing of initial
 public offerings. A sample of 100 Singaporean initial public offerings
 (IPOs) during the period 1998 to 2000 indicates that subscription levels
 of shares on offer have the most significant impact on mispricing. This is
 followed by offer price, market value and trading volume in IPO shares on
 the first day of trading, and uncertainty surrounding IPO value.
 Underwriter reputation appears to be only marginally influential, while
 equity market conditions and industry sector effects seem to be irrelevant
 in explaining mispricing. Singaporean IPOs have been selected because this
 is only one of a few markets whose unique institutional characteristics
 and data availability allows for such a test. 
Journal: Applied Financial Economics 
Pages: 1339-1353 
Issue: 18 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600567655 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600567655
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:18:p:1339-1353




Template-Type: ReDIF-Article 1.0
Author-Name: Thomas Flavin 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Flavin 
Title: How risk averse are fund managers? Evidence from Irish mutual funds 
Abstract:
  Employing a mean-variance framework and a multivariate GARCH model, the
 degree of risk aversion exhibited by Irish fund managers is estimated.
 Managers whose remit is 'aggressive' or 'balanced' management of their
 portfolios have coefficients lying between 1.69-2.42 and 3.24-3.69
 respectively. 
Journal: Applied Financial Economics 
Pages: 1355-1363 
Issue: 18 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600592760 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600592760
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:18:p:1355-1363




Template-Type: ReDIF-Article 1.0
Author-Name: Jay Squalli 
Author-X-Name-First: Jay 
Author-X-Name-Last: Squalli 
Title: A non-parametric assessment of weak-form efficiency in the UAE financial markets 
Abstract:
  This paper tests for market efficiency in the represented sectors of the
 Dubai Financial Market (DFM) and the Abu Dhabi Securities Market (ADSM).
 Using daily sectoral indexes between 2000 and 2005, variance ratio tests
 reject the random walk hypothesis in all sectors of the UAE financial
 markets except in the banking sector of the DFM. Returns in the two
 financial markets are negatively serially correlated, thus suggesting the
 presence of a Bull market. Runs tests find insurance in the ADSM to be the
 only weak-form efficient sector. 
Journal: Applied Financial Economics 
Pages: 1365-1373 
Issue: 18 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100500447594 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447594
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:18:p:1365-1373




Template-Type: ReDIF-Article 1.0
Author-Name: Syouching Lai 
Author-X-Name-First: Syouching 
Author-X-Name-Last: Lai 
Author-Name: Hungchih Li 
Author-X-Name-First: Hungchih 
Author-X-Name-Last: Li 
Title: The predictive power of quarterly earnings per share based on time series and artificial intelligence model 
Abstract:
  The purpose of this study is to compare the forecasting ability among an
 Autoregressive Integrated Moving Average (ARIMA) model, Transfer Function
 (TF) model, Artificial Neural Network (ANN) model and Genetic Algorithm
 (GA) model. To evaluate forecasting accuracy, two dimensions are taken
 into consideration: (a) deviation between an actual quarterly Earning Per
 Share (EPS) value and forecasted quarterly EPS value, and (b) direction
 changes from quarter to quarter between an actual quarterly EPS value and
 forecasted quarterly EPS value. Both the quarterly basic EPS (BEPS) and
 diluted EPS (DEPS) data were applied in order to forecast the future
 quarterly basic EPS. Empirical results have shown that the TF model
 outperforms the ARIMA model. Therefore, the time lags setting of the TF
 model is adopted in the other two models: GA and ANN. The empirical
 results reveal that the GA model has the best forecasting accuracy under
 both BEPS and DEPS, while the ANN model has been shown to have the worst
 forecasting accuracy under both BEPS and DEPS. In addition, there is not
 enough evidence to support that the using of diluted EPS data would yield
 higher accuracy than that of using basic EPS data in the aspect of
 deviation. 
Journal: Applied Financial Economics 
Pages: 1375-1388 
Issue: 18 
Volume: 16 
Year: 2006 
X-DOI: 10.1080/09603100600592752 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600592752
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:16:y:2006:i:18:p:1375-1388




Template-Type: ReDIF-Article 1.0
Author-Name: M. Ege Yazgan 
Author-X-Name-First: M. Ege 
Author-X-Name-Last: Yazgan 
Author-Name: Hakan Yilmazkuday 
Author-X-Name-First: Hakan 
Author-X-Name-Last: Yilmazkuday 
Title: Monetary policy rules in practice: evidence from Turkey and Israel 
Abstract:
  Forward looking monetary policy rules are estimated for Israel and
 Turkey. When variable inflation targets are taken into consideration, as
 opposed to the fixed targets used in prior research that use data from
 developed countries, forward looking Taylor rules seem to provide
 reasonable description of Central Bank behaviour in both countries. In
 general, it can be said that monetary policy appears to be quite strong in
 these countries, and especially so in Turkey, when compared with developed
 countries. 
Journal: Applied Financial Economics 
Pages: 1-8 
Issue: 1 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600606206 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606206
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:1-8




Template-Type: ReDIF-Article 1.0
Author-Name: Melisso Boschi 
Author-X-Name-First: Melisso 
Author-X-Name-Last: Boschi 
Author-Name: Alessandro Girardi 
Author-X-Name-First: Alessandro 
Author-X-Name-Last: Girardi 
Title: Euro area inflation: long-run determinants and short-run dynamics 
Abstract:
  This study adopts the long-run structural VAR approach to analyse the
 determinants of inflation in the Euro Area economy over the period
 1985:1-2003:2. Theoretical relationships link inflation to markup and
 output gap, respectively. The short-run dynamic properties of inflation
 are investigated using a structural VECM. Inflation is explained by a
 mixture of supply- and demand-side factors, both in the long- and the
 short-run. The simulation exercise indicates that a positive shock to
 inflation could have a favourable re-distributional income effect on wage
 earners and non-detrimental consequences either on productivity and on
 competitiveness. Finally, the model produces satisfactory out-of-sample
 forecasts. 
Journal: Applied Financial Economics 
Pages: 9-24 
Issue: 1 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600592828 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600592828
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:9-24




Template-Type: ReDIF-Article 1.0
Author-Name: M. Brunetti 
Author-X-Name-First: M. 
Author-X-Name-Last: Brunetti 
Author-Name: C. Torricelli 
Author-X-Name-First: C. 
Author-X-Name-Last: Torricelli 
Title: The internal and cross market efficiency in index option markets: an investigation of the Italian market 
Abstract:
  The aim of the present paper is to provide evidence on the internal
 efficiency of the Italian index option market and to verify the
 consistency of the latter notion of efficiency with the cross market one.
 To this end a model-free approach is taken, whereby strategies involving
 only options are tested by means of a high frequency dataset. These
 strategies may provide a superior test of parity among index options since
 they do not involve the index replication issues and usefully complete
 previous studies which focused on cross-market efficiency only. The
 results obtained clearly support the efficiency of the Italian market and
 comparatively highlight a high level of consistency between internal and
 cross market efficiency. 
Journal: Applied Financial Economics 
Pages: 25-33 
Issue: 1 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500461710 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500461710
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:25-33




Template-Type: ReDIF-Article 1.0
Author-Name: Erik Theissen 
Author-X-Name-First: Erik 
Author-X-Name-Last: Theissen 
Title: An analysis of private investors' stock market return forecasts 
Abstract:
  The study analyses data on stock index forecasts made by private
 investors. The implied returns calculated from these forecasts exhibit
 negative skewness and excess kurtosis. Past returns have a positive impact
 on the implied returns, consistent with investors expecting positive
 momentum. Females are less optimistic than males, but their forecasts have
 higher standard deviation. Consistent with the weekend effect, implied
 returns from estimates entered on weekends are significantly lower than
 those entered on weekdays. Implied returns are not consistently related to
 the weather conditions on the day the forecast was made. 
Journal: Applied Financial Economics 
Pages: 35-43 
Issue: 1 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600606172 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606172
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:35-43




Template-Type: ReDIF-Article 1.0
Author-Name: Walid Saleh 
Author-X-Name-First: Walid 
Author-X-Name-Last: Saleh 
Title: Overreaction: the sensitivity of defining the duration of the formation period 
Abstract:
  Prior research provides evidence suggesting that losers tend to continue
 to be losers in the short and medium term, whereas there is evidence
 showing that losers outperform winners in the long term. However, there
 are some differences in methodology used in the studies, particularly in
 their definition of the duration of the formation period as well as the
 definition of returns. This paper aims to investigate the
 underreaction/overreaction hypothesis and in particular to examine the
 sensitivity of defining the duration of the formation period. The results
 confirm that losers tend to continue to be losers when cumulative excess
 return is calculated over short and medium periods. There is evidence,
 however, suggesting that losers outperform winners when cumulative excess
 returns are calculated over a long period, even after six months up to
 five years of portfolio formation. Furthermore, the results show that
 neither the size effect nor the January effect has a role in explaining
 the difference in returns between winners and losers. Moreover, the
 difference in returns between winners and losers cannot be attributed to
 change in risk or to change in illiquidity. However, I provide evidence
 that some part of the winner-loser effect can be attributed to leverage
 effect. 
Journal: Applied Financial Economics 
Pages: 45-61 
Issue: 1 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500447487 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447487
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:45-61




Template-Type: ReDIF-Article 1.0
Author-Name: Natalia Utrero-Gonzalez 
Author-X-Name-First: Natalia 
Author-X-Name-Last: Utrero-Gonzalez 
Title: Banking regulation, information asymmetries and industry growth: new evidence 
Abstract:
  This article investigates the relationship between banking regulation and
 disclosure requirements and industry growth of 23 sectors over the period
 1990 to 1999. We find evidence that the efficiency of the legal
 environment significantly affects industry growth. In particular, prudent
 banking regulation has a depressing effect of industry growth. Excessive
 disclosure requirements hinder the results of leveraged industrial
 sectors. Furthermore, we confirm positive effects of investor protection
 on growth. 
Journal: Applied Financial Economics 
Pages: 63-76 
Issue: 1 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600606164 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606164
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:63-76




Template-Type: ReDIF-Article 1.0
Author-Name: C. Emre Alper 
Author-X-Name-First: C. Emre 
Author-X-Name-Last: Alper 
Author-Name: K. Kazimov 
Author-X-Name-First: K. 
Author-X-Name-Last: Kazimov 
Author-Name: A. Akdemir 
Author-X-Name-First: A. 
Author-X-Name-Last: Akdemir 
Title: Forecasting the term structure of interest rates for Turkey: a factor analysis approach 
Abstract:
  We perform factor analysis on monthly yield curves estimated by
 Nelson-Siegel model using the Turkish secondary government securities
 market data. Monthly yield curves are characterized by three factors which
 are estimated using nominal volume-weighted average monthly zero-coupon
 yields. According to the loadings of each factor, we label the factors as
 level, slope and curvature. Next, we forecast yield curves using AR-GARCH
 and random walk processes and compare their relative performance. Our
 results indicate that the three factor model has high explanatory power
 and that the AR-GARCH specification has superior forecasting power for
 Turkey. 
Journal: Applied Financial Economics 
Pages: 77-85 
Issue: 1 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600606156 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606156
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:77-85




Template-Type: ReDIF-Article 1.0
Author-Name: Stanislav Anatolyev 
Author-X-Name-First: Stanislav 
Author-X-Name-Last: Anatolyev 
Author-Name: Dmitry Shakin 
Author-X-Name-First: Dmitry 
Author-X-Name-Last: Shakin 
Title: Trade intensity in the Russian stock market: dynamics, distribution and determinants 
Abstract:
  The distribution and evolution of intertrade durations for frequently
 traded stocks at the Moscow Interbank Currency Exchange are investigated.
 A flexible econometric model based on ARMA and GARCH is used which, when
 coupled with a certain class of distributions that allow for skewness and
 slim-tailedness, adequately captures the characteristics of conditional
 distribution of durations for Russian stocks, and is able to generate high
 quality density forecasts. What factors determine the dynamics of
 log-durations, and in which way, are also analyzed. The results in
 particular indicate that the Russian market is characterized by aggressive
 informed traders and timid liquidity traders, and that the participants
 react evenly to upward and downward short-run price trends. 
Journal: Applied Financial Economics 
Pages: 87-104 
Issue: 2 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600606123 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606123
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:2:p:87-104




Template-Type: ReDIF-Article 1.0
Author-Name: Ivan Paya 
Author-X-Name-First: Ivan 
Author-X-Name-Last: Paya 
Author-Name: David Peel 
Author-X-Name-First: David 
Author-X-Name-Last: Peel 
Title: On the relationship between nominal exchange rates and domestic and foreign prices 
Abstract:
  A number of authors have found significant cointegrating relationships
 between spot exchange rates and domestic and foreign price levels for the
 major currencies where the magnitude of the coefficients makes economic
 interpretation of PPP cumbersome. Using theoretically well motivated
 nonlinear models for 'artifitially' created real exchange rates, this
 paper investigates the properties of two alternative cointegration
 procedures, namely the Johansen and Saikkonen methodologies. The latter
 procedure appears to outperform the former one in terms of finding the
 'true' cointegrating coefficients. The new weights obtained with the
 Saikkonen method are then used to estimate non-linear ESTAR model for the
 real exchange rate. The 'new' real exchange rates exhibit, in most cases,
 much lower half-life shocks than the ones predicted by the Rogoff (1996)
 puzzle. 
Journal: Applied Financial Economics 
Pages: 105-117 
Issue: 2 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500438809 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500438809
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:2:p:105-117




Template-Type: ReDIF-Article 1.0
Author-Name: Mario Quagliariello 
Author-X-Name-First: Mario 
Author-X-Name-Last: Quagliariello 
Title: Banks' riskiness over the business cycle: a panel analysis on Italian intermediaries 
Abstract:
  A comprehensive investigation is provided on the issue of the possible
 cyclical nature of banks' behaviour using a large panel of Italian
 intermediaries over the period 1985 to 2002. Estimating both static and
 dynamic models, the article investigates whether loan loss provisions and
 non-performing loans show a cyclical pattern. The econometric results
 confirm that business cycle affects banks' loan loss provisions and new
 bad debts. The impact of recessionary conditions is significant and
 long-lasting. Moreover, the empirical evidence provides some support for
 the income-smoothing hypothesis. The estimated relations may be employed
 to carry out stress tests to assess the effects of macroeconomic shocks on
 banks' balance sheets. 
Journal: Applied Financial Economics 
Pages: 119-138 
Issue: 2 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500486501 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500486501
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:2:p:119-138




Template-Type: ReDIF-Article 1.0
Author-Name: Evangelos Drimbetas 
Author-X-Name-First: Evangelos 
Author-X-Name-Last: Drimbetas 
Author-Name: Nikolaos Sariannidis 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Sariannidis 
Author-Name: Nicos Porfiris 
Author-X-Name-First: Nicos 
Author-X-Name-Last: Porfiris 
Title: The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market 
Abstract:
  In this article, the effects of the introduction of the futures and
 options into the FTSE/ASE 20 index on the volatility of the underlying
 index are studied. This particular issue is quite controversial since
 contradictory results have been found in various markets. Analysing the
 data (August 1997-April 2005) with the help of an EGARCH model it is shown
 that the introduction of derivatives has induced a reduction of the
 conditional volatility of the FTSE/ASE20 index and consequently it has
 increased its efficiency. 
Journal: Applied Financial Economics 
Pages: 139-148 
Issue: 2 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500461702 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500461702
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:2:p:139-148




Template-Type: ReDIF-Article 1.0
Author-Name: Stavros Degiannakis 
Author-X-Name-First: Stavros 
Author-X-Name-Last: Degiannakis 
Author-Name: Evdokia Xekalaki 
Author-X-Name-First: Evdokia 
Author-X-Name-Last: Xekalaki 
Title: Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 
Abstract:
  A number of ARCH models are considered in the framework of evaluating the
 performance of a method for model selection based on a standardized
 prediction error criterion (SPEC). According to this method, the ARCH
 model with the lowest sum of squared standardized forecasting errors is
 selected for predicting future volatility. A number of statistical
 criteria, that measure the distance between predicted and inter-day
 realized volatility, are used to examine the performance of a model to
 predict future volatility, for forecasting horizons ranging from one day
 to 100 days ahead. The results reveal that the SPEC model selection
 procedure has a satisfactory performance in picking that model that
 generates 'better' volatility predictions. A comparison of the SPEC
 algorithm with a set of other model evaluation criteria yields similar
 findings. It appears, therefore, that it can be regarded as a tool in
 guiding the choice of the appropriate model for predicting future
 volatility, with applications in evaluating portfolios, managing financial
 risk and creating speculative strategies with options. 
Journal: Applied Financial Economics 
Pages: 149-171 
Issue: 2 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500461686 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500461686
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:2:p:149-171




Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Keef 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Keef 
Author-Name: Melvin Roush 
Author-X-Name-First: Melvin 
Author-X-Name-Last: Roush 
Title: Daily weather effects on the returns of Australian stock indices 
Abstract:
  The effects of the weather in Sydney on the daily returns of two stock
 indices of the Australian stock exchange are investigated. Three factors
 capture the essence of daily variations in temperature, cloud cover and
 wind speed. Two steps are taken to increase the efficiency of the
 statistical tests. First, control variables are incorporated in the
 regression models to abstract systematic variance from the error terms.
 Second, a repeated measures design is used to estimate the standard errors
 of the slope coefficients. The returns of the stock indices are
 uninfluenced by wind speed and cloud cover. However, the returns of the
 two stock indices are negatively influenced by the temperature in Sydney.
 There is evidence that deseasonalized temperature has a stronger negative
 influence than the level of temperature. 
Journal: Applied Financial Economics 
Pages: 173-184 
Issue: 3 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600592745 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600592745
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:173-184




Template-Type: ReDIF-Article 1.0
Author-Name: Franz Hahn 
Author-X-Name-First: Franz 
Author-X-Name-Last: Hahn 
Title: Domestic mergers in the Austrian banking sector: a performance analysis 
Abstract:
  In this paper we investigate the performance of the Austrian banks which
 have participated in a domestic in-market merger operation since 1996. For
 this purpose we apply the Data Envelopment Analysis (DEA) methodology in
 combination with a Tobit model to account for the variation of the
 productive efficiency scores due to external determinants such as
 in-market merger operations. In order to cope with the problem of
 selectivity we estimate the model subject to the presence (or absence) of
 a treatment effect as encompassed by the participation in in-market merger
 activities. The dataset used comprises an unbalanced panel of data of
 about 800 Austrian banks ranging over 1996 to 2002. The paper finds
 evidence supporting the view that banks which participated in domestic
 in-market merger operations attain a higher productive efficiency level
 than banks which did not participate in such operations. The analysis also
 indicates that the merger gains remain significant over a longer period of
 time (more than five years) but show a slight tendency to level off. 
Journal: Applied Financial Economics 
Pages: 185-196 
Issue: 3 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100601043706 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601043706
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:185-196




Template-Type: ReDIF-Article 1.0
Author-Name: Elvira Sojli 
Author-X-Name-First: Elvira 
Author-X-Name-Last: Sojli 
Title: Contagion in emerging markets: the Russian crisis 
Abstract:
  The existing literature on financial crises includes several different
 methods of testing for contagion during financial market crises. In this
 article, two modified models for measuring contagion via changes in
 correlations due to unexpected shocks are used: the adjusted correlation
 model and the full information model. The mechanisms by which the Russian
 1998 crisis spread to Slovenia, Estonia and the Czech Republic are
 investigated. The main focus is the extent to which the crisis spread to
 these markets, after interdependencies and common external shocks have
 been taken into account. High interdependence is found to exist among
 these investigated markets, but the results on how contagion is propagated
 are model-dependent and ambiguous. 
Journal: Applied Financial Economics 
Pages: 197-213 
Issue: 3 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600639876 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600639876
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:197-213




Template-Type: ReDIF-Article 1.0
Author-Name: Daniel Choi 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Choi 
Author-Name: Xin Zhao 
Author-X-Name-First: Xin 
Author-X-Name-Last: Zhao 
Title: Cross-autocorrelation in the New Zealand stock market 
Abstract:
  We examine the New Zealand stock market for evidence of
 cross-autocorrelation. We find some evidence of both Lo and MacKinlay's
 (1990) size effect and Chordia and Swaminathan's (2000) volume effect.
 Moreover, in the size portfolios, the results of cross-autocorrelations
 are consistent with the findings of Li and Xu (2002) published in Applied
 Economics Letters. In the size-volume portfolios, this study reveals a
 special characteristic of the New Zealand stock market that lagged returns
 of a larger-volume portfolio may not always lead returns of a
 smaller-volume portfolio. 
Journal: Applied Financial Economics 
Pages: 215-219 
Issue: 3 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600675508 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600675508
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:215-219




Template-Type: ReDIF-Article 1.0
Author-Name: Spyros Spyrou 
Author-X-Name-First: Spyros 
Author-X-Name-Last: Spyrou 
Author-Name: Konstantinos Kassimatis 
Author-X-Name-First: Konstantinos 
Author-X-Name-Last: Kassimatis 
Author-Name: Emilios Galariotis 
Author-X-Name-First: Emilios 
Author-X-Name-Last: Galariotis 
Title: Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange 
Abstract:
  We examine short-term investor reaction to extreme events in the UK
 equity market for the period 1989 to 2004 and find that the market
 reaction to shocks for large capitalization stock portfolios is consistent
 with the Efficient Market Hypothesis, i.e. all information appears to be
 incorporated in prices on the same day. However, for medium and small
 capitalization stock portfolios our results indicate significant
 underreaction to both positive and negative shocks for many days
 subsequent to a shock. Furthermore, the underreaction is not explained by
 risk factors (e.g. Fama and French, 1996) calendar effects, bid-ask biases
 or unique global financial crises. 
Journal: Applied Financial Economics 
Pages: 221-235 
Issue: 3 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600639868 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600639868
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:221-235




Template-Type: ReDIF-Article 1.0
Author-Name: George Halkos 
Author-X-Name-First: George 
Author-X-Name-Last: Halkos 
Author-Name: Stephanos Papadamou 
Author-X-Name-First: Stephanos 
Author-X-Name-Last: Papadamou 
Title: Significance of risk modelling in the term structure of interest rates 
Abstract:
  This study examines the significance of risk modelling and asymmetries
 when researchers test the popular economic theories concerning the term
 structure of interest rates. A panel data set of returns on government
 bond portfolios was used and methods to account for related movements in
 risk premia across assets with different currency denomination were
 employed. Rather than attempting to model risk directly in terms of
 observables, the study has instead exploited an implication of the CAPM
 concerning how risk premia for a given maturity structure would vary
 through time in a related manner across different type of assets. In light
 of recent non-linear research in the area of term structure of interest
 rates the hypothesis is investigated that the spread effect might have a
 non-linear impact on excess holding period yield (EHPY). Non-linear
 effects of spread on EHPY were found in all the maturity structure
 exception being the short-term maturities. There was evidence for a mean
 reversion process of returns only for large spread effects in
 international bond markets. Concerning the rational expectation hypothesis
 the empirical work provides evidence against it. However, testing this
 hypothesis over the longer maturity bonds can be very sensitive to the
 modelling process of risk and possible asymmetries. 
Journal: Applied Financial Economics 
Pages: 237-247 
Issue: 3 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600606198 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606198
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:237-247




Template-Type: ReDIF-Article 1.0
Author-Name: Christian Dunis 
Author-X-Name-First: Christian 
Author-X-Name-Last: Dunis 
Author-Name: Jia Miao 
Author-X-Name-First: Jia 
Author-X-Name-Last: Miao 
Title: Trading foreign exchange portfolios with volatility filters: the carry model revisited 
Abstract:
  The rejection of the simple risk-neutral efficient market hypothesis in
 the foreign exchange (FX) market opens the possibility of the profitable
 use of a carry model taking full advantage of interest rate differentials
 to trade currencies. A first motivation for this paper is to study whether
 a simple passive carry model can outperform a typical currency fund
 manager replicated by dynamic technical moving average convergence and
 divergence (MACD) models as in Lequeux and Acar (1998). Secondly, we study
 whether the addition of volatility filters can further improve the carry
 model performance. We consider the period starting from the introduction
 of the Euro (EUR) on 4 January 1999 to 31 March 2005 (1620 datapoints). To
 assess the consistency of the carry model performance on a portfolio of
 the nine most heavily traded exchange rates, the whole review period is
 further split into two sub-periods. Our results show that in the three
 periods considered and after inclusion of transaction costs, the simple
 carry model performs much better than the benchmark MACD model in terms of
 annualized return, risk-adjusted return and maximum potential loss, while
 a combined carry/MACD model has the lowest trading volatility. Moreover,
 the addition of two volatility filters adds significant value to the
 performance of the three models studied. 
Journal: Applied Financial Economics 
Pages: 249-255 
Issue: 3 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500447578 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447578
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:249-255




Template-Type: ReDIF-Article 1.0
Author-Name: Nikiforos Laopodis 
Author-X-Name-First: Nikiforos 
Author-X-Name-Last: Laopodis 
Author-Name: Bansi Sawhney 
Author-X-Name-First: Bansi 
Author-X-Name-Last: Sawhney 
Title: Dynamic interactions between private investment and the stock market: evidence from cointegration and error correction models 
Abstract:
  This study examines the dynamic interdependencies between private
 investment and the stock market for the US economy for the 1970 to 2003
 period. The main findings are as follows. First, both investment and stock
 prices seem to adjust to disequilibria from each other in the long run.
 Second, past changes in nominal investment have a positive effect on stock
 prices in the short-run but changes in real investment do not. Third,
 changes in real stock prices do not affect real investment but past
 changes in nominal stock prices have a positive short-run effect on
 investment. Finally, the interest rate appears to affect both magnitudes
 in the short run but in a notable and negative manner the stock returns. 
Journal: Applied Financial Economics 
Pages: 257-269 
Issue: 4 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600694327 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600694327
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:4:p:257-269




Template-Type: ReDIF-Article 1.0
Author-Name: Shiguang Ma 
Author-X-Name-First: Shiguang 
Author-X-Name-Last: Ma 
Title: Information asymmetry and valuation uncertainty, the determination of China's IPO allocation procedures 
Abstract:
  In the literature, information asymmetry and valuation uncertainity are
 always referred to the important concerns for a firm to choose an initial
 public offering (IPO) allocation procedure. The new emerging stock market
 of China is a unique trial place as it has possibly practiced three pairs
 of parallel IPO allocation procedures: private placements and local public
 offerings; local public offerings and national public offerings; and
 national public offerings and bookbuilding. Interestingly, the empirical
 analyses of this article provide the evidences that the IPO firms with
 more information asymmetry and valuation uncertainty are more likely to
 prefer private placements to local public offerings, or local public
 offerings to national public offerings, or national public offerings to
 bookbuilding. 
Journal: Applied Financial Economics 
Pages: 271-284 
Issue: 4 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600735351 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600735351
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:4:p:271-284




Template-Type: ReDIF-Article 1.0
Author-Name: Hong Li 
Author-X-Name-First: Hong 
Author-X-Name-Last: Li 
Title: International linkages of the Chinese stock exchanges: a multivariate GARCH analysis 
Abstract:
  This paper examines the linkages between the two emerging stock exchanges
 in mainland China and the established markets in Hong Kong and in the US
 by a multivariate GARCH approach. We use a four-variable asymmetric GARCH
 in the line of the BEKK model proposed by Engle and Kroner (1995) to
 account for the regularities documented in the share price indices and
 test for the transmission of returns and volatility across the markets.
 While we do not find any evidence of a direct linkage between the stock
 exchanges in mainland China and the US market, we find evidence of
 uni-directional volatility spillovers from the stock exchange in Hong Kong
 to those in Shanghai and Shenzhen. However, the magnitude of the
 volatility linkages between the mainland and Hong Kong is small,
 indicating a weak integration of the Chinese stock exchanges with the
 regional developed market. The implication of the weak integration is that
 overseas investors will benefit from the reduction of diversifiable risk,
 and thus total portfolio risk, by adding the mainland Chinese stocks to
 their investment portfolio. 
Journal: Applied Financial Economics 
Pages: 285-297 
Issue: 4 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600675557 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600675557
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:4:p:285-297




Template-Type: ReDIF-Article 1.0
Author-Name: Michele Bagella 
Author-X-Name-First: Michele 
Author-X-Name-Last: Bagella 
Author-Name: Leonardo Becchetti 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Becchetti 
Author-Name: Rocco Ciciretti 
Author-X-Name-First: Rocco 
Author-X-Name-Last: Ciciretti 
Title: Market vs. analysts reaction: the effect of aggregate and firm-specific news 
Abstract:
  Firm-specific and aggregate shocks generate reassessment of investors and
 analysts expectations on earnings forecasts and on the fundamental value
 of equities. In this article, we evaluate the effects of this combined
 reaction on the implied equity risk premium extracted from a standard
 two-stage dividend discount (DD) model. If investors and analysts
 revisions coincide, and in absence of measurement errors in the DD
 formula, the observed shocks should not have any significant impact on
 prices and Implied Equity Risk Premium (IEPR). On the contrary, in an
 analysis based on data for all S&P 500 COMPOSITE INDEX constituents from
 1990 to 2003, we observe substantial overreaction of investors to both
 downward and upward firm-specific forecast revisions, plus overreaction to
 changes in GDP and to the announcements of the Consumer and Business
 Confidence indicator. We also observe that positive overreaction to upward
 earning forecast revisions and GDP changes falls after the stock bubble
 burst, while overreaction to upward forecast revision and to announcements
 of the Consumer Confidence Index looses significance after the 9/11
 terrorist attack. These findings are broadly consistent with the
 hypothesis of reduced participation of uninformed (noise) traders to
 financial markets after these two shocks. 
Journal: Applied Financial Economics 
Pages: 299-312 
Issue: 4 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600690051 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600690051
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:4:p:299-312




Template-Type: ReDIF-Article 1.0
Author-Name: Shyh-Wei Chen 
Author-X-Name-First: Shyh-Wei 
Author-X-Name-Last: Chen 
Author-Name: Nai-Chuan Huang 
Author-X-Name-First: Nai-Chuan 
Author-X-Name-Last: Huang 
Title: Estimates of the ICAPM with regime-switching betas: evidence from four pacific rim economies 
Abstract:
  This article examines the relation between stock returns and the World
 Index for four Pacific Rim economies, i.e. that of Taiwan, Hong Kong,
 South Korea and Malaysia. When the constant International Capital Asset
 Pricing Model (ICAPM) and the regime-switching ICAPM are considered, the
 evidence shows that the estimated beta coefficients from the constant
 ICAPM model underestimates systemic risk under the high-volatility regime,
 but overestimates systemic risk under the low-volatility regime. In
 addition, the evidence is strong that the stock markets of Taiwan and
 Malaysia are less risky for traders, whereas that of South Korea is
 risk-neutral. The Hong Kong Hang Seng stock index, on the other hand, is
 highly risky for both speculators and investors. On the weight of the
 evidence, it is suggested that estimates of the ICAPM should account for
 the changes in betas over time and over different variance regimes. 
Journal: Applied Financial Economics 
Pages: 313-327 
Issue: 4 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749188 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749188
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:4:p:313-327




Template-Type: ReDIF-Article 1.0
Author-Name: Fotios Pasiouras 
Author-X-Name-First: Fotios 
Author-X-Name-Last: Pasiouras 
Author-Name: Chrysovalantis Gaganis 
Author-X-Name-First: Chrysovalantis 
Author-X-Name-Last: Gaganis 
Title: Financial characteristics of banks involved in acquisitions: evidence from Asia 
Abstract:
  This study examines the financial characteristics of 52 targets and 47
 acquirers that were involved in acquisitions in the Asian commercial
 banking sector over the period 1998 to 2004 and a control sample of
 non-merged banks matched by country and year. Three logistic regression
 models are estimated to determine the factors that influence the
 probability of being involved in an acquisition either as a target or as
 an acquirer. The results indicate that more asset risky portfolios
 increase this probability. Higher liquidity also increases the probability
 of being acquired. The probability of being involved in an acquisition as
 acquirer also increases with size and cost efficiency. Finally, more
 profitable banks are more likely to be involved in acquisitions as
 acquirers rather than as targets. When we partition our sample in two
 sub-periods we find that only the higher loan loss provisions of targets
 and the higher size of acquirers remain robust over time. 
Journal: Applied Financial Economics 
Pages: 329-341 
Issue: 4 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600675524 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600675524
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:4:p:329-341




Template-Type: ReDIF-Article 1.0
Author-Name: Igor Kliakhandler 
Author-X-Name-First: Igor 
Author-X-Name-Last: Kliakhandler 
Title: Execution edge of pit traders and intraday price ranges of soft commodities 
Abstract:
  Intraday activity of open outcry pit traders and mechanics of price
 formation are important for short-term traders, money managers and
 regulatory bodies. In particular, congestions of stop-loss and limit
 orders, as well as subsequent highs/lows of the daily prices are among the
 most important features traders are interested in. We present a comparison
 of range-based and close-to-open volatility estimators for US-traded soft
 physical commodities. The comparison indicates that pit traders are able
 to identify the congestions of pre-placed stop orders, reach them and
 liquidate on them, or let the prices run. The comparison also suggests a
 substantial execution edge of soft commodities pit traders compared to
 currencies traders. 
Journal: Applied Financial Economics 
Pages: 343-350 
Issue: 5 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600690093 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600690093
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:343-350




Template-Type: ReDIF-Article 1.0
Author-Name: Les Coleman 
Author-X-Name-First: Les 
Author-X-Name-Last: Coleman 
Title: Measurement of insider trading in wagering markets 
Abstract:
  In an influential article, Shin (1993) proposed a method to calculate the
 extent of insider trading in bookmaker markets, with z as the measure of
 insider trading. He assumed that bookmakers manipulate the supply-side of
 the market to protect themselves against the risks of adverse selection
 involving counterparties with proprietary or inside information and
 against excessive payouts from wins by high odds horses. This article uses
 a large sample of thoroughbred races (n = 1796) over 4 years on Saturdays
 at major venues in Melbourne to validate the Shin methodology. Analysis
 derives a z-measure of insider trading in bookmaker markets of just over
 2% (which closely matches results from multiple UK analyses). The surprise
 is that an almost identical value (p &#x3c; 0.001) is obtained for z in
 the Tote market which does not have a supply side and so should have a
 zero value of z. It seems that factors driving a nonzero value of z arise
 in the demand side of wagering markets and not the supply side as assumed.
 This conclusion illustrates the risks associated with what Fama (1991, p.
 1575) termed 'the joint hypothesis problem' where the conclusions of a
 mis-specified market model are likely to be invalid. 
Journal: Applied Financial Economics 
Pages: 351-356 
Issue: 5 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600675565 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600675565
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:351-356




Template-Type: ReDIF-Article 1.0
Author-Name: Geoffrey Loudon 
Author-X-Name-First: Geoffrey 
Author-X-Name-Last: Loudon 
Author-Name: Alan Rai 
Author-X-Name-First: Alan 
Author-X-Name-Last: Rai 
Title: Is volatility risk priced after all? Some disconfirming evidence 
Abstract:
  Recent theory and evidence from US studies suggest that aggregate market
 volatility risk is a strong candidate for inclusion in the list of risk
 factors that earn a risk premium in equilibrium. We re-examine the
 sensitivity of stock returns to volatility risk using delta-neutral index
 option straddles to proxy for innovations in aggregate volatility.
 Contrary to existing US evidence, our analysis finds little evidence that
 volatility risk is priced in Australian equities. This finding is robust
 across a variety of methods for characterizing the underlying volatility
 factor. 
Journal: Applied Financial Economics 
Pages: 357-368 
Issue: 5 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600675516 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600675516
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:357-368




Template-Type: ReDIF-Article 1.0
Author-Name: Orawan Ratanapakorn 
Author-X-Name-First: Orawan 
Author-X-Name-Last: Ratanapakorn 
Author-Name: Subhash Sharma 
Author-X-Name-First: Subhash 
Author-X-Name-Last: Sharma 
Title: Dynamic analysis between the US stock returns and the macroeconomic variables 
Abstract:
  This study investigates the long-term and short-term relationships
 between the US stock price index (S&P 500) and six macroeconomic variables
 over the period 1975:1-1999:4. We observe that the stock prices negatively
 relate to the long-term interest rate, but positively relate to the money
 supply, industrial production, inflation, the exchange rate and the
 short-term interest rate. In the Granger causality sense, every
 macroeconomic variable causes the stock prices in the long-run but not in
 the short-run. Moreover, these results are also supported by the VDC, i.e.
 the stock prices are relatively exogenous in relation to other variables
 because almost 87% of its own variance is explained by its own stock even
 after 24 months. 
Journal: Applied Financial Economics 
Pages: 369-377 
Issue: 5 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600638944 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600638944
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:369-377




Template-Type: ReDIF-Article 1.0
Author-Name: Subhrendu Rath 
Author-X-Name-First: Subhrendu 
Author-X-Name-Last: Rath 
Title: Execution costs of dual listed Australian stocks 
Abstract:
  Theoretical models imply that trading costs should be lower for multiple
 traded stocks. This study compares the execution costs of a group of
 stocks which are dually listed (on the NYSE and ASX) to that of a matched
 group of stocks which are listed only on the ASX. The sample is controlled
 across several characteristics to control for differences in firm specific
 characteristics. It is found that the execution costs are lower for the
 dual listed stocks. 
Journal: Applied Financial Economics 
Pages: 379-389 
Issue: 5 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600606149 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606149
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:379-389




Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Morley 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Morley 
Title: The monetary model of the exchange rate and equities: an ARDL bounds testing approach 
Abstract:
  This study examines a version of the monetary model of the exchange rate,
 which incorporates a stock price measure. Using the ARDL Bounds testing
 approach, we produce evidence of cointegration, well-specified ECMs and
 forecasts that outperform a random walk. 
Journal: Applied Financial Economics 
Pages: 391-397 
Issue: 5 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500426457 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426457
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:391-397




Template-Type: ReDIF-Article 1.0
Author-Name: Colm Kearney 
Author-X-Name-First: Colm 
Author-X-Name-Last: Kearney 
Author-Name: Margaret Lynch 
Author-X-Name-First: Margaret 
Author-X-Name-Last: Lynch 
Title: Are international equity markets really asymmetric? 
Abstract:
  Although the extreme tails of the distributions of equity returns tend to
 exhibit more negative than positive returns, very few studies have
 analysed how pervasive is skewness across entire distributions. We use
 daily returns on 6 international stock market indices from Britain,
 France, Germany, Italy, Japan and the United States over 24 years from
 January 1978 to February 2002 to search for skewness in the tails, in
 different intervals, and in the entire distributions using binomial
 distribution tests and two distribution free tests, the Wilcoxon Rank Sum
 Test and the Siegel-Tukey test. We find limited evidence of asymmetry in
 the tails, with more asymmetry close to the means. However, we find that
 the asymmetries closer to the means are statistically significant and
 consistent in a way that the asymmetry in the tails is not. We show via a
 Monte Carlo study that the Wilcoxon Rank Sum and Binomial Distribution
 test have good power inferring that the data are independent and
 identically distributed. 
Journal: Applied Financial Economics 
Pages: 399-411 
Issue: 5 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500401336 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500401336
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:399-411




Template-Type: ReDIF-Article 1.0
Author-Name: Panayiotis Diamandis 
Author-X-Name-First: Panayiotis 
Author-X-Name-Last: Diamandis 
Author-Name: Anastassios Drakos 
Author-X-Name-First: Anastassios 
Author-X-Name-Last: Drakos 
Author-Name: Argyrios Volis 
Author-X-Name-First: Argyrios 
Author-X-Name-Last: Volis 
Title: The impact of stock incremental information on the volatility of the Athens stock exchange 
Abstract:
  In this paper we model the volatility of the Athens Stock Exchange
 general index. With the use of alternative conditional heteroskedasticity
 models (Glonsten et al., 1993; Bollerslev, 1986; Zakoian, 1991) we
 investigate whether stock returns include incremental information when we
 model index volatility. Whereas empirically much is known about the
 volatility of the Athens General Index, very little has been done on the
 impact the stock increments have on the General Index volatility. Our
 econometric approach relies on the comparison between TARCH and modified
 GARCH estimation techniques, on a sample of 48 shares included in the
 Athens General Index, using daily data over the period 1993-2003. After
 capturing for any possible qualitative effects, such as the cut-off points
 indicating a &#x201c;bearish&#x201d; or &#x201c;bullish&#x201d; capital
 market, the results clearly indicate that the shares include incremental
 volatility information in their returns.1 
Journal: Applied Financial Economics 
Pages: 413-424 
Issue: 5 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500401302 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500401302
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:413-424




Template-Type: ReDIF-Article 1.0
Author-Name: Reid Dorsey-Palmateer 
Author-X-Name-First: Reid 
Author-X-Name-Last: Dorsey-Palmateer 
Author-Name: Gary Smith 
Author-X-Name-First: Gary 
Author-X-Name-Last: Smith 
Title: Shrunken interest rate forecasts are better forecasts 
Abstract:
  Predicted changes in interest rates are imperfectly correlated with
 actual changes in interest rates. One statistical consequence may be that
 large predicted changes are more likely to be overestimates than
 underestimates of the magnitude of the change. If so, the accuracy of
 predicted interest rate changes can be improved by shrinking them toward a
 prior mean of zero. The application of this idea to interest rate
 forecasts by the Survey of Professional Forecasters found a consistent
 improvement in the accuracy of their predictions. 
Journal: Applied Financial Economics 
Pages: 425-430 
Issue: 6 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749170 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749170
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:6:p:425-430




Template-Type: ReDIF-Article 1.0
Author-Name: Maria Bonilla-Musoles 
Author-X-Name-First: Maria 
Author-X-Name-Last: Bonilla-Musoles 
Author-Name: Leandro Garcia-Menendez 
Author-X-Name-First: Leandro 
Author-X-Name-Last: Garcia-Menendez 
Author-Name: Ma Luisa Marti-Selva 
Author-X-Name-First: Ma Luisa 
Author-X-Name-Last: Marti-Selva 
Title: Efficiency in the eurobond market: application of nonparametric techniques 
Abstract:
  The aim of this article is to analyse the efficiency of eurobond issuers
 within the primary market, from 1995 to 2000. The study includes a
 reference to theoretical discussion and to the methodology used; detailed
 explanation of the variables considered which, in order to supplement
 those strictly financial, include others such as spread from Interest Rate
 Risk (IRR) and respective swap; rating, duration and size; and
 macroeconomic fundamentals of the issuer country. Results and conclusions
 obtained from the static and dynamic efficiency analyses are then
 illustrated and discussed. 
Journal: Applied Financial Economics 
Pages: 431-444 
Issue: 6 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600706774 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600706774
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:6:p:431-444




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Anton 
Author-X-Name-First: Jose 
Author-X-Name-Last: Anton 
Author-Name: Juan Grau 
Author-X-Name-First: Juan 
Author-X-Name-Last: Grau 
Author-Name: Elena Sanchez 
Author-X-Name-First: Elena 
Author-X-Name-Last: Sanchez 
Title: Compromise programming calibration for financial analysis of firms of a common sector of business, case study for a set of Spanish banks in 1995 
Abstract:
  To perform a Financial Analysis (FA) procedure on a set of different
 firms of the same business sector and region or stock market (maybe with a
 definite management goal) a set from 7 to 20 balance ratios is chosen as
 representative of the firms situation, and a benchmark set of good firms
 of the same kind is selected to calibrate the ratios as attribute
 variables using Compromise Programming (CP) comparison procedures. For
 that using the ratios of the benchmark set a reference CP ideal point is
 obtained, and with it for each ratio a reduced Ratio Quality Index (RQI)
 is obtained containing a relative CP quality evaluation. From these RQI, a
 CP Global Utility Index (GUI) of each firm is then proposed, using a
 common set of chosen CP weights to incorporate the effect of each ratio on
 the quality of the firms for the intended FA study, with indication of
 some special techniques including possible use of utility-like functions.
 An illustrative case study follows with normalized balance sheets data of
 some main Spanish banks in 1995, showing that some of the real features of
 this suggestive example are put in evidence by this method, that quality
 classification depends on various factors, and that external wide
 information is necessary and gets incorporated with the proposed method. A
 discussion follows concerning the case, the method and possible future
 developments. 
Journal: Applied Financial Economics 
Pages: 445-461 
Issue: 6 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600706717 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600706717
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:6:p:445-461




Template-Type: ReDIF-Article 1.0
Author-Name: George Tawadros 
Author-X-Name-First: George 
Author-X-Name-Last: Tawadros 
Title: A structural time series test of the P-star model: evidence from the middle east 
Abstract:
  In this article, a structural time series test of the P-star model is
 conducted using quarterly data for the Middle Eastern countries of Egypt,
 Jordan and Morocco. The conventional P-star model is altered to obtain an
 equation for the price level that consists of a stochastic trend and the
 actual levels of output and velocity. The empirical results obtained are
 highly supportive of the model and show the perils of modelling output and
 velocity as deterministic rather than stochastic trends. Estimates of the
 dynamic relationship between the price gap and the inflation rate are also
 highly supportive of the adjustment mechanism inherent in the P-star
 model, producing a large and significant coefficient of adjustment for
 each country. 
Journal: Applied Financial Economics 
Pages: 463-467 
Issue: 6 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749253 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749253
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:6:p:463-467




Template-Type: ReDIF-Article 1.0
Author-Name: Luis Muga 
Author-X-Name-First: Luis 
Author-X-Name-Last: Muga 
Author-Name: Rafael Santamaria 
Author-X-Name-First: Rafael 
Author-X-Name-Last: Santamaria 
Title: The stock market crisis and momentum. Some evidence for the Spanish stock market during the 1990s 
Abstract:
  In this article, we test the momentum effect in the Spanish stock market
 during the 1990s. Though there is evidence of momentum, it disappears
 after the 1997 crisis. While momentum profits are associated with both
 size and turnover effects, neither of these factors is a determinant in
 explaining the momentum effect. The turn of the year effect also lacks
 sufficient explanatory power to account either for the appearance or
 disappearance of this effect. An important role is played in this puzzle
 by the winner portfolio, particularly when it is constructed from small,
 high turnover stocks. Analysis of the characteristics and evolution of
 this portfolio may, therefore, help to explain the momentum effect. 
Journal: Applied Financial Economics 
Pages: 469-486 
Issue: 6 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600706766 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600706766
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:6:p:469-486




Template-Type: ReDIF-Article 1.0
Author-Name: Emanuel Barnea 
Author-X-Name-First: Emanuel 
Author-X-Name-Last: Barnea 
Author-Name: Moshe Kim 
Author-X-Name-First: Moshe 
Author-X-Name-Last: Kim 
Title: Interest rate margins: a decomposition of dynamic oligopolistic conduct and market fundamentals 
Abstract:
  We propose a model in which the evolution of interest rate margin
 (markup) in banking is the outcome of two major components: (i) dynamic
 oligopolistic conduct and (ii) dynamics of market fundamentals. The model
 is specified such that oligopolistic dynamics are separated from the
 dynamics of fundamentals. Consistent with the theory, we employ the
 error-correction model which generates results indicating that margins are
 significantly different from the traditional measure once fundamentals are
 filtered out. 
Journal: Applied Financial Economics 
Pages: 487-499 
Issue: 6 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600690077 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600690077
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:6:p:487-499




Template-Type: ReDIF-Article 1.0
Author-Name: Khelifa Mazouz 
Author-X-Name-First: Khelifa 
Author-X-Name-Last: Mazouz 
Author-Name: Brahim Saadouni 
Author-X-Name-First: Brahim 
Author-X-Name-Last: Saadouni 
Title: The price effects of FTSE 100 index revision: what drives the long-term abnormal return reversal? 
Abstract:
  We examine short- and the long-term price effect associated with the FTSE
 100 index revisions. We control for both heteroskedastic nature of the
 residual and the change, between the estimation and the test period, in
 the beta coefficient of the standard market model. Our findings reveal no
 relationship between the long-term price reversals and the change in the
 discount rate, as approximated by the beta coefficient of the market
 model. Overall, we provide strong evidence in favour of the price pressure
 hypothesis, where the price increase (decrease) gradually starting before
 the announcement an inclusion (exclusion) and reverses completely in less
 than two weeks after the index revision date. 
Journal: Applied Financial Economics 
Pages: 501-510 
Issue: 6 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600690085 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600690085
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:6:p:501-510




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew McKenzie 
Author-X-Name-First: Andrew 
Author-X-Name-Last: McKenzie 
Author-Name: Michael Thomsen 
Author-X-Name-First: Michael 
Author-X-Name-Last: Thomsen 
Author-Name: Josh Phelan 
Author-X-Name-First: Josh 
Author-X-Name-Last: Phelan 
Title: How do you straddle hogs and pigs? Ask the Greeks! 
Abstract:
  Evidence of distortions is found in commodity options premiums around
 informational events. Option Greeks are used to uncover the nature of
 these distortions in terms of underlying factors. Both changes in
 underlying futures prices and implied volatility are mispriced. 
Journal: Applied Financial Economics 
Pages: 511-520 
Issue: 7 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500428230 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500428230
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:511-520




Template-Type: ReDIF-Article 1.0
Author-Name: Consuelo Riano 
Author-X-Name-First: Consuelo 
Author-X-Name-Last: Riano 
Author-Name: Fco. Javier Ruiz 
Author-X-Name-First: Fco. Javier 
Author-X-Name-Last: Ruiz 
Author-Name: Rafael Santamaria 
Author-X-Name-First: Rafael 
Author-X-Name-Last: Santamaria 
Title: Determinants of the underpricing of new shares during the subscription period: empirical evidence from the Spanish stock exchange 
Abstract:
  This article reports on an issue hitherto unexplored in the literature,
 namely, the 'new shares' price setting during the subscription period. We
 report evidence of a spread between the old stock price and the value of
 new shares obtained through subscription. A framework is developed within
 which to analyse the explanatory factors involved in this spread in the
 Spanish Stock Exchange. The empirical evidence suggests that new share
 prices during the subscription period are influenced by a range of
 factors, such as difference in the amount of tax to which subscription
 rights and capital gains are subject, characteristics of the issuer and
 the issue, norms established between clients and banks and the
 microstructure of the subscription rights market. 
Journal: Applied Financial Economics 
Pages: 521-540 
Issue: 7 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600706725 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600706725
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:521-540




Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Lee 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Lee 
Author-Name: Simon Stevenson 
Author-X-Name-First: Simon 
Author-X-Name-Last: Stevenson 
Title: The substitutability of REITs and value stocks 
Abstract:
  Recent evidence has suggested a strong relationship between Equity Real
 Estate Investment Trust (REIT) and value stocks. This article examines in
 depth not only the similarities in performance sectors but also the
 driving forces in the two sectors and the extent to which they are
 substitutable. The results indicate that while strong linkages are
 evident, there remain sufficient differences in both return behaviour and
 their driving forces for the two sectors to retain a level of
 distinctiveness. This would imply that diversification opportunities still
 remain and that REITs can still add value to an equity portfolio
 containing value stocks. 
Journal: Applied Financial Economics 
Pages: 541-557 
Issue: 7 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600706733 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600706733
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:541-557




Template-Type: ReDIF-Article 1.0
Author-Name: Scott Besley 
Author-X-Name-First: Scott 
Author-X-Name-Last: Besley 
Author-Name: Ninon Kohers 
Author-X-Name-First: Ninon 
Author-X-Name-Last: Kohers 
Author-Name: Tanja Steigner 
Author-X-Name-First: Tanja 
Author-X-Name-Last: Steigner 
Title: Private placements of common equity and the industry rival response 
Abstract:
  This study examines the intra-industry signalling effects of private
 equity issue announcements. The results show that the average industry
 reaction to a private equity announcement is negative. However, evidence
 of a contagion effect also exists. Specifically, the competitive response
 among industry rivals is significantly stronger for private equity issues
 during bear stock markets. In fact, the industry rival reaction for
 nonhigh-tech firms is significantly negative during bear markets only,
 while it is significantly positive during bull markets. These findings
 highlight the importance of stock market conditions in influencing the
 signals sent by private equity issues and the resulting shareholder wealth
 effects. 
Journal: Applied Financial Economics 
Pages: 559-568 
Issue: 7 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600706741 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600706741
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:559-568




Template-Type: ReDIF-Article 1.0
Author-Name: Eui Jung Chang 
Author-X-Name-First: Eui Jung 
Author-X-Name-Last: Chang 
Author-Name: Benjamin Miranda Tabak 
Author-X-Name-First: Benjamin Miranda 
Author-X-Name-Last: Tabak 
Title: Are implied volatilities more informative? The Brazilian real exchange rate case 
Abstract:
  This article examines the relation between dollar-real exchange rate
 volatility implied in option prices and subsequent realized volatility. It
 investigates whether implied volatilities contain information about
 volatility over the remaining life of the option that is not present in
 past returns. Using Generalized Method of Movements [GMM] estimation
 consistent with telescoping observations evidence suggests that implied
 volatilities give superior forecasts of realized volatility if compared
 with Generalized Autoregressive Conditional Heteroskedasticity [GARCH] (p,
 q) and moving average predictors. Besides, econometric models do not add
 significant information to that contained in implied volatilities. 
Journal: Applied Financial Economics 
Pages: 569-576 
Issue: 7 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600706758 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600706758
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:569-576




Template-Type: ReDIF-Article 1.0
Author-Name: Christopher J. Marquette 
Author-X-Name-First: Christopher J. 
Author-X-Name-Last: Marquette 
Author-Name: Thomas G. E. Williams 
Author-X-Name-First: Thomas G. E. 
Author-X-Name-Last: Williams 
Title: Takeover-divestiture combinations and shareholder wealth 
Abstract:
  Situations in which a firm is taken over by another and then subsequently
 spun off are of interest, because it is not clear whether the spin off is
 the reversal of a bad decision or the second part of a deliberate action
 to extract value from the target firm. To explore these issues, we analyse
 the effect of the takeover and divestiture on the value of the firm that
 initiates these takeovers. There is a negative wealth effect for the firms
 that undertake these transactions upon the announcement of the takeover
 and a positive wealth effect for the spinoff. However, the combined wealth
 effect of the takeover and spinoff is not significant. Regressing this
 total 'round-trip' wealth effect for each firm on accounting and financial
 characteristics of the firm targeted in the takeover reveals a positive
 relation between total wealth effect and research and development
 expenditure in the target firm. The results are consistent with the
 hypothesis that takeover-divestiture combinations can increase shareholder
 wealth when they target firms that have growth opportunities that can be
 appropriated. 
Journal: Applied Financial Economics 
Pages: 577-586 
Issue: 7 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600722169 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600722169
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:577-586




Template-Type: ReDIF-Article 1.0
Author-Name: Graham Smith 
Author-X-Name-First: Graham 
Author-X-Name-Last: Smith 
Title: Random walks in Middle Eastern stock markets 
Abstract:
  This paper classifies formal stock markets in the Middle East into two
 categories and discuses the principal characteristics of the five markets
 covered in this study, those in Israel, Jordan, Kuwait, Lebanon and Oman.
 The hypothesis that a stock market price index follows a random walk is
 investigated using the multiple variance ratio test. The hypothesis is
 rejected in two of the markets, those for Kuwaiti domestic companies and
 Oman. For the Israeli, Jordanian and Lebanese markets, composite stock
 price indices follow a random walk and so these markets are weak-from
 efficient. The paper discusses these result in the light of stock market
 characteristics. 
Journal: Applied Financial Economics 
Pages: 587-596 
Issue: 7 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600911200 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600911200
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:587-596




Template-Type: ReDIF-Article 1.0
Author-Name: Kurt Brannas 
Author-X-Name-First: Kurt 
Author-X-Name-Last: Brannas 
Author-Name: Ola Simonsen 
Author-X-Name-First: Ola 
Author-X-Name-Last: Simonsen 
Title: Discretized time and conditional duration modelling for stock transaction data 
Abstract:
  This article considers conditional duration models in which durations are
 in continuous time, but measured in grouped or discretized form. This
 feature of recorded durations in combination with a frequently traded
 stock is expected to negatively influence the performance of conventional
 estimators for intra-day duration models. A few estimators that account
 for the discreteness are discussed and compared in a Monte Carlo
 experiment. An EM-algorithm accounting for the discrete data performs
 better than those that do not. Empirical results are reported for trading
 durations in Ericsson B at Stockholmsborsen for a 3-week period of July
 2002. The incorporation of level variables for past trading is rejected in
 favour of change variables. This enables an interpretation in terms of
 news effects. No evidence of asymmetric responses to news about prices and
 spreads is found. 
Journal: Applied Financial Economics 
Pages: 647-658 
Issue: 8 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600690044 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600690044
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:8:p:647-658




Template-Type: ReDIF-Article 1.0
Author-Name: Yasemin Ulu 
Author-X-Name-First: Yasemin 
Author-X-Name-Last: Ulu 
Title: Sampling properties of criteria for evaluating GARCH volatility forecasts 
Abstract:
  There is considerable evidence that GARCH models do not forecast
 financial volatility well out of sample when evaluated by the R2 from the
 Mincer and Zarnowitz (1969) regression. Andersen and Bollerslev (1998)
 argued that although the R2s tend to be small, they are consistent with
 the population value of the criterion for a correctly specified GARCH
 model. We extend the Andersen and Bollerslev result and derive the
 population moments of the mean squared error, the mean absolute error and
 a heteroscedasticity adjusted mean square error for the GARCH volatility
 forecasts. We state existence conditions for the moments. The criteria and
 their population values are illustrated with empirical examples. Using
 Monte Carlo simulation, we analyse the sampling properties of these
 criteria. When volatility is highly persistent, we find that the sampling
 distribution of the R2 is highly skewed to the right, which indicates that
 the majority of the realized R2s lie below the population R2. Among the
 accuracy criteria, we find the heteroscedasticity adjusted mean-squared
 error is preferable because it has the weakest existence condition and its
 sampling distribution is reflective of the population value. 'A Good
 Volatility Model Forecasts Volatility' Engle and Patton (2001) 
Journal: Applied Financial Economics 
Pages: 671-681 
Issue: 8 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600735294 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600735294
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:8:p:671-681




Template-Type: ReDIF-Article 1.0
Author-Name: Giampiero M. Gallo 
Author-X-Name-First: Giampiero M. 
Author-X-Name-Last: Gallo 
Author-Name: Edoardo Otranto 
Author-X-Name-First: Edoardo 
Author-X-Name-Last: Otranto 
Title: Volatility transmission across markets: a Multichain Markov Switching model 
Abstract:
  The integration of financial markets across countries has modified the
 way prices react to news. Innovations originating in one market diffuse to
 other markets following patterns which usually stress the presence of
 interdependence. In some cases, though, covariances across markets have an
 asymmetric component which reflects the dominance of one over the others.
 The volatility transmission mechanisms in such events may be more complex
 than what can be modelled as a multivariate GARCH model. In this article,
 we adopt a new Markov Switching approach and we suppose that periods of
 high volatility and periods of low volatility represent the states of an
 ergodic Markov Chain where the transition probability is made dependent on
 the state of the 'dominant' series. We provide some theoretical
 background, and illustrate the model on Asian markets data showing support
 for the idea of dominant market and the good prediction performance of the
 model on a multi-period horizon. 
Journal: Applied Financial Economics 
Pages: 659-670 
Issue: 8 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600722151 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600722151
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:8:p:659-670




Template-Type: ReDIF-Article 1.0
Author-Name: Jin Woong Kim 
Author-X-Name-First: Jin Woong 
Author-X-Name-Last: Kim 
Author-Name: David A. Bessler 
Author-X-Name-First: David A. 
Author-X-Name-Last: Bessler 
Title: The causal modelling on equity market innovations: fit or forecast? 
Abstract:
  This article considers innovation accounting using an Error Correction
 Model and Directed Acyclical Graphs (DAGs) on 10 Global Industry
 Classification Standard (GICS) aggregations of daily US equity values over
 the years 1995 to 2003. The GICS equity aggregates studied are: Consumer
 Discretionary, Consumer Staples, Energy, Financials, Health Care,
 Industrials, Information Technology, Materials, Telecommunication Services
 and Utilities. DAGs are constructed from ex post and ex ante forecast
 innovations from an error correction model fit to these data. The DAG
 constructed from ex ante forecast innovations is consistent with the DAG
 from ex post fit innovations, a result that supports innovation accounting
 based on DAGs using ex post innovations. 
Journal: Applied Financial Economics 
Pages: 635-646 
Issue: 8 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/13504850701218135 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/13504850701218135
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:8:p:635-646




Template-Type: ReDIF-Article 1.0
Author-Name: Jenny Diggle 
Author-X-Name-First: Jenny 
Author-X-Name-Last: Diggle 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Title: The target cash rate and its impact on investment asset returns in Australia 
Abstract:
  This article examines the relationship between asset returns and changes
 in the announced target cash rate of the Reserve Bank of Australia during
 the period from September 1990 to June 2000. Using a two stage least
 squares model adapted from Lowe (1995) the analysis found that there is an
 impact on property returns during the month of the announced change in the
 cash rate. This finding is not supported for other sub-indices on the
 Australian stock exchange, apart from Tourism and Leisure where there is
 also an identifiable impact. 
Journal: Applied Financial Economics 
Pages: 615-633 
Issue: 8 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100701243503 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701243503
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:8:p:615-633




Template-Type: ReDIF-Article 1.0
Author-Name: Soosung Hwang 
Author-X-Name-First: Soosung 
Author-X-Name-Last: Hwang 
Author-Name: Stephen E. Satchell 
Author-X-Name-First: Stephen E. 
Author-X-Name-Last: Satchell 
Title: The disappearance of style in the US equity market 
Abstract:
  This article investigates the modelling of style returns in the United
 States and the returns to style 'tilts' based on forecasts of enhanced
 future style returns. We use hidden Markov model to build our forecasts
 for data from 1975 to 1998. We do not include more recent observations as
 the subsequent trend and volatility sways the analysis. Our finding that
 style returns are less forecastible in the late 1990s is consistent with
 the hypothesis that style returns are the result of anomalies rather than
 risk premia. The erosion of anomalous returns as public awareness of their
 presence is translated into strategies that arbitrage away the excess
 returns seems to be a hypothesis consistent with our modelling results. 
Journal: Applied Financial Economics 
Pages: 597-613 
Issue: 8 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100701217978 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701217978
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:8:p:597-613




Template-Type: ReDIF-Article 1.0
Author-Name: Ronald D. Ripple 
Author-X-Name-First: Ronald D. 
Author-X-Name-Last: Ripple 
Author-Name: Imad A. Moosa 
Author-X-Name-First: Imad A. 
Author-X-Name-Last: Moosa 
Title: Hedging effectiveness and futures contract maturity: the case of NYMEX crude oil futures 
Abstract:
  This article examines the effect of the maturity of the futures conract
 used as the hedging instrument on the effectiveness of futures hedging.
 For this purpose, daily and monthly data on the West Texas Intermediate
 (WTI) crude oil futures and spot prices are used to work out the hedge
 ratios and the measures of hedging effectiveness resulting from using the
 near-month contract and those resulting from the use of a more distant
 (6-month) contract. The results show that futures hedging is more
 effective when the near-month contract is used. They also reveal that
 hedge ratios are lower for near-month hedging. Some explanations are
 presented for these findings. 
Journal: Applied Financial Economics 
Pages: 683-689 
Issue: 9 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600722177 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600722177
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:9:p:683-689




Template-Type: ReDIF-Article 1.0
Author-Name: Katherine Gleason 
Author-X-Name-First: Katherine 
Author-X-Name-Last: Gleason 
Title: Does market maker competition affect the response to insider trading? 
Abstract:
  This study investigates the impact of market maker competition on the
 relationship between equity bid-ask spreads and informed trading risk from
 reported insider purchases. It is the first study to provide evidence that
 the relationship between inside spreads and insider purchases is stronger
 when there are fewer market makers or more concentrated market making
 shares. No evidence is found of a relationship between inside ask depth
 and reported insider purchases. The results are consistent with
 theoretical expectations that spreads will respond more to informed
 trading risk under less competitive market making conditions. However, the
 results are contrary to the DuPont (2000) prediction that market makers
 alter depth more than spread in response to informed trading risk. 
Journal: Applied Financial Economics 
Pages: 691-700 
Issue: 9 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600722185 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600722185
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:9:p:691-700




Template-Type: ReDIF-Article 1.0
Author-Name: Antonios Siganos 
Author-X-Name-First: Antonios 
Author-X-Name-Last: Siganos 
Title: Momentum returns and size of winner and loser portfolios 
Abstract:
  Previous studies in the field of the momentum effect have defined winner
 and loser portfolios only by using deciles, quintiles or triciles. This
 article overcomes this limitation by investigating the magnitude of
 momentum gains for various sizes of winner and loser portfolios. It is
 found that beyond the first few extreme winners and losers, there is a
 continuous decline of momentum gains for larger number of shares
 portfolios. Maximum momentum returns, at the magnitude of 2.09% per month,
 emerge when only the 40 top and bottom performing shares are employed.
 This study also shows that for large portfolios, it is not essential for
 investors to sell the loser portfolio short, since its influence on
 momentum returns is insignificant. Overall, this article supports the
 existence of the momentum effect and even shows that investors can take a
 better advantage of the continuation in share prices than previously
 reported. 
Journal: Applied Financial Economics 
Pages: 701-708 
Issue: 9 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600722193 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600722193
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:9:p:701-708




Template-Type: ReDIF-Article 1.0
Author-Name: A. Assaf 
Author-X-Name-First: A. 
Author-X-Name-Last: Assaf 
Title: Fractional integration in the equity markets of MENA region 
Abstract:
  A major issue in financial economics is the behaviour of stock market
 returns over long horizons. This article provides an empirical
 investigation of the long-range dependence in the emerging stock markets
 of Egypt, Jordan, Morocco and Turkey. We use the modified rescaled range
 statistic (R/S) proposed by Lo (1991) and the rescaled variance statistic
 (V/S) developed by Giraitis et al. (2003) to investigate the long memory
 in the returns and volatility. Significant long memory is demonstrated in
 the series and implies a fractal market structure in the Middle East and
 North African (MENA) equity markets. We further investigate whether the
 long memory is caused by a shift in variance. Interestingly, our findings
 indicate that the presence of long memory in volatility due to shifts in
 variance cannot be confirmed for these markets and are consistent with
 those results obtained by Lobato and Savin (1998) on other markets. Thus,
 our results should be useful to regulators, practitioners and derivative
 market participants in the MENA region, whose success depends on the
 ability to forecast stock price movements over long horizons. 
Journal: Applied Financial Economics 
Pages: 709-723 
Issue: 9 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600735310 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600735310
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:9:p:709-723




Template-Type: ReDIF-Article 1.0
Author-Name: Kirt Butler 
Author-X-Name-First: Kirt 
Author-X-Name-Last: Butler 
Author-Name: Katsushi Okada 
Author-X-Name-First: Katsushi 
Author-X-Name-Last: Okada 
Title: Bivariate and higher-order terms in models of international equity returns 
Abstract:
  Nonsynchronous measurement induces significant higher-order auto and
 serial cross correlations in observed bivariate returns and squared
 returns to international equity indices. In order to investigate the
 statistical and economic significance of bivariate and higher-order terms
 in conditional models of international equity returns, we fit a
 VMA(2)-EGARCH(2,2) model with normal errors and a constant conditional
 correlation using MSCI index pairs for Japan, the UK and the USA.
 First-order univariate and bivariate conditional mean and volatility terms
 are statistically significant in each series. Second-order own- and
 cross-volatility terms also are significant, although second-order
 conditional mean terms are not. We investigate the economic significance
 of bivariate and second-order terms by comparing the return and volatility
 predictions of various models using out-of-sample regressions of returns
 or squared returns on conditional means or volatilities. Bivariate terms
 significantly improve return prediction in three of six series and
 volatility prediction in one of six series. Higher-order conditional
 volatility terms do not improve predictions of returns and squared returns
 despite the fact that they are statistically significant in these series.
 We conclude that it is important to include cross-effects, but not
 higher-order effects, when modelling conditional returns to international
 stock market indices. 
Journal: Applied Financial Economics 
Pages: 725-737 
Issue: 9 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600735328 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600735328
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:9:p:725-737




Template-Type: ReDIF-Article 1.0
Author-Name: Charlotte S. Hansen 
Author-X-Name-First: Charlotte S. 
Author-X-Name-Last: Hansen 
Author-Name: Bjorn E. Tuypens 
Author-X-Name-First: Bjorn E. 
Author-X-Name-Last: Tuypens 
Title: Spanning tests for options using principal components methods 
Abstract:
  This article proposes a new test to evaluate whether options are a
 redundant asset class. The methodology permits to test between two sets of
 competing option pricing models: the deterministic volatility models and
 the stochastic models. In the deterministic volatility framework, options
 are redundant assets and their payoff can be replicated by dynamic trading
 in the underlying and the risk-free assets. A stochastic model introduces
 an additional risk factor and in this setting options are needed in order
 to complete the market. The procedure relies on principal components
 methods. The Monte Carlo simulations reported in the article indicate that
 the new procedure provides simple and useful diagnostics for detection if
 options are redundant. We apply the method to S&P 500 index and options
 with different moneyness. The empirical results suggest that options are
 not redundant. 
Journal: Applied Financial Economics 
Pages: 739-746 
Issue: 9 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600735344 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600735344
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:9:p:739-746




Template-Type: ReDIF-Article 1.0
Author-Name: George A. Waters 
Author-X-Name-First: George A. 
Author-X-Name-Last: Waters 
Author-Name: James E. Payne 
Author-X-Name-First: James E. 
Author-X-Name-Last: Payne 
Title: REIT markets and rational speculative bubbles: an empirical investigation 
Abstract:
  This study uses the momentum threshold autoregressive (MTAR) model and
 the residuals-augmented Dickey-Fuller (RADF) approach to test for the
 presence of Evans' (1991) periodically collapsing bubbles in four real
 estate investment trusts (REIT) classifications. The RADF test shows
 evidence of bubbles, but the results of the MTAR test are mixed. The MTAR
 test shows asymmetric adjustment for each REIT market with the exception
 of hybrid REITs, but only mortgage REITs show evidence of bubbles, which
 turn out to be negative meaning the price falls substantially below the
 level warranted by fundamentals. 
Journal: Applied Financial Economics 
Pages: 747-753 
Issue: 9 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600735369 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600735369
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:9:p:747-753




Template-Type: ReDIF-Article 1.0
Author-Name: Sherrill Shaffer 
Author-X-Name-First: Sherrill 
Author-X-Name-Last: Shaffer 
Author-Name: Lorein Thomas 
Author-X-Name-First: Lorein 
Author-X-Name-Last: Thomas 
Title: A reassessment of market power among credit card banks 
Abstract:
  An improved empirical specification of credit card conduct agrees with
 several prior studies in rejecting perfectly competitive equilibrium,
 indicates structural disequilibrium in the industry and is consistent with
 monopolistic competition. Measures of liquidity management costs, omitted
 from prior studies, are shown to be important factors in a properly
 specified model of pricing conduct in credit card lending. 
Journal: Applied Financial Economics 
Pages: 755-767 
Issue: 9 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600771042 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600771042
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:9:p:755-767




Template-Type: ReDIF-Article 1.0
Author-Name: Henrik Andersson 
Author-X-Name-First: Henrik 
Author-X-Name-Last: Andersson 
Title: Are commodity prices mean reverting? 
Abstract:
  Are commodity prices mean reverting or do they follow a random walk? As
 traditional unit root tests lack power, this article proposes using the
 ability to hedge option contracts as a measure of the most appropriate
 stochastic process. A misspecified price process will, quite naturally,
 result in larger hedging errors. The hedging errors, therefore, give an
 economic as opposed to statistical measure of mean reversion. Market
 prices of almost 300 different commodities from 1970 and onwards are
 studied. In line with the low power of statistical unit root tests, we are
 only able to reject a unit root for some 15% of the commodity price series
 and mean reversion is accepted for even fewer series. Hedging errors are,
 however, smaller for the mean reverting process, supporting the intuition
 that commodity prices are mean reverting. 
Journal: Applied Financial Economics 
Pages: 769-783 
Issue: 10 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749204 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749204
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:10:p:769-783




Template-Type: ReDIF-Article 1.0
Author-Name: M. Holmen 
Author-X-Name-First: M. 
Author-X-Name-Last: Holmen 
Author-Name: E. Nivorozhkin 
Author-X-Name-First: E. 
Author-X-Name-Last: Nivorozhkin 
Title: The impact of family ownership and dual class shares on takeover risk 
Abstract:
  In this paper the relation between the use of dual class shares and the
 risk of takeovers is explored. The results stress the need to control for
 the identity of the controlling owner in studies of corporate control and
 firm performance. For family controlled firms, it is found that both the
 hazard rate of takeover and firm market value decline with the wedge
 between the families' voting rights and cash flow rights. It is concluded
 that due to non-transferable private benefits of control in family firms,
 dual class shares reduce the likelihood that the family will accept the
 terms of value enhancing takeovers and this translates into lower firm
 value. 
Journal: Applied Financial Economics 
Pages: 785-804 
Issue: 10 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500461694 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500461694
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:10:p:785-804




Template-Type: ReDIF-Article 1.0
Author-Name: Ekaterini Tsouma 
Author-X-Name-First: Ekaterini 
Author-X-Name-Last: Tsouma 
Title: Stock return dynamics and stock market interdependencies 
Abstract:
  This article compares stock return behaviour in mature and emerging stock
 markets. The role of leading markets and the impact of the October 1997
 East Asian financial crisis are examined in the context of stock market
 interdependencies. An extended AR(1)-GARCH-M (autoregressive generalized
 autoregressive conditional heteroskedasticity) model is used. Potential
 price and volatility transmission mechanisms stemming from leading markets
 and potential structural breaks in mean and variance caused by the above
 crisis are discussed. Daily data covering the 16 April 1991 to 29 November
 2001 period are used. The results reveal significant differences in stock
 return behaviour between mature and emerging markets and confirm
 substantial interdependencies among stock markets, originating from both
 leading and emerging markets. 
Journal: Applied Financial Economics 
Pages: 805-825 
Issue: 10 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749212 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749212
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:10:p:805-825




Template-Type: ReDIF-Article 1.0
Author-Name: Abdulnasser Hatemi-J 
Author-X-Name-First: Abdulnasser 
Author-X-Name-Last: Hatemi-J 
Author-Name: Eduardo D. Roca 
Author-X-Name-First: Eduardo D. 
Author-X-Name-Last: Roca 
Title: Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners 
Abstract:
  We re-examine the issue of equity market price interdependence between
 Australia, on one hand and Japan, US, UK, Hong Kong, Singapore, Taiwan and
 Korea, on the other hand, based on Hacker and Hatemi-J (2005) bootstrap
 Granger-causality tests with leveraged adjustments. We take into account
 the Asian Crisis and find that no causal linkages existed between
 Australia and these markets before and after the Crisis. These results
 imply that the transmission of information between the equity market of
 Australia and those of its trading partners is efficient. Given that the
 correlation between Australia and these markets are relatively low, these
 results give further confirmation that the latter group of markets can
 serve as good avenues for portfolio diversification by Australian
 investors. 
Journal: Applied Financial Economics 
Pages: 827-835 
Issue: 10 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600722144 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600722144
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:10:p:827-835




Template-Type: ReDIF-Article 1.0
Author-Name: Sheng-Yung Yang 
Author-X-Name-First: Sheng-Yung 
Author-X-Name-Last: Yang 
Title: Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities 
Abstract:
  In this study, we apply a more refined statistical procedure to test the
 dependencies and direction of inter-day spillover effects between the ADRs
 and their underlying shares on two nonsynchronous international markets.
 The empirical results provide evidence of contemporaneous return and
 volatility spillovers from Tokyo to New York, and vice versa. In the
 lagged spillover test, the evidence also suggests that the dominant market
 (home market) adjusts to the information from the satellite market
 (foreign market) in an efficient manner. In contrast, the satellite market
 reacts to the information from the dominant market with a delay. 
Journal: Applied Financial Economics 
Pages: 837-853 
Issue: 10 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600722136 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600722136
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:10:p:837-853




Template-Type: ReDIF-Article 1.0
Author-Name: Rafiqul Bhuyan 
Author-X-Name-First: Rafiqul 
Author-X-Name-Last: Bhuyan 
Author-Name: Yuxing Yan 
Author-X-Name-First: Yuxing 
Author-X-Name-Last: Yan 
Title: Designing deposit insurance scheme under asymmetric information with double liability option 
Abstract:
  In this article, an option theoretic model is applied to develop a
 Deposit Insurance Scheme under asymmetric information environment. By
 introducing double liability as an option into the deposit insurance
 scheme, our model solves the Deposit Insurer's adverse selection problem.
 With appropriately designed deposit insurance premia and double liability
 obligations, we demonstrate that separating equilibria exist. The
 introduction of double liability into the current deposit insurance system
 adds additional cost to the system to make the insurance scheme more
 effective. Macey and Miller (1992) suggest that such double liability is a
 very useful tool for preventing the incentive problem typically created by
 current deposit insurance schemes. Based on Jackson (1993), Macey and
 Miller (1993) and Grossman (2002), no consensus exists to explain whether
 double liability can replace the current deposit insurance system. There
 are two companion issues that must be considered. The first is the
 preservation of the safety of the financial system. The second is the
 incentive created by current deposit insurance schemes for managers to
 take extra risk. This is an attempt to create a model in which both the
 deposit insurance premiums and double liability issues are integrated in a
 manner that preserves incentive compatibility, while embracing
 risk-sensitive deposit insurance policy. 
Journal: Applied Financial Economics 
Pages: 855-870 
Issue: 11 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600843908 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600843908
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:11:p:855-870




Template-Type: ReDIF-Article 1.0
Author-Name: Pieter J. de Jong 
Author-X-Name-First: Pieter J. 
Author-X-Name-Last: de Jong 
Title: The relationship between capital investment and R&D spending: a panel cointegration analysis 
Abstract:
  Previous research has shown inconsistent results pertaining to the
 relationship between capital investment in property, plant and equity and
 research and development spending (R&D). This study re-examines that
 relationship between capital investment and R&D in a panel of 36
 pharmaceutical firms. This study uses short- and long-run causality
 methods to capture the connection between the two variables. The short-run
 causality evidence confirms the research by Mairesse and Siu (1984)
 documenting that capital investment does not Granger-cause R&D and vice
 versa. On the other hand, the long-run causality test suggest that R&D and
 capital investment are cointegrated and the causality runs in both
 directions. These results imply that capital investment depends on the
 success of the R&D effort over time. The implementation of breakthroughs
 created by R&D may require additional capital investment, e.g. facilities
 and equipment. Moreover, thriving investment activity in one period may
 stimulate R&D efforts the next period, in order to extend the success of
 the current products. 
Journal: Applied Financial Economics 
Pages: 871-880 
Issue: 11 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600870976 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600870976
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:11:p:871-880




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Lensink 
Author-X-Name-First: Robert 
Author-X-Name-Last: Lensink 
Author-Name: Ilko Naaborg 
Author-X-Name-First: Ilko 
Author-X-Name-Last: Naaborg 
Title: Does foreign ownership foster bank performance? 
Abstract:
  We examine the effect of a rise in foreign ownership on banks' interest
 revenues and profitability using panel data of banks worldwide. We
 determine the exact yearly foreign ownership for each bank and construct a
 continuous foreign ownership variable. Estimating with the system
 generalized methods of moments (GMM) technique we find that a rise in
 foreign ownership negatively affects bank performance, providing evidence
 for the home field advantage theory. 
Journal: Applied Financial Economics 
Pages: 881-885 
Issue: 11 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600827653 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600827653
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:11:p:881-885




Template-Type: ReDIF-Article 1.0
Author-Name: Xiaoquan Liu 
Author-X-Name-First: Xiaoquan 
Author-X-Name-Last: Liu 
Title: Bid-ask spread, strike prices and risk-neutral densities 
Abstract:
  In empirically deriving risk-neutral densities (RNDs) from option prices,
 one of the key assumptions that the strike prices should be continuous
 over the entire spectrum of nonnegative real numbers, is not met due to
 market trading mechanism. This study looks at how this failure affects the
 empirical RND. It also tests the possible impact that bid-ask spread has
 on the empirical RNDs. With Heston (1993) option pricing model of
 stochastic volatility as a mapping tool between option prices and
 risk-neutral price distributions and realistic assumptions of option
 specifications, simulation results show that RNDs are less stable and
 reliable when there are a limited number of different strike prices, even
 less so when bid-ask spread is incorporated into option prices.
 Nontechnical Summary Future risk-neutral asset price distributions can be
 derived from traded options that are written on the asset. In the
 empirical derivation of these risk-neutral densities (RNDs), some
 microstructure issues have to be considered. This study looks into the
 effect of two such issues on the empirical RNDs, the discrete and limited
 range of exercise prices and the existence of bid-ask spread. The study
 adopts a simulation-and-testing approach. It assumes that the underlying
 price distribution follows stochastic volatility and uses Heston's
 stochastic volatility model for European options as the pricing framework.
 With specified structural parameters for the Heston model and option
 specifications, including the current underlying asset price, the time to
 maturity, the interest rate, it simulates option prices first and tries to
 infer the assumed asset distribution with different subset of the option
 prices corresponding to varying number and level of exercise prices. When
 comparing the original assume RNDs with the empirical RNDs from a subset,
 we are in a position to detect the influence that discrete and limited
 range of exercise prices have on the empirical RNDs. Test statistics
 suggest that RNDs from the lower end of exercise prices deviate most from
 the original price distribution, especially in the tails. We then perturb
 the option prices with bid-ask spread. The bid-ask spread is estimated
 from a model, in which the spread is explained by option characteristics
 and underlying asset market activities. Statistical tests show that when
 the bid-ask spread is incorporated into option prices, the derived
 risk-neutral densities are even less accurate and stable. Therefore, great
 caution is needed when the empirical densities are used for pricing
 derivatives, asset market sentiments and so on. 
Journal: Applied Financial Economics 
Pages: 887-900 
Issue: 11 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600829105 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600829105
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:11:p:887-900




Template-Type: ReDIF-Article 1.0
Author-Name: Tatsuyoshi Miyakoshi 
Author-X-Name-First: Tatsuyoshi 
Author-X-Name-Last: Miyakoshi 
Author-Name: Yoshihiko Tsukuda 
Author-X-Name-First: Yoshihiko 
Author-X-Name-Last: Tsukuda 
Title: Assessments of the program for financial revival of the Japanese banks 
Abstract:
  This article assesses the program for Financial Revival (PFR) of the
 Japanese banks. To achieve the programme's goal of maximizing banks'
 profits, the government can inject capital and reduce bad loans of banks
 subject to the government budget constraint. We conclude that the
 government can achieve the programme's goal only in areas where the Bank
 for International Settlements (BIS) capital ratio regulations are binding.
 The government should restrain to reduce bad loans when the unit price of
 doing so increases and cannot maximize depositors' or borrowers' surpluses
 together with banks' profits. The Basel II Framework enhances banks'
 profits under the programme. The empirical evidence indicates that the
 necessary condition for achieving the programme's goal is satisfied. 
Journal: Applied Financial Economics 
Pages: 901-912 
Issue: 11 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600827638 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600827638
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:11:p:901-912




Template-Type: ReDIF-Article 1.0
Author-Name: Mohsen M. Saad 
Author-X-Name-First: Mohsen M. 
Author-X-Name-Last: Saad 
Author-Name: Ali F. Darrat 
Author-X-Name-First: Ali F. 
Author-X-Name-Last: Darrat 
Title: Intraday pattern in liquidity covariation: evidence from NYSE listed firms 
Abstract:
  Microstructure literature suggests common factors in liquidity measures.
 However, research on the intraday behaviour of liquidity commonality is
 scant. Because of higher information and inventory holding costs during
 the first and last half-hours of trading, we argue that liquidity
 covariations should increase during these half-hour trading periods. Our
 results from NYSE intraday data support a U-shaped pattern for liquidity
 covariation. These results have important implications for regulators,
 investors and academics. 
Journal: Applied Financial Economics 
Pages: 913-919 
Issue: 11 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600675532 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600675532
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:11:p:913-919




Template-Type: ReDIF-Article 1.0
Author-Name: Francisco Ledesma-Rodriguez 
Author-X-Name-First: Francisco 
Author-X-Name-Last: Ledesma-Rodriguez 
Author-Name: Manuel Navarro-Ibanez 
Author-X-Name-First: Manuel 
Author-X-Name-Last: Navarro-Ibanez 
Author-Name: Jorge Perez-Rodriguez 
Author-X-Name-First: Jorge 
Author-X-Name-Last: Perez-Rodriguez 
Author-Name: Simon Sosvilla-Rivero 
Author-X-Name-First: Simon 
Author-X-Name-Last: Sosvilla-Rivero 
Title: Implicit bands in the Spanish peseta/Deutschmark exchange rate, 1965-1998 
Abstract:
  The objective of this article is to identify implicit bands for the
 Spanish peseta/Deutschmark exchange rate. To this end, based on the
 'natural' classification approach suggested by Reinhart and Rogoff (2004),
 we propose a statistical test to assess the statistical significance of
 the outcome of their classifying algorithm. The test is applied to the
 period 1965-1998, indicating our results existence of fluctuation bands in
 the 1980s and 1990s, before and after the entry of the peseta into the
 European Monetary System. 
Journal: Applied Financial Economics 
Pages: 921-932 
Issue: 11 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600843916 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600843916
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:11:p:921-932




Template-Type: ReDIF-Article 1.0
Author-Name: Edward R. Lawrence 
Author-X-Name-First: Edward R. 
Author-X-Name-Last: Lawrence 
Author-Name: John Geppert 
Author-X-Name-First: John 
Author-X-Name-Last: Geppert 
Author-Name: Arun J. Prakash 
Author-X-Name-First: Arun J. 
Author-X-Name-Last: Prakash 
Title: Asset pricing models: a comparison 
Abstract:
  We empirically test and compare the performance of the traditional
 capital asset pricing model (CAPM), the three-moment CAPM and the
 Fama-French (FF) three-factor model using the FF 25 portfolios data. Based
 on the time-series and the cross-sectional tests, the FF three-factor
 model outperforms the other models. In the cross-sectional tests, the
 three-moment CAPM has a higher R2 than CAPM but in the time-series
 regression, the performances of CAPM and the three-moment CAPM are
 comparable. 
Journal: Applied Financial Economics 
Pages: 933-940 
Issue: 11 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600892863 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600892863
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:11:p:933-940




Template-Type: ReDIF-Article 1.0
Author-Name: Shengzu Wang 
Author-X-Name-First: Shengzu 
Author-X-Name-Last: Wang 
Author-Name: Jagdish Handa 
Author-X-Name-First: Jagdish 
Author-X-Name-Last: Handa 
Title: Monetary policy rules under a fixed exchange rate regime: empirical evidence from China 
Abstract:
  This article uses an open economy model to estimate, using cointegration
 and error-correction analysis, China's monetary policy reaction function
 for the period 1993 to 2003. Alternative inflation-forecast-based (IFB)
 policy Taylor-type rules for the interest rate are examined and their
 parameters are estimated. The empirical results support the hypothesis
 that the central bank of China follows a Taylor-type rule for the interest
 rate, with the aim of inflation targeting and output smoothing. 
Journal: Applied Financial Economics 
Pages: 941-950 
Issue: 12 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749279 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749279
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:12:p:941-950




Template-Type: ReDIF-Article 1.0
Author-Name: Roger A. Fujihara 
Author-X-Name-First: Roger A. 
Author-X-Name-Last: Fujihara 
Author-Name: Mbodja Mougoue 
Author-X-Name-First: Mbodja 
Author-X-Name-Last: Mougoue 
Title: Testing for infrequent permanent shocks: is the US inflation rate stationary? 
Abstract:
  This study examines the time series properties of inflation in order to
 emphasize the nature of the shocks to the process. In particular, we offer
 evidence that US inflation may be characterized by low frequency permanent
 shocks, as opposed to the high frequency permanent shocks that is commonly
 assumed to exist in models with unit roots. Such infrequent shifts would
 be consistent with other empirical work that considers changes in regimes,
 such as a Markov switching model. 
Journal: Applied Financial Economics 
Pages: 951-960 
Issue: 12 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749337 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749337
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:12:p:951-960




Template-Type: ReDIF-Article 1.0
Author-Name: Christian S. Pedersen 
Author-X-Name-First: Christian S. 
Author-X-Name-Last: Pedersen 
Author-Name: Soosung Hwang 
Author-X-Name-First: Soosung 
Author-X-Name-Last: Hwang 
Title: Does downside beta matter in asset pricing? 
Abstract:
  By carefully choosing a data-generating process and appropriate
 distributional assumptions, we formulate a nested econometric model to
 examine how many equities are explained well by the downside beta or a
 general asymmetric response model rather than the conventional capital
 asset pricing model (CAPM) beta. Using UK equity data, we show that the
 downside beta explains 15-25% of equities in addition to CAPM that
 explains 50-80% of equities. These results suggest that although the lower
 partial moment CAPM explains equity returns better than the conventional
 CAPM, the proportion of equities benefiting from using the downside beta
 is not large enough to improve asset pricing models significantly. 
Journal: Applied Financial Economics 
Pages: 961-978 
Issue: 12 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100701217861 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701217861
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:12:p:961-978




Template-Type: ReDIF-Article 1.0
Author-Name: Sunil Mohanty 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Mohanty 
Author-Name: Doocheol Moon 
Author-X-Name-First: Doocheol 
Author-X-Name-Last: Moon 
Title: Disentangling the signalling and liquidity effects of stock splits 
Abstract:
  We examine, signalling-based versus liquidity-based explanations of stock
 splits using market data for both industrial firms and depository
 institutions for the period 1981 to 2000. While both groups react
 favourably to the announcements of stock splits, we find no significant
 difference in market responses between the two groups. We further divide
 the industrial sample firms into two sub-groups [research and development
 (R&D) firms and nonR&D firms] using R&D activities as proxy for
 information asymmetry. We find no significant difference in abnormal
 returns between R&D firms and nonR&D firms, providing evidence against
 signalling effects of stock splits. We find that the average monthly
 trading volume following stock splits is significantly higher compared to
 the pre-split level for both industrial firms and depository institutions.
 We interpret these results as evidence in support of the liquidity
 hypothesis. 
Journal: Applied Financial Economics 
Pages: 979-987 
Issue: 12 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749295 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749295
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:12:p:979-987




Template-Type: ReDIF-Article 1.0
Author-Name: Andreas Feidakis 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Feidakis 
Author-Name: Antonios Rovolis 
Author-X-Name-First: Antonios 
Author-X-Name-Last: Rovolis 
Title: Capital structure choice in European Union: evidence from the construction industry 
Abstract:
  In this article, we examine the determinants of the capital structure of
 large listed European construction firms from 1996 to 2004. We investigate
 if there are solid and mutual factors that can characterize the capital
 structure of large construction firms. We identify nine factors-validated
 by many theories from the literature of finance-that give reasonable
 results. The existence of such factors provides strong evidence that the
 European Union converges, despite the different particular country
 characteristics, the corporate financial decisions of large listed firms
 in the construction industry. 
Journal: Applied Financial Economics 
Pages: 989-1002 
Issue: 12 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749311 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749311
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:12:p:989-1002




Template-Type: ReDIF-Article 1.0
Author-Name: Elaine Y. L. Loh 
Author-X-Name-First: Elaine Y. L. 
Author-X-Name-Last: Loh 
Title: An alternative test for weak form efficiency based on technical analysis 
Abstract:
  This study proposes a test for weak form efficiency based on the
 practitioner's approach to technical analysis. Previous studies typically
 make inferences on weak form efficiency based on the empirical results of
 testing only one class of technical rules-trend indicators. The
 practitioner's approach, on the other hand, typically involves the
 simultaneous use of trend indicators and other confirming indicators
 because trend indicators do not sufficiently capture the information
 content in past prices. By combining trend indicators with confirming
 indicators that are also based on the detection of trends in past prices,
 it is possible to construct a superior technical trading strategy that
 captures a more comprehensive aspect of predictability in past prices.
 Applying the technical trading rules to data on five Asian-Pacific stock
 markets, the evidence suggests that a test for weak form efficiency based
 solely on trend indicators is noisy and that the alternative test proposed
 in this study is significantly more effective in capturing the information
 content in past prices. An examination of weak form efficiency based on
 this alternative test suggests that weak form efficiency is determined by
 factors other than technological progress. 
Journal: Applied Financial Economics 
Pages: 1003-1012 
Issue: 12 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749352 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749352
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:12:p:1003-1012




Template-Type: ReDIF-Article 1.0
Author-Name: Yi-Chen Lin 
Author-X-Name-First: Yi-Chen 
Author-X-Name-Last: Lin 
Title: The cash flow sensitivity of cash: evidence from Taiwan 
Abstract:
  This article examines the role of operating cash flow in firm cash
 policies using an unbalanced panel of 988 Taiwanese firms. The main
 findings are as follows: (i) Both financially constrained and
 unconstrained firms display positive cash flow sensitivity of cash,
 indicating that capital market friction is prevalent in Taiwan. The result
 is in sharp contrast to the US result in Almeida et al. (2004) in that
 only constrained firms save cash out of their operating cash flow. (ii)
 The estimated cash flow sensitivity of cash for financially constrained
 firms is significantly higher than that of financially constrained firms
 in the USA. Our results imply that a financially constrained firm (i.e. a
 firm that is younger, has a looser relation with banks, or has negative
 investment-dividend correlation) saves 0.246 to 0.307 dollar out of an
 additional dollar of operating cash flow. An unconstrained firm saves
 0.024 to 0.101 less dollars. (iii) Firms that have ever issued public debt
 save more cash out of their operating cash flow than firms that have never
 issued public debt. (iv) Omitting net debt and equity issuances from the
 cash regression produces downward-biased cash-cash flow sensitivity
 estimates. 
Journal: Applied Financial Economics 
Pages: 1013-1024 
Issue: 12 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749329 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749329
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:12:p:1013-1024




Template-Type: ReDIF-Article 1.0
Author-Name: Qiwei Chen 
Author-X-Name-First: Qiwei 
Author-X-Name-Last: Chen 
Author-Name: Lisa Jack 
Author-X-Name-First: Lisa 
Author-X-Name-Last: Jack 
Author-Name: Andrew Wood 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Wood 
Title: Tax-loss selling and seasonal effects in the UK 
Abstract:
  We examine monthly seasonal returns for the UK during the period 1955 to
 2003. We identify four distinct tax regimes during which both the
 incentive and ability to tax-loss sell varies. In support of the tax-loss
 selling hypothesis, we find that the relationship between past losses and
 both January and April returns is strongest during tax regimes in which
 the incentives to off-set tax is high and weakest during regimes in which
 the incentive is low. Most intriguingly, our evidence suggests that tax
 reforms introduced in 1998 that had the aim of reducing short-term trading
 have been successful in limiting tax-loss selling by the company sector
 but not for the personal sector. Finally, neither the January nor April
 effect appears to be driven by the size effect. 
Journal: Applied Financial Economics 
Pages: 1027-1035 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600794317 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600794317
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1027-1035




Template-Type: ReDIF-Article 1.0
Author-Name: Tyler J. VanderWeele 
Author-X-Name-First: Tyler J. 
Author-X-Name-Last: VanderWeele 
Title: The volatility effects of nontrading for stock market returns 
Abstract:
  The effect of periods of nontrading on volatility is examined. The
 empirical evidence suggests that volatility is higher on days which follow
 a period of nontrading. A nonparametric kernel regression is used to
 estimate a diffusion model with a volatility term dependent on the number
 of days of prior nontrading. The nonparametric estimates suggest that the
 presence of a prior period of nontrading may increase the volatility as
 much as 35%. A moving blocks bootstrap, taking into account the dependence
 in observations, is used in conjunction with the nonparametric regression
 to show that the differences estimated are statistically significant. 
Journal: Applied Financial Economics 
Pages: 1037-1041 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749261 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749261
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1037-1041




Template-Type: ReDIF-Article 1.0
Author-Name: Burkhard Raunig 
Author-X-Name-First: Burkhard 
Author-X-Name-Last: Raunig 
Title: Are economic tracking portfolios useful for forecasting output and inflation in Austria? 
Abstract:
  We construct economic tracking portfolios from Austrian stock market
 returns, euro/dollar exchange rate changes and changes in the oil price to
 extract revisions of market expectations about future industrial
 production growth and inflation in Austria. The forecasting ability of the
 portfolios is evaluated in-sample and in a pseudo out-of-sample
 forecasting experiment. It turns out that the tracking portfolios track
 both target variables in-sample. The portfolios also help to forecast
 annual industrial production growth out-of-sample. The predictive ability
 of the tracking portfolios for inflation is rather low. 
Journal: Applied Financial Economics 
Pages: 1043-1049 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749246 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749246
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1043-1049




Template-Type: ReDIF-Article 1.0
Author-Name: I.-Yuan Chuang 
Author-X-Name-First: I.-Yuan 
Author-X-Name-Last: Chuang 
Author-Name: Jin-Ray Lu 
Author-X-Name-First: Jin-Ray 
Author-X-Name-Last: Lu 
Author-Name: Pei-Hsuan Lee 
Author-X-Name-First: Pei-Hsuan 
Author-X-Name-Last: Lee 
Title: Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions 
Abstract:
  This article analyses the volatility forecasting performance of the GARCH
 models based on various distributional assumptions in the context of stock
 market indices and exchange rate returns. Using rollover methods to
 construct the out-of-the-sample volatility forecasts, this study shows
 that the GARCH model combined with the logistic distribution, the scaled
 student's t distribution and the Riskmetrics model are preferable both in
 stock markets and foreign exchange markets. The exponential power and the
 mixture of two normal distributions are, however, less recommended.
 Furthermore, a complex distribution does not always outperform a simpler
 one, although the exact ranking depends on the application of underlying
 assets and the performance statistics being used. 
Journal: Applied Financial Economics 
Pages: 1051-1060 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600771000 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600771000
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1051-1060




Template-Type: ReDIF-Article 1.0
Author-Name: Dirk Czarnitzki 
Author-X-Name-First: Dirk 
Author-X-Name-Last: Czarnitzki 
Author-Name: Kornelius Kraft 
Author-X-Name-First: Kornelius 
Author-X-Name-Last: Kraft 
Title: Are credit ratings valuable information? 
Abstract:
  Credit ratings are commonly used by lenders to assess the default risk,
 because every credit is connected with a possible loss. If the probability
 of a default is above a certain threshold, a credit will not be provided.
 The purpose of this study is to test whether credit ratings contribute
 valuable information on the creditworthiness of firms. Employing a large
 sample of Western German manufacturing firms, we investigate loan
 defaults. First, we estimate Probit models with publicly available
 information. Subsequently, we additionally use a credit rating and show
 that it contributes significantly to the regression fit. However, the
 publicly available information has an independent effect aside of the
 ratings. Simple calculations demonstrate that the interest rate has to
 increase significantly to compensate for a possible loss in case of
 default, if a firm has a weak rating. 
Journal: Applied Financial Economics 
Pages: 1061-1070 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749220 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749220
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1061-1070




Template-Type: ReDIF-Article 1.0
Author-Name: Carl B. McGowan 
Author-X-Name-First: Carl B. 
Author-X-Name-Last: McGowan 
Title: Using financial ratios to differentiate domestic and multinational corporations 
Abstract:
  The objective of this empirical study is to determine if multinational
 corporations have statistically different financial characteristics that
 can be used to differentiate the multinational corporations from domestic
 corporations. We find that multinational corporations have higher levels
 for net profit margin, total asset turnover and leverage. However, the
 retention rates for the two groups are not statistically significantly
 different. 
Journal: Applied Financial Economics 
Pages: 1071-1074 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749287 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749287
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1071-1074




Template-Type: ReDIF-Article 1.0
Author-Name: Kevin C. H. Chiang 
Author-X-Name-First: Kevin C. H. 
Author-X-Name-Last: Chiang 
Author-Name: Kirill Kozhevnikov 
Author-X-Name-First: Kirill 
Author-X-Name-Last: Kozhevnikov 
Author-Name: Craig H. Wisen 
Author-X-Name-First: Craig H. 
Author-X-Name-Last: Wisen 
Title: Nonfundamentals and value returns 
Abstract:
  The study examines additions to and deletions from the Russell Value
 Index and the Russell 2000 Growth Index. The study documents stronger
 comovement in value reconstitutions relative to growth reconstitutions.
 This result is consistent with the hypothesis that nonfundamental
 comovement is related to the common factor in value stock returns. The
 mechanism of causality is difficult to determine, however; trade demand,
 firm characteristics and information diffusion are presented as potential
 sources that could explain why comovement of small to mid-cap value stocks
 is greater than the comovement of small to mid-cap growth stocks. 
Journal: Applied Financial Economics 
Pages: 1075-1083 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749360 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749360
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1075-1083




Template-Type: ReDIF-Article 1.0
Author-Name: Chikashi Tsuji 
Author-X-Name-First: Chikashi 
Author-X-Name-Last: Tsuji 
Title: What macro-innovation risks really are priced in Japan? 
Abstract:
  This article examines whether specified macroeconomic and macro-financial
 market variables innovations carry risks that are rewarded in the Japanese
 stock market by a restricted nonlinear multivariate regression model. We
 find that not all macroeconomic variables priced in the United States are
 priced in Japan. In addition, we also find, for the first time, that two
 additional macro-factors, namely the innovations in money supply and in
 gold and foreign exchange reserves, are strongly priced in Japan.
 Furthermore, neither market portfolio nor oil price variables are priced
 separately, as with the evidence from the United States. However,
 differently from previous US results, we find that innovations in
 aggregate real per capita consumption are weakly priced in Japan. 
Journal: Applied Financial Economics 
Pages: 1085-1099 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749345 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749345
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1085-1099




Template-Type: ReDIF-Article 1.0
Author-Name: Khelifa Mazouz 
Author-X-Name-First: Khelifa 
Author-X-Name-Last: Mazouz 
Author-Name: Xiafei Li 
Author-X-Name-First: Xiafei 
Author-X-Name-Last: Li 
Title: The overreaction hypothesis in the UK market: empirical analysis 
Abstract:
  This article tests the overreaction hypothesis using data from the UK
 stock market. The study covers a period of 30 years (from 1973 to 2002).
 The results initially seem to be consistent with the overreaction
 hypothesis and no obvious seasonal pattern can be identified. Our results
 do not depend on whether buy-and-hold returns (BHR) or cumulative abnormal
 returns (CAR) used to compute the returns of the arbitrage portfolio. The
 overreaction phenomenon is still observable even after controlling for the
 size effect and the time-varying nature of risk. 
Journal: Applied Financial Economics 
Pages: 1101-1111 
Issue: 13 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749303 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749303
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1101-1111




Template-Type: ReDIF-Article 1.0
Author-Name: Karl Ludwig Keiber 
Author-X-Name-First: Karl Ludwig 
Author-X-Name-Last: Keiber 
Title: Reconsidering the impossibility of informationally efficient markets 
Abstract:
  This article reconsiders Grossman and Stiglitz's (1980) analysis and
 delivers a comparative static result which the original exhibition misses.
 In detail, an increase of the payoff of the risk-free security is reported
 to affect the informativeness of the rational expectations equilibrium
 adversely. Furthermore, contrary to Grossman and Stiglitz (1980) both the
 noisy rational expectations equilibrium and the equilibrium in the market
 for information are characterized explicitly as functions of the
 underlying economy's parameters. The incompatibility of a fully revealing
 rational expectations equilibrium and costly acquisition of private
 information is obtained by means of an argument borrowed from linear
 regression theory. 
Journal: Applied Financial Economics 
Pages: 1113-1122 
Issue: 14 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600892871 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600892871
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1113-1122




Template-Type: ReDIF-Article 1.0
Author-Name: Bradley Ewing 
Author-X-Name-First: Bradley 
Author-X-Name-Last: Ewing 
Author-Name: Mark Thompson 
Author-X-Name-First: Mark 
Author-X-Name-Last: Thompson 
Author-Name: Mark Yanochik 
Author-X-Name-First: Mark 
Author-X-Name-Last: Yanochik 
Title: Using volume to forecast stock market volatility around the time of the 1929 crash 
Abstract:
  This article explores the role of trading volume in making out-of-sample
 forecasts of stock market volatility around the time of the 24 October
 1929 crash. Following the recent literature on volatility forecasting, we
 compare the performance of symmetric and asymmetric GARCH-class models.
 Moreover, as the volume-volatility relationship is now well established
 for modern day markets, we also consider the performance of these models
 when volume is allowed to enter the conditional variance equation. Given
 the institutional evidence that trading volume was beginning to take on an
 increasingly important role in the eyes of investors and market regulators
 during the last part of the 1920s, this is a particularly insightful
 endeavour. Generally speaking, the volatility models with trading volume
 provided the best volatility forecasts after 'Black Thursday'. 
Journal: Applied Financial Economics 
Pages: 1123-1128 
Issue: 14 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600794309 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600794309
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1123-1128




Template-Type: ReDIF-Article 1.0
Author-Name: Karl Pinno 
Author-X-Name-First: Karl 
Author-X-Name-Last: Pinno 
Author-Name: Apostolos Serletis 
Author-X-Name-First: Apostolos 
Author-X-Name-Last: Serletis 
Title: Financial structure and economic growth: the role of heterogeneity 
Abstract:
  In this article we use Bayesian classification and finite mixture models
 to extract information from Levine's (2002) cross-country database and
 reconsider the relationship between financial structure and long-run
 economic growth. Our methods, based on statistical similarities and
 multi-dimensional structures, allow for parameter heterogeneity across the
 countries in Levine's database and yield substantially different findings
 than Levine's regarding the relationship between financial structure and
 economic performance. 
Journal: Applied Financial Economics 
Pages: 1129-1139 
Issue: 14 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600749238 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600749238
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1129-1139




Template-Type: ReDIF-Article 1.0
Author-Name: Joao Teixeira 
Author-X-Name-First: Joao 
Author-X-Name-Last: Teixeira 
Title: An empirical analysis of structural models of corporate debt pricing 
Abstract:
  This article tests empirically the performance of three structural models
 of corporate bond pricing, namely Merton (1974), Leland (1994) and Fan and
 Sundaresan (2000). While the first two models overestimate bond prices,
 the Fan and Sundaresan model exhibits an impressively good performance.
 When considering the prediction of credit spreads, the three models
 underestimate market spreads but, again, Fan and Sundaresan performs
 better. We find rating, maturity and asset volatility effects in the
 prediction power, as the models underestimate less the spreads of riskier
 firms and of bonds with better rating quality and longer maturity.
 Moreover, our results reveal the existence of a new industry effect.
 Spread errors are systematically related to some bond- and firm-specific
 variables, as well as term structure variables. 
Journal: Applied Financial Economics 
Pages: 1141-1165 
Issue: 14 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600770994 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600770994
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1141-1165




Template-Type: ReDIF-Article 1.0
Author-Name: Juan Matallin-Saez 
Author-X-Name-First: Juan 
Author-X-Name-Last: Matallin-Saez 
Title: Portfolio performance: factors or benchmarks? 
Abstract:
  The suitability of using factors or benchmarks to measure portfolio
 performance is analysed. Fama and French factors are constructed from
 Russell US stock indexes and then directly utilized as benchmarks. The
 interpretation of factors as zero-investment benchmarks makes it difficult
 to explain performance measurement as the comparison of active versus
 passive management, given the short selling restrictions often applied to
 mutual funds. Empirical results reveal similar biases in extended Jensen's
 alphas in models with both factors and with benchmarks and with convexity
 and nonnegativity restrictions. Selection of the benchmarks has a more
 important effect than the model type chosen. 
Journal: Applied Financial Economics 
Pages: 1167-1178 
Issue: 14 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600771026 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600771026
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1167-1178




Template-Type: ReDIF-Article 1.0
Author-Name: Sandra Cohen 
Author-X-Name-First: Sandra 
Author-X-Name-Last: Cohen 
Author-Name: Afroditi Papadaki 
Author-X-Name-First: Afroditi 
Author-X-Name-Last: Papadaki 
Author-Name: Georgia Siougle 
Author-X-Name-First: Georgia 
Author-X-Name-Last: Siougle 
Title: SEOs in a 'Hot Market': evidence of timing 
Abstract:
  This study analyses the financing decision of raising equity through a
 rights issue in a developing market, the Athens Stock Exchange (ASE),
 during a particular emerging period. Specifically, this study examines the
 information content of accounting items derived from published financial
 statements the year prior to a 'hot' period in explaining post-issue stock
 price performance. We are using data from listed companies in the ASE
 during the 'hot period' of year 1999 when stock prices burst and an
 unusual large number of seasoned equity offerings (SEOs) took place. Our
 empirical results do not verify a statistically significant relationship
 between discretionary accruals in the year preceding the issue and
 post-issue stock returns. Moreover, historical accounting items do not
 provide value relevant information and cannot be used to explain
 post-issue stock returns. Market trend prior to the issuing is proved to
 be the only significant variable in explaining post SEO returns. The
 overall findings are in line with the market timing theory which claims
 that managers just time their equity issues in an upward moving market in
 order to increase the offering proceeds. 
Journal: Applied Financial Economics 
Pages: 1179-1190 
Issue: 14 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600870984 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600870984
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1179-1190




Template-Type: ReDIF-Article 1.0
Author-Name: Konstantinos Drakos 
Author-X-Name-First: Konstantinos 
Author-X-Name-Last: Drakos 
Author-Name: Christos Kallandranis 
Author-X-Name-First: Christos 
Author-X-Name-Last: Kallandranis 
Title: Investment and cash flow: evidence for asymmetries in European manufacturing 
Abstract:
  An 'excess sensitivity' of investment to internal funds (cash flow) is
 typically interpreted as evidence for the presence of financing
 constraints. Building on this, we empirically investigate the possibility
 of an asymmetric response of investment to the availability of internal
 funds across expectation states. According to our results the impact of
 cash flow on investment spending is exacerbated during periods of
 'pessimism'. Finally, allowing for both potential sources of asymmetries
 (across different states of expectations and the business cycle) our
 results indicate that both sources are significant, with the
 expectations-driven asymmetry being significantly deeper highlighting the
 paramount role of expectations. 
Journal: Applied Financial Economics 
Pages: 1191-1200 
Issue: 14 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600843890 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600843890
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1191-1200




Template-Type: ReDIF-Article 1.0
Author-Name: Gunther Capelle-Blancard 
Author-X-Name-First: Gunther 
Author-X-Name-Last: Capelle-Blancard 
Author-Name: Mo Chaudhury 
Author-X-Name-First: Mo 
Author-X-Name-Last: Chaudhury 
Title: Price clustering in the CAC 40 index options market 
Abstract:
  We examine in details the pattern and systematic tendencies of clustering
 in CAC 40 index option transaction prices during the period 1997 to 1999.
 Similar to extant studies in many financial markets, there is evidence of
 strong clustering at full index points and option prices are 90% more
 likely to end with the digit 0 (multiples of 10) than with the digit 5.
 While the 1999 contract downsizing led to some reduction in clustering at
 full index point, the basic pattern of clustering remains intact. The
 pattern of clustering rejects the attraction theory, but is consistent
 with the notion of cost recovery by market makers. We find important
 drivers for CAC 40 index option price clustering, namely, the level of
 option premium, option volume and underlying asset volatility. Higher
 premium level, higher asset volatility and lower volume are seen to
 increase option price clustering. We also observe a U-shaped pattern of
 clustering on an intra-day and intra-year basis. The option premium and
 volatility effects are consistent with a price level effect. The
 volatility effect also lends support to the notion of cost recovery by
 market makers. The volume effect likely represents a liquidity effect and
 is consistent with the Price Precision Hypothesis. 
Journal: Applied Financial Economics 
Pages: 1201-1210 
Issue: 15 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600949218 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600949218
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1201-1210




Template-Type: ReDIF-Article 1.0
Author-Name: Xiaoquan Liu 
Author-X-Name-First: Xiaoquan 
Author-X-Name-Last: Liu 
Title: Returns to trading portfolios of FTSE 100 index options 
Abstract:
  It has been argued that the persistent mispricing of options, especially
 the overpricing of out-of-money put options, is a major reason for the
 often observed negative skewness in the risk-neutral price distributions
 of equity indices. This article investigates whether the Financial Times
 Stock Exchange 100 Shares index put options are overpriced compared with
 call options of the same moneyness and, if they are, whether this gives
 rise to profit opportunities in the market. By testing the weekly returns
 to delta and vega neutral portfolios with long positions in put options
 and short positions in call options, we find that the returns are
 consistently negative. However, short selling the portfolios is unlikely
 to give arbitrage profits due to the bid--ask spread. 
Journal: Applied Financial Economics 
Pages: 1211-1225 
Issue: 15 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600905079 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600905079
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1211-1225




Template-Type: ReDIF-Article 1.0
Author-Name: Henry Collier 
Author-X-Name-First: Henry 
Author-X-Name-Last: Collier 
Author-Name: Timothy Grai 
Author-X-Name-First: Timothy 
Author-X-Name-Last: Grai 
Author-Name: Steve Haslitt 
Author-X-Name-First: Steve 
Author-X-Name-Last: Haslitt 
Author-Name: Carl McGowan 
Author-X-Name-First: Carl 
Author-X-Name-Last: McGowan 
Title: Computing the divisional cost of capital using the pure-play method 
Abstract:
  The cost of capital model is used to calculate the net present value
 (NPV) of projects within a multi-unit corporation but may provide
 incorrect answers for projects that have a level of risk that differs from
 the overall average risk level for the corporation. We demonstrate the use
 of the pure-play method for calculating the required rate of return for a
 division of a corporation that has risk characteristics that differ from
 the risk characteristics of the overall corporation. We apply this
 methodology to the Integrated Electronic Systems Segment (IESS) of the
 Motorola Corporation. We find that the IESS division cost of capital of is
 9.3% rather than the 12.3% cost of capital for the corporation as a whole. 
Journal: Applied Financial Economics 
Pages: 1227-1231 
Issue: 15 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600970065 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600970065
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1227-1231




Template-Type: ReDIF-Article 1.0
Author-Name: M. Mark Walker 
Author-X-Name-First: M. Mark 
Author-X-Name-Last: Walker 
Author-Name: Chi-Sheng Hsu 
Author-X-Name-First: Chi-Sheng 
Author-X-Name-Last: Hsu 
Title: Strategic objectives, industry structure and the long-term stock price performance of acquiring and rival firms 
Abstract:
  An acquiring firm's strategic objective and post-acquisition stock price
 performance are determined, at least in part, by the industry's outlook
 and structure, and by the acquiring firm's market position. Acquiring-firm
 managers are more likely to acquire a related target firm when the
 industry outlook is favourable, the four-firm concentration ratio is low,
 and the firm is a major competitor. Related acquisitions by industry
 leaders are the most successful in terms of increasing acquiring-firm
 shareholder wealth. However, we find no evidence that acquiring firms
 systematically gain a competitive advantage over rival firms, when the
 rival firms are classified by size and competitive position. 
Journal: Applied Financial Economics 
Pages: 1233-1244 
Issue: 15 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600905095 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600905095
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1233-1244




Template-Type: ReDIF-Article 1.0
Author-Name: Abdulnasser Hatemi-J 
Author-X-Name-First: Abdulnasser 
Author-X-Name-Last: Hatemi-J 
Author-Name: Bryan Morgan 
Author-X-Name-First: Bryan 
Author-X-Name-Last: Morgan 
Title: Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility 
Abstract:
  Due to increasing globalization and its potential benefits, many emerging
 markets have introduced capital liberalization policies to attract much
 needed foreign direct investment. The objective of this article is to
 empirically investigate whether the conducted deregulation policies
 resulted in greater integration of emerging financial markets with the
 world market. For this purpose, a novel method introduced by Hatemi-J and
 Hacker (2005) is utilized to calculate the parameters as well as to test
 the significance of these parameters. This method is shown to be robust to
 nonnormality and time-varying volatility that usually characterize
 financial data and therefore it can provide more accurate inference
 compared to other methods. We find that only four of 17 emerging markets
 have become more integrated with the world market after implementing the
 liberalization policy. 
Journal: Applied Financial Economics 
Pages: 1245-1250 
Issue: 15 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600915243 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600915243
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1245-1250




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Fildes 
Author-X-Name-First: Robert 
Author-X-Name-Last: Fildes 
Author-Name: Gary Madden 
Author-X-Name-First: Gary 
Author-X-Name-Last: Madden 
Author-Name: Joachim Tan 
Author-X-Name-First: Joachim 
Author-X-Name-Last: Tan 
Title: Optimal forecasting model selection and data characteristics 
Abstract:
  Selection protocols such as Box-Jenkins, variance analysis, method
 switching and rules-based forecasting measure data characteristics and
 incorporate them in models to generate best forecasts. These protocol
 selection methods are judgemental in application and often select a single
 (aggregate) model to forecast a collection of series. An alternative is to
 apply individually selected models for to series. A multinomial logit
 (MNL) approach is developed and tested on Information and communication
 technology share price data. The results suggest the MNL model has the
 potential to predict the best forecast method based on measurable data
 characteristics. 
Journal: Applied Financial Economics 
Pages: 1251-1264 
Issue: 15 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600905061 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600905061
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1251-1264




Template-Type: ReDIF-Article 1.0
Author-Name: Nuttawat Visaltanachoti 
Author-X-Name-First: Nuttawat 
Author-X-Name-Last: Visaltanachoti 
Author-Name: Hang Luo 
Author-X-Name-First: Hang 
Author-X-Name-Last: Luo 
Author-Name: Lin Lu 
Author-X-Name-First: Lin 
Author-X-Name-Last: Lu 
Title: Holding periods, illiquidity and disposition effect in the Chinese stock markets 
Abstract:
  This article examines the relation between average holding periods, stock
 illiquidity and investors' disposition effects in the Chinese stock
 markets between 1996 and 2003. The results show that Chinese investors'
 holding periods are longer for illiquid stocks and are inversely
 associated with past stock returns. Both relations are prevalent in the
 Shanghai and the Shenzhen A-share stock markets, which are dominated by
 individual investors. Nonetheless, relatively weak evidence is found in
 regards to the disposition effect in the B-shares markets, which are
 dominated by institutional investors. 
Journal: Applied Financial Economics 
Pages: 1265-1274 
Issue: 15 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600905053 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600905053
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1265-1274




Template-Type: ReDIF-Article 1.0
Author-Name: Renhai Hua 
Author-X-Name-First: Renhai 
Author-X-Name-Last: Hua 
Author-Name: Baizhu Chen 
Author-X-Name-First: Baizhu 
Author-X-Name-Last: Chen 
Title: International linkages of the Chinese futures markets 
Abstract:
  The Chinese futures markets are among the fastest growing futures markets
 in the world. In terms of trading volume, the Chinese soybean futures
 market is the world's second largest, while China's copper and aluminum
 futures markets are the third largest in the world. The size of the
 Chinese futures markets, however, is not matched by the academic research
 on them. This article is the first to study the relationship between the
 Chinese and world futures markets of copper, aluminum, soybean and wheat,
 using Johansen's cointegration test, error correction model, the Granger
 causality test and impulse response analyses. We find that the futures
 prices in the Shanghai Futures Exchange are cointegrated with the futures
 prices on the London Metal Exchange (LME) for copper and aluminum. We also
 find that a cointegration relationship exists for Dalian Commodity
 Exchange and Chicago Board of Trade (CBOT) soybean futures prices, but no
 such relationship for Zhengzhou Commodity Exchange and CBOT wheat futures
 prices. We further find that while LME has a bigger impact on Shanghai
 copper and aluminum futures and CBOT a bigger impact on Dalian soybean
 futures, the Chinese futures markets also have a feedback impact on LME
 and CBOT futures. 
Journal: Applied Financial Economics 
Pages: 1275-1287 
Issue: 16 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600735302 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600735302
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1275-1287




Template-Type: ReDIF-Article 1.0
Author-Name: Oliver Schnusenberg 
Author-X-Name-First: Oliver 
Author-X-Name-Last: Schnusenberg 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Kimberly Gleason 
Author-X-Name-First: Kimberly 
Author-X-Name-Last: Gleason 
Title: The effect of country risk ratings on market returns 
Abstract:
  Studies have found that bond ratings can affect the stock prices of
 individual companies. These studies suggest that investors rely on third
 parties when valuing companies. Our goal is to determine whether ratings
 have a similar influence on a country's valuation. We assess the country
 ratings of Coface Group, which indicate the general sensitivity of
 companies to the business, financial and political outlook of a country.
 Given the proliferation of country index funds, investors could easily
 revise top down asset allocation in response to ratings changes. We find
 that country stock market valuations are not affected by changes in
 country ratings. While country ratings may still be useful in signalling
 potential debt coverage or political problems, they do not appear to
 influence investor valuations of country stock markets. 
Journal: Applied Financial Economics 
Pages: 1289-1299 
Issue: 16 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600993786 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993786
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1289-1299




Template-Type: ReDIF-Article 1.0
Author-Name: Carlos Alves 
Author-X-Name-First: Carlos 
Author-X-Name-Last: Alves 
Author-Name: Victor Mendes 
Author-X-Name-First: Victor 
Author-X-Name-Last: Mendes 
Title: Are mutual fund investors in jail? 
Abstract:
  The absence of investor reaction to the poor performance of mutual funds
 is a widely reported phenomenon. This article investigates the role of
 load costs as an explanation for the phenomenon and concludes that
 back-end load fees are an obstacle to reaction. We found evidence
 consistent with the hypothesis that medium and long-term investors do not
 react to poor performances due to the fact that they are 'imprisoned' by
 back-end load fees. 
Journal: Applied Financial Economics 
Pages: 1301-1312 
Issue: 16 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600970073 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600970073
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1301-1312




Template-Type: ReDIF-Article 1.0
Author-Name: J. Cunado 
Author-X-Name-First: J. 
Author-X-Name-Last: Cunado 
Author-Name: L. A. Gil-Alana 
Author-X-Name-First: L. A. 
Author-X-Name-Last: Gil-Alana 
Author-Name: F. Perez de Gracia 
Author-X-Name-First: F. Perez 
Author-X-Name-Last: de Gracia 
Title: Testing for stock market bubbles using nonlinear models and fractional integration 
Abstract:
  In this article we test for bubbles in the S&P 500 stock market index
 using monthly data over the period 1871m1-2004m6. We use fractional
 integration techniques, allowing for structural breaks and a nonlinear
 adjustment process of prices to dividends. We find a significant
 structural break around 1932, a period in which the stock market began
 rising again after the market crash of 1929. Furthermore, we do not find
 evidence of asymmetric adjustment of prices to dividends when using both
 momentum-threshold autoregressive and threshold autoregressive models.
 Finally, we cannot reject the hypothesis of orders of integration equal to
 or higher than one and thus, we find support for the existence of bubbles
 in the S&P 500 stock market index. 
Journal: Applied Financial Economics 
Pages: 1313-1321 
Issue: 16 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600970081 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600970081
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1313-1321




Template-Type: ReDIF-Article 1.0
Author-Name: Per-Olof Bjuggren 
Author-X-Name-First: Per-Olof 
Author-X-Name-Last: Bjuggren 
Author-Name: Johan Eklund 
Author-X-Name-First: Johan 
Author-X-Name-Last: Eklund 
Author-Name: Daniel Wiberg 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Wiberg 
Title: Ownership structure, control and firm performance: the effects of vote-differentiated shares 
Abstract:
  This article contributes to the literature on ownership, control and
 performance by exploring these relationships for Swedish listed companies
 (1997-2002). We find that firms, on average, are making inferior
 investment decisions and that the use of dual-class shares have a negative
 effect on performance. Marginal q is used as a measure of economic
 performance. It was presented in an article by Mueller and Reardon in 1993
 and has recently been used in empirical studies of ownership and
 performance by, among others, Gugler and Yurtoglu (2003). Frequently
 Tobin's q is used in studies of this type, but Tobin's q has a number of
 disadvantages which can be circumvented by employing a marginal q. This
 study adds to earlier studies by investigating how the separation of vote
 and capital shares' creates a wedge between the incentives and the ability
 to pursue value-maximization. The relationships between the performance
 and different ownership characteristics like ownership concentration and
 foreign ownership are also investigated. 
Journal: Applied Financial Economics 
Pages: 1323-1334 
Issue: 16 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600993737 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993737
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1323-1334




Template-Type: ReDIF-Article 1.0
Author-Name: Murat Aydogdu 
Author-X-Name-First: Murat 
Author-X-Name-Last: Aydogdu 
Author-Name: Chander Shekhar 
Author-X-Name-First: Chander 
Author-X-Name-Last: Shekhar 
Author-Name: Violet Torbey 
Author-X-Name-First: Violet 
Author-X-Name-Last: Torbey 
Title: Shell companies as IPO alternatives: an analysis of trading activity around reverse mergers 
Abstract:
  While shell companies are convenient vehicles for small private firms to
 go public via a reverse merger, they are also often mentioned in the
 popular press in conjunction with stock price manipulation. Recently the
 Securities and Exchange Commission (SEC) has imposed stricter rules on
 these companies to speed up disclosure of financial information and curb
 potential abuses. Our article looks at the trading activity around reverse
 mergers. Clearly, the merger is taken as significant news as the trading
 activity increases immediately following the merger announcement. This
 observation suggests that the SEC may have had good reason to speed up the
 required filings and provide timely information to the public. We find
 sporadic, but statistically significant positive returns surrounding the
 merger reflecting the increase in value of the shell companies that is
 also evidenced in the (statistically insignificant) positive CARs
 following merger announcements. However, our results do not show any
 evidence of persistent insider trading or price manipulation in these
 stocks. 
Journal: Applied Financial Economics 
Pages: 1335-1347 
Issue: 16 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600993752 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993752
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1335-1347




Template-Type: ReDIF-Article 1.0
Author-Name: Qian Su 
Author-X-Name-First: Qian 
Author-X-Name-Last: Su 
Author-Name: Terence Tai-Leung Chong 
Author-X-Name-First: Terence Tai-Leung 
Author-X-Name-Last: Chong 
Author-Name: Isabel Kit-Ming Yan 
Author-X-Name-First: Isabel Kit-Ming 
Author-X-Name-Last: Yan 
Title: On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares 
Abstract:
  This article explores the potential existence of comovements between the
 stock prices in Mainland China and Hong Kong. The cointegration test shows
 that the prices of a substantial number of A shares and H shares have
 started to cointegrate with each other after the launch of the Closer
 Economic Partnership Arrangement in recent years. This confirms the role
 of increased financial openness in accounting for the stock market
 comovements between Mainland China and Hong Kong. 
Journal: Applied Financial Economics 
Pages: 1349-1357 
Issue: 16 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600993760 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993760
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1349-1357




Template-Type: ReDIF-Article 1.0
Author-Name: Choong Tze Chua 
Author-X-Name-First: Choong Tze 
Author-X-Name-Last: Chua 
Author-Name: Winston Koh 
Author-X-Name-First: Winston 
Author-X-Name-Last: Koh 
Title: Measuring investment skills of fund managers 
Abstract:
  This article concerns the measurement of the investment skills of fund
 managers. A method is proposed that allows for a measurement and
 comparison of fund managers' performance across time and asset portfolios.
 The measure, the 'Excess Sharpe Ratio' (ESR) involves the construction of
 an appropriate benchmark for each fund manager, and then computing the
 difference between the Sharpe ratio of the manager and that of the
 benchmark. This procedure allows for a consistent measure of a manager's
 investment performance with respect to the relevant asset classes that the
 manager can invest in at any point in time. Using this measure, it is
 possible to detect significant persistence of managerial skills of up to
 11 years. Also, new light is shed on the relationship of expenses to gross
 returns-even though firms with higher expenses have higher average gross
 returns, they in fact achieve this through higher risk-taking. Therefore,
 their ESR scores and Sharpe ratios are lower than firms with lower
 expenses. 
Journal: Applied Financial Economics 
Pages: 1359-1368 
Issue: 16 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500447586 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447586
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1359-1368




Template-Type: ReDIF-Article 1.0
Author-Name: James Payne 
Author-X-Name-First: James 
Author-X-Name-Last: Payne 
Title: Interest rate pass through and asymmetries in adjustable rate mortgages 
Abstract:
  This study extends the recent work on interest rate pass through from the
 federal funds rate to mortgage rates. The Enders-Siklos (2001) momentum
 threshold autoregressive (MTAR) model is used to test for cointegration
 and asymmetric adjustment in adjustable rate mortgages for newly built and
 previously owned homes over the federal funds targeting period 1987:2 to
 2005:6. Based on the MTAR specification, the respective adjustable rate
 mortgages and the federal funds rate are cointegrated but with incomplete
 interest rate pass through. The results also indicate asymmetries in the
 response of the adjustable rates to changes in the federal funds rate. 
Journal: Applied Financial Economics 
Pages: 1369-1376 
Issue: 17 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100601018872 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018872
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:17:p:1369-1376




Template-Type: ReDIF-Article 1.0
Author-Name: Nikola Gradojevic 
Author-X-Name-First: Nikola 
Author-X-Name-Last: Gradojevic 
Title: A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s 
Abstract:
  This article analyses two sudden depreciations of the Canadian dollar in
 the 1990s: July/August 1998 and November/December 1994. It is found that a
 nonparametric exchange rate model based on a combination of fundamental
 and microstructure (order flow) variables can be used not only to explain,
 but to also predict such excessive currency movements. During the
 depreciation periods, the forecast accuracy of the model is significantly
 superior to that of the linear model. The results provide an illustrative
 example that order flow variables have a substantial explanatory power for
 a very short-run exchange rate prediction. 
Journal: Applied Financial Economics 
Pages: 1377-1387 
Issue: 17 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100601018807 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018807
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:17:p:1377-1387




Template-Type: ReDIF-Article 1.0
Author-Name: Karyl Leggio 
Author-X-Name-First: Karyl 
Author-X-Name-Last: Leggio 
Author-Name: Stephen Pruitt 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Pruitt 
Title: A naturally controlled experiment of managerial transition: sprint corporation's transfer of Len Lauer from President of FON to President of PCS 
Abstract:
  This study presents an analysis of Len Lauer's transfer from the
 presidency of Sprint's FON division to the presidency of its PCS division.
 By examining the unique nature of Sprint's dual tracking stocks, the study
 analyses what was perhaps the most perfectly controlled study possible
 involving a change in top management. The results suggest that Lauer's
 transfer to PCS (from FON) was accompanied by striking increases
 (decreases) in shareholder wealth. 
Journal: Applied Financial Economics 
Pages: 1389-1392 
Issue: 17 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100601018880 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018880
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:17:p:1389-1392




Template-Type: ReDIF-Article 1.0
Author-Name: Syed Basher 
Author-X-Name-First: Syed 
Author-X-Name-Last: Basher 
Author-Name: M. Kabir Hassan 
Author-X-Name-First: M. Kabir 
Author-X-Name-Last: Hassan 
Author-Name: Anisul Islam 
Author-X-Name-First: Anisul 
Author-X-Name-Last: Islam 
Title: Time-varying volatility and equity returns in Bangladesh stock market 
Abstract:
  This article empirically examines the time-varying risk return
 relationship and the impact of institutional factors such as circuit
 breaker on volatility for the emerging equity market of Bangladesh [namely
 The Dhaka Stock Exchange (DSE)] using daily and weekly stock returns. The
 DSE equity returns show negative skewness, excess kurtosis and deviation
 from normality. The returns display significant serial correlation
 suggesting stock market inefficiency. The results also show a significant
 relationship between conditional volatility and stock returns, but the
 risk-return parameter is found to be sensitive to choice of samples and
 frequencies of data. Overall, the coefficient of the risk-return parameter
 is negative and statistically significant. While this result is not
 consistent with the portfolio theory, it is possible theoretically in
 emerging markets as investors may not demand higher risk premia if they
 are better able to bear risk at times of particular volatility (Glosten et
 al., 1993). While lock-in did not have any overall impact on stock
 volatility, the imposition of a circuit breaker has contributed
 significantly to the volatility of realized returns. As a policy to
 improve the operation of capital market timely disclosure and
 dissemination of information to the shareholders and investors on the
 performance of listed companies should be emphasized. 
Journal: Applied Financial Economics 
Pages: 1393-1407 
Issue: 17 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600771034 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600771034
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:17:p:1393-1407




Template-Type: ReDIF-Article 1.0
Author-Name: Ming-Shiun Pan 
Author-X-Name-First: Ming-Shiun 
Author-X-Name-Last: Pan 
Author-Name: L. Paul Hsueh 
Author-X-Name-First: L. Paul 
Author-X-Name-Last: Hsueh 
Title: International momentum effects: a reappraisal of empirical evidence 
Abstract:
  This article examines profits from momentum strategies when applied to
 national stock market indexes. The empirical results based on the stock
 market indexes of 12 European countries and the United States show
 significant momentum profits. However, our analysis also suggests that the
 international momentum effect may simply be an empirical illusion due to
 the use of overlapping data. Specifically, the international momentum
 effect disappears when the analysis is conducted on nonoverlapping data.
 Our analysis shows that the international momentum effect, if exists, is
 mainly driven by national stock market indexes' return autocovariances.
 However, we find no or little evidence of significant serial correlations
 in returns for each of the stock market indexes, thereby leading further
 support to the finding that international momentum effects may not exist. 
Journal: Applied Financial Economics 
Pages: 1409-1420 
Issue: 17 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100601018799 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018799
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:17:p:1409-1420




Template-Type: ReDIF-Article 1.0
Author-Name: Twm Evans 
Author-X-Name-First: Twm 
Author-X-Name-Last: Evans 
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Title: Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence 
Abstract:
  This article seeks to examine the forecasting performance of nine
 competing models for daily volatility for stock market returns of 33
 economies. Whilst volatility is an important variable in many financial
 applications including those relating to areas of risk management there
 exits little consensus with regard to the most appropriate model. The
 results of this article seek to bring some closure to the debate. Our
 results suggest that in 70% of our cases the GARCH-class of model provide
 the best forecasts and in particular models that account for either
 asymmetry or long-memory dynamics. Outwith the GARCH-class, the moving
 average model provides reasonable forecasts. 
Journal: Applied Financial Economics 
Pages: 1421-1430 
Issue: 17 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100601007149 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601007149
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:17:p:1421-1430




Template-Type: ReDIF-Article 1.0
Author-Name: Tomoe Moore 
Author-X-Name-First: Tomoe 
Author-X-Name-Last: Moore 
Title: Has entry to the European Union altered the dynamic links of stock returns for the emerging markets? 
Abstract:
  This article investigates the impact of the entry to the European Union
 (EU) on the dynamic links between the stock market indices of Czech
 Republic, Hungary, Poland and Slovakia vs. those of the euro-zone by
 utilizing the international version of the feedback-trading model. Prior
 to entry, there was evidence of feedback trading with the euro-zone,
 however, this disappeared in the post-entry period with the exception of
 Slovakia. Evidence appears to demonstrate the emergence of financial
 integration of these transition economies within the EU. 
Journal: Applied Financial Economics 
Pages: 1431-1446 
Issue: 17 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600993794 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993794
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:17:p:1431-1446




Template-Type: ReDIF-Article 1.0
Author-Name: Nickolaos Tsangarakis 
Author-X-Name-First: Nickolaos 
Author-X-Name-Last: Tsangarakis 
Title: The day-of-the-week effect in the Athens Stock Exchange (ASE) 
Abstract:
  This study examines the day-of-the-week effect in the ASE for the period
 1981 to 2002. Findings reveal that the day-of-the-week effect is not a
 dominant phenomenon. There is no systematic pattern across the days of the
 week suggesting that investors may have improved risk pricing. 
Journal: Applied Financial Economics 
Pages: 1447-1454 
Issue: 17 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600675540 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600675540
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:17:p:1447-1454




Template-Type: ReDIF-Article 1.0
Author-Name: Kate Phylaktis 
Author-X-Name-First: Kate 
Author-X-Name-Last: Phylaktis 
Author-Name: Antonis Aristidou 
Author-X-Name-First: Antonis 
Author-X-Name-Last: Aristidou 
Title: Security transaction taxes and financial volatility: Athens stock exchange 
Abstract:
  The study examines the effects of security transaction tax on volatility.
 It focuses on whether the tax has a greater effect on highly traded stocks
 since it penalizes entering and exiting the market and on whether it
 depends on the state of the stock market. The results highlight the
 differential effect of transaction tax on volatility during bear and bull
 periods casting doubts on the findings of previous studies, which did not
 allow for that. The effects are stronger for highly traded stocks and
 during bull periods but volatility increases instead of falling as
 intended by the proponents of transaction taxes. 
Journal: Applied Financial Economics 
Pages: 1455-1467 
Issue: 18 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600972426 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600972426
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:18:p:1455-1467




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Kremer 
Author-X-Name-First: Robert 
Author-X-Name-Last: Kremer 
Author-Name: Sherrill Shaffer 
Author-X-Name-First: Sherrill 
Author-X-Name-Last: Shaffer 
Title: Improving the accuracy of forward exchange rate forecasts by correcting for prior bias 
Abstract:
  Using several samples of forward exchange rate forecasts for the British
 pound vs. the US dollar, this article explores the post-sample predictive
 performance of adjusting the forecasts for recent empirical bias.
 Numerical accuracy is assessed via both parametric and nonparametric
 tests, and directional properties are also evaluated. The evidence
 suggests that simple linear adjustments can yield significant improvements
 in predictive accuracy, even if the measured bias in the original
 forecasts is not statistically significant. 
Journal: Applied Financial Economics 
Pages: 1469-1478 
Issue: 18 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100601007164 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601007164
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:18:p:1469-1478




Template-Type: ReDIF-Article 1.0
Author-Name: Andreas Behr 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Behr 
Title: A rolling MTAR model to test for efficient stock pricing and asymmetric adjustment 
Abstract:
  The paper is concerned with the question of whether the pricing of US
 stocks has been efficient in terms of the present value model. The MTAR
 model used in the context of market efficiency is extended by means of a
 rolling window estimation strategy. This rolling MTAR analysis revealed
 that the assumed underlying time series process in the logarithm of
 earnings to stock-price ratio is highly unstable over time. The findings
 cast doubt on the usefulness of conclusions relating to extended time
 periods of about 130 years. Because of the rolling MTAR approach, it is
 possible to reveal decades of inefficient stock pricing as well as decades
 of assymetrical time series behaviour. 
Journal: Applied Financial Economics 
Pages: 1479-1487 
Issue: 18 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100500426424 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426424
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:18:p:1479-1487




Template-Type: ReDIF-Article 1.0
Author-Name: Boyce Watkins 
Author-X-Name-First: Boyce 
Author-X-Name-Last: Watkins 
Title: The economic and predictive value of trading volume growth: a tale of three moments 
Abstract:
  This work studies long-horizon return predictability of volume growth
 realizations. High-mean volume growth is argued to reduce estimation risk
 and high volatility and skewness are interpreted as factors which increase
 estimation risk. It is found that stocks with high-mean trading volume
 growth during the past 12 months experience strong positive excess returns
 that do not reverse themselves over the next 5-years. Stocks with high
 volatility and skewness of excess turnover growth have negative future
 risk-adjusted returns which are economically significant. The conclusion
 is that increases in trading volume growth are predictive of future
 returns. 
Journal: Applied Financial Economics 
Pages: 1489-1509 
Issue: 18 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600827620 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600827620
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:18:p:1489-1509




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitris Kyriazis 
Author-X-Name-First: Dimitris 
Author-X-Name-Last: Kyriazis 
Author-Name: George Diacogiannis 
Author-X-Name-First: George 
Author-X-Name-Last: Diacogiannis 
Title: Testing the performance of value strategies in the Athens Stock Exchange 
Abstract:
  This study examines, for the first time consistently, the performance of
 value strategies in the Athens Stock Exchange (ASE) based on the price to
 earnings ratios, dividend yields (DYs), size (market value), market to
 book ratios, financial leverage ratios and systematic risk. We tested the
 usefulness of the above strategies, by examining the performance of
 portfolios of stocks formed on the basis of the above criteria, and by
 applying multiple regression analysis. Our univariate portfolio analysis
 showed that the higher returns observed in high DY stocks and low beta
 stocks were achieved with no additional level of risk taken. When the
 effect of cross-sectional correlation in the residuals of our regression
 model was removed, we found that only stocks with high DYs may be
 associated with significantly higher returns. Thus, we can conclude that
 except the application of the DY variable, there is little support for the
 argument of overperformance of value strategies even in the case of a
 small emerging market, such as the ASE during the period 1995-2002
 examined. 
Journal: Applied Financial Economics 
Pages: 1511-1528 
Issue: 18 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100600949226 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600949226
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:18:p:1511-1528




Template-Type: ReDIF-Article 1.0
Author-Name: Min Shrestha 
Author-X-Name-First: Min 
Author-X-Name-Last: Shrestha 
Author-Name: Khorshed Chowdhury 
Author-X-Name-First: Khorshed 
Author-X-Name-Last: Chowdhury 
Title: Testing financial liberalization hypothesis with ARDL modelling approach 
Abstract:
  It is a stylised fact that financial 'repression' retards economic
 growth. Hence, financial liberalization is advocated to remove the
 stranglehold on the economy. Financial liberalization policy argues that
 deregulation of interest rate would result in a higher real interest rate
 which would lead to increased savings, increased investment and achieve
 efficiency in financial resource allocation. Past studies have reported
 inconclusive results regarding the interest rate effects on savings and
 investment. This examines the financial liberalization hypothesis by
 employing autoregressive distributed lag (ARDL) modelling approach on
 Nepalese data. Results show that the real interest rate affects both
 savings and investment positively. 
Journal: Applied Financial Economics 
Pages: 1529-1540 
Issue: 18 
Volume: 17 
Year: 2007 
X-DOI: 10.1080/09603100601007123 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601007123
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:17:y:2007:i:18:p:1529-1540




Template-Type: ReDIF-Article 1.0
Author-Name: Trevor Fitzpatrick 
Author-X-Name-First: Trevor 
Author-X-Name-Last: Fitzpatrick 
Author-Name: Kieran McQuinn 
Author-X-Name-First: Kieran 
Author-X-Name-Last: McQuinn 
Title: Measuring bank profit efficiency 
Abstract:
  To date, work concerned with the potential determinants of credit
 institutions' profit inefficiency levels has addressed this issue in
 either a single-step or multi-step process. In the former, inefficiency
 scores are conditioned by region and bank-specific indicators, while in
 the latter, generated inefficiency scores are subsequently regressed on a
 set of potential correlates. The approach proposed here allows these
 issues to be explored jointly in a statistically consistent manner. The
 model is applied to a sample of banks from Ireland, the UK, Canada and
 Australia. 
Journal: Applied Financial Economics 
Pages: 1-8 
Issue: 1 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018898 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018898
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:1:p:1-8




Template-Type: ReDIF-Article 1.0
Author-Name: Haini Deng 
Author-X-Name-First: Haini 
Author-X-Name-Last: Deng 
Author-Name: Gregor Dorfleitner 
Author-X-Name-First: Gregor 
Author-X-Name-Last: Dorfleitner 
Title: Underpricing in Chinese IPOs-some recent evidence 
Abstract:
  This article analyses the initial public offering (IPO) underpricing
 issue of 237 new A-shares from 2002 to 2004, shortly before the IPO
 suspension in the Chinese domestic market. The data set comes out with an
 initial return mean of 88.67%, an average market-adjusted initial return
 of 89.61% and an average market-adjusted log-return of 59.18%, which are
 significantly lower than the results of former empirical studies. This
 downward trend of IPO returns reinforces the explanation that a transition
 economy reduces its cheap state assets sell-off in line with the maturing
 of its capital market. Based on the results of correlation and regression
 analysis, we ascertain that the IPO underpricing is overwhelmingly caused
 by the excess demand and the generally positive sentiment in China's
 secondary/after-IPO market for new shares, resulting in high trading
 turnover on the first listing day. This is strengthened by the finding
 that more initial returns could be generated on the SHSE than on the SZSE,
 as a result of strong public interest in blue chip IPOs on the SHSE. 
Journal: Applied Financial Economics 
Pages: 9-22 
Issue: 1 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601007172 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601007172
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:1:p:9-22




Template-Type: ReDIF-Article 1.0
Author-Name: Paula Hill 
Author-X-Name-First: Paula 
Author-X-Name-Last: Hill 
Title: Declared investment plans and IPO firm value 
Abstract:
  Trueman (1986) argues that an entrepreneur might signal the quality of
 his information about a firm's investment projects by disclosing the
 extent to which external capital raised is to be applied to capital
 expenditure. This article argues that, via Trueman's theory, a higher
 level of disclosed capital expenditure at the IPO is associated with
 higher firm values. The results confirm the anticipated significant
 positive relationship between firm value and the extent to which funds
 raised at the IPO are applied to investment. 
Journal: Applied Financial Economics 
Pages: 23-39 
Issue: 1 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601007131 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601007131
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:1:p:23-39




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Fernandes 
Author-X-Name-First: Jose 
Author-X-Name-Last: Fernandes 
Author-Name: Augusto Hasman 
Author-X-Name-First: Augusto 
Author-X-Name-Last: Hasman 
Author-Name: Juan Ignacio Pena 
Author-X-Name-First: Juan Ignacio 
Author-X-Name-Last: Pena 
Title: Risk premium: insights over the threshold 
Abstract:
  The aim of this article is 2-fold: first to test the adequacy of Pareto
 distributions to describe the tail of financial returns in emerging and
 developed markets, and second to study the possible correlation between
 stock market indices observed returns and return's extreme distributional
 characteristics measured by Value at Risk and Expected Shortfall. We test
 the empirical model using daily data from 41 countries, in the period from
 1995 to 2005. The findings support the adequacy of Pareto distributions
 and the use of a log linear regression estimation of their parameters, as
 an alternative for the usually employed Hill's estimator. We also report a
 significant relationship between extreme distributional characteristics
 and observed returns, especially for developed countries. 
Journal: Applied Financial Economics 
Pages: 41-59 
Issue: 1 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018849 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018849
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:1:p:41-59




Template-Type: ReDIF-Article 1.0
Author-Name: Gioia Pescetto 
Author-X-Name-First: Gioia 
Author-X-Name-Last: Pescetto 
Title: Regulation and systematic risk: the case of the water industry in England and Wales 
Abstract:
  This article examines whether regulatory announcements relating to
 competition, pricing policy and the quality of service in the water
 industry in England and Wales have an impact on the industry's systematic
 risk. The results indicate that, although the long-run overall effect of
 regulation on systematic risk appears to be negligible, competition and
 quality announcements can have a significant impact upon the industry's
 systematic risk. Further analysis of individual announcements and
 companies suggests that price announcements also significantly affect
 individual companies' systematic risk, although not in a uniform manner.
 This indicates that regulators need to be aware that, while some of their
 policy decisions tend to affect the industry as a whole, others have a
 diverse impact on individual companies. 
Journal: Applied Financial Economics 
Pages: 61-73 
Issue: 1 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601057847 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601057847
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:1:p:61-73




Template-Type: ReDIF-Article 1.0
Author-Name: Ahmad Zubaidi Baharumshah 
Author-X-Name-First: Ahmad Zubaidi 
Author-X-Name-Last: Baharumshah 
Author-Name: Chan Tze-Haw 
Author-X-Name-First: Chan 
Author-X-Name-Last: Tze-Haw 
Author-Name: Stilianos Fountas 
Author-X-Name-First: Stilianos 
Author-X-Name-Last: Fountas 
Title: Re-examining purchasing power parity for East-Asian currencies: 1976-2002 
Abstract:
  We investigate the behaviour of real exchange rates of six East-Asian
 countries in relation to their two major trading partners-the United
 States and Japan. These countries, except, Singapore were affected by the
 financial crisis of the fall 1997. Using monthly frequency data from 1976
 to 2002 and the autoregressive distributed lag (ARDL) cointegration
 procedure we test for the long-run purchasing power parity (PPP)
 hypothesis. We find no evidence for the weak form of PPP in the pre-crisis
 period, but strong evidence in the post-crisis period. For the post-crisis
 period, we also find very small persistence of PPP deviations as indicated
 by very small half-lives (&#x3c;7 months) and narrow confidence intervals
 with an upper bound of 1 year or less in most countries. Our findings
 reveal that the East Asian countries are returning to some form of
 PPP-oriented rule as a basis for their exchange rate policies. 
Journal: Applied Financial Economics 
Pages: 75-85 
Issue: 1 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018856 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018856
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:1:p:75-85




Template-Type: ReDIF-Article 1.0
Author-Name: Nikolaos Daskalakis 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Daskalakis 
Author-Name: Maria Psillaki 
Author-X-Name-First: Maria 
Author-X-Name-Last: Psillaki 
Title: Do country or firm factors explain capital structure? Evidence from SMEs in France and Greece 
Abstract:
  We investigate the capital structure determinants of small and medium
 sized enterprises (SMEs) using a sample of Greek and French firms. We
 address the following questions: Are the capital structure determinants of
 SMEs in the two countries driven by similar factors? Are potential
 differences driven by country-specific or firm-specific factors? Are the
 size and structure of their financial markets important factors to explain
 any cross-country differences on SME capital structure? To answer these
 questions we apply panel data methods to the sample of firms for the
 period 1998 to 2002. We assess the extent to which the debt to assets
 ratio of firms depends upon their asset structure, size, profitability and
 growth rate. The results show that the SMEs in both countries exhibit
 similarities in their capital structure choices. Asset structure and
 profitability have a negative relationship with leverage, whereas firm
 size is positively related to their debt to assets ratio. Growth is
 statistically significant only for France and is positively related to
 debt. We attribute these similarities to their institutional
 characteristics and in particular the commonality of their civil law
 systems. We find differences in the intensity of the capital structure
 relationship between the two countries. We provide evidence that these
 differences are due to firm-specific rather than country factors. 
Journal: Applied Financial Economics 
Pages: 87-97 
Issue: 2 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018864 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018864
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:2:p:87-97




Template-Type: ReDIF-Article 1.0
Author-Name: Xiao-Ming Li 
Author-X-Name-First: Xiao-Ming 
Author-X-Name-Last: Li 
Author-Name: Lawrence Rose 
Author-X-Name-First: Lawrence 
Author-X-Name-Last: Rose 
Title: Market integration and extreme co-movements in APEC emerging equity markets 
Abstract:
  Extreme market co-movements in the context of time-varying market
 integration are investigated for APEC emerging equity markets using the
 concept of extreme correlation. We show that both foreign and domestic
 portfolio investments have contributed to extreme market movements; and
 extreme correlation is time-varying and dependent on local and regional
 market integrations. However, the relationship between market integration
 and extreme correlation varies across markets. 
Journal: Applied Financial Economics 
Pages: 99-113 
Issue: 2 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601057870 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601057870
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:2:p:99-113




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Luis Miralles Marcelo 
Author-X-Name-First: Jose Luis Miralles 
Author-X-Name-Last: Marcelo 
Author-Name: Jose Luis Miralles Quiros 
Author-X-Name-First: Jose Luis Miralles 
Author-X-Name-Last: Quiros 
Author-Name: Maria del Mar Miralles Quiros 
Author-X-Name-First: Maria del Mar Miralles 
Author-X-Name-Last: Quiros 
Title: Sudden shifts in variance in the Spanish market: persistence and spillover effects 
Abstract:
  In this paper we use the Iterated Cumulative Sums of Squares (ICSS)
 algorithm to detect sudden changes in variance in the Spanish stock
 Market. However, we employ an alternative methodology based on an EGARCH
 model to better capture the asymmetric behavior of the stock markets. We
 also use these sudden shifts to analyze the information spillovers between
 large and small cap portfolios. The results of this study show a
 significant decrease in the volatility persistence of both portfolios when
 sudden changes are taken into account. Spillover effects are also reduced
 but, in contrast with most of the previous evidence, we find a feedback
 relationship between the large and small portfolios. In this paper we shed
 some light on the understanding of the stock market by suggesting a common
 behavior of the portfolios. This results may be valid for a great number
 of markets and useful for the building of accurate asset pricing models or
 forecasting volatilities. 
Journal: Applied Financial Economics 
Pages: 115-124 
Issue: 2 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601057862 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601057862
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:2:p:115-124




Template-Type: ReDIF-Article 1.0
Author-Name: Timotheos Angelidis 
Author-X-Name-First: Timotheos 
Author-X-Name-Last: Angelidis 
Author-Name: Nikolaos Tessaromatis 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Tessaromatis 
Title: Does idiosyncratic risk matter? Evidence from European stock markets 
Abstract:
  This article examines if idiosyncratic risk can forecast stock returns
 for 10 European markets. We found little evidence to suggest that
 idiosyncratic volatility, equally or value weighted, can predict future
 stock market returns. However, we found that idiosyncratic risk measured
 as the equally weighted average variance of all stocks can significantly
 predict future size and value premia. 
Journal: Applied Financial Economics 
Pages: 125-137 
Issue: 2 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601118276 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601118276
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:2:p:125-137




Template-Type: ReDIF-Article 1.0
Author-Name: Magnus Andersson 
Author-X-Name-First: Magnus 
Author-X-Name-Last: Andersson 
Author-Name: Elizaveta Krylova 
Author-X-Name-First: Elizaveta 
Author-X-Name-Last: Krylova 
Author-Name: Sami Vahamaa 
Author-X-Name-First: Sami 
Author-X-Name-Last: Vahamaa 
Title: Why does the correlation between stock and bond returns vary over time? 
Abstract:
  This article examines the impact of inflation and economic growth
 expectations and perceived stock market uncertainty on the time-varying
 correlation between stock and bond returns. The results indicate that
 stock and bond prices move in the same direction during periods of high
 inflation expectations, while epochs of negative stock-bond return
 correlation seem to coincide with subdued inflation expectations.
 Furthermore, consistent with the 'flight-to-quality' phenomenon, the
 results suggest that periods of elevated stock market uncertainty lead to
 a decoupling between stock and bond prices. Finally, it is found that the
 stock-bond return correlation is virtually unaffected by economic growth
 expectations. 
Journal: Applied Financial Economics 
Pages: 139-151 
Issue: 2 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601057854 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601057854
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:2:p:139-151




Template-Type: ReDIF-Article 1.0
Author-Name: Francisco Gonzalez-Rodriguez 
Author-X-Name-First: Francisco 
Author-X-Name-Last: Gonzalez-Rodriguez 
Title: The relationship between charter value and bank market concentration: the influence of regulations and institutions 
Abstract:
  This article analyses the influence of regulations and institutions on
 the relationship between market concentration and bank charter value by
 applying a simultaneous equations model to a sample of 276 banks in 27
 countries. Results highlight that the role of the
 structure-conduct-performance (SCP) and the efficient-structure (EFS)
 hypotheses in explaining a positive relationship between bank charter
 value and market concentration depends on a country's regulatory and
 institutional set-up. The validity of EFS forecasts compared to SCP
 forecasts increases in line with the quality of the legal environment and
 enforceability of contracts, with the increased weight of the markets
 compared to banks and with the share of banking assets held by banks that
 are majority-owned by foreign owners and by the government. In contrast,
 tighter legal restrictions on the activities banks are allowed to pursue
 limit the validity of both the EFS and SCP hypotheses. 
Journal: Applied Financial Economics 
Pages: 153-172 
Issue: 2 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601083215 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601083215
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:2:p:153-172




Template-Type: ReDIF-Article 1.0
Author-Name: Jerry Coakley 
Author-X-Name-First: Jerry 
Author-X-Name-Last: Coakley 
Author-Name: Hardy Thomas 
Author-X-Name-First: Hardy 
Author-X-Name-Last: Thomas 
Author-Name: Han-Min Wang 
Author-X-Name-First: Han-Min 
Author-X-Name-Last: Wang 
Title: The short-run wealth effects of foreign divestitures by UK firms 
Abstract:
  We analyse a unique sample of 165 foreign divestitures by UK firms
 1986-1995. These divestitures lead to significantly positive shareholder
 wealth effects of 4.8% over the 10 days before and after the announcement
 date. They are several times larger than the corresponding wealth effects
 reported for US firms and are robust to a number of factors such as size,
 market-to-book ratio, GARCH effects, thin trading effects and
 cross-sectional dependence. The wealth gains are associated with an
 increase in geographical focus towards Anglo-Saxon corporate governance
 regimes rather than simply in industrial focus as in the case of domestic
 divestitures. They are also related to poor pre-divestiture stock
 performance which is consistent with the financing explanation to combat
 agency and financial distress problems. 
Journal: Applied Financial Economics 
Pages: 173-184 
Issue: 3 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018831 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018831
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:3:p:173-184




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Lensink 
Author-X-Name-First: Robert 
Author-X-Name-Last: Lensink 
Author-Name: Iryna Maslennikova 
Author-X-Name-First: Iryna 
Author-X-Name-Last: Maslennikova 
Title: Value performance of European bank acquisitions 
Abstract:
  This article provides the first analysis of value gains to acquirers in
 the European bank M&A wave of 1996-2004. Using a sample of 75 publicly
 traded banks from 19 European countries, we document positive and
 statistically significant abnormal returns for the aggregate acquisition
 sample. Partitioning the sample with respect to product-market and
 geographic diversification indicates strong statistical evidence that all
 types of domestic deals as well as bank-to-bank cross-border deals create
 shareholder value. Gains to cross-border diversifying deals are
 insignificant. 
Journal: Applied Financial Economics 
Pages: 185-198 
Issue: 3 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018781 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018781
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:3:p:185-198




Template-Type: ReDIF-Article 1.0
Author-Name: Ricardo Bebczuk 
Author-X-Name-First: Ricardo 
Author-X-Name-Last: Bebczuk 
Author-Name: Arturo Galindo 
Author-X-Name-First: Arturo 
Author-X-Name-Last: Galindo 
Title: Financial crisis and sectoral diversification of Argentine banks, 1999-2004 
Abstract:
  We explore the impact and evolution of loan portfolio diversification
 during the 2001-2002 Argentine financial crises. Using a novel dataset
 that combines public information on the main activity of the largest 930
 Argentine firms with their borrowing from each bank operating in the
 country between 1999 and 2004, we find that banks did not modify much
 their loan portfolio mix as a response to the crisis. Econometric results
 point to a positive effect of sectoral diversification and lending to
 tradable sectors on bank profitability and risk mitigation. Our results
 suggest that larger banks benefit more from diversification than smaller
 ones and that the benefits of diversification are greater during the
 downside of the business cycle. 
Journal: Applied Financial Economics 
Pages: 199-211 
Issue: 3 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018773 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018773
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:3:p:199-211




Template-Type: ReDIF-Article 1.0
Author-Name: Xiao-Ming Li 
Author-X-Name-First: Xiao-Ming 
Author-X-Name-Last: Li 
Author-Name: Qing Xu 
Author-X-Name-First: Qing 
Author-X-Name-Last: Xu 
Title: Evaluating density forecasts of the model with a conditional skewed-t distribution for China's stock markets 
Abstract:
  This study sets up a model which assumes a conditional skewed-t
 distribution for returns on four of China's stock price indexes (Shanghai
 A, Shanghai B, Shenzhen A and Shenzhen B). We employ Chen and Fan's (2004)
 pseudo-Wald test via the copula approach to evaluate both in- and
 out-of-sample density forecasts of the model. The results show that our
 model characterized by modelling conditional skewness and conditional
 kurtosis has a good in-sample fit as well as a good out-of-sample
 performance of density forecasting. 
Journal: Applied Financial Economics 
Pages: 213-227 
Issue: 3 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601057896 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601057896
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:3:p:213-227




Template-Type: ReDIF-Article 1.0
Author-Name: Naser Abumustafa 
Author-X-Name-First: Naser 
Author-X-Name-Last: Abumustafa 
Title: Benefiting from diversity in Middle Eastern stock markets 
Abstract:
  This study examines the potential integration between Middle Eastern
 stock markets, in particular Egypt, Israel, Jordan, Morocco, Saudi Arabia
 and Turkey. In a geographical area where there are extreme political and
 ideological differences, we find gains from financial market integration
 in the areas of efficiency and diversification. The study presents
 empirical evidence of cointegration between stock market capitalization
 and GDP in these countries, which shows that stock market growth is tied
 to economic growth. We also present some institutional detail in order to
 develop practical suggestions to strengthen Middle Eastern stock markets. 
Journal: Applied Financial Economics 
Pages: 229-237 
Issue: 3 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018765 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018765
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:3:p:229-237




Template-Type: ReDIF-Article 1.0
Author-Name: Stelios Bekiros 
Author-X-Name-First: Stelios 
Author-X-Name-Last: Bekiros 
Author-Name: Dimitris Georgoutsos 
Author-X-Name-First: Dimitris 
Author-X-Name-Last: Georgoutsos 
Title: Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus 
Abstract:
  In this article we apply the Extreme Value Theory (EVT) in order to
 estimate the Value-at-Risk (VaR) and the correlation of extreme returns
 for two inherently unstable markets; the foreign exchange and the stock
 market. We also derive the corresponding VaR estimates from more
 'traditional' methods of estimation on daily returns of the US
 dollar/Cyprus pound exchange rate and the Cyprus stock exchange general
 index. The main conclusion we reach is that the more heavy-tailed
 distributed a series is the more accurate the loss predictions are from
 the application of the EVT. We also show that the conditional correlation
 index of the extreme returns of those two markets remained almost constant
 throughout the backtesting period that was characterized by 'bear' market
 conditions. 
Journal: Applied Financial Economics 
Pages: 239-254 
Issue: 3 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018823 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018823
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:3:p:239-254




Template-Type: ReDIF-Article 1.0
Author-Name: Sivagowry Sriananthakumar 
Author-X-Name-First: Sivagowry 
Author-X-Name-Last: Sriananthakumar 
Author-Name: Param Silvapulle 
Author-X-Name-First: Param 
Author-X-Name-Last: Silvapulle 
Title: Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion 
Abstract:
  This paper models dynamic correlations between the Asian stock market
 returns and studies their behaviour over the period before, during and
 after the Asian financial crisis, which occurred in the 1990s. To
 establish the presence of contagion effect, this paper investigates
 whether or not there is a break-down in the correlation data generating
 process, particularly, during crises. The East Asian block-Thai,
 Malaysian, Indonesian and Korean-countries stock markets were considered
 in this study. Using multivariate generalised autoregressive conditional
 heteroscedasticity (MGARCH) models with dynamic correlations, this study
 finds strong evidence of contagion effects between (Thailand and
 Malaysia), (Thailand and Korea), (Malaysia and Korea) and (Korea and
 Indonesia). 
Journal: Applied Financial Economics 
Pages: 267-273 
Issue: 4 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100500414628 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500414628
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:267-273




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Durand 
Author-X-Name-First: Robert 
Author-X-Name-Last: Durand 
Author-Name: Marta Simon 
Author-X-Name-First: Marta 
Author-X-Name-Last: Simon 
Title: Beyond greed, fear and the iron curtain 
Abstract:
  We examine 13 of the new markets of Eastern Europe from the time of their
 inception to the end of 2001. In six of those markets - Hungary, Poland,
 the Czech Republic, Slovenia, Russia and Estonia - we find behaviour
 consistent with investors following 'quasi-rational' strategies in the
 years following market inception. The results are robust to the suggestion
 that they are driven by market microstructure. The heuristically driven
 price behaviour diminishes as these markets mature and is replaced by an
 increasing association with market movements in major financial centres.
 We suggest that we have captured the way investors in new markets learn to
 invest. 
Journal: Applied Financial Economics 
Pages: 275-293 
Issue: 4 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600735336 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600735336
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:275-293




Template-Type: ReDIF-Article 1.0
Author-Name: Jun Nagayasu 
Author-X-Name-First: Jun 
Author-X-Name-Last: Nagayasu 
Title: Japanese stock movements from 1991 to 2005: evidence from high- and low-frequency data 
Abstract:
  This article analyses movements in Japanese stock returns in the recent
 period (1991-2005). Unlike previous literature, by modelling persistence
 in both the mean and volatility simultaneously, first, we find evidence of
 persistence in Japanese stock returns. Second, while not so for daily
 returns, changes in monthly returns are found to reflect those in economic
 fundamentals, such as the interest rate and the dividend-price ratio. This
 finding is consistent with the conventional belief that higher frequency
 returns tend to move more in response to non-economic fundamentals, and we
 confirm that the poor long-term performance of Japanese stocks can be
 explained by economic factors. The statistical models are thoroughly
 examined by diagnostic tests in the contexts of the in- and out-of-sample
 forecasting. 
Journal: Applied Financial Economics 
Pages: 295-307 
Issue: 4 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600675490 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600675490
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:295-307




Template-Type: ReDIF-Article 1.0
Author-Name: Yung-Ho Chang 
Author-X-Name-First: Yung-Ho 
Author-X-Name-Last: Chang 
Author-Name: Chia-Chung Chan 
Author-X-Name-First: Chia-Chung 
Author-X-Name-Last: Chan 
Title: Financial analysts' stock recommendation revisions and stock price changes 
Abstract:
  The market reaction to financial analysts' stock recommendation revisions
 is examined in terms of magnitude and direction. It is found that
 market-adjusted stock returns are associated with the direction of stock
 recommendation revisions. For the stocks that receive downward stock
 recommendation revisions, the market-adjusted stock returns can also be
 explained by the magnitude of stock recommendation revisions, brokerage
 houses' publicity, firm size, firm age, New York Stock Exchange listing,
 and stock price momentum. The empirical evidence suggests that financial
 analysts' downward stock recommendation revisions provide superior
 information to investors than do upward stock recommendation revisions. 
Journal: Applied Financial Economics 
Pages: 309-325 
Issue: 4 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600606131 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606131
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:309-325




Template-Type: ReDIF-Article 1.0
Author-Name: Keshab Bhattarai 
Author-X-Name-First: Keshab 
Author-X-Name-Last: Bhattarai 
Title: An empirical study of interest rate determination rules 
Abstract:
  This paper finds empirical support for a Taylor (1993) type interest rate
 determination rule. The model is solved analytically, estimated and used
 for simulation, impulse response analyses and forecasting with quarterly
 time series data for the UK and annual time series data for Germany,
 France, Japan, the UK and the US. The results confirm that such rules
 implicitly exists during the period of analysis. 
Journal: Applied Financial Economics 
Pages: 327-343 
Issue: 4 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100500447560 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447560
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:327-343




Template-Type: ReDIF-Article 1.0
Author-Name: Franz Hahn 
Author-X-Name-First: Franz 
Author-X-Name-Last: Hahn 
Title: The finance-specialization-growth nexus: evidence from OECD countries 
Abstract:
  Empirical evidence is increasing by emphasizing the positive influence of
 financial markets on the level and the rate of growth of a country's
 per-capita income. Theoretically, the rationale for the finance-growth
 nexus appears to be straightforward: in imperfect economies, financial
 markets provide valuable services such as mobilizing savings, diversifying
 risks, allocating savings to investments and monitoring the allocation of
 managers. By performing these services financial markets work as a very
 important catalyst of economic growth. Empirical research has so far paid
 little attention to the mechanisms through which financial development is
 related to growth. Using a panel data set covering 22 OECD countries over
 the period 1970 through 2000, we present empirical evidence which suggest
 that the finance-growth nexus in industrialized countries is due to a
 higher degree of specialization made possible by financial advancement. 
Journal: Applied Financial Economics 
Pages: 255-265 
Issue: 4 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600827646 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600827646
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:255-265




Template-Type: ReDIF-Article 1.0
Author-Name: Xiaoqing Fu 
Author-X-Name-First: Xiaoqing 
Author-X-Name-Last: Fu 
Author-Name: Shelagh Heffernan 
Author-X-Name-First: Shelagh 
Author-X-Name-Last: Heffernan 
Title: Economies of scale and scope in China's banking sector 
Abstract:
  Employing the stochastic frontier approach and expansion path measures,
 this article estimates economies of scale and scope in China's banking
 sector during the period 1985 to 2002. The objective is to assess whether
 different ownership types and banking reforms affect economies of scale
 and scope. The traditional nonfrontier approach and the standard measures
 are also applied for comparison and completeness. The results indicate the
 presence of constant returns to scale and significant economies of scope
 for most joint stock banks throughout the period, and for state-owned
 banks in the later part of period, following a second set of bank reforms.
 There is evidence that use of the traditional nonfrontier model biases the
 measures of scale and scope economies. 
Journal: Applied Financial Economics 
Pages: 345-356 
Issue: 5 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600843924 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600843924
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:5:p:345-356




Template-Type: ReDIF-Article 1.0
Author-Name: Suchismita Mishra 
Author-X-Name-First: Suchismita 
Author-X-Name-Last: Mishra 
Author-Name: Richard DeFusco 
Author-X-Name-First: Richard 
Author-X-Name-Last: DeFusco 
Author-Name: Arun Prakash 
Author-X-Name-First: Arun 
Author-X-Name-Last: Prakash 
Title: Skewness preference, value and size effects 
Abstract:
  We test the Kraus-Litzenberger three-moment capital asset pricing model
 (CAPM) and the Fama-French (FF) three-factor (FF) model with the C-test
 proposed by Davidson and MacKinnon. We are unable to reject the null
 hypothesis that expected returns are described by either of the models in
 cross-sectional regressions. However, for size-sorted portfolios, both the
 FF three-factor and the three-moment CAPM significantly explain expected
 returns. 
Journal: Applied Financial Economics 
Pages: 379-386 
Issue: 5 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600892855 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600892855
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:5:p:379-386




Template-Type: ReDIF-Article 1.0
Author-Name: S. DeVicerte 
Author-X-Name-First: S. 
Author-X-Name-Last: DeVicerte 
Author-Name: P. Alvarez 
Author-X-Name-First: P. 
Author-X-Name-Last: Alvarez 
Author-Name: J. Perez 
Author-X-Name-First: J. 
Author-X-Name-Last: Perez 
Author-Name: C. Caso 
Author-X-Name-First: C. 
Author-X-Name-Last: Caso 
Title: Does currency crisis identification matter? 
Abstract:
  Empirical studies employ very different methods to identify the moments
 at which currency crises occur. In previous works we have shown that
 considerable variations exist between the crises indicated by each of
 them. In this work, we use a broad sample of these indicators as a
 dependent variable in one of the most frequently cited Early Warning
 System models and show that significant differences appear in the
 variables that enable currency crises to be anticipated. 
Journal: Applied Financial Economics 
Pages: 387-395 
Issue: 5 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600949192 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600949192
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:5:p:387-395




Template-Type: ReDIF-Article 1.0
Author-Name: Jason Dietrich 
Author-X-Name-First: Jason 
Author-X-Name-Last: Dietrich 
Title: Testing unitary and bargaining models of Chinese household food consumption 
Abstract:
  This study examines income and food consumption patterns within Chinese
 households to test the assumptions and predictions of two competing models
 of consumer demand, the Neo-Classical unitary model and a class of
 bargaining models. Four standard tests of the Neo-Classical model are
 conducted, as well as two tests of bargaining models recently developed by
 Chiappori and Browning (1998). Similar to many other studies, each of the
 assumptions and predictions of the Neo-Classical unitary model is rejected
 by the data. Alternatively, there is evidence that the bargaining models
 more accurately describe households' decision-making processes. The data
 suggest that multiple individuals within the household influence
 decisions, instead of households acting as one decision-making unit. 
Journal: Applied Financial Economics 
Pages: 397-410 
Issue: 5 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100500399134 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500399134
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:5:p:397-410




Template-Type: ReDIF-Article 1.0
Author-Name: Wen-Hsiu Kuo 
Author-X-Name-First: Wen-Hsiu 
Author-X-Name-Last: Kuo 
Author-Name: Hsinan Hsu 
Author-X-Name-First: Hsinan 
Author-X-Name-Last: Hsu 
Author-Name: Min-Hsien Chiang 
Author-X-Name-First: Min-Hsien 
Author-X-Name-Last: Chiang 
Title: Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan 
Abstract:
  The purpose of this article is to investigate the impact of the
 introduction of foreign investments on the information transmissions
 between the futures and spot markets in terms of volatility spillovers
 when macroeconomic factors are controlled in emerging futures markets. We
 find evidence of significant bi-directional volatility spillovers across
 the two markets, but volatility spillovers from the futures to spot
 markets are stronger than vice versa following the opening up of Taiwan's
 futures markets to foreign investments. This pattern suggests that the
 futures market leads the spot market in order to incorporate the arrival
 of new information after the liberalization and deregulation policies have
 been adopted in Taiwan futures markets. The volatility transmission
 mechanism is asymmetric in some instances, suggesting that the spot market
 has become more sensitive to innovations originating in futures market
 after the foreign investments (FIs) are introduced in the local futures
 market. Overall, these results document that increased participation of
 FIs in emerging futures market may enhance the rate of information flow
 and improve the quality and reliability of information transmissions of
 the local futures market, supporting that deregulation is appropriate. 
Journal: Applied Financial Economics 
Pages: 421-430 
Issue: 5 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600771018 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600771018
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:5:p:421-430




Template-Type: ReDIF-Article 1.0
Author-Name: Yung-Shi Liau 
Author-X-Name-First: Yung-Shi 
Author-X-Name-Last: Liau 
Author-Name: Jack Yang 
Author-X-Name-First: Jack 
Author-X-Name-Last: Yang 
Title: The mean/volatility asymmetry in Asian stock markets 
Abstract:
  This study tests the asymmetric responses of mean reversion and
 volatility using the asymmetric nonlinear smooth transition generalized
 autoregressive conditional heteroskedasticity (ANST-GARCH) model. The
 asymmetric mean reversion and volatility reflect the fact that investors
 react more strongly to bad news than to good news. Since risk averse
 investors overweigh more severely the potentials of bad news after a heavy
 loss, this study applies daily stock index returns from Hong Kong, Japan,
 Malaysia, Singapore, South Korea, Taiwan and Thailand during 1994-2005 to
 test this hypothesis. The result shows that following the Asian financial
 crisis most markets displayed increased sensitivity to bad news, which
 confirms the hypothesis. 
Journal: Applied Financial Economics 
Pages: 411-419 
Issue: 5 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600959878 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600959878
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:5:p:411-419




Template-Type: ReDIF-Article 1.0
Author-Name: Neal Wagner 
Author-X-Name-First: Neal 
Author-X-Name-Last: Wagner 
Author-Name: Moutaz Khouja 
Author-X-Name-First: Moutaz 
Author-X-Name-Last: Khouja 
Author-Name: Zbigniew Michalewicz 
Author-X-Name-First: Zbigniew 
Author-X-Name-Last: Michalewicz 
Author-Name: Rob Roy McGregor 
Author-X-Name-First: Rob Roy 
Author-X-Name-Last: McGregor 
Title: Forecasting economic time series with the DyFor genetic program model 
Abstract:
  Genetic programming (GP) uses the Darwinian principle of survival of the
 fittest and sexual recombination to evolve computer programs that solve
 problems. Several studies have applied GP to forecasting with favourable
 results. However, these studies, like others, have assumed a static
 environment, making them unsuitable for many real-world time series which
 are generated by varying processes. This study investigates the
 development of a new 'dynamic' GP model that is specifically tailored for
 forecasting in nonstatic environments. This dynamic forecasting genetic
 program (DyFor GP) model incorporates methods to adapt to changing
 environments automatically as well as retain knowledge learned from
 previously encountered environments. The DyFor GP model is tested on
 real-world economic time series, namely the US Gross Domestic Product and
 Consumer Price Index Inflation. Results show that the DyFor GP model
 outperforms benchmark models from leading studies for both experiments.
 These findings affirm the DyFor GP's potential as an adaptive, nonlinear
 forecasting model. 
Journal: Applied Financial Economics 
Pages: 357-378 
Issue: 5 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600949200 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600949200
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:5:p:357-378




Template-Type: ReDIF-Article 1.0
Author-Name: Hue Hwa Au Yong 
Author-X-Name-First: Hue Hwa Au 
Author-X-Name-Last: Yong 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Asia-Pacific banks risk exposures: pre and post the Asian financial crisis 
Abstract:
  In this article, we provide an insight into Asia-Pacific banks' market,
 interest rate and exchange rate exposures using a market-based model, pre
 and post the Asian financial crisis. Our study provides a unique
 comparative analysis across 10 countries, for both short-horizon and
 long-horizon risk exposures. Overall, our findings reveal that bank
 portfolios in countries that are harder hit by the Asian crisis have
 higher market and short-term interest rate exposures post-crisis. With
 long-horizon returns, there are a larger number of significant interest
 rate (IR) and exchange rate (ER) exposures, which are consistent with the
 prior literature that long-horizon return measures economic exposures that
 are difficult to hedge. When the long-horizon regressions with an error
 correction model are carried out, the results obtained support the
 short-horizon results. Among the country groups, the newly industrialized
 economies display the greatest sensitivity to IR and ER changes during the
 post-Asian crisis period. Investigating bank regulation effects, we find
 evidence that bank portfolios that experience lower restrictions on their
 activities and ownership, and greater private monitoring have lower market
 risk. 
Journal: Applied Financial Economics 
Pages: 431-449 
Issue: 6 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100600970057 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600970057
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:6:p:431-449




Template-Type: ReDIF-Article 1.0
Author-Name: Patricia Fraser 
Author-X-Name-First: Patricia 
Author-X-Name-Last: Fraser 
Author-Name: Lynn McAlevey 
Author-X-Name-First: Lynn 
Author-X-Name-Last: McAlevey 
Author-Name: Matthew Tayler 
Author-X-Name-First: Matthew 
Author-X-Name-Last: Tayler 
Title: The New Zealand market's relationship with Australia and Pacific-Basin share markets: is New Zealand converging with Australia? 
Abstract:
  Using 33 years of data this article considers linkages between New
 Zealand, Australia and various other Pacific-Basin equity markets. Using
 time-varying parameter modelling techniques we show that the New Zealand
 stock market returns have become increasingly sensitive to perturbations
 in the Australian market relative to those in other Pacific-Basin markets.
 This has implications for a stock market merger between these two
 countries as well as a possible monetary union. 
Journal: Applied Financial Economics 
Pages: 451-462 
Issue: 6 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100600993745 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993745
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:6:p:451-462




Template-Type: ReDIF-Article 1.0
Author-Name: Is&#x131;l Akgul 
Author-X-Name-First: Is&#x131;l 
Author-X-Name-Last: Akgul 
Author-Name: Hulya Sayyan 
Author-X-Name-First: Hulya 
Author-X-Name-Last: Sayyan 
Title: Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models 
Abstract:
  The purpose of this article is to compare stable, integrated and
 long-memory generalized autoregressive conditional heteroscedasticity
 (GARCH) models in forecasting the volatility of returns in the Turkish
 foreign exchange market for the period 1990-2005 and for the subperiod
 that covers the floating exchange rate regime 2001-2005. In the first
 period, we found that long-memory GARCH specifications capture the
 temporal pattern of volatility for returns in US and Canadian dollars
 against Turkish lira. For the same period, the temporal pattern of
 volatility for returns Australian dollar, Japanese yen, Euro and British
 pound against Turkish lira are best captured by stable GARCH
 specifications. We found that in the subperiod, only the stable GARCH
 models are relevant and the return series no longer exhibit the
 long-memory properties. It was also concluded that all return series
 except British pound against Turkish Lira have asymmetric effects. Our
 analysis has shown that when long memory, asymmetry and power terms in the
 conditional variance are employed, together with the skewed and
 leptokurtic conditional distribution (of innovations), the most accurate
 out-of-sample volatility is produced for the first and subperiod. Thus is
 useful for financial decisions which utilize such forecasts. 
Journal: Applied Financial Economics 
Pages: 463-483 
Issue: 6 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100600959860 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600959860
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:6:p:463-483




Template-Type: ReDIF-Article 1.0
Author-Name: Syouching Lai 
Author-X-Name-First: Syouching 
Author-X-Name-Last: Lai 
Author-Name: Hungchih Li 
Author-X-Name-First: Hungchih 
Author-X-Name-Last: Li 
Title: The performance evaluation for fund of funds by comparing asset allocation of mean-variance model or genetic algorithms to that of fund managers 
Abstract:
  This study investigates the ability of security selection by comparing
 the performance of the portfolios of fund of funds (FOF) constructed by
 the Markowitz Mean-Variance (MV) model or Genetic Algorithms (GA) to that
 of fund managers (FMs). All target mutual funds held by FOF in the US
 market from 1 January 2000 to 31 December 2003 are chosen. The results
 reveal several things. First of all, only GA and the MV both beat the
 market index and the performance of GA is much better than that of FMs and
 the MV. Secondly, in terms of the ability to select funds, both the MV and
 GA outperform the operation of FMs. Finally, GA dominate over the MV in
 regards to measuring performance and performance persistence. 
Journal: Applied Financial Economics 
Pages: 485-501 
Issue: 6 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100600970099 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600970099
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:6:p:485-501




Template-Type: ReDIF-Article 1.0
Author-Name: Francisco Perez-Bermejo 
Author-X-Name-First: Francisco 
Author-X-Name-Last: Perez-Bermejo 
Author-Name: Simon Sosvilla-Rivero 
Author-X-Name-First: Simon 
Author-X-Name-Last: Sosvilla-Rivero 
Author-Name: Reyes Maroto-Illera 
Author-X-Name-First: Reyes 
Author-X-Name-Last: Maroto-Illera 
Title: An eclectic approach to currency crises: drawing lessons from the EMS experience 
Abstract:
  This article examines the regime changes in the European Exchange Rate
 Mechanism (ERM), by applying the duration model approach to quarterly data
 of eight currencies participating in the ERM, covering the complete
 European Monetary System history. We first make use of the nonparametric
 (univariate) analysis, finding that the probability of maintaining the
 current regime decreases very rapidly for the short durations to register
 then smoother variations as time increases. Second, we apply a parametric
 (multivariate) analysis to investigate the role of other variables in the
 probability of a regime change. In particular we consider three
 alternative theoretical frameworks to select potential explanatory
 variables: first- and second-generation models of currency crisis and an
 eclectic model that combines the explanatory variables suggested by both
 models. Our results suggest that the Weibull specification of the eclectic
 model would be the more appropriate to fit our data set, finding that the
 real exchange rate, the interest differentials and the central parity
 deviation would have negatively affected the duration of a given regime,
 while credibility, the level of international reserves and the price level
 in the anchor country would have positively influenced such duration.
 Finally, we do not find evidence of observed heterogeneity associated to
 currencies with different behaviour in the sample, nor the existence in
 our sample of unobserved heterogeneity caused either by misspecification
 or omitted covariates. 
Journal: Applied Financial Economics 
Pages: 503-519 
Issue: 6 
Volume: 18 
Year: 2007 
X-DOI: 10.1080/09603100601018757 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018757
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2007:i:6:p:503-519




Template-Type: ReDIF-Article 1.0
Author-Name: Adam Clements 
Author-X-Name-First: Adam 
Author-X-Name-Last: Clements 
Author-Name: Jerome Collet 
Author-X-Name-First: Jerome 
Author-X-Name-Last: Collet 
Title: Do common volatility models capture cyclical behaviour in volatility? 
Abstract:
  This article examines whether commonly used models of volatility can
 capture the cyclical behaviour of equity market volatility. The ability of
 a number of models to account for the dynamics governing periods of
 increasing and decreasing volatility will be examined. In summary, the
 commonly used models considered here do not adequately capture the average
 duration of cycles or the duration dependence in equity volatility. 
Journal: Applied Financial Economics 
Pages: 599-604 
Issue: 7 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600993802 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993802
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:7:p:599-604




Template-Type: ReDIF-Article 1.0
Author-Name: Suzan Hol 
Author-X-Name-First: Suzan 
Author-X-Name-Last: Hol 
Author-Name: Nico Van der Wijst 
Author-X-Name-First: Nico 
Author-X-Name-Last: Van der Wijst 
Title: The financial structure of nonlisted firms 
Abstract:
  This article presents an analysis of how Norwegian nonlisted firms are
 financed. Using a unique database covering all limited liability firms in
 Norway, both the size (leverage) and composition (maturity structure) of
 debt are investigated. The empirical evidence provides support for the
 effects of taxes, asymmetric information and size suggested in the
 theoretical literature and rejects the effects of agency costs and the
 pecking order theory. It also shows that the capital structure choice in
 these firms is not made in a fundamentally different way than in large
 firms. 
Journal: Applied Financial Economics 
Pages: 559-568 
Issue: 7 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601057839 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601057839
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:7:p:559-568




Template-Type: ReDIF-Article 1.0
Author-Name: Xuan Vinh Vo 
Author-X-Name-First: Xuan Vinh 
Author-X-Name-Last: Vo 
Author-Name: Kevin Daly 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Daly 
Title: Volatility amongst firms in the Dow Jones Eurostoxx50 Index 
Abstract:
  This article presents a study of asset price volatility, correlation
 trends and market risk premia. Recent evidence shows an increase in
 firm-level volatility and a decline of the correlation among stock returns
 in the US (Campbell et al., 2001). We find that, in relation to the
 Euro-area stock markets, both aggregate firm-level volatility and average
 stock market correlation are trended upwards. This article estimates the
 time series of market and idiosyncratic volatilities for the firms
 composing the index Dow Jones Eurostoxx50 for the 1992-2001 period
 following the volatility decomposition method of Campbell et al. (2001)
 Monthly time series of market and firm-level volatility are obtained using
 within monthly daily returns relative to the market return. This article
 also investigates the time series properties of the volatility series, in
 particular whether there are trends and whether there is a risk-return
 trade-off. The main findings are the following. There is a positive trend
 in both market and firm level volatility and consequently, average
 correlation among firms has increased. This contrasts with the US evidence
 in Campbell et al. (2001) of a strong positive trend in firm-level
 volatility, no trend in market volatility and consequently, a decrease in
 the average correlation. There is a statistical significant market
 risk-return trade-off and that firm-level volatility has no predictive
 power for subsequent market returns. 
Journal: Applied Financial Economics 
Pages: 569-582 
Issue: 7 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601057888 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601057888
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:7:p:569-582




Template-Type: ReDIF-Article 1.0
Author-Name: Eduardo Roca 
Author-X-Name-First: Eduardo 
Author-X-Name-Last: Roca 
Author-Name: Victor Wong 
Author-X-Name-First: Victor 
Author-X-Name-Last: Wong 
Title: An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach 
Abstract:
  This article investigates the sensitivity of Australian superannuation
 funds in relation to equity and bond markets. In particular, it examines
 the extent, speed and duration of response of the Australian
 superannuation funds's returns to movements in the US and Australian
 equity and bond markets when fund returns are in the up, normal and down
 regimes, through the application of Markov regime switching analysis. The
 results reveal that Australian superannuation funds's returns are most
 affected by movements in the US equity market, followed by the Australian
 equity market then by the US bond market. Funds's returns are not
 influenced at all by movements in the Australian bond market. They respond
 quickly and briefly to market movements irrespective of whether funds
 returns are in a down, normal or up state. Funds's returns move positively
 with the US equity market under all states or regimes of funds returns but
 most especially during the down regime. They are influenced by the
 Australian equity market only during the normal regime and by the US bond
 market only during the up regime. In line with those of previous studies,
 these results imply that Australian superannuation funds are not able to
 time their exposure to markets and that their performance is indicative of
 an efficient market. 
Journal: Applied Financial Economics 
Pages: 583-597 
Issue: 7 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601118292 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601118292
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:7:p:583-597




Template-Type: ReDIF-Article 1.0
Author-Name: Par Sjolander 
Author-X-Name-First: Par 
Author-X-Name-Last: Sjolander 
Title: A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances 
Abstract:
  According to previous research, standard unit root tests are considered
 robust to stationary GARCH distortions. These conclusions are in fact
 correct when the number of observations is extraordinarily high. However,
 simulation experiments in this study, using more normal sample sizes,
 reveal that eight of the most commonly applied unit root tests exhibit
 considerable bias in the size in the presence of fairly moderate GARCH
 distortions. As a remedy for the disturbances from GARCH, this article
 presents size-corrected unbiased critical values for all these examined
 tests. Nevertheless there is still reduced power in the presence of
 stationary GARCH distortions. As a solution, a completely new test is
 formulated which simultaneously models unit roots and the interconnected
 parameters of GARCH risk. For empirically relevant sample sizes, this new
 test exhibits superior size and power properties compared with all the
 traditional unit root tests in the presence of GARCH disturbances. 
Journal: Applied Financial Economics 
Pages: 527-558 
Issue: 7 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601018815 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601018815
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:7:p:527-558




Template-Type: ReDIF-Article 1.0
Author-Name: Gilles Dufrenot 
Author-X-Name-First: Gilles 
Author-X-Name-Last: Dufrenot 
Author-Name: Dominique Guegan 
Author-X-Name-First: Dominique 
Author-X-Name-Last: Guegan 
Author-Name: Anne Peguin-Feissolle 
Author-X-Name-First: Anne 
Author-X-Name-Last: Peguin-Feissolle 
Title: Changing-regime volatility: a fractionally integrated SETAR model 
Abstract:
  This article presents a 2-regime SETAR model with different long-memory
 processes in both regimes. We briefly present the memory properties of
 this model and propose an estimation method. Such a process is applied to
 the absolute and squared returns of five stock indices. A comparison to
 simple ARFIMA models is made using some forecastibility criteria. Our
 empirical results suggest that our model offers an interesting alternative
 competing framework to describe the persistent dynamics in modelling the
 returns. 
Journal: Applied Financial Economics 
Pages: 519-526 
Issue: 7 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100600993778 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993778
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:7:p:519-526




Template-Type: ReDIF-Article 1.0
Author-Name: Javier Rodriguez 
Author-X-Name-First: Javier 
Author-X-Name-Last: Rodriguez 
Title: European mutual funds and portfolio's country exposure: does active management add value? 
Abstract:
  Daily fund data and Sharpe's (1992) style methodology are used to
 evaluate the performance and forecasting skill of European mutual fund
 managers. Specifically, this study addresses the following question: do
 European fund managers add value to their investors by actively managing
 their portfolio's country exposure? To look into this issue, a methodology
 based on attribution returns is employed. An attribution return is defined
 as the difference between a fund's actual month t return and the return
 that would have been generated by the fund month t - 1 portfolio's country
 exposure. European fund managers, as a group, add value to their investors
 by managing their portfolio's country exposure as evidenced by a positive
 mean attribution return. Also, during the same sample period but based on
 the more traditional performance measure alpha, these funds outperform a
 regional benchmark and both measures are found to be positively
 correlated. 
Journal: Applied Financial Economics 
Pages: 683-689 
Issue: 8 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601131659 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601131659
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:683-689




Template-Type: ReDIF-Article 1.0
Author-Name: Joo Ha Nam 
Author-X-Name-First: Joo Ha 
Author-X-Name-Last: Nam 
Author-Name: Ky-hyang Yuhn 
Author-X-Name-First: Ky-hyang 
Author-X-Name-Last: Yuhn 
Author-Name: Sang Bong Kim 
Author-X-Name-First: Sang Bong 
Author-X-Name-Last: Kim 
Title: What happened to pacific-basin emerging markets after the 1997 financial crisis? 
Abstract:
  The stock prices of Asian emerging markets have been at tandem with sharp
 moves of the US market since the 1997 financial crisis. This study
 investigates how the 1997 crisis has changed Asian emerging markets by
 focusing on price and volatility spillovers from the US market to five
 Pacific-Basin emerging markets, Hong Kong, Singapore, South Korea,
 Malaysia, and Taiwan. We have used daily stock prices from 3, January 1995
 to 24, April 2001 and compared the spillover effects between the prior-
 and post-crisis periods employing an EGARCH model. The influence of US
 innovations on stock prices in the region increased after the 1997
 financial crisis (only with the exception of the Malaysian market), but
 the influence of US shocks on market volatility decreased substantially
 after the crisis (only with the exception of the Korean market). South
 Korea and Malaysia pursued different approaches to coping with the
 financial crisis, and their different programs led to opposite shifts in
 price and volatility spillovers after the crisis. 
Journal: Applied Financial Economics 
Pages: 639-658 
Issue: 8 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222275 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222275
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:639-658




Template-Type: ReDIF-Article 1.0
Author-Name: B. Jirasakuldech 
Author-X-Name-First: B. 
Author-X-Name-Last: Jirasakuldech 
Author-Name: Riza Emekter 
Author-X-Name-First: Riza 
Author-X-Name-Last: Emekter 
Author-Name: Unro Lee 
Author-X-Name-First: Unro 
Author-X-Name-Last: Lee 
Title: Business conditions and nonrandom walk behaviour of US stocks and bonds returns 
Abstract:
  If security returns are predictable due to rational variations in
 expected returns, as been argued by Fama and French (1989), then abnormal
 returns should follow a random walk process. This article investigates
 whether monthly abnormal returns on four US securities - high-grade
 corporate bonds, low-grade corporate bonds, large-cap stocks and small-cap
 stocks - exhibit a random walk pattern. Abnormal returns on these
 securities are derived from regressing excess security returns on three
 proxies of business condition (term premium (TRISK), default premium
 (DRISK) and dividend yield (DIVYLD)) and federal funds rate (FedFund).
 Four alternative test procedures - variance ratio test, nonparametric runs
 test, Markov chain test and time reversibility tests - are employed. This
 study finds that abnormal returns on all securities, with the exception of
 high-grade corporate bonds, exhibit nonrandom pattern between 1973 and
 2002, suggesting that these four common risk factors cannot capture the
 time-varying returns of both stocks and bonds. 
Journal: Applied Financial Economics 
Pages: 659-672 
Issue: 8 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222242 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222242
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:659-672




Template-Type: ReDIF-Article 1.0
Author-Name: DeLisle Worrell 
Author-X-Name-First: DeLisle 
Author-X-Name-Last: Worrell 
Author-Name: Roland Craigwell 
Author-X-Name-First: Roland 
Author-X-Name-Last: Craigwell 
Author-Name: Travis Mitchell 
Author-X-Name-First: Travis 
Author-X-Name-Last: Mitchell 
Title: The behaviour of a small foreign exchange market with a long-term peg-Barbados 
Abstract:
  This article is a first analysis of daily transactions in the foreign
 exchange market of Barbados, a small open economy that has had an
 unchanged peg to the US dollar for over 30 years. As a result of the
 credibility of the peg, we expect that capital flows will respond to
 differentials between US and comparable Barbadian interest rates, and that
 this will result in uncovered interest parity, when allowance is made for
 market frictions and large discrete events. The tests appear to confirm
 this. 
Journal: Applied Financial Economics 
Pages: 673-682 
Issue: 8 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601131667 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601131667
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:673-682




Template-Type: ReDIF-Article 1.0
Author-Name: Ho-Young Lee 
Author-X-Name-First: Ho-Young 
Author-X-Name-Last: Lee 
Title: The association between audit committee and board of director effectiveness and changes in the nonaudit fee ratio 
Abstract:
  Investors and the US SEC are interested in the impact of nonaudit fees on
 the economic bonding between auditors and their clients and in the role of
 audit committees in monitoring this economic bonding. The results of this
 study show a negative association between audit committee effectiveness
 and changes in the nonaudit to audit fee ratio, suggesting that effective
 audit committees generally minimize the nonaudit fee ratio in order to
 enhance auditor independence. In addition, the results of this study
 suggest that effective Board of Directors also limit increases in the
 nonaudit fee ratio, possibly due to their own concerns over auditor
 independence. 
Journal: Applied Financial Economics 
Pages: 629-638 
Issue: 8 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601166887 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601166887
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:629-638




Template-Type: ReDIF-Article 1.0
Author-Name: Saeed Akbar 
Author-X-Name-First: Saeed 
Author-X-Name-Last: Akbar 
Author-Name: Syed Zulfiqar Ali Shah 
Author-X-Name-First: Syed Zulfiqar Ali 
Author-X-Name-Last: Shah 
Author-Name: Issedeeq Saadi 
Author-X-Name-First: Issedeeq 
Author-X-Name-Last: Saadi 
Title: Stock market reaction to capital expenditure announcements by UK firms 
Abstract:
  The key objective of this article is to analyse the stock market reaction
 to capital expenditure announcements by UK firms. To attain such an
 objective, we adopt an 'event study' methodology. We analyse a large
 sample of 884 capital expenditure announcements made by 426 companies
 allocated in different sectors over a period of 14 years from 1990 to
 2003. The results suggest a significant and positive relationship between
 capital spending announcements and share prices. Our results also suggest
 a positive (negative) and significant relationship between announcements
 of increase (decrease) in capital expenditure and abnormal stock returns.
 Market participants seem to respond positively to corporate capital
 expenditure decisions regardless of the types of projects in which the
 funds are to be invested. 
Journal: Applied Financial Economics 
Pages: 617-627 
Issue: 8 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222234 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222234
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:617-627




Template-Type: ReDIF-Article 1.0
Author-Name: David Sokulsky 
Author-X-Name-First: David 
Author-X-Name-Last: Sokulsky 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Sinclair Davidson 
Author-X-Name-First: Sinclair 
Author-X-Name-Last: Davidson 
Title: Untangling demand curves from information effects: evidence from Australian index adjustments 
Abstract:
  We investigate the impact of the Morgan Stanley Capital International
 change in index calculation on Australian stocks. We are able to
 differentiate between a downward sloping demand curve hypothesis and the
 investor awareness hypothesis. Broadly speaking, the results are
 consistent with investor awareness at the time of the announcements and
 downward sloping demand curves at the implementation date. 
Journal: Applied Financial Economics 
Pages: 605-616 
Issue: 8 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601118284 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601118284
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:605-616




Template-Type: ReDIF-Article 1.0
Author-Name: Farooq Ahmad 
Author-X-Name-First: Farooq 
Author-X-Name-Last: Ahmad 
Author-Name: James Steeley 
Author-X-Name-First: James 
Author-X-Name-Last: Steeley 
Title: Secondary market pricing behaviour around UK bond auctions 
Abstract:
  Using an event study approach, this article reports evidence that the UK
 Treasury bond market displayed anomalous pricing behaviour in the
 secondary market both immediately before and after auctions of seasoned
 bonds. Using a benchmark return derived from the behaviour of the
 underlying yield curve, the market offered statistically and economically
 significant excess returns, around the auctions held between 1992 and
 2004. A cross-sectional analysis of the cumulative excess returns shows
 that the excess demand at the auctions is a key determinant of this excess
 return. 
Journal: Applied Financial Economics 
Pages: 691-699 
Issue: 9 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701250268 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701250268
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:691-699




Template-Type: ReDIF-Article 1.0
Author-Name: Rasoul Rezvanian 
Author-X-Name-First: Rasoul 
Author-X-Name-Last: Rezvanian 
Author-Name: Narendar Rao 
Author-X-Name-First: Narendar 
Author-X-Name-Last: Rao 
Author-Name: Seyed Mehdian 
Author-X-Name-First: Seyed 
Author-X-Name-Last: Mehdian 
Title: Efficiency change, technological progress and productivity growth of private, public and foreign banks in India: evidence from the post-liberalization era 
Abstract:
  This study uses a nonparametric frontier approach to examine the effects
 of the ownership on the efficiency, efficiency change, technological
 progress and productivity growth of the Indian banking industry over the
 period 1998 to 2003. A host of best practice frontiers are constructed
 relative to which the performance of foreign-owned banks, private-owned
 banks and public-owned banks operating in India are assessed. The results
 indicate that foreign banks are significantly more efficient when compared
 to other banks, i.e. the privately-owned and publicly owned-banks. The
 findings also provide evidence to indicate that a large number of Indian
 banks operate below their optimal scale. Specifically, the Indian banking
 industry can be characterized by the existence of very few large, but
 inefficient publicly-owned banks along with many small size banks that
 would be able to improve their cost efficiency by expanding their scale of
 operations. Therefore, in order to assist the Indian banking system to
 function more efficiently and be more competitive in the global
 marketplace, the Indian policy makers should create policies to encourage
 private ownership of banks, facilitate the entry of foreign banks and
 promote mergers and acquisitions among Indian banks. Such policies will
 help Indian banks increase their scale of operations and improve their
 cost efficiency. 
Journal: Applied Financial Economics 
Pages: 701-713 
Issue: 9 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222317 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222317
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:701-713




Template-Type: ReDIF-Article 1.0
Author-Name: Geraldine Broye 
Author-X-Name-First: Geraldine 
Author-X-Name-Last: Broye 
Author-Name: Laurent Weill 
Author-X-Name-First: Laurent 
Author-X-Name-Last: Weill 
Title: Does leverage influence auditor choice? A cross-country analysis 
Abstract:
  This article investigates the impact of legal environment on the
 relationship between leverage and auditor choice in 10 European countries.
 We demonstrate that the relationship between the choice of a high-quality
 auditor and firm leverage varies significantly across countries. This
 finding suggests the absence of a systematic demand for auditing to
 mitigate agency problems between insiders and debtholders. These
 differences are explained through legal environment indicators. We create
 in this aim an index to measure auditor liability exposure. Our results
 provide evidence that the stronger the protection of creditor rights and
 disclosure requirements, the higher the demand for audit quality by
 highly-leveraged companies. Inversely, the auditor liability exposure has
 a negative impact on the link between leverage and auditor choice. 
Journal: Applied Financial Economics 
Pages: 715-731 
Issue: 9 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222325 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222325
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:715-731




Template-Type: ReDIF-Article 1.0
Author-Name: Chou-Wen Wang 
Author-X-Name-First: Chou-Wen 
Author-X-Name-Last: Wang 
Author-Name: Szu-Lang Liao 
Author-X-Name-First: Szu-Lang 
Author-X-Name-Last: Liao 
Author-Name: Ting-Yi Wu 
Author-X-Name-First: Ting-Yi 
Author-X-Name-Last: Wu 
Title: Pricing generalized capped exchange options 
Abstract:
  The article makes two contributions to the literature. The first
 contribution is to derive a closed-form solution of Taiwanese capped
 options. We also provide the properties of Taiwanese capped options and
 the phenomenon of delta jump at monitoring dates. When the interest rate
 changes dramatically, instead of deriving the pricing formulas for
 derivatives separately, the second contribution is to provide the
 closed-form solution of generalized capped exchange options with
 stochastic barriers under the Hull and White framework. Special cases of
 generalized capped exchange options with stochastic barriers are abundant.
 They include capped (floored) options, capped (floored) options with
 exponential barriers, capped (floored) options with related assets or
 indices as triggers and capped (floored) options with related assets or
 indices as triggers and other related assets as barriers. 
Journal: Applied Financial Economics 
Pages: 765-776 
Issue: 9 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222267 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222267
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:765-776




Template-Type: ReDIF-Article 1.0
Author-Name: Heng Chen 
Author-X-Name-First: Heng 
Author-X-Name-Last: Chen 
Author-Name: Russell Smyth 
Author-X-Name-First: Russell 
Author-X-Name-Last: Smyth 
Author-Name: Wing-Keung Wong 
Author-X-Name-First: Wing-Keung 
Author-X-Name-Last: Wong 
Title: Is being a super-power more important than being your close neighbour? A study of what moves the Australian stock market 
Abstract:
  This article employs a Fractionally Integrated Vector Error Correction
 Model (FIVECM) to examine the return transmission between the Australian
 and New Zealand stock markets and the Australian and the United States
 stock markets. We augment the FIVECM with a multivariate GARCH model. In
 so doing, the first and second moments spill over between stock market
 indices are simultaneously revealed. Our empirical results suggest that
 the Australian stock market has stronger ties with the United States stock
 market than with the New Zealand stock market. We conclude that stock
 market movements in the United States, as the world's economic superpower,
 are more important to the Australian stock market than stock market
 movements in New Zealand, Australia's closest neighbour. 
Journal: Applied Financial Economics 
Pages: 733-747 
Issue: 9 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222291 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222291
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:733-747




Template-Type: ReDIF-Article 1.0
Author-Name: M. K. Hassan 
Author-X-Name-First: M. K. 
Author-X-Name-Last: Hassan 
Author-Name: S. S. H. Chowdhury 
Author-X-Name-First: S. S. H. 
Author-X-Name-Last: Chowdhury 
Title: Efficiency of Bangladesh stock market: evidence from monthly index and individual firm data 
Abstract:
  Using monthly data for market index and 46 actively traded individual
 firms from January 1991 through May 2003, we examine the efficiency of
 stock market of an emerging market. We employ a battery of tests including
 variance ratio tests to examine the efficiency issue of Bangladesh stock
 market. Portfolio results suggest that the DSE is weak-form efficient, but
 the individual firm returns suggest that DSE is weak-form inefficient. We
 suggest that individual firm returns are influenced by nonsynchronous
 trading and firm-specific and market micro-structure effects. 
Journal: Applied Financial Economics 
Pages: 749-758 
Issue: 9 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701320178 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701320178
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:749-758




Template-Type: ReDIF-Article 1.0
Author-Name: T. Kalantzis 
Author-X-Name-First: T. 
Author-X-Name-Last: Kalantzis 
Author-Name: D. Papanastassiou 
Author-X-Name-First: D. 
Author-X-Name-Last: Papanastassiou 
Title: Classification of GARCH time series: an empirical investigation 
Abstract:
  We examine a discrimination rule for time series data generated by a
 GARCH(1,1) process that classifies a sample into a group in terms of its
 unconditional variance. A simulation study indicates that our rule is more
 efficient than a benchmark rule in most cases, except from a range of
 alternatives lying on the right side of the null. This range becomes
 shorter for parameter values approaching the stationarity region bound.
 The rule is robust in model misspecification. 
Journal: Applied Financial Economics 
Pages: 759-764 
Issue: 9 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701320160 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701320160
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:759-764




Template-Type: ReDIF-Article 1.0
Author-Name: Daniel Smith 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Smith 
Title: Testing for structural breaks in GARCH models 
Abstract:
  We study the ability of traditional diagnostic tests and LM and CUSUM
 structural break tests to detect a range of different types of breaks in
 GARCH models. We find that Wooldridge's (1990) robust LM tests for
 autocorrelation and ARCH have no power to detect structural breaks in
 GARCH models. However, CUSUM- and LM-based structural break tests have
 excellent size when the data is Gaussian, but the CUSUM tests tend to
 overreject even in quite large samples when returns have fat tails.
 However, the LM-based tests have approximately the correct size and
 exhibit impressive power to detect a range of breaks in the dynamics of
 conditional volatility. We apply these tests to a range of financial time
 series using returns starting only in 1990 and find that many GARCH models
 that pass standard specification tests fail the structural break tests. 
Journal: Applied Financial Economics 
Pages: 845-862 
Issue: 10 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701262800 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701262800
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:10:p:845-862




Template-Type: ReDIF-Article 1.0
Author-Name: Domenico Sarno 
Author-X-Name-First: Domenico 
Author-X-Name-Last: Sarno 
Title: Capital structure and growth of the firms in the backward regions of the south Italy 
Abstract:
  In this article it is shown that the growth of southern Italian firms is
 financed mostly by internal finance, since external financing is more
 problematic and costly. Hence firm growth is subject to financial
 constraints. The economics of financial constraints deals with the
 relationship of financial structure to firm growth. Consequently, the
 'financial growth cycle' is used to analyse the features of the capital
 structure of the Mezzogiorno's SMEs compared to Italy-wide SMEs. The
 growth-cash flow nexus is then empirically analysed by using the Gibrat
 growth model enriched by the cash flow variable. 
Journal: Applied Financial Economics 
Pages: 821-833 
Issue: 10 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222309 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222309
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:10:p:821-833




Template-Type: ReDIF-Article 1.0
Author-Name: Lakshman Alles 
Author-X-Name-First: Lakshman 
Author-X-Name-Last: Alles 
Title: The cost of downside protection and the time diversification issue in South Asian stock markets 
Abstract:
  The objectives of this article are to carry out a comparative study of
 the costs of downside protection for investors in the stock markets of
 Bangladesh, India, Pakistan and Sri Lanka, and to investigate the time
 diversification issue in these markets by examining the variation of this
 cost as the investment horizon is extended. The cost of downside
 protection and time diversification effects are investigated by examining
 the properties of a protective put strategy and a capital protected equity
 participation strategy in each country's stock market over investment
 horizons ranging from 1 to20 years. Long-horizon investment outcomes are
 generated using a bootstrapping technique. Results indicate that the cost
 of downside protection differs from one country to another, but there is a
 common pattern of the cost decreasing as the investment horizon lengthens.
 In overall terms, the pattern of decreasing protection costs at longer
 investment horizons is consistent with the notion of the time
 diversification benefits of investment risk. 
Journal: Applied Financial Economics 
Pages: 835-843 
Issue: 10 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222333 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222333
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:10:p:835-843




Template-Type: ReDIF-Article 1.0
Author-Name: Charlie Weir 
Author-X-Name-First: Charlie 
Author-X-Name-Last: Weir 
Author-Name: Mike Wright 
Author-X-Name-First: Mike 
Author-X-Name-Last: Wright 
Author-Name: Louise Scholes 
Author-X-Name-First: Louise 
Author-X-Name-Last: Scholes 
Title: Public-to-private buy-outs, distress costs and private equity 
Abstract:
  This article extends previous work by testing the financial distress
 costs hypothesis in the context of the UK, a contract-based distress
 resolution system, and by considering the role of private equity firms.
 Using a hand-collected dataset covering 115 public-to-private buy-outs
 (PTPs) completed in the period 1998 to 2001 and 115 randomly selected
 firms that remained public, we find contrasting evidence to that for US
 PTPs. Consistent with the financial distress costs model, firms going
 private are more likely to have better asset collateralization, have less
 debt and be more diversified. However, we also find that UK PTPs are more
 likely to be younger, experience poor stock market performance and be
 smaller than firms remaining public. In addition, PTPs did not have lower
 R&D or higher free cash flows. Our results therefore, indicate that in the
 UK financial distress costs may not be central to the decision to go
 private.We also find that private equity providers are more likely to be
 involved in the process if the firm going private is more diversified, has
 a higher Q ratio and had been quoted for a shorter period of time and have
 lower board shareholdings. This suggests that private equity providers are
 more interested in growth prospects than potential financial distress
 costs. 
Journal: Applied Financial Economics 
Pages: 801-819 
Issue: 10 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701222283 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222283
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:10:p:801-819




Template-Type: ReDIF-Article 1.0
Author-Name: Alexander Eastman 
Author-X-Name-First: Alexander 
Author-X-Name-Last: Eastman 
Author-Name: Brian Lucey 
Author-X-Name-First: Brian 
Author-X-Name-Last: Lucey 
Title: Skewness and asymmetry in futures returns and volumes 
Abstract:
  In this article we investigate the distribution of futures market returns
 and volumes. A variety of contracts are selected from agriculture, foreign
 exchange, industrial, equity and interest rate market sectors. Tests of
 normality indicate that all daily returns and daily volumes are not
 normally distributed. Monthly returns and volumes display mixed results.
 Furthermore, negative and positive excess returns are compared for each
 contract. Nonparametric tests are used to assess whether returns and
 volumes are symmetric about the mean, concluding that daily returns and
 volumes are asymmetric. However, the results for monthly data are mixed.
 The Wilcoxon rank sum test suggests that although most contract returns
 appear asymmetric, soybean, cocoa and 10-year US Treasury note returns are
 symmetric. Results for the monthly volume data are also mixed suggesting
 that the distributions may become more normal as the time period examined
 increases. 
Journal: Applied Financial Economics 
Pages: 777-800 
Issue: 10 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100601007156 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100601007156
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:10:p:777-800




Template-Type: ReDIF-Article 1.0
Author-Name: M. Barari 
Author-X-Name-First: M. 
Author-X-Name-Last: Barari 
Author-Name: Brian Lucey 
Author-X-Name-First: Brian 
Author-X-Name-Last: Lucey 
Author-Name: S. Voronkova 
Author-X-Name-First: S. 
Author-X-Name-Last: Voronkova 
Title: Reassessing co-movements among G7 equity markets: evidence from iShares 
Abstract:
  iShares funds are products designed to mimic the movements of MSCI stock
 market indices. Being devoid of problems associated with trading
 restrictions, exchange-rate fluctuations and non-synchronous trading,
 iShares data are better suited for measuring equity-market co-movements
 and the diversification potential than national indices data that have
 been used by most of the existing studies in the area. Applying recent
 time-varying methodology for the analysis of short and long-term
 co-movements, we provide detailed analysis of the dynamics of the equity
 market linkages over the period 1996-2005. We find evidence of increasing
 conditional correlations and significant time-varying long-run
 relationships between the US and the majority of other G7 markets since
 2001, as measured by iShares. By contrast, the extent of both short-term
 and long-term linkages between the US and G7 equity markets is found to be
 much lower for national indices data. Our findings suggest that (i) the
 results of the earlier studies based on national stock market indices
 should be interpreted with caution, since use of national indices data may
 overestimate the extent of available diversification benefits; (ii)
 iShares funds do not represent perfect diversification products. 
Journal: Applied Financial Economics 
Pages: 863-877 
Issue: 11 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701320186 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701320186
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:11:p:863-877




Template-Type: ReDIF-Article 1.0
Author-Name: John Goddard 
Author-X-Name-First: John 
Author-X-Name-Last: Goddard 
Author-Name: Donal McKillop 
Author-X-Name-First: Donal 
Author-X-Name-Last: McKillop 
Author-Name: John Wilson 
Author-X-Name-First: John 
Author-X-Name-Last: Wilson 
Title: What drives the performance of cooperative financial institutions? Evidence for US credit unions 
Abstract:
  Nested analysis of variance is used to identify the sources of variation
 in performance, measured by growth of membership and growth of assets, for
 a large sample of US credit unions. The analysis reveals that sector
 effects (geographic, common bond and charter type) account for only
 relatively small proportions of the variation in performance. This raises
 doubts as to whether credit unions are likely to benefit much from
 competitive repositioning at sector level (by changing their charter type
 or common bond designation). It may be that the perceived benefit derived
 from such manoeuvrings is greater than the actual benefit, or it may be
 that the large number of credit unions seeking a more permissive operating
 environment has ended up negating any potential gain in performance across
 the sector as a whole. In contrast to the limited role identified for
 sector effects, individual credit union effects explain a large proportion
 of the variation in performance. This suggests that decisions made by
 individual credit unions with respect to staffing, governance and product
 portfolio, as well as philosophy and ethos, play an important role in
 explaining the heterogeneity in credit union performance. 
Journal: Applied Financial Economics 
Pages: 879-893 
Issue: 11 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701262818 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701262818
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:11:p:879-893




Template-Type: ReDIF-Article 1.0
Author-Name: Thierry Ane 
Author-X-Name-First: Thierry 
Author-X-Name-Last: Ane 
Author-Name: Loredana Ureche-Rangau 
Author-X-Name-First: Loredana 
Author-X-Name-Last: Ureche-Rangau 
Author-Name: Chiraz Labidi-Makni 
Author-X-Name-First: Chiraz 
Author-X-Name-Last: Labidi-Makni 
Title: Time-varying conditional dependence in Chinese stock markets 
Abstract:
  This article explores the dynamics of the dependence between 'A' and 'B'
 share indices on the Shanghai and Shenzhen securities exchanges. While the
 marginal behaviour of each stock index is modelled by an asymmetric
 Student-t distribution, the nature of the dependence is captured through a
 copula representation. Our results confirm the already documented
 time-varying pattern of the dependence structure. Moreover, we show that
 regional and world shocks as represented by the Hang Seng Asia and the S&P
 500 indices affect the marginal distributions of Chinese 'A' and 'B' stock
 indices, but do not influence the dynamics of their dependence. 
Journal: Applied Financial Economics 
Pages: 895-916 
Issue: 11 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701259772 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701259772
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:11:p:895-916




Template-Type: ReDIF-Article 1.0
Author-Name: Stephan Schulmeister 
Author-X-Name-First: Stephan 
Author-X-Name-Last: Schulmeister 
Title: Components of the profitability of technical currency trading 
Abstract:
  This paper investigates the sources of the profitability of 1024
 technical models when trading in the German mark (euro)/U.S. dollar
 market. The main results are as follows. First, each of these models would
 have been profitable over the entire sample period. Second, this
 profitability is exclusively due to the exploitation of exchange rate
 trends. Third, these results do not change substantially when trading is
 examined within subperiods. Fourth, the 25 best performing models in each
 in-sample period examined were profitable also out of sample in most
 cases. Fifth, the profitability of technical currency trading has been
 declining since the late 1980s. 
Journal: Applied Financial Economics 
Pages: 917-930 
Issue: 11 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701335416 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701335416
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:11:p:917-930




Template-Type: ReDIF-Article 1.0
Author-Name: Rima Turk Ariss 
Author-X-Name-First: Rima 
Author-X-Name-Last: Turk Ariss 
Title: Financial liberalization and bank efficiency: evidence from post-war Lebanon 
Abstract:
  The process of financial liberalization has stiffened competition in an
 environment characterized by a revolution in information technology and
 provided an incentive for bank management to focus on improving
 efficiency. To date, limited studies were conducted for Middle East
 banking sectors, a region with great potential for cross-border financial
 integration. This article uses a unique data set from post-war Lebanon to
 investigate, (1) how bank efficiency is evolving subsequent to a period of
 deregulation, (2) how well large banks are performing relative to small
 banks and (3) how efficiently are domestic banks competing with foreign
 banks. The average cost inefficiency of Lebanese banks appears to be small
 (around 12%) compared to the results reported in the literature. The
 findings indicate that cost efficiency has improved over the period under
 study, that consolidation in the financial sector has enhanced banking
 efficiency and that domestic banks are as efficient as foreign banks. 
Journal: Applied Financial Economics 
Pages: 931-946 
Issue: 11 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701335408 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701335408
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:11:p:931-946




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Borghesi 
Author-X-Name-First: Richard 
Author-X-Name-Last: Borghesi 
Title: Weather biases in the NFL totals market 
Abstract:
  I examine outcome predictability in the National Football League totals
 betting market using data from the 1984 through 2004 seasons. Results
 suggest that while weather is an important determinant of scoring, the
 market does not accurately incorporate the effects of adverse conditions
 into totals bet prices. Specifically, I demonstrate that heat, wind and
 rain reduce point production, and provide evidence that bettors
 underestimate this effect. I also present a betting strategy that accounts
 for expected weather conditions and produces an out-of-sample win rate
 significantly above the 52.38% profitability threshold. 
Journal: Applied Financial Economics 
Pages: 947-953 
Issue: 12 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701335432 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701335432
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:12:p:947-953




Template-Type: ReDIF-Article 1.0
Author-Name: Chien-Ting Lin 
Author-X-Name-First: Chien-Ting 
Author-X-Name-Last: Lin 
Author-Name: Shou-Ming Hsu 
Author-X-Name-First: Shou-Ming 
Author-X-Name-Last: Hsu 
Title: Determinants of the initial IPO performance: evidence from Hong Kong and Taiwan 
Abstract:
  The study examines the pricing determinants of initial public offerings
 (IPOs) in the Hong Kong and Taiwanese markets. Consistent with the
 literature, we find that the IPOs are underpriced in these two markets.
 Among the pricing determinants we examine, share allotment over the number
 of participating applicants appears to be the most important common
 factor. However, different IPO market characteristics do exist between the
 markets. We document that investment firms are underpriced while the
 trading and service firms are overpriced during the IPO events in Hong
 Kong. In contrast, liquidity appears to be positively related to the
 initial underpricing of IPO firms in Taiwan. Our evidence therefore
 supports the winner's curse model proposed by Rock (1986), and to some
 extent the liquidity theory by Booth and Chua (1996). The applicability
 and implications of our findings should also be of value to firms seeking
 external equities in these markets. 
Journal: Applied Financial Economics 
Pages: 955-963 
Issue: 12 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701367393 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701367393
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:12:p:955-963




Template-Type: ReDIF-Article 1.0
Author-Name: A. Morales-Zumaquero 
Author-X-Name-First: A. 
Author-X-Name-Last: Morales-Zumaquero 
Author-Name: Simon Sosvilla-Rivero 
Author-X-Name-First: Simon 
Author-X-Name-Last: Sosvilla-Rivero 
Title: Macroeconomic instability in the European monetary system? 
Abstract:
  This article analyses the impact of the establishment of the European
 Monetary System (EMS) on a number of macroeconomic variables, such as
 exchange rates, money, interest rates and prices for member countries
 participating in the Exchange Rate Mechanism (ERM). Instability is
 examined in terms of multiple structural breaks in the variance of the
 series. Two procedures are followed for this purpose: the OLS-based tests
 to detect multiple structural breaks, as proposed by Bai and Perron (1998,
 2003), and several procedures based on Information Criterion together with
 the so-called sequential procedure suggested by Bai and Perron (2003).
 Results indicate that there is some evidence of structural breaks in
 volatility across investigated variables, with the realignments in the ERM
 playing a significant role in reducing volatility in some countries and
 sub-periods. In this regard, the results tend to support the hypothesis
 that the EMS has contributed to reducing macroeconomic volatility in
 member countries. 
Journal: Applied Financial Economics 
Pages: 965-983 
Issue: 12 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701367401 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701367401
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:12:p:965-983




Template-Type: ReDIF-Article 1.0
Author-Name: Adrienne Kearney 
Author-X-Name-First: Adrienne 
Author-X-Name-Last: Kearney 
Author-Name: Raymond Lombra 
Author-X-Name-First: Raymond 
Author-X-Name-Last: Lombra 
Title: Nonneutral short-run effects of derivatives on gold prices 
Abstract:
  About 90% of the decline in gold prices over the decade of the 1990s -
 from $393 (per ounce) in the beginning of 1990 to $286 in early 2000 -
 occurred after early 1995. While gold prices were falling, the use of
 derivative instruments (forwards, options, futures and the like) by the
 gold mining industry increased rapidly. Traditionally, such activity would
 not be expected to affect gold prices. In this article we investigate the
 possible impact of derivatives on the gold market. The research findings
 suggest that the use of derivatives by gold producers, whether it was to
 hedge against the risk of declining gold prices, or for other purposes,
 probably pushed gold prices below what they would have been based upon
 historical relationships. Conversely, when gold producers reduced their
 net derivative positions over the April 1999:IV to January 2006:I period,
 this de-hedging appears to have helped boost gold prices back toward
 levels consistent with longer run fundamentals. 
Journal: Applied Financial Economics 
Pages: 985-994 
Issue: 12 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701367419 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701367419
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:12:p:985-994




Template-Type: ReDIF-Article 1.0
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Thanh Ngo 
Author-X-Name-First: Thanh 
Author-X-Name-Last: Ngo 
Title: Impact of ETF inception on the valuation and trading of component stocks 
Abstract:
  While exchange-traded funds (ETFs) are being created at a rapid rate,
 there is very limited research on how they affect the component stocks
 that they contain. We find that in response to the inception of ETFs,
 there are positive and significant valuation effects on the dominant
 component stocks (defined as the 10 largest stocks in each ETF). The
 variation in the valuation effects is associated with stock-specific
 characteristics, such as relatively low liquidity and the size of the ETF
 in which the component stock is contained. The characteristics of the
 component stocks that experience more favourable valuation effects at the
 inception of ETFs also lead to a more pronounced increase in their trading
 volume following their ETF's inception. The increase in trading volume is
 especially pronounced for those component stocks that are relatively
 small, have relatively low levels of liquidity, and are contained within
 relatively large ETFs. 
Journal: Applied Financial Economics 
Pages: 995-1007 
Issue: 12 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701335424 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701335424
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:12:p:995-1007




Template-Type: ReDIF-Article 1.0
Author-Name: J. P. Marney 
Author-X-Name-First: J. P. 
Author-X-Name-Last: Marney 
Author-Name: Heather Tarbert 
Author-X-Name-First: Heather 
Author-X-Name-Last: Tarbert 
Author-Name: Jos Koetsier 
Author-X-Name-First: Jos 
Author-X-Name-Last: Koetsier 
Author-Name: Marco Guidi 
Author-X-Name-First: Marco 
Author-X-Name-Last: Guidi 
Title: The application of the self-organizing map, the k-means algorithm and the multi-layer perceptron to the detection of technical trading patterns 
Abstract:
  A number of neural network techniques, namely multi-layer perceptron,
 k-means algorithm and the self-organizing map are applied to the detection
 of technical trading patterns within stock markets. We do not find
 exploitable information content and it is concluded that there are no
 significant patterns in any of the data analysed. 
Journal: Applied Financial Economics 
Pages: 1009-1019 
Issue: 12 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701367385 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701367385
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:12:p:1009-1019




Template-Type: ReDIF-Article 1.0
Author-Name: Dany Aoun 
Author-X-Name-First: Dany 
Author-X-Name-Last: Aoun 
Author-Name: Almas Heshmati 
Author-X-Name-First: Almas 
Author-X-Name-Last: Heshmati 
Title: International diversification, capital structure and cost of capital: evidence from ICT firms listed at NASDAQ 
Abstract:
  In this study, we intend to examine the information and communication
 technology (ICT) firms from a financial perspective. The relationship
 between capital structure and cost of capital (COC) is investigated in a
 simultaneous equation framework. On the one hand, we relate international
 diversification to the firm's capital structure, and on the other, we test
 their individual and collective inferences on the combined debt and equity
 COC. We expect a negative correlation between international
 diversification and higher total and long-term debt ratios, and a
 reduction in the overall COC. 
Journal: Applied Financial Economics 
Pages: 1021-1032 
Issue: 12 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701335457 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701335457
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:12:p:1021-1032




Template-Type: ReDIF-Article 1.0
Author-Name: Jagdish Handa 
Author-X-Name-First: Jagdish 
Author-X-Name-Last: Handa 
Author-Name: Shubha Rahman Khan 
Author-X-Name-First: Shubha Rahman 
Author-X-Name-Last: Khan 
Title: Financial development and economic growth: a symbiotic relationship 
Abstract:
  This article evaluates the plausibility of financial development as a
 tool to boost economic growth, using time series data on a cross-section
 of thirteen countries at different stages of development. Using annual
 data from 1960 to 2002, it conducts stationarity tests on the variables,
 followed by cointegration analysis among the banking and non-banking
 financial variables and GDP. It also tests for the direction of
 Granger-causality. Our results show that for Bangladesh, Sri Lanka,
 Brazil, Malaysia, Thailand and Turkey, this causality runs from economic
 growth to financial development. Granger-causality is bi-directional for
 India, Argentina, Germany, Japan, the UK and the USA. There does not exist
 one-way Granger-causality from financial development to economic
 development for any of the countries examined 
Journal: Applied Financial Economics 
Pages: 1033-1049 
Issue: 13 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701477275 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701477275
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:13:p:1033-1049




Template-Type: ReDIF-Article 1.0
Author-Name: Peter Dunne 
Author-X-Name-First: Peter 
Author-X-Name-Last: Dunne 
Author-Name: Haim Falk 
Author-X-Name-First: Haim 
Author-X-Name-Last: Falk 
Author-Name: John Forker 
Author-X-Name-First: John 
Author-X-Name-Last: Forker 
Author-Name: Ronan Powell 
Author-X-Name-First: Ronan 
Author-X-Name-Last: Powell 
Title: The market response to information quality shocks: the case of Enron 
Abstract:
  Relying on the market to provide incentives that would bring about
 optimal information quality is potentially a cost effective alternative to
 regulatory oversight. However, this depends on the ability of the market
 to recognize and price this attribute. In this article, we gain insights
 into the disciplinary role of the market by examining its response to
 Enron-related accounting scandals. We report evidence that information
 quality was in decline, leading upto the Enron-related scandals, but that
 the market was not sensitive to this decline. We confirm, however, that
 there was an abrupt decline in perceived information quality post-Enron.
 Furthermore, using an ex-ante methodology we provide strong evidence that
 auditor reputations were differentially affected by the scandals. We also
 find evidence that the Enron-related scandals adversely affected the
 market risk premium implying that information quality is part of
 systematic risk. Our results indicate that the market was operating
 effectively in recognizing lower quality information through an auditor
 reputation effect prior to the Sarbanes-Oxley Act. This calls into
 question the need for regulation to address the perceived deficit in
 information quality. 
Journal: Applied Financial Economics 
Pages: 1051-1066 
Issue: 13 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701439341 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701439341
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:13:p:1051-1066




Template-Type: ReDIF-Article 1.0
Author-Name: Marcelo Resende 
Author-X-Name-First: Marcelo 
Author-X-Name-Last: Resende 
Title: Mergers and acquisitions waves in the UK: a Markov-switching approach 
Abstract:
  This article further investigated wave behaviours for mergers and
 acquisitions - M&A in the UK during the 1969Q1/2004Q1 period by means of
 Markov-Switching models. Previous analysis had focussed on traditional
 models that incorporate the potentially limiting assumption of constant
 transition probabilities across regimes. The consideration of more general
 models with time-varying transition probabilities across regimes along the
 lines of Diebold et al. (1994) provide a useful route for assessing to
 what extent M&A waves are driven by economic variables usually considered
 in the related literature. The empirical implementation considered lagged
 conditioning variables referring to real output growth, real growth in
 money supply and real stock market returns. The evidence indicated that
 one should reject the constant transition probability model in favour of
 the time-varying transition probability model and therefore the usual
 aggregate variables considered in the empirical literature on M&A indeed
 appear to play some role in determining the wave behaviour of M&A in the
 UK, though the effects are asymmetric across the different regimes. 
Journal: Applied Financial Economics 
Pages: 1067-1074 
Issue: 13 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701408155 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701408155
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:13:p:1067-1074




Template-Type: ReDIF-Article 1.0
Author-Name: Tsangyao Chang 
Author-X-Name-First: Tsangyao 
Author-X-Name-Last: Chang 
Author-Name: Ming Jing Yang 
Author-X-Name-First: Ming Jing 
Author-X-Name-Last: Yang 
Author-Name: Chien-Chung Nieh 
Author-X-Name-First: Chien-Chung 
Author-X-Name-Last: Nieh 
Author-Name: Chi-Chen Chiu 
Author-X-Name-First: Chi-Chen 
Author-X-Name-Last: Chiu 
Title: Nonlinear short-run adjustments in US stock market returns 
Abstract:
  Using the considerably powerful nonparametric cointegration tests
 proposed by Bierens (1997, 2004), we do not find any evidence indicative
 of the existence of rational bubbles in the US stock market during the
 long period of 1871 to 2002. In addition, with the application of a
 logistic smooth transition error-correction model designed to detect the
 nonlinear short-run adjustments to the long-run equilibrium, we also
 obtain substantial empirical evidence in favour of the so-called noise
 trader models where arbitrageurs are reluctant to immediately engage in
 trading when stock returns deviate insufficiently from their fundamental
 value. 
Journal: Applied Financial Economics 
Pages: 1075-1083 
Issue: 13 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701408148 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701408148
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:13:p:1075-1083




Template-Type: ReDIF-Article 1.0
Author-Name: Samih Antoine Azar 
Author-X-Name-First: Samih 
Author-X-Name-Last: Antoine Azar 
Title: Conditional confidence intervals for the equity premium and other rates 
Abstract:
  Almost all of the published estimates of the equity premium and of other
 rates, are point estimates. The original point of this article is to
 compute 95% confidence intervals for these parameters conditional on a
 theoretical dividend model. The monthly samples are considered to have a
 break after 1981, as deemed in the literature and this turns out to be
 appropriate. The main result is that these confidence intervals include
 all estimates of the parameters in the literature, making all of them
 probable. Moreover and contrary to the opinions held in the literature,
 the unexpected capital gains after 1981 were not due to an unexpected fall
 in discount rates but due to an unexpected fall in the difference between
 the discount rate and the growth rate. 
Journal: Applied Financial Economics 
Pages: 1085-1089 
Issue: 13 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701413239 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701413239
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:13:p:1085-1089




Template-Type: ReDIF-Article 1.0
Author-Name: David Bounie 
Author-X-Name-First: David 
Author-X-Name-Last: Bounie 
Author-Name: Abel Francois 
Author-X-Name-First: Abel 
Author-X-Name-Last: Francois 
Title: Is Baumol's 'square root law' still relevant? evidence from micro-level data 
Abstract:
  The purpose of the article is to test, from micro-level data, the
 complete general framework of the transaction demand for money a la
 Baumol. Controlling for selection bias, we distinguish two populations who
 exclusively withdraw cash from either ATM or bank counter, from a sample
 of French representative individuals. The estimation results show the
 existence of large economies of scale as well as a positive effect of ATM
 surcharge and ATM and bank counter density on cash holding. Moreover,
 contrary to what might be expected, we do not find evidence of the impact
 of risk on cash holding. 
Journal: Applied Financial Economics 
Pages: 1091-1098 
Issue: 13 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701367427 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701367427
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:13:p:1091-1098




Template-Type: ReDIF-Article 1.0
Author-Name: K. Gleason 
Author-X-Name-First: K. 
Author-X-Name-Last: Gleason 
Author-Name: J. Johnston 
Author-X-Name-First: J. 
Author-X-Name-Last: Johnston 
Author-Name: J. Madura 
Author-X-Name-First: J. 
Author-X-Name-Last: Madura 
Title: What factors drive IPO aftermarket risk? 
Abstract:
  The prospectus of every initial public offering (IPO) provides a lengthy
 list of factors that exposes investors to risk when investing in an IPO.
 However, this list is not useful for distinguishing among IPOs for
 investors who plan to hold IPO shares in the aftermarket. We attempt to
 identify observable factors that determine the level of aftermarket risk
 following IPOs. We find that aftermarket risk is higher for firms that
 experienced a higher level of underpricing (an ex ante measure of risk) at
 the time of the IPO. Thus, underpricing not only reflects the uncertainty
 at the time of the offering, but also is a useful indicator of aftermarket
 risk. We also find that firms using more reputable investment bank
 underwriters exhibit a higher level of aftermarket risk, which is contrary
 to the results found by some studies that used underpricing at the time of
 the offering as a measure of risk. In addition, we find that aftermarket
 risk is higher for firms backed by venture capital. We attribute our
 unique findings to our focus on aftermarket risk rather than the perceived
 uncertainty at the time of the IPO. We also find that aftermarket risk is
 higher for firms that are listed on the NASDAQ exchange, are in the
 technology sector, have lower levels of debt and go public during periods
 of high market volatility. 
Journal: Applied Financial Economics 
Pages: 1099-1110 
Issue: 13 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701466062 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701466062
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:13:p:1099-1110




Template-Type: ReDIF-Article 1.0
Author-Name: Jerry Coakley 
Author-X-Name-First: Jerry 
Author-X-Name-Last: Coakley 
Author-Name: Leon Hadass 
Author-X-Name-First: Leon 
Author-X-Name-Last: Hadass 
Author-Name: Andrew Wood 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Wood 
Title: Hot IPOs can damage your long-run wealth! 
Abstract:
  This article investigates the links between hot markets, venture capital
 and long-run underperformance using a unique sample of 591 UK IPOs
 1985-2003. It finds no evidence for long-run underperformance for the full
 sample in line with the classical position. However, cumulative abnormal
 returns are significantly negative in hot markets and the return
 differential between hot and normal markets is also statistically and
 economically significant. This return differential holds relative both to
 the initial period closing price and the offer price and is consistent
 with issuers using market timing to exploit investor sentiment during hot
 markets. Finally, the results offer no support for a certification role by
 venture capitalists. 
Journal: Applied Financial Economics 
Pages: 1111-1120 
Issue: 14 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701564353 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701564353
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:14:p:1111-1120




Template-Type: ReDIF-Article 1.0
Author-Name: Fotios Pasiouras 
Author-X-Name-First: Fotios 
Author-X-Name-Last: Pasiouras 
Author-Name: Aggeliki Liadaki 
Author-X-Name-First: Aggeliki 
Author-X-Name-Last: Liadaki 
Author-Name: Constantin Zopounidis 
Author-X-Name-First: Constantin 
Author-X-Name-Last: Zopounidis 
Title: Bank efficiency and share performance: evidence from Greece 
Abstract:
  This article examines for the first time the association between the
 efficiency of Greek banks and their share price performance. Our analysis
 consists of three parts. First, we calculate the annual share price
 returns of the banks for each year between 2001 and 2005. Then we use data
 envelopment analysis to estimate the efficiency of the banks between 2000
 and 2005. Finally, we regress the annual share price returns over the
 annual change of efficiency while controlling for changes in banks' size
 and risk. We find that the average technical efficiency under constant
 returns to scale is 0.931 and increases to 0.977 under variable returns to
 scale, resulting in a scale efficiency of 0.953. The regression results
 indicate a positive and statistically significant relationship between
 annual changes in technical efficiency and stock returns, while changes in
 scale efficiency have no impact on stock returns. 
Journal: Applied Financial Economics 
Pages: 1121-1130 
Issue: 14 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701564346 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701564346
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:14:p:1121-1130




Template-Type: ReDIF-Article 1.0
Author-Name: Charles Okeahalam 
Author-X-Name-First: Charles 
Author-X-Name-Last: Okeahalam 
Title: Client profiles and access to retail bank services in South Africa 
Abstract:
  In many developed, and some developing countries, technological
 innovation has enabled banks to provide intermediary services and supply
 products via a variety of methods. This article uses econometric
 techniques to assess the impact of the product suite, credit score and the
 spatial availability of bank branches on the level of access to banking
 services in Gauteng Province, South Africa over the period 1999 to 2004.
 The results indicate that the allocated product suite and the credit score
 do not clearly influence the overall level of access. The spatial
 availability of branches has the most significant impact on overall access
 and at the margin, the number of bank branches is less important than the
 geographic distribution of the branches. Given the socio-economic profile
 of retail clients in South Africa, increases in investment in product
 suite inputs provides less productive benefits for overall access than
 bank branches do. This is contrary to the view that may hold for most
 developed economies. 
Journal: Applied Financial Economics 
Pages: 1131-1146 
Issue: 14 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701481343 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701481343
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:14:p:1131-1146




Template-Type: ReDIF-Article 1.0
Author-Name: Sian Owen 
Author-X-Name-First: Sian 
Author-X-Name-Last: Owen 
Author-Name: Jo-Ann Suchard 
Author-X-Name-First: Jo-Ann 
Author-X-Name-Last: Suchard 
Title: The pricing and impact of rights issues of equity in Australia 
Abstract:
  We investigate abnormal returns resulting from the announcement of a
 rights issue in Australia and are the first study outside the United
 States and the United Kingdom to examine the pricing of rights issues and
 the determinants of that pricing. Rights issues generate a significantly
 negative abnormal return and, on average, are priced at a discount. The
 determinants of the announcement effect are analysed using a two-stage
 approach controlling for the endogeneity of the price discount. We first
 estimate the predicted discount and then include it as an independent
 variable in the announcement effect regression. The discount is positively
 related to the offer size and negatively related to underwriter quality,
 supporting underwriter certification models. We also include variables
 that have not been tested in any market, such as shareholder concentration
 which is negatively related to the discount implying that firms with
 higher shareholder concentration do not offer a significant discount as
 their shareholders wish to maintain their percentage holding in the firm.
 Further, the abnormal returns have a negative relationship with the
 predicted price discount, and a positive relationship with the use of
 proceeds. Finally, announcements made by resource firms generate larger
 negative reactions than other issuers. 
Journal: Applied Financial Economics 
Pages: 1147-1160 
Issue: 14 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701537706 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701537706
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:14:p:1147-1160




Template-Type: ReDIF-Article 1.0
Author-Name: Dar-Hsin Chen 
Author-X-Name-First: Dar-Hsin 
Author-X-Name-Last: Chen 
Author-Name: Po-Hsun Chang 
Author-X-Name-First: Po-Hsun 
Author-X-Name-Last: Chang 
Title: The impact of listing stock options on the underlying securities: the case of Taiwan 
Abstract:
  Based on the asymmetric information and complete market hypotheses, this
 article attempts to explain the impact of listing stock options on the
 abnormal return, volatility, trading volume and market depth of the
 underlying securities in Taiwan. The empirical results find that positive
 abnormal returns exist, the degree of volatility decreases, trading volume
 increases and market depth also increases following the introduction of
 the stock options. The empirical results for the sub-sample are found to
 be consistent with those for the full sample, but not all parameters are
 significant. It appears that the Taiwan stock market has become more
 efficient, and ever since the stock options were introduced information
 has been disseminated more rapidly due to the investors' self-interested
 behaviour. 
Journal: Applied Financial Economics 
Pages: 1161-1172 
Issue: 14 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701537714 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701537714
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:14:p:1161-1172




Template-Type: ReDIF-Article 1.0
Author-Name: Abdulnasser Hatemi-J 
Author-X-Name-First: Abdulnasser 
Author-X-Name-Last: Hatemi-J 
Author-Name: Eduardo Roca 
Author-X-Name-First: Eduardo 
Author-X-Name-Last: Roca 
Title: Estimating banks' equity duration: a panel cointegration approach 
Abstract:
  Using panel unit root and cointegration analyses, we estimate the equity
 duration for banks covering the countries of Australia, US, Canada and the
 UK for the period 1986 to 2003. Our results show that banks in the UK had
 the highest duration followed by those in Australia, Canada and then the
 US. These results have important implications for policymakers
 particularly because banks, among others, act as conduit of monetary
 policy. Since duration is a measure of sensitivity to interest rates,
 these results imply that banks in the UK would be the most affected by
 monetary policy changes while those in the US would be the least affected.
 These results are also of importance to investors. Since duration also
 measures the speed by which cash flows come back, these results indicate
 that investors in US banks recover their investment faster than the
 investors in banks of Australia, Canada and the UK. This contention is
 supported by the fact that among the four countries, banks in the US are
 the most profitable while those in the UK are the least. 
Journal: Applied Financial Economics 
Pages: 1173-1180 
Issue: 14 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701551640 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701551640
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:14:p:1173-1180




Template-Type: ReDIF-Article 1.0
Author-Name: Chien-Chung Nieh 
Author-X-Name-First: Chien-Chung 
Author-X-Name-Last: Nieh 
Author-Name: Jeng-Bau Lin 
Author-X-Name-First: Jeng-Bau 
Author-X-Name-Last: Lin 
Author-Name: Yu-shan Wang 
Author-X-Name-First: Yu-shan 
Author-X-Name-Last: Wang 
Title: Exchange rate uncertainty and corporate values: evidence from Taiwan 
Abstract:
  This article first presents a derivation of a theoretical model, which
 shows that, if the discount rate is large enough, the exchange rate
 uncertainty (volatility) affects positively the corporate values under the
 circumstance where competitive firms are risk-averse. Empirical studies
 are then implemented to test for the relationships between the uncertainty
 and the corporate values among ten industries investigated in Taiwan. The
 empirical evidence indicates that there exist long-run equilibrium
 relationships between the uncertainty and the corporate values among the
 industries of food, glass, electricity, paper, rubber and steel. The
 corporate values for each industry are also significantly affected by
 their previous-period values. Using the Granger causality test for the
 other four industries, the results find that this uncertainty only has a
 one-way leading effect on itself. 
Journal: Applied Financial Economics 
Pages: 1181-1192 
Issue: 14 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701578973 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701578973
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:14:p:1181-1192




Template-Type: ReDIF-Article 1.0
Author-Name: Youta Ishii 
Author-X-Name-First: Youta 
Author-X-Name-Last: Ishii 
Title: International transmissions in US-Japanese stock markets 
Abstract:
  By using the time series of US and Japanese equity indexes, this article
 finds that the contemporaneous transmission from the US to Japanese
 equities markets is a significant 0.1387, while from Japan to the US it is
 0.0165 and is not significant. This means that a 1% increase in the US
 market is estimated to have a positive 13 basis point increase on the
 Japanese market. The estimated results obtained in this article imply that
 Japanese investors react to US information significantly but US investors
 do not react to Japanese information significantly. To obtain these
 results, we identified a structural vector autoregression using
 identification through heteroscedasticity introduced by Rigobon (2003a).
 This article contributes to the literature by estimating and testing the
 previously inestimable contemporaneous US to Japanese market
 transmissions. 
Journal: Applied Financial Economics 
Pages: 1193-1200 
Issue: 15 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701578981 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701578981
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:15:p:1193-1200




Template-Type: ReDIF-Article 1.0
Author-Name: Dima Alberg 
Author-X-Name-First: Dima 
Author-X-Name-Last: Alberg 
Author-Name: Haim Shalit 
Author-X-Name-First: Haim 
Author-X-Name-Last: Shalit 
Author-Name: Rami Yosef 
Author-X-Name-First: Rami 
Author-X-Name-Last: Yosef 
Title: Estimating stock market volatility using asymmetric GARCH models 
Abstract:
  A comprehensive empirical analysis of the mean return and conditional
 variance of Tel Aviv Stock Exchange (TASE) indices is performed using
 various GARCH models. The prediction performance of these conditional
 changing variance models is compared to newer asymmetric GJR and APARCH
 models. We also quantify the day-of-the-week effect and the leverage
 effect and test for asymmetric volatility. Our results show that the
 asymmetric GARCH model with fat-tailed densities improves overall
 estimation for measuring conditional variance. The EGARCH model using a
 skewed Student-t distribution is the most successful for forecasting TASE
 indices. 
Journal: Applied Financial Economics 
Pages: 1201-1208 
Issue: 15 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701604225 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701604225
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:15:p:1201-1208




Template-Type: ReDIF-Article 1.0
Author-Name: Ana del Rio 
Author-X-Name-First: Ana 
Author-X-Name-Last: del Rio 
Author-Name: Garry Young 
Author-X-Name-First: Garry 
Author-X-Name-Last: Young 
Title: The impact of unsecured debt on financial pressure among British households 
Abstract:
  This article uses the 1995 and 2000 waves of the British Household Panel
 Survey to examine how a self-reported indicator of financial pressure is
 related to household finances and other characteristics. Using an
 ordered-logit model we find that the burden of debt is affected by the
 unsecured debt-income ratio, mortgage income gearing, financial wealth,
 health, ethnicity and marital status. 
Journal: Applied Financial Economics 
Pages: 1209-1220 
Issue: 15 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701604233 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701604233
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:15:p:1209-1220




Template-Type: ReDIF-Article 1.0
Author-Name: V. Boinet 
Author-X-Name-First: V. 
Author-X-Name-Last: Boinet 
Author-Name: A. Gregoriou 
Author-X-Name-First: A. 
Author-X-Name-Last: Gregoriou 
Author-Name: C. Ioannidis 
Author-X-Name-First: C. 
Author-X-Name-Last: Ioannidis 
Title: Nonlinear adjustment of investors' holding periods for common stocks in the presence of unobserved transactions costs: evidence from the UK equity market 
Abstract:
  We estimate a model of holding period adjustment for four stock indices
 in the UK over the period 1980 to 2004. We postulate zone-symmetric
 investor preferences that result in an estimable ESTAR (Exponential Smooth
 Transition Autoregressive) model of the holding period for common stocks
 as a function of stock price volatility, market value and the bid-ask
 spread. These models suggest that there exists a nontrading zone due to
 the presence of transactions costs over and above the usual bid-ask
 spread. Normally such costs are not directly observed thus we need to
 deduce their influence by observing investors' responses to asset price
 shocks that necessitate trading. We show that the speed of adjustment
 increases as a function of deviations from the optimum. We present strong
 evidence of nonlinearities in the adjustment process that can be modelled
 by the proposed ESTAR model. We find that for heavily traded firms, such
 as those included in the FTSE 100, even small misalignments of the holding
 period from its 'optimal' value, trigger trading. However, transactions
 costs (other than the bid-ask spread) prevent such rapid adjustment in the
 other indices. 
Journal: Applied Financial Economics 
Pages: 1221-1231 
Issue: 15 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701578999 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701578999
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:15:p:1221-1231




Template-Type: ReDIF-Article 1.0
Author-Name: Janchung Wang 
Author-X-Name-First: Janchung 
Author-X-Name-Last: Wang 
Title: Degree of market imperfections: evidence from four Asian index futures markets 
Abstract:
  The degree of market imperfections has important implications for the
 behaviour of stock index futures. This work extends the evidence regarding
 the degree of market imperfections in three ways. First, this work
 represents the first attempt to compare the market imperfections of four
 Asian index futures markets. As anticipated, the degrees of market
 imperfections are significantly higher in the emerging markets (Korea and
 Taiwan) compared to the developed markets (Japan and Hong Kong). Second,
 this work compares the relative performance of three alternative
 volatility estimators in estimating the degree of market imperfections:
 the bivariate error correction GARCH(1,1) model, the exponentially
 weighted moving average (EWMA) and the power EWMA. The comparison results
 provide support for the conclusion that among the volatility estimators
 examined, the bivariate error correction GARCH(1,1) model performs the
 best. Third, this work tests the stationarity of the degrees of market
 imperfections. The empirical results demonstrate that the degrees of
 market imperfections for all four Asian markets are stationary, suggesting
 that the estimates of the degrees of imperfections obtained from ex post
 data are useful to investors on an ex ante basis. 
Journal: Applied Financial Economics 
Pages: 1233-1246 
Issue: 15 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701604241 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701604241
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:15:p:1233-1246




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Hutchinson 
Author-X-Name-First: Mark 
Author-X-Name-Last: Hutchinson 
Author-Name: Liam Gallagher 
Author-X-Name-First: Liam 
Author-X-Name-Last: Gallagher 
Title: Simulating convertible bond arbitrage portfolios 
Abstract:
  The recent growth in interest in convertible bond arbitrage (CBA) has
 predominantly come from the hedge fund industry. Past empirical evidence
 has shown that a CBA strategy generates positive monthly abnormal
 risk-adjusted returns. However, these studies have focused on hedge fund
 returns which exhibit instant history bias, selection bias, survivorship
 bias and smoothing. This article replicates the core underlying CBA
 strategy to generate an equally weighted and market capitalization daily
 CBA return series free of these biases, for the period 1990 through 2002.
 These daily series also capture important short-run price dynamics that
 previous studies have ignored. 
Journal: Applied Financial Economics 
Pages: 1247-1262 
Issue: 15 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701604217 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701604217
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:15:p:1247-1262




Template-Type: ReDIF-Article 1.0
Author-Name: Cem Payaslioglu 
Author-X-Name-First: Cem 
Author-X-Name-Last: Payaslioglu 
Title: Revisiting East Asian exchange rates: the same spirit under a different sky 
Abstract:
  The transmission of shocks among East Asian currencies following the 1997
 crisis has been a widely investigated topic using different methodologies.
 Some studies have utilized linear vector autoregression (VAR) and its
 tools, such as impulse responses and forecast error variance
 decompositions. A few on the other hand, focusing on the nonlinearities in
 exchange rates, employed Markov-switching VAR (MS-VAR) framework, thus
 attempted to capture asymmetries linked with different regimes. A major
 problem of typical MS-VAR models, however, lies in the lack of economic
 intuition unless these are converted into a structurally identifiable
 form. This article extends such studies by using a different apparatus:
 first, it combines Markov switching and structural identifying
 restrictions in a vector autoregression (MS-VAR) framework, thus providing
 regime-dependent impulse response functions to currency shocks. Second, it
 also provides impulse responses to shocks associated with regime changes.
 Empirical findings show that the responses to currency shocks under
 different regimes differ in terms of size and persistence. Among three
 currencies used in this study, Indonesian rupiah has been found most
 sensitive to regime shifts. On the other hand, leading role of Thai baht
 in affecting regional currency fluctuations has been confirmed. 
Journal: Applied Financial Economics 
Pages: 1263-1276 
Issue: 15 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701604258 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701604258
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:15:p:1263-1276




Template-Type: ReDIF-Article 1.0
Author-Name: J. Coakley 
Author-X-Name-First: J. 
Author-X-Name-Last: Coakley 
Author-Name: P. Kougoulis 
Author-X-Name-First: P. 
Author-X-Name-Last: Kougoulis 
Author-Name: J. C. Nankervis 
Author-X-Name-First: J. C. 
Author-X-Name-Last: Nankervis 
Title: The MSCI-Canada index rebalancing and excess comovement 
Abstract:
  Major changes to the MSCI Canada Standard Country index were announced
 and implemented in May 2000. This rebalancing involved the addition of
 some 17 and deletion of 13 stocks and had the net effect of increasing the
 market capitalization by US$50 billions. We investigate the associated
 changes in stock return comovement around this event on the Toronto Stock
 Exchange, the third largest North American exchange. We find that the
 average beta of the added stocks increases by as much as a factor of 1.6
 while the average R2 increases by up to 5%. Robustness tests indicate the
 results are not driven by nonsynchronous trading. 
Journal: Applied Financial Economics 
Pages: 1277-1287 
Issue: 16 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701537722 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701537722
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:16:p:1277-1287




Template-Type: ReDIF-Article 1.0
Author-Name: Stella Kanellopoulou 
Author-X-Name-First: Stella 
Author-X-Name-Last: Kanellopoulou 
Author-Name: Epaminondas Panas 
Author-X-Name-First: Epaminondas 
Author-X-Name-Last: Panas 
Title: Empirical distributions of stock returns: Paris stock market, 1980-2003 
Abstract:
  The accurate specification of returns distributions has important
 implications in financial economics. A common practice in financial
 econometrics is to assume that the logarithms of stock returns are
 independent and identically distributed and follow a Normal distribution.
 However, daily stock returns display significant departures from
 Normality, having fatter tails and more peakedness. This study presents an
 alternative class of distributions, Levy-stable distributions, which can
 account for the observed skewness, kurtosis and fat tails, considering a
 sample of daily returns for nine stocks in Paris Market. Moreover,
 estimating the Levy-index allows us to determine long-memory behaviour of
 stock returns. Additionally, this study also tests long-memory hypothesis
 through an estimation of ARFIMA models. A comparative analysis of both
 approaches suggests the existence of long-memory in Paris Stock Exchange.
 The implication of the present work is that Levy-stable distributions are
 used to better approximate returns distributions and also to explore
 long-memory effects of stock returns. 
Journal: Applied Financial Economics 
Pages: 1289-1302 
Issue: 16 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701630030 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701630030
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:16:p:1289-1302




Template-Type: ReDIF-Article 1.0
Author-Name: Rahul Verma 
Author-X-Name-First: Rahul 
Author-X-Name-Last: Verma 
Author-Name: Hasan Baklaci 
Author-X-Name-First: Hasan 
Author-X-Name-Last: Baklaci 
Author-Name: Gokce Soydemir 
Author-X-Name-First: Gokce 
Author-X-Name-Last: Soydemir 
Title: The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns 
Abstract:
  We examine the relative effects of rational and irrational investor
 sentiments on Dow Jones Industrial Average and S&P500 returns. The impact
 of rational sentiments on stock market returns is found to be greater than
 that of irrational sentiments. There are immediate positive responses of
 stock market returns to irrational sentiments corrected by negative
 responses in the upcoming periods. There are positive effects of past
 stock market returns on irrational sentiments but not on rational
 sentiments. The results support the economic fundamentals-based arguments
 of stock returns. Evidence in favour of irrational sentiments is
 consistent with the view that investor error is a significant determinant
 of stock returns. 
Journal: Applied Financial Economics 
Pages: 1303-1317 
Issue: 16 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701704272 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701704272
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:16:p:1303-1317




Template-Type: ReDIF-Article 1.0
Author-Name: Luis Ferruz 
Author-X-Name-First: Luis 
Author-X-Name-Last: Ferruz 
Author-Name: Javier Nievas 
Author-X-Name-First: Javier 
Author-X-Name-Last: Nievas 
Author-Name: Maria Vargas 
Author-X-Name-First: Maria 
Author-X-Name-Last: Vargas 
Title: Do Spanish mutual fund managers use public and private information correctly? Use of information in mutual fund management 
Abstract:
  In this work, we evaluate the use of public and private information by
 Spanish fund managers by means of an analysis of their traditional and
 conditional performance. Furthermore, we repeat this analysis for various
 fund subsets compiling their different characteristics, which allows us to
 determine the impact of diverse effects on performance. In addition, we
 restrict this analysis to the fund subset for which public information
 variables show a high predictive power. Prior to the model application, we
 develop an analysis of the integration order of variables and of
 multi-collinearity to assure models work well. 
Journal: Applied Financial Economics 
Pages: 1319-1331 
Issue: 16 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701704306 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701704306
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:16:p:1319-1331




Template-Type: ReDIF-Article 1.0
Author-Name: Manabu Asai 
Author-X-Name-First: Manabu 
Author-X-Name-Last: Asai 
Author-Name: Angelo Unite 
Author-X-Name-First: Angelo 
Author-X-Name-Last: Unite 
Title: The relationship between stock return volatility and trading volume: the case of the Philippines 
Abstract:
  This article reconsiders the relationship between stock return volatility
 and trading volume. Based on the multi-factor stochastic volatility model
 for stock return, we suggest several specifications for the trading
 volume. This approach enables the unobservable information arrival to
 follow the ARMA process. We apply the model to the data of Philippine
 Stock Exchange Composite Index and find that two factors are adequate to
 describe the movements of stock return volatility and variance of trading
 volume. We also find that the weights for the factors of the return and
 volume models are different from each other. The empirical results show
 (i) a negative correlation between stock return volatility and variance of
 trading volume, and (ii) a lack of effect of information arrivals on the
 level of trading volume. These findings are contrary to the results for
 the equity markets of advanced countries. 
Journal: Applied Financial Economics 
Pages: 1333-1341 
Issue: 16 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701604274 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701604274
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:16:p:1333-1341




Template-Type: ReDIF-Article 1.0
Author-Name: Wen-Chung Guo 
Author-X-Name-First: Wen-Chung 
Author-X-Name-Last: Guo 
Author-Name: Hsiu-Ting Shih 
Author-X-Name-First: Hsiu-Ting 
Author-X-Name-Last: Shih 
Title: The co-movement of stock prices, herd behaviour and high-tech mania 
Abstract:
  This article examines the evidence of herd behaviour and stock price
 co-movement within high-tech stocks in the Taiwan market. We study return
 dispersion, volatility dispersion and directional co-movement within the
 industry, finding their relations with high-tech mania and extreme
 markets. Our empirical results demonstrate more significant evidence of
 return dispersion, volatility dispersion, and a higher degree of
 directional co-movement in high-tech industries than in traditional
 industries. Both return dispersion and volatility dispersion were found to
 have a consistent association with extreme market movements for high-tech
 stocks. However, the level of directional co-movement, as a modified
 measure of herd behaviour, is greater during extreme markets for all
 industries, with an asymmetric result that has great significance for
 herding during extreme up markets as related to down markets. 
Journal: Applied Financial Economics 
Pages: 1343-1350 
Issue: 16 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720310 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720310
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:16:p:1343-1350




Template-Type: ReDIF-Article 1.0
Author-Name: Heechul Min 
Author-X-Name-First: Heechul 
Author-X-Name-Last: Min 
Author-Name: Wook Sohn 
Author-X-Name-First: Wook 
Author-X-Name-Last: Sohn 
Title: Closing inefficient affiliates: evidence from Korean conglomerates 
Abstract:
  In the wake of the financial crisis, the Korean government and creditor
 banks announced a 'blacklist' of 55 firms to be forced to exit the market.
 This article examines the effects that the closed affiliated firms had on
 stock market values of the Korean business groups (chaebols). We find that
 the announcement had an immediately negative effect on the remaining
 affiliates. The announcement's adverse effect became worse as firms had
 more affiliates in the 'blacklist' and had more investment from them,
 after controlling for various firm characteristics. These results suggest
 that the corresponding chaebols had financially weak firms besides those
 in the 'blacklist', or that the affiliates could not recover their
 investment when the blacklisted firms were closed. 
Journal: Applied Financial Economics 
Pages: 1351-1361 
Issue: 16 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701663254 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701663254
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:16:p:1351-1361




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Highfield 
Author-X-Name-First: Michael 
Author-X-Name-Last: Highfield 
Author-Name: Patrick Lach 
Author-X-Name-First: Patrick 
Author-X-Name-Last: Lach 
Author-Name: Larry White 
Author-X-Name-First: Larry 
Author-X-Name-Last: White 
Title: The quiet period is making noise again 
Abstract:
  We examine the initial public offering quiet period following the
 implementation of NYSE and NASD rules extending the quiet period from 25
 to 40 days for lead underwriters. While early studies found positive
 excess returns at the expiration of the quiet period, more recent studies
 suggest that these returns have disappeared. Controlling for simultaneity
 bias and changes in analyst behaviour, we investigate whether positive
 significant returns indeed no longer occur around the expiration of the
 quiet period. Overall, we find that the quiet period is making noise
 again. 
Journal: Applied Financial Economics 
Pages: 1363-1378 
Issue: 17 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701704322 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701704322
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:17:p:1363-1378




Template-Type: ReDIF-Article 1.0
Author-Name: Martin Bohl 
Author-X-Name-First: Martin 
Author-X-Name-Last: Bohl 
Author-Name: Pierre Siklos 
Author-X-Name-First: Pierre 
Author-X-Name-Last: Siklos 
Title: Empirical evidence on feedback trading in mature and emerging stock markets 
Abstract:
  We investigate the hypothesis that some participants in mature and
 emerging stock markets engage in feedback trading. The analysis is based
 on the Shiller-Sentana-Wadhwani model, which has the attractive property
 that it yields testable implications about the presence of positive and
 negative feedback traders in stock markets. In addition, the
 Shiller-Sentana-Wadhwani model is particularly well-suited to investigate
 whether momentum type behaviour might be present during periods of large
 stock market downturns. This theoretical framework, together with
 asymmetric GARCH-type models, allows us to draw conclusions whether
 differences exist between mature and emerging stock markets in terms of
 the degree of feedback trading as well as the behaviour of traders during
 stock market crashes. 
Journal: Applied Financial Economics 
Pages: 1379-1389 
Issue: 17 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701704280 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701704280
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:17:p:1379-1389




Template-Type: ReDIF-Article 1.0
Author-Name: Ying Huang 
Author-X-Name-First: Ying 
Author-X-Name-Last: Huang 
Author-Name: Feng Guo 
Author-X-Name-First: Feng 
Author-X-Name-Last: Guo 
Title: Macro shocks and the Japanese stock market 
Abstract:
  The article investigates to what extent various underlying macro (oil,
 supply, demand and portfolio) shocks impact the fluctuations of Japanese
 stock prices by developing a multivariate structural vector autoregression
 (SVAR) model. The results from a Markov regime-switching (MS)
 specification of the underlying shocks reveal that these shock-generating
 processes are characterized by nonlinearity with varied turning points and
 fit well with the actual historical events. Demand shocks, as opposed to
 supply shocks, are found to render pronounced influence on the stock
 market dynamics, indicating Japan's anaemic economic growth in the past
 decades has limited the role of supply shocks. Meanwhile, we find the
 importance of oil price shocks in driving the stock market as Japan is
 well synchronized in the world energy market. 
Journal: Applied Financial Economics 
Pages: 1391-1400 
Issue: 17 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720393 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720393
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:17:p:1391-1400




Template-Type: ReDIF-Article 1.0
Author-Name: Theophano Patra 
Author-X-Name-First: Theophano 
Author-X-Name-Last: Patra 
Author-Name: Sunil Poshakwale 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Poshakwale 
Title: Long-run and short-run relationship between the main stock indexes: evidence from the Athens stock exchange 
Abstract:
  Evidence on long-run and short-run relationship among the major stock
 indexes in the highly concentrated Athens stock exchange (ASE) is provided
 utilizing daily data for the period 01/01/96 to 31/12/03. The findings
 suggest that even though the sector indexes do not show a consistent and
 strong long-term relationship, the banking sector seems to have a strong
 influence on returns and volatility of other sectors at least in the
 short-run. The variance decomposition analysis confirms that although the
 variance of returns for most sectors is largely influenced by their own
 innovations, banking sector is able to explain 25% of variance of
 construction and insurance sectors and around 15% of the variance of
 industrial, investment and the holding sectors. The leading role of the
 banking sector implies that changes in the banking sector index could be
 potentially used in predicting short term movements in other sector
 indexes confirming that the ASE is not weak form efficient. 
Journal: Applied Financial Economics 
Pages: 1401-1410 
Issue: 17 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701704314 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701704314
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:17:p:1401-1410




Template-Type: ReDIF-Article 1.0
Author-Name: Antonios Antoniou 
Author-X-Name-First: Antonios 
Author-X-Name-Last: Antoniou 
Author-Name: Jie Guo 
Author-X-Name-First: Jie 
Author-X-Name-Last: Guo 
Author-Name: Dimitris Petmezas 
Author-X-Name-First: Dimitris 
Author-X-Name-Last: Petmezas 
Title: Merger momentum and market valuations: the UK evidence 
Abstract:
  This study examines the effect of merger momentum on acquirer's returns
 both in the short and long-run. The focus is on high valuation markets and
 the source of momentum is investigated employing three different
 hypotheses: the neoclassical hypothesis, the hubris hypothesis and the
 investor sentiment theory. Evidence is provided that supports the investor
 sentiment (optimism) hypothesis since it is demonstrated that investors
 earn significant gains in the short run but returns are reversed in the
 long-run as initial expectations may not be fully met when combined firms'
 accomplishments become known over time. The results are robust after
 controlling for several acquirer and deal characteristics. 
Journal: Applied Financial Economics 
Pages: 1411-1423 
Issue: 17 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720468 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720468
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:17:p:1411-1423




Template-Type: ReDIF-Article 1.0
Author-Name: Ivo Arnold 
Author-X-Name-First: Ivo 
Author-X-Name-Last: Arnold 
Author-Name: Evert Vrugt 
Author-X-Name-First: Evert 
Author-X-Name-Last: Vrugt 
Title: Fundamental uncertainty and stock market volatility 
Abstract:
  We provide empirical evidence on the link between stock market volatility
 and macroeconomic uncertainty. We show that US stock market volatility is
 significantly related to the dispersion in economic forecasts from
 participants in the Survey of Professional Forecasters over the period
 1969 to 1996. This link is much stronger than that between stock market
 volatility and the more traditional time-series measures of macroeconomic
 volatility, but disappears from 1997 onwards. This coincides with a
 previously documented regime shift in stock volatility. Macroeconomic
 uncertainty is also able to explain and forecast the volatilities of the
 Fama and French factors SMB, HML and UMD. 
Journal: Applied Financial Economics 
Pages: 1425-1440 
Issue: 17 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701857922 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857922
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:17:p:1425-1440




Template-Type: ReDIF-Article 1.0
Author-Name: John Gallo 
Author-X-Name-First: John 
Author-X-Name-Last: Gallo 
Author-Name: Chanwit Phengpis 
Author-X-Name-First: Chanwit 
Author-X-Name-Last: Phengpis 
Author-Name: Peggy Swanson 
Author-X-Name-First: Peggy 
Author-X-Name-Last: Swanson 
Title: Institutional flows and equity style diversification 
Abstract:
  This article examines the composition of style-diversified portfolios and
 the influence of institutional trading on style performance over the
 period 1979 to 2004. We employ a methodology to identify possible
 cointegrating relationships among four equity styles and to determine
 styles necessary to a well-diversified portfolio. Two seemingly dissimilar
 styles, large value and small growth, are cointegrated and hence,
 redundant diversifiers. We show an optimized three-style portfolio that
 omits one cointegrated style, improves performance and lowers market risk,
 demonstrating the importance of allocation to style diversification. We
 also find evidence the trading behaviour of institutional investors
 explains, in part, the relationship among and between the cointegrated and
 the independent styles. 
Journal: Applied Financial Economics 
Pages: 1441-1450 
Issue: 18 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701857914 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857914
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1441-1450




Template-Type: ReDIF-Article 1.0
Author-Name: Olasupo Olusi 
Author-X-Name-First: Olasupo 
Author-X-Name-Last: Olusi 
Author-Name: Haikal Abdul-Majid 
Author-X-Name-First: Haikal 
Author-X-Name-Last: Abdul-Majid 
Title: Diversification prospects in Middle East and North Africa (MENA) equity markets: a synthesis and an update 
Abstract:
  This study investigates the extent to which Eurozone and Middle East and
 North Africa (MENA) equity markets are integrated, to assess any potential
 diversification benefits across the two sets of markets. In addition to
 cointegration analysis, we analyse time-varying conditional correlations,
 which are then modelled as a smooth transition logistic trend model to
 permit the determination of the speed at which the two sets of markets are
 becoming more or less integrated. Optimal portfolios based on a
 combination of equity assets in both sets of markets are constructed to
 assess possible gains from diversification. We compare the performances of
 these portfolios using a variety of performance measures, taking into
 account the implications of higher moments of return distribution unlike
 several studies. Whilst our findings do not indicate Eurozone-MENA
 integration, there is mixed evidence on the correlation trends between the
 sets of markets. Moreover, the changes in correlations occur at a very
 slow pace. Overall, our analysis indicates the existence of
 diversification benefits in MENA equity markets. 
Journal: Applied Financial Economics 
Pages: 1451-1463 
Issue: 18 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720450 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720450
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1451-1463




Template-Type: ReDIF-Article 1.0
Author-Name: H. Semih Yildirim 
Author-X-Name-First: H. Semih 
Author-X-Name-Last: Yildirim 
Author-Name: Prem Mathew 
Author-X-Name-First: Prem 
Author-X-Name-Last: Mathew 
Author-Name: Priscilla Neeliah-Chinniah 
Author-X-Name-First: Priscilla 
Author-X-Name-Last: Neeliah-Chinniah 
Title: The value of stability ratings to the Canadian income trust market 
Abstract:
  The Canadian income trust market has witnessed phenomenal growth over the
 past few years. Limited institutional investment and analyst coverage in
 these securities creates an asset class with little monitoring or unbiased
 evaluation. Stability ratings, therefore, become crucial in providing
 information to investors about the quality of trusts. We find that ratings
 in the oil and gas and utility sectors provide a credible signal of
 quality. However, in the business trust sector, with the greatest
 diversity of underlying operating companies and need for evaluation,
 stability ratings are not as useful in providing a separating equilibrium
 between the rated and unrated trusts. We also find that market
 participants' reactions to new information releases in this sector tend to
 be greater for unrated trusts. 
Journal: Applied Financial Economics 
Pages: 1465-1474 
Issue: 18 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701704264 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701704264
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1465-1474




Template-Type: ReDIF-Article 1.0
Author-Name: Elvan Aktas 
Author-X-Name-First: Elvan 
Author-X-Name-Last: Aktas 
Title: Intraday stock returns and performance of a simple market model 
Abstract:
  With enhancements in information technology, increased institutional and
 automated trading, and previously unmatched availability of online trading
 grew the attention to intraday movements of security prices and tests
 associated with them. This study analyses the properties of both observed
 5-minute stock returns and of excess returns obtained by using a variety
 of alternative models common to event studies. Using observed 5-minute
 returns, various event study methodologies are simulated and repeatedly
 applied to samples which have been created by random selection of
 securities and random assignment of event dates to each security. The
 study examines the probability of rejecting the null hypothesis of no
 average abnormal performance when it is true and the probability of
 detecting a given abnormal performance, which is introduced to the data at
 the randomly selected event dates. 
Journal: Applied Financial Economics 
Pages: 1475-1480 
Issue: 18 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720294 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720294
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1475-1480




Template-Type: ReDIF-Article 1.0
Author-Name: Rakesh Bissoondeeal 
Author-X-Name-First: Rakesh 
Author-X-Name-Last: Bissoondeeal 
Title: Post-Bretton Woods evidence on PPP under different exchange rate regimes 
Abstract:
  This article investigates the behaviour of exchange rates across
 different regimes for a post-Bretton Woods period. The exchange rate
 regime classification is based on the classification of Frankel et al.
 (2004) who condensed the 10 categories of exchange rate regimes reported
 by the International Monetary Fund (IMF) into three categories. Panel
 unit-root tests and panel cointegration are used to examine the Purchasing
 Power Parity (PPP) hypothesis. The latter test is used to check for both
 the weak and strong forms of PPP. The panel unit-root tests show no
 evidence of PPP and suggest there is no difference in the behaviour of
 exchange rates across different regimes. However, failure to detect PPP
 across any of the regimes could be due to structural breaks. This
 assumption is reinforced by the results of cointegration tests, which
 suggest that there exists at least a weak form of PPP for the different
 regimes. The evidence for strong PPP decreases as the exchange rate regime
 moves away from a flexible exchange rate regime. 
Journal: Applied Financial Economics 
Pages: 1481-1488 
Issue: 18 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720344 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720344
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1481-1488




Template-Type: ReDIF-Article 1.0
Author-Name: YongChern Su 
Author-X-Name-First: YongChern 
Author-X-Name-Last: Su 
Author-Name: HanChing Huang 
Author-X-Name-First: HanChing 
Author-X-Name-Last: Huang 
Title: Dynamic causality between intraday return and order imbalance in NASDAQ speculative top gainers 
Abstract:
  This study explores dynamic conditional and unconditional causality
 relations between intraday return and order imbalance on extraordinary
 events. We examine intraday behaviour of NASDAQ speculative top gainers.
 In this study, we employ a regression model to examine intraday
 return-order imbalance behaviours. Moreover, we introduce a
 multiple-hypotheses testing method, namely a nested causality, to identify
 the dynamic relationship between intraday returns and order imbalances. We
 find order imbalance convey more information than trading volume does.
 While examining three intraday time regimes, we find the contemporaneous
 order imbalance-return effect is significant in the third sub-period,
 which implies that informed trading will take place in the afternoon. The
 size-stratified results show there is a negative relation between firm
 size and the order imbalance-return effect. The impact of the trading
 volume on the order imbalance-return effect is weaker than that of the
 firm size. Moreover, the volume-stratified results suggest that order
 imbalance be a better return predictor in small trading volume quartile
 and the order imbalance-based trading strategies are useful in the
 afternoon regime. 
Journal: Applied Financial Economics 
Pages: 1489-1499 
Issue: 18 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720278 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720278
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1489-1499




Template-Type: ReDIF-Article 1.0
Author-Name: Jason Hecht 
Author-X-Name-First: Jason 
Author-X-Name-Last: Hecht 
Title: Modelling cross-sectional profitability and capital intensity using panel corrected significance tests 
Abstract:
  Employing seemingly unrelated regression (SUR) models with panel
 corrected standard errors (PCSE) this research augments and extends Fama
 and French's (2000) 'first stage' model of expected cross-sectional
 profitability. Capital intensity, defined as the ratio of depreciation
 plus interest expense to total assets was found to be significantly
 inversely related to profitability. In addition, specific market sector
 and country fixed-effects proved significant in models that simultaneously
 corrected for cross-sectional heteroscedasticity and cross-equation
 residual correlation. Both of these corrections addressed the potential
 bias from least squares standard errors or 'inference problem' noted in
 the previous work by Fama and French. Unrestricted and restricted SUR
 cross-sectional models with PCSE are used to compute t-statistics based on
 Fama-MacBeth, Litzenberger-Ramaswamy and standard panel methodologies. The
 former two methods provided significant results compared to those using
 the Fama-MacBeth approach. 
Journal: Applied Financial Economics 
Pages: 1501-1513 
Issue: 18 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701735938 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735938
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1501-1513




Template-Type: ReDIF-Article 1.0
Author-Name: S. G. M. Fifield 
Author-X-Name-First: S. G. M. 
Author-X-Name-Last: Fifield 
Author-Name: D. M. Power 
Author-X-Name-First: D. M. 
Author-X-Name-Last: Power 
Author-Name: D. G. S. Knipe 
Author-X-Name-First: D. G. S. 
Author-X-Name-Last: Knipe 
Title: The performance of moving average rules in emerging stock markets 
Abstract:
  The question of whether active trading strategies outperform the more
 naive approaches that are available to investors has returned to the
 research agenda. The topic had been hotly debated in the early and middle
 1960s, but seemed to have been dispatched to the academic sidelines by
 proponents of the Efficient Market Hypothesis (EMH). However, the
 developments in behavioural finance which recognize that individuals may
 make mistakes when valuing securities have revived interest in this topic.
 In addition, recent evidence has re-ignited the debate and there is now a
 new strand of literature which re-examines whether trading strategies
 based on historic information can yield profits. The current article
 builds on this recent body of evidence by examining moving average rules
 for 15 emerging and three developed markets over the period 1989-2003. The
 results indicate that the return behaviour of the emerging markets studied
 differed markedly from that of their developed market counterparts; moving
 average rules were more profitable when tested using emerging stock market
 indices. In addition, this profitability persisted for longer moving
 averages, suggesting that trends in share returns were larger and more
 persistent in emerging markets. 
Journal: Applied Financial Economics 
Pages: 1515-1532 
Issue: 19 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720302 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720302
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:19:p:1515-1532




Template-Type: ReDIF-Article 1.0
Author-Name: Vicente Esteve 
Author-X-Name-First: Vicente 
Author-X-Name-Last: Esteve 
Author-Name: Maria Prats 
Author-X-Name-First: Maria 
Author-X-Name-Last: Prats 
Title: Are there threshold effects in the stock price-dividend relation? The case of the US stock market, 1871-2004 
Abstract:
  We use recent developments on threshold autoregressive models that allow
 deriving endogenously threshold effects to analyse the evolution of the US
 stock price-dividend relation over the period 1871 to 2004. More
 specifically, a mean-reverting dynamic behaviour of the stock
 price-dividend ratio should be expected once such threshold is reached.
 Our empirical results showed that significant adjustments would occur
 when, in a particular year, the stock price-dividend ratio had shown a
 decrease of more than 8.0% between the previous year and the fourth year
 before, which implies nonlinearities in the dynamic behaviour of the US
 stock price-dividend relation. 
Journal: Applied Financial Economics 
Pages: 1533-1537 
Issue: 19 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720369 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720369
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:19:p:1533-1537




Template-Type: ReDIF-Article 1.0
Author-Name: Anna Vong 
Author-X-Name-First: Anna 
Author-X-Name-Last: Vong 
Author-Name: N. Zhao 
Author-X-Name-First: N. 
Author-X-Name-Last: Zhao 
Title: An examination of IPO underpricing in the growth enterprise market of Hong Kong 
Abstract:
  This study examines the first-day returns of initial public offerings
 listed on the Growth Enterprise Market (GEM) of Hong Kong from its
 inception until the year of 2005. Results show that GEM, operating under a
 relaxed set of listing requirements, exhibits a higher underpricing level
 than that of the Main Board. Such a higher level can be explained by the
 ex-post volatility of after-market returns, the timing effects and the
 geographic location (i.e. 'H' SHARES). Both the reputation of underwriters
 and the signalling role of underpricing show no effect on initial excess
 returns. 
Journal: Applied Financial Economics 
Pages: 1539-1547 
Issue: 19 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701704256 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701704256
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:19:p:1539-1547




Template-Type: ReDIF-Article 1.0
Author-Name: Karima Saci 
Author-X-Name-First: Karima 
Author-X-Name-Last: Saci 
Author-Name: Ken Holden 
Author-X-Name-First: Ken 
Author-X-Name-Last: Holden 
Title: Evidence on growth and financial development using principal components 
Abstract:
  In the literature on the growth-financial development relationship, many
 different measures of financial development have been suggested. These are
 generally highly correlated and are frequently subject to measurement
 error. In this article, principal components are used as a means of
 measuring financial development. Using panel data for 30 developing
 countries on 10 measures of financial development, the properties of the
 principal components are discussed and their relationships with growth are
 examined. Estimation by the general method of moments suggests that
 principal components have a useful role in examining the links between
 growth and financial development. 
Journal: Applied Financial Economics 
Pages: 1549-1560 
Issue: 19 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720286 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720286
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:19:p:1549-1560




Template-Type: ReDIF-Article 1.0
Author-Name: Chou-Wen Wang 
Author-X-Name-First: Chou-Wen 
Author-X-Name-Last: Wang 
Author-Name: Ting-Yi Wu 
Author-X-Name-First: Ting-Yi 
Author-X-Name-Last: Wu 
Title: Pricing futures options with basis risk: evidence from S&P 500 futures options 
Abstract:
  This study empirically tests the performance of the Future Option model
 with Basis Risk (FOBR) proposed by Wang et al. (2005). The Black (1976)
 model is used as the competing model in this empirical test. The basis
 risk is the only difference between the two competing models and is
 therefore used to determine the existence of basis risk. The FOBR model is
 empirically tested using the daily data of S&P 500 call options on
 futures. The model outperforms Black's model due to its better prediction
 power. For the total sample data, the mean errors in terms of index and
 percentages are 0.973 and 1.0% for the FOBR model, and they are -4.468 and
 -27.1% for Black's model. The empirical test also supports the occurrence
 of basis risk in futures options on stock index by eliminating systematic
 moneyness and time-to-maturity biases produced by Black's model. 
Journal: Applied Financial Economics 
Pages: 1561-1567 
Issue: 19 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720328 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720328
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:19:p:1561-1567




Template-Type: ReDIF-Article 1.0
Author-Name: Aristeidis Samitas 
Author-X-Name-First: Aristeidis 
Author-X-Name-Last: Samitas 
Author-Name: Dimitris Kenourgios 
Author-X-Name-First: Dimitris 
Author-X-Name-Last: Kenourgios 
Author-Name: Peter Zounis 
Author-X-Name-First: Peter 
Author-X-Name-Last: Zounis 
Title: Athens' Olympic Games 2004 impact on sponsors' stock returns 
Abstract:
  The sponsorship of major sporting events involves an ongoing commitment
 by business partners (sponsors) who need to evaluate the returns of their
 investments. This article addresses this evaluation by employing event
 study analysis and bootstrapping in order to assess the market value of
 business sponsorship of the Olympic Games 2004. The events tested are the
 announcement of the Athens 2004 Olympic Games sponsorships and the opening
 ceremony. The empirical results indicate the marginal positive impact that
 sponsorship announcements cause in international and national sponsors'
 stock returns. Sponsorship announcements are more influential for small
 size firms' stock returns since they react more positive compared to
 larger ones. 
Journal: Applied Financial Economics 
Pages: 1569-1580 
Issue: 19 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720336 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720336
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:19:p:1569-1580




Template-Type: ReDIF-Article 1.0
Author-Name: Rudra Sensarma 
Author-X-Name-First: Rudra 
Author-X-Name-Last: Sensarma 
Title: Deregulation, ownership and profit performance of banks: evidence from India 
Abstract:
  This article studies the effects of deregulation on the banking industry
 in an emerging economy using profit-based measures of performance. Using
 panel data of 83 Indian banks belonging to different ownership groups for
 the period 1986 to 2005, we find that profit efficiency and productivity
 declined following deregulation. While public sector banks performed
 better than private banks in the pre-deregulation period, there was no
 difference in their performances after deregulation. Foreign and new
 private banks turned out to have the highest levels of profit
 productivity. Our results are in contrast with the findings of previous
 studies that have found significant improvements in efficiency and
 productivity of Indian banks using cost-based measures of performance. 
Journal: Applied Financial Economics 
Pages: 1581-1595 
Issue: 19 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720385 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720385
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:19:p:1581-1595




Template-Type: ReDIF-Article 1.0
Author-Name: Ken Nyholm 
Author-X-Name-First: Ken 
Author-X-Name-Last: Nyholm 
Author-Name: Riccardo Rebonato 
Author-X-Name-First: Riccardo 
Author-X-Name-Last: Rebonato 
Title: Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches 
Abstract:
  Two methods for evolving forward the yield curve are evaluated and
 contrasted within a Monte Carlo experiment: one is originally presented by
 Rebonato et al. (2005) and the other by Bernadell et al. (2005). A
 detailed account for how to implement the models is also presented.
 Results suggest that the two techniques are complementary and able to
 capture important cross-sectional and time-series properties of observed
 yield curve data. Our results are of interest to practitioners in the
 financial markets as well as central banks who need accountable and
 history consistent procedures for generating long-term yield curve
 forecasts. 
Journal: Applied Financial Economics 
Pages: 1597-1611 
Issue: 20 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701630048 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701630048
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1597-1611




Template-Type: ReDIF-Article 1.0
Author-Name: Martijn de Ruijter Korver 
Author-X-Name-First: Martijn 
Author-X-Name-Last: de Ruijter Korver 
Author-Name: Steven Ongena 
Author-X-Name-First: Steven 
Author-X-Name-Last: Ongena 
Title: European mezzanine 
Abstract:
  Recently, mezzanine financing has been growing rather dramatically in
 Europe. We describe the characteristics of European mezzanine, the
 developments of the UK and Continental European mezzanine markets and the
 various financial instruments that are traded in the European market. We
 further study in detail a comprehensive dataset of recent European
 mezzanine deals, and analyse the determinants of the mezzanine credit
 spread on these deals employing a credit spread model recently used by
 Angbazo et al. (1998). We find that credit spreads on European mezzanine
 loans are lower for shorter maturity, term or bridge loans. Credit spreads
 further react sluggishly to corporate bond yields but do not react to
 their syndication. 
Journal: Applied Financial Economics 
Pages: 1613-1622 
Issue: 20 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100801949744 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801949744
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1613-1622




Template-Type: ReDIF-Article 1.0
Author-Name: Don Galagedera 
Author-X-Name-First: Don 
Author-X-Name-Last: Galagedera 
Author-Name: Elizabeth Maharaj 
Author-X-Name-First: Elizabeth 
Author-X-Name-Last: Maharaj 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Title: Relationship between downside risk and return: new evidence through a multiscaling approach 
Abstract:
  In the multiscaling approach, a time series is decomposed into different
 time horizons referred to as timescales. In this article, we investigate
 the risk-return relationship in a downside framework using timescales. Two
 measures of downside risk; downside beta and downside co-skewness are
 investigated. A sample of Australian industry portfolios does not reveal a
 positive linear relationship between downside beta and portfolio return.
 At a high timescale where dynamics over a longer horizon (32-64 days) is
 captured, a positive linear association between downside co-skewness and
 portfolio return is observed. Overall, our results suggest that when
 investigating the validity of asset pricing models whether in the downside
 framework or in the traditional mean-variance framework, it may be prudent
 to consider other horizons in addition to the usual daily and monthly
 frequencies. 
Journal: Applied Financial Economics 
Pages: 1623-1633 
Issue: 20 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720435 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720435
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1623-1633




Template-Type: ReDIF-Article 1.0
Author-Name: Chun-Hao Chang 
Author-X-Name-First: Chun-Hao 
Author-X-Name-Last: Chang 
Author-Name: Brice DuPoyet 
Author-X-Name-First: Brice 
Author-X-Name-Last: DuPoyet 
Author-Name: Arun Prakash 
Author-X-Name-First: Arun 
Author-X-Name-Last: Prakash 
Title: Optimum allocation of weights to assets in a portfolio: the case of nominal annualization versus effective annualization of returns 
Abstract:
  Based on several research studies and in particular the theoretical study
 of Prakash et al. (1997), it is known that the variance as well as the
 skewness of the probability distribution of rates of return increases if
 the investors-investment interval increases. In the present study, using
 the portfolio selection procedure deveoloped by Lai (1991) under the
 presence of skewness and subsequently used by Chunhachinda et al. (1997)
 and Prakash et al. (2003), we find that the selection of investment
 interval (e.g. daily versus weekly versus monthly) significantly changes
 not only the optimal allocation of weights, but also the number of markets
 selected in the portfolio. 
Journal: Applied Financial Economics 
Pages: 1635-1646 
Issue: 20 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720427 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720427
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1635-1646




Template-Type: ReDIF-Article 1.0
Author-Name: Liang Han 
Author-X-Name-First: Liang 
Author-X-Name-Last: Han 
Author-Name: David Storey 
Author-X-Name-First: David 
Author-X-Name-Last: Storey 
Author-Name: Stuart Fraser 
Author-X-Name-First: Stuart 
Author-X-Name-Last: Fraser 
Title: The concentration of creditors: evidence from small businesses 
Abstract:
  This article examines the determinants of concentration of creditors. The
 empirical evidence drawn from this article supports the proposition of
 Bolton and Scharfstein (1996) that for negotiation reasons, high-quality
 borrowers tend to borrow from multiple sources and is contrary to the
 theoretical prediction of Bris and Welch (2005). This finding implies the
 existence of hold-up problems in financing small businesses where
 information conveyance is difficult between lenders. It is further
 supported by the evidence that dispersed bank relationships are associated
 with relationships of a longer history and a closer physical distance to
 lenders. 
Journal: Applied Financial Economics 
Pages: 1647-1656 
Issue: 20 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720476 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720476
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1647-1656




Template-Type: ReDIF-Article 1.0
Author-Name: Ching-Chung Lin 
Author-X-Name-First: Ching-Chung 
Author-X-Name-Last: Lin 
Title: The impact of lifting the short-sale price restriction on volatility and liquidity in Taiwan 
Abstract:
  The restriction of short-sale prices, which states that short-sale prices
 must not be lower than the closing price of the previous trading day, no
 longer applies to the constituent stocks of the Taiwan Top 50 Index. This
 study investigates the impact of restriction lifting on the trading
 activities and volatilities of those component stocks. The empirical
 results show that while the trading activities of those component stocks
 do not change, their volatilities increase significantly. Moreover, stocks
 with a lower percentage of margin transactions experience higher
 volatility. 
Journal: Applied Financial Economics 
Pages: 1657-1665 
Issue: 20 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720401 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720401
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1657-1665




Template-Type: ReDIF-Article 1.0
Author-Name: Keith Lam 
Author-X-Name-First: Keith 
Author-X-Name-Last: Lam 
Author-Name: Frank Li 
Author-X-Name-First: Frank 
Author-X-Name-Last: Li 
Title: The risk premiums of the four-factor asset pricing model in the Hong Kong stock market 
Abstract:
  The objective of this article is to investigate the risk premiums of the
 four-factor model in the Hong Kong stock market. We find that the
 magnitudes of the market, size and momentum premiums are similar, and that
 the pattern of the book-to-market premium is similar to the pattern of the
 size factor. We also find that the premiums and SDs of the four factors
 are all higher in the Hong Kong market than in the US market. All
 four-factor premiums are subject to the influence of seasonality, and all
 except for the market premium are subject to up- and down-market
 conditions. 
Journal: Applied Financial Economics 
Pages: 1667-1680 
Issue: 20 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720443 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720443
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1667-1680




Template-Type: ReDIF-Article 1.0
Author-Name: Zhichao Zhang 
Author-X-Name-First: Zhichao 
Author-X-Name-Last: Zhang 
Author-Name: Wai Sun 
Author-X-Name-First: Wai 
Author-X-Name-Last: Sun 
Author-Name: Hua Wang 
Author-X-Name-First: Hua 
Author-X-Name-Last: Wang 
Title: A new perspective on financial anomalies in emerging markets: the case of China 
Abstract:
  Financial anomalies in emerging markets can be caused by very different
 reasons than that in mature markets. In a Generalized Autoregressive
 Conditional Heteroskedasticity (GARCH) model, we examine financial
 anomalies in emerging markets from a new perspective, which focuses on
 heavy political interventions. In the context of China, we show that
 political consideration of the government can be a critical force that
 drives the monthly anomaly in the stock market. The Chinese case indicates
 that usual explanations for the monthly anomaly or the January effect may
 become invalid in an environment where political intervention is a
 dominant force in the stock market. Typical of a policy-driven market that
 prevails in emerging economies, indicate no evidence for the January
 effect in China, neither its mirror version, the Chinese New Year effect.
 Rather, returns abnormality is found to occur in March when China is in
 the political high season. This March effect is likely a result of
 political manoeuvre by the government to make the appearance of a stable
 and thriving stock market, which serves the political purpose of
 preventing social resentment in a politically sensitive time. This shows
 political window dressing can be an important cause of financial
 anomalies, which has been largely neglected in the literature. 
Journal: Applied Financial Economics 
Pages: 1681-1695 
Issue: 21 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701735946 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735946
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:21:p:1681-1695




Template-Type: ReDIF-Article 1.0
Author-Name: Chun-Hao Chang 
Author-X-Name-First: Chun-Hao 
Author-X-Name-Last: Chang 
Author-Name: Brice Dupoyet 
Author-X-Name-First: Brice 
Author-X-Name-Last: Dupoyet 
Author-Name: Arun Prakash 
Author-X-Name-First: Arun 
Author-X-Name-Last: Prakash 
Title: Effect of intervalling and skewness on portfolio selection in developed and developing markets 
Abstract:
  Based on several research studies and in particular the theoretical study
 of Prakash et al. (1997), it is known that the variance as well as the
 skewness of the probability distribution of rates of return increases if
 the investors' investment interval increases. In the present study, using
 the portfolio selection procedure developed by Lai (1991) under the
 presence of skewness and subsequently used by Chunhachinda et al. (1997)
 and Prakash et al. (2003), we find that the selection of investment
 interval (e.g. daily, weekly versus monthly) significantly changes not
 only the optimal allocation of weights, but also the number of markets
 selected in the portfolio. 
Journal: Applied Financial Economics 
Pages: 1697-1707 
Issue: 21 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701720419 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720419
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:21:p:1697-1707




Template-Type: ReDIF-Article 1.0
Author-Name: Guangzhong Li 
Author-X-Name-First: Guangzhong 
Author-X-Name-Last: Li 
Author-Name: James Refalo 
Author-X-Name-First: James 
Author-X-Name-Last: Refalo 
Author-Name: Lifan Wu 
Author-X-Name-First: Lifan 
Author-X-Name-Last: Wu 
Title: Causality-in-variance and causality-in-mean among European government bond markets 
Abstract:
  This article examines causality in volatility spillover
 (causality-in-variance) for the six major European government bond
 markets. Using tests of temporal causality and directed acyclic graphs, we
 find evidence of contemporaneous causality-in-variance, indicating that
 volatility spillover in the government bond markets is a short-lived
 phenomenon. However, we find no evidence of contemporaneous
 causality-in-mean for bond index returns. The tests reveal that the
 markets are bidirectionally linked, and reasonably well integrated. 
Journal: Applied Financial Economics 
Pages: 1709-1720 
Issue: 21 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701735953 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735953
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:21:p:1709-1720




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Heaney 
Author-X-Name-First: Richard 
Author-X-Name-Last: Heaney 
Author-Name: Martin Holmen 
Author-X-Name-First: Martin 
Author-X-Name-Last: Holmen 
Title: Family ownership and the cost of under-diversification 
Abstract:
  We argue that the cost to a family of holding a large block of shares in
 a company, or under-diversifying, is reflected in the diversification
 benefits that the family forfeits. These costs can be substantial. For
 example, given a constant relative risk aversion parameter of 2, the
 median cost to our sample of families controlling large Swedish firms is
 13% of the market value of firm's shares. We find that this cost is
 reduced by pyramid structures but not by the use of dual class shares. 
Journal: Applied Financial Economics 
Pages: 1721-1737 
Issue: 21 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701735912 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735912
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:21:p:1721-1737




Template-Type: ReDIF-Article 1.0
Author-Name: Changbao Wu 
Author-X-Name-First: Changbao 
Author-X-Name-Last: Wu 
Author-Name: Bixia Xu 
Author-X-Name-First: Bixia 
Author-X-Name-Last: Xu 
Title: Deflator selection and generalized linear modelling in market-based regression analyses 
Abstract:
  The scale factor refers to an unknown size variable which affects some or
 all observed variables in a multiplicative fashion. The scale effect
 studied by several researchers in market-based regression analyses is
 defined here as the intriguing combination of coefficient bias and
 heteroscedasticity caused by the scale. Deflation is the most popular
 technique used in previous market-based studies to mitigate the scale
 effect. Selection of a suitable deflator, however, remains as a difficult
 and challenging task due to the lack of a general statistical framework
 for this type of research. In this article, we establish a general
 statistical framework for deflator and model selection. We argue and show
 that the existence and severity of the scale effect can be identified and
 measured using the Average Absolute Values of Studentized Residuals and
 the Relative Total Prediction Error for stratified firm groups. The
 proposed framework consists of five major components. Results from our
 simulation studies and sensitivity analyses show that if the true scale
 variable is used as a deflator to produce one of the deflated candidate
 models, this model can be correctly identified using the proposed
 strategy, even if the working model is mildly misspecified. In addition,
 our studies show that the generalized linear modelling method can be very
 useful for mitigating the scale effect when the unknown true scale
 variable is related to the whole set of independent variables through the
 so-called mean function. 
Journal: Applied Financial Economics 
Pages: 1739-1753 
Issue: 21 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701735904 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735904
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:21:p:1739-1753




Template-Type: ReDIF-Article 1.0
Author-Name: Andrea Beltratti 
Author-X-Name-First: Andrea 
Author-X-Name-Last: Beltratti 
Author-Name: Claudio Morana 
Author-X-Name-First: Claudio 
Author-X-Name-Last: Morana 
Title: Aggregate hedge funds' flows and returns 
Abstract:
  In this article, a multivariate unobserved components model for returns
 and net inflows into hedge funds is employed to assess whether the flows
 of funds into the industry are dynamically related to returns. The
 econometric model is used to estimate expected flows and expected returns
 as unobserved components. The results point to strong autocorrelation in
 both flows and returns and to positive correlation between past returns
 and future flows, while the evidence concerning the linkage between past
 flows and future returns is mixed. 
Journal: Applied Financial Economics 
Pages: 1755-1764 
Issue: 21 
Volume: 18 
Year: 2008 
X-DOI: 10.1080/09603100701735979 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735979
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:18:y:2008:i:21:p:1755-1764




Template-Type: ReDIF-Article 1.0
Author-Name: Kirt Butler 
Author-X-Name-First: Kirt 
Author-X-Name-Last: Butler 
Author-Name: Katsushi Okada 
Author-X-Name-First: Katsushi 
Author-X-Name-Last: Okada 
Title: The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices 
Abstract:
  We compare the relative contribution of conditional mean and conditional
 volatility terms in vector autoregression-exponential generalized
 autoregression conditional heteroskedasticity models of bivariate returns
 to international stock indices. Conditional mean terms are relatively
 unimportant for bivariate returns to country pairs that trade
 synchronously such as Australia/Japan, where they account for only 8% of
 the increase in log-likelihood over an unconditional model, on average.
 They are more important in nonsynchronous domestic/world-ex-domestic
 series such as Japan/world-ex-Japan, where they account for 24% of the
 increase in log-likelihood over an unconditional model, on average.
 Despite their increased prominence in the domestic/world-ex-domestic
 series, conditional mean terms detract from residual behaviours in these
 series. They also detract from some out-of-sample return and volatility
 predictions in both synchronous and nonsynchronous series. 
Journal: Applied Financial Economics 
Pages: 1-15 
Issue: 1 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701735961 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735961
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:1:p:1-15




Template-Type: ReDIF-Article 1.0
Author-Name: Janie Casello Bouges 
Author-X-Name-First: Janie Casello 
Author-X-Name-Last: Bouges 
Author-Name: Ravi Jain 
Author-X-Name-First: Ravi 
Author-X-Name-Last: Jain 
Author-Name: Yash Puri 
Author-X-Name-First: Yash 
Author-X-Name-Last: Puri 
Title: American depository receipts and calendar anomalies 
Abstract:
  This is the first study to examine the presence of calendar anomalies in
 American Depository Receipts (ADR) returns. Existing literature has
 documented several calendar anomalies in US and foreign markets. ADRs,
 however, represent a unique class of securities because they represent the
 ownership of stock of a foreign firm, but they are traded on US markets.
 We use the Standard & Poor's (S&P) ADR index returns for the period
 1998-2004 to look for the presence of four important anomalies: the
 January effect, the day-of-the-week effect, the Turn-Of-The-Month (TOTM)
 effect and the holiday effect. For comparison, we do the same analysis on
 S&P 500 index returns. While we do not find evidence of any anomalies for
 S&P 500 index returns, we do find evidence to support the TOTM anomaly in
 the S&P ADR index returns. These results suggest that the market for ADRs
 may not be as efficient as the broader US stock market. 
Journal: Applied Financial Economics 
Pages: 17-25 
Issue: 1 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701748949 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701748949
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:1:p:17-25




Template-Type: ReDIF-Article 1.0
Author-Name: Viet Do 
Author-X-Name-First: Viet 
Author-X-Name-Last: Do 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: Madhu Veeraraghavan 
Author-X-Name-First: Madhu 
Author-X-Name-Last: Veeraraghavan 
Title: Do Australian hedge fund managers possess timing abilities? 
Abstract:
  This article focuses on the performance of Australian hedge funds. Using
 a survivorship bias free sample, we investigate whether Australian hedge
 fund managers have the ability to outguess the market. Specifically, we
 test the market timing and volatility timing skills of fund managers. Our
 findings show that Australian hedge fund managers do not possess market
 timing skills, but they do exhibit superior stock selection ability. Our
 findings also show that while Australian managers do not have market
 volatility timing skills, their US counterparts do exhibit such skills. 
Journal: Applied Financial Economics 
Pages: 27-38 
Issue: 1 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701735987 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735987
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:1:p:27-38




Template-Type: ReDIF-Article 1.0
Author-Name: Julius Moschitz 
Author-X-Name-First: Julius 
Author-X-Name-Last: Moschitz 
Title: Monetary policy implementation and the Euro area money market 
Abstract:
  This article studies the effects of monetary policy implementation on the
 Euro area money market. In particular, volatility of interest rates with
 various maturities and volatility transmission along the yield curve are
 analysed. It is found that the way how monetary policy is implemented
 affects volatility of most money market rates, except the 12-month rate.
 These effects are strongest at the short end of the yield curve.
 Notwithstanding, firms' investment and households' consumption decisions
 depend mostly on longer-term rates indicating that the operating
 procedures in place implement monetary policy decisions very efficiently,
 without inducing real costs on the economy. Furthermore, some calendar day
 effects, a U-shaped volatility curve and strong evidence in favour of the
 expectation hypothesis are documented. 
Journal: Applied Financial Economics 
Pages: 39-57 
Issue: 1 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701765158 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701765158
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:1:p:39-57




Template-Type: ReDIF-Article 1.0
Author-Name: Ching-Lung Chen 
Author-X-Name-First: Ching-Lung 
Author-X-Name-Last: Chen 
Author-Name: Gili Yen 
Author-X-Name-First: Gili 
Author-X-Name-Last: Yen 
Author-Name: Fu-Hsing Chang 
Author-X-Name-First: Fu-Hsing 
Author-X-Name-Last: Chang 
Title: Strategic auditor switch and financial distress prediction-empirical findings from the TSE-listed firms 
Abstract:
  Out of reputation and audit risk considerations, the incumbent auditor
 may not be willing to accommodate the unreasonable request from the client
 with deteriorating financial conditions. On the other hand, the client may
 switch the auditor to solicit a clean audit opinion from the successive
 auditor. Viewed from such a perspective, the main proposition is that
 firms with auditor change subsequently have a higher probability of
 incurring financial distress. The main proposition has gained strong
 empirical support in alternative estimation models. The authors therefore
 conclude that the incorporation of the variable 'auditor change' can
 greatly enhance the predictive power of previous financial distress
 prediction models. 
Journal: Applied Financial Economics 
Pages: 59-72 
Issue: 1 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701222259 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222259
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:1:p:59-72




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Manfredo 
Author-X-Name-First: Mark 
Author-X-Name-Last: Manfredo 
Author-Name: Timothy Richards 
Author-X-Name-First: Timothy 
Author-X-Name-Last: Richards 
Title: Hedging with weather derivatives: a role for options in reducing basis risk 
Abstract:
  Weather derivatives represent an important financial innovation for risk
 management. As with the use of any derivatives contract, the behaviour of
 the basis ultimately determines the net-hedged outcome. However, when
 using weather derivatives to hedge volumetric risks, risk managers often
 face unique basis risks arising from both the choice of weather station
 where a derivatives contract is written, as well as the relationship
 between the hedged volume and the underlying weather index. Using the
 encompassing principle, this research shows that the nonlinear
 relationship often found between crop yields and weather creates a
 specific hedging role for options. The results suggest that weather
 derivative instruments with nonlinear pay-offs, such as options, be used
 solely or in combination with linear payoff instruments, such as swaps or
 futures, to minimize basis risk associated with the nonlinear relationship
 between yields and weather. This research also suggests that the choice of
 weather station may be less critical in managing basis risk than properly
 accounting for the relationship between yields and weather. 
Journal: Applied Financial Economics 
Pages: 87-97 
Issue: 2 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701765166 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701765166
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:2:p:87-97




Template-Type: ReDIF-Article 1.0
Author-Name: Fabrizio Mattesini 
Author-X-Name-First: Fabrizio 
Author-X-Name-Last: Mattesini 
Author-Name: Leonardo Becchetti 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Becchetti 
Title: The stock market and the Fed 
Abstract:
  This article investigates the reaction of the Federal Reserve to
 developments in the stock market. The issue is analysed by first
 constructing an Index of Stock Price Misalignment (ISPM) in which the
 fundamental value of the stocks is computed on the basis of the discounted
 cash flow approach and by then including this index, among the regressors,
 into a forward looking Taylor rule. In accordance with the descriptive
 evidence, based mainly on the analysis of the Federal Open Market
 Committee (FOMC) meetings and public statements, our findings show that
 the Fed tends to lower the Fed funds rate when stock prices fall below
 their fundamental value, while there is no evidence of monetary stringency
 during episodes of exuberance in the stock market. 
Journal: Applied Financial Economics 
Pages: 99-110 
Issue: 2 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701790586 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701790586
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:2:p:99-110




Template-Type: ReDIF-Article 1.0
Author-Name: Andreas Humpe 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Humpe 
Author-Name: Peter Macmillan 
Author-X-Name-First: Peter 
Author-X-Name-Last: Macmillan 
Title: Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan 
Abstract:
  Within the framework of a standard discounted value model, we examine
 whether a number of macroeconomic variables influence stock prices in the
 US and Japan. A cointegration analysis is applied in order to model the
 long-term relationship between industrial production, the consumer price
 index, money supply, long-term interest rates and stock prices in the US
 and Japan. For the US, we find the data are consistent with a single
 cointegrating vector, where stock prices are positively related to
 industrial production and negatively related to both the consumer price
 index and the long-term interest rate. We also find an insignificant
 (although positive) relationship between the US stock prices and the money
 supply. However, for the Japanese data, we find two cointegrating vectors.
 We find for one vector that stock prices are influenced positively by
 industrial production and negatively by the money supply. For the second
 cointegrating vector, we find industrial production to be negatively
 influenced by the consumer price index and a long-term interest rate.
 These contrasting results may be due to the slump in the Japanese economy
 during the 1990s and consequent liquidity trap. 
Journal: Applied Financial Economics 
Pages: 111-119 
Issue: 2 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701748956 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701748956
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:2:p:111-119




Template-Type: ReDIF-Article 1.0
Author-Name: Laurence Copeland 
Author-X-Name-First: Laurence 
Author-X-Name-Last: Copeland 
Author-Name: Saeed Heravi 
Author-X-Name-First: Saeed 
Author-X-Name-Last: Heravi 
Title: Structural breaks in the real exchange rate adjustment mechanism 
Abstract:
  We show that the behaviour of the real exchange rates of the UK, Germany,
 France and Japan has been characterized by structural breaks, which
 changed the adjustment mechanism. In the context of a Time-Varying Smooth
 Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et
 al. (2003), we show that the real exchange rate process shifted in the
 aftermath of Black Wednesday in the case of pound, in 1984/85 in the case
 of franc and, more tentatively, during the Asian crisis of 1997/98 in the
 case of yen. 
Journal: Applied Financial Economics 
Pages: 121-134 
Issue: 2 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701765216 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701765216
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:2:p:121-134




Template-Type: ReDIF-Article 1.0
Author-Name: Pascal Nguyen 
Author-X-Name-First: Pascal 
Author-X-Name-Last: Nguyen 
Author-Name: Sophie Nivoix 
Author-X-Name-First: Sophie 
Author-X-Name-Last: Nivoix 
Title: The effect of group affiliation on the risk-taking of Japanese firms 
Abstract:
  This article examines the role of keiretsu (i.e. business group)
 affiliation on the risk-taking of Japanese firms. We find that total risk,
 measured by firm-level stock price volatility, is not significantly
 affected by keiretsu membership. The reason is that affiliated firms are
 characterized by lower idiosyncratic risk along with higher systematic
 risk. However, idiosyncratic risk varies across business groups and
 appears to depend upon the firm's inclination towards its group. In
 contrast, the higher systematic risk of group affiliates is significant
 for each keiretsu and every degree of group inclination. Moreover, this
 result remains after adjusting risk for firm characteristics and industry
 effects. Hence, the consequence of group affiliation may more accurately
 be described by higher systematic risk. This result could reflect the
 weaker competitive position of keiretsu affiliates. 
Journal: Applied Financial Economics 
Pages: 135-146 
Issue: 2 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701765208 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701765208
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:2:p:135-146




Template-Type: ReDIF-Article 1.0
Author-Name: Kian-Ping Lim 
Author-X-Name-First: Kian-Ping 
Author-X-Name-Last: Lim 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Title: Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests 
Abstract:
  Given that the efficiency of the Chinese stock markets was empirically
 examined in extant literature using statistical tests that are designed to
 uncover linear correlations of price changes, the obtained statistical
 inferences of efficiency/inefficiency are on very shaky grounds as
 highlighted in a recent article by Saadi et al. (2006). Motivated by this
 concern, the present article re-examines the efficiency of the A- and
 B-shares markets in Shanghai and Shenzhen Stock Exchanges (SHSE and SZSE)
 using a battery of nonlinearity tests. The empirical investigation reveals
 strong evidence of nonlinear serial dependence in the underlying returns
 generating processes for all indices even after removing linear serial
 correlations from the data, hence, contradicting the unpredictable
 criterion of weak-form efficient market hypothesis. Theoretically, these
 results are not surprising given the fact that investors in the Chinese
 stock markets trade like noise traders, who purely speculate and treat the
 market like a casino. 
Journal: Applied Financial Economics 
Pages: 147-155 
Issue: 2 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701765182 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701765182
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:2:p:147-155




Template-Type: ReDIF-Article 1.0
Author-Name: Jakob Madsen 
Author-X-Name-First: Jakob 
Author-X-Name-Last: Madsen 
Author-Name: Ratbek Dzhumashev 
Author-X-Name-First: Ratbek 
Author-X-Name-Last: Dzhumashev 
Title: The equity premium puzzle and the ex post bias 
Abstract:
  This article argues that high historical excess returns to equity were
 the result of a severe ex post bias in the period from 1915 to ca 1960
 because inflation surprises during this period drove a wedge between ex
 ante and ex post returns to bonds. Furthermore, it is shown that ex ante
 and ex post returns to stocks are identical in a steady state. Adjusting
 the ex post equity premium by the ex post bias reduces the equity premium
 to an arithmetic mean of 3.3-4.4% over the past 132 years. 
Journal: Applied Financial Economics 
Pages: 157-174 
Issue: 2 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701765174 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701765174
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:2:p:157-174




Template-Type: ReDIF-Article 1.0
Author-Name: Camilo Sarmiento 
Author-X-Name-First: Camilo 
Author-X-Name-Last: Sarmiento 
Title: Regime changes in sub-prime margins under the US housing bubble 
Abstract:
  Risk-based pricing is an alignment of loan risk pricing with expected
 loan risk - charging a higher interest rate for higher risk (Yezer, 2002).
 This article shows systematic relaxation of risk pricing for sub-prime
 loans during the US housing bubble, a period that extended from 2001 to
 2006. For example, an identical loan, but having different vintages is
 shown to have significantly lower premiums in 2005 than in 2003.
 Strikingly, for a given credit risk, estimation results show a premium
 reduction of 60 basis points in sub-prime originations from 2003 to 2005. 
Journal: Applied Financial Economics 
Pages: 175-182 
Issue: 3 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701857898 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857898
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:3:p:175-182




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Tim Fry 
Author-X-Name-First: Tim 
Author-X-Name-Last: Fry 
Author-Name: William Dimovski 
Author-X-Name-First: William 
Author-X-Name-Last: Dimovski 
Author-Name: Sandra Mihajilo 
Author-X-Name-First: Sandra 
Author-X-Name-Last: Mihajilo 
Title: A duration analysis of the time from prospectus to listing for Australian initial public offerings 
Abstract:
  A finding of the Australian Initial Public Offerings (IPOs) literature is
 that the time from prospectus registration to listing is related to the
 level of informed demand. This makes the understanding of time to listing
 an important matter. This study analyses the time to listing for 834 IPOs
 in Australia over the period 1994 to 2004. The study finds that a shorter
 time to listing is associated with higher issue prices, and the use of an
 underwriter or Big 5 independent accountant. In contrast, IPOs offering
 share options take longer to list. The significant role of variables
 associated with the degree of certainty about a listing is consistent with
 informed demand hypotheses about the time to listing. 
Journal: Applied Financial Economics 
Pages: 183-190 
Issue: 3 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802314468 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802314468
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:3:p:183-190




Template-Type: ReDIF-Article 1.0
Author-Name: Manthos Delis 
Author-X-Name-First: Manthos 
Author-X-Name-Last: Delis 
Author-Name: Anastasia Koutsomanoli-Fillipaki 
Author-X-Name-First: Anastasia 
Author-X-Name-Last: Koutsomanoli-Fillipaki 
Author-Name: Christos Staikouras 
Author-X-Name-First: Christos 
Author-X-Name-Last: Staikouras 
Author-Name: Gerogiannaki Katerina 
Author-X-Name-First: Gerogiannaki 
Author-X-Name-Last: Katerina 
Title: Evaluating cost and profit efficiency: a comparison of parametric and nonparametric methodologies 
Abstract:
  The objective of this article is 2-fold. First, it provides an empirical
 assessment of the cost and profit stochastic frontiers based on a panel
 dataset of Greek commercial banks over the period 1993 to 2005. Second, on
 the basis of the same sample, it also compares the most widely used
 parametric and nonparametric techniques to cost efficiency measurement,
 namely, the Stochastic Frontier Approach and Data Envelopment Analysis.
 The results suggest greater similarities between the predictions of cost
 and profit efficiency methods than between parametric and nonparametric
 techniques. Such evidence is new in the literature and calls for a more
 technically level playing field for estimating bank efficiency. 
Journal: Applied Financial Economics 
Pages: 191-202 
Issue: 3 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801935370 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801935370
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:3:p:191-202




Template-Type: ReDIF-Article 1.0
Author-Name: Khelifa Mazouz 
Author-X-Name-First: Khelifa 
Author-X-Name-Last: Mazouz 
Author-Name: Michael Bowe 
Author-X-Name-First: Michael 
Author-X-Name-Last: Bowe 
Title: Does options listing impact on the time-varying risk characteristics of the underlying stocks? Evidence from NYSE stocks listed on the CBOE 
Abstract:
  This article extends Mayhew and Mihov (2004) and Mazouz (2004) by
 investigating if either the (time-varying) systematic or diversifiable
 risk of a NYSE-traded stock is impacted when its option is listed on the
 Chicago Board Option Exchange (CBOE). We employ a Kalman Filter to
 estimate time-varying betas, and apply a GARCH(1,1) process on the
 one-step-ahead forecast error to estimate conditional diversifiable risk.
 An individual stock approach rather than the customary portfolio approach
 is adopted. A control sample accommodates possible risk changes resulting
 from the endogenous nature of the exchange's option listing decision, and
 the potential impact of changes in market- and industry-wide conditions.
 The evidence indicates that option listing has no significant predictable
 impact on either risk characteristic. 
Journal: Applied Financial Economics 
Pages: 203-212 
Issue: 3 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801964396 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801964396
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:3:p:203-212




Template-Type: ReDIF-Article 1.0
Author-Name: Eleimon Gonis 
Author-X-Name-First: Eleimon 
Author-X-Name-Last: Gonis 
Author-Name: Peter Taylor 
Author-X-Name-First: Peter 
Author-X-Name-Last: Taylor 
Title: Changing credit rating standards in the UK: empirical evidence from 1999 to 2004 
Abstract:
  In recent years, the number of downgrades in UK corporate credit ratings
 has exceeded the number of upgrades, leading some to conclude that the
 credit quality of UK companies has deteriorated. However, another
 explanation is that the credit rating agencies have become more stringent
 in the credit rating process. Summary statistics, a transition matrix and
 an ordered probit analysis of 69 UK credit rated firms for the years
 1999-2004 suggests that the evidence supports both the explanations. In
 addition, the analysis shows that there is a clear pattern of UK credit
 ratings converging towards the investment-grade threshold category (BBB). 
Journal: Applied Financial Economics 
Pages: 213-225 
Issue: 3 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802298018 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802298018
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:3:p:213-225




Template-Type: ReDIF-Article 1.0
Author-Name: Chia-Chien Chang 
Author-X-Name-First: Chia-Chien 
Author-X-Name-Last: Chang 
Author-Name: Chou-Wen Wang 
Author-X-Name-First: Chou-Wen 
Author-X-Name-Last: Wang 
Author-Name: Szu-Lang Liao 
Author-X-Name-First: Szu-Lang 
Author-X-Name-Last: Liao 
Title: The valuation of special purpose vehicles by issuing structured credit-linked notes 
Abstract:
  With the intersection of market and credit risk, the first contribution
 is to derive the analytic formulas of the Credit Linked Notes (CLNs) and
 the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV)
 or the protection buyer. The second contribution is to prove that the
 values of structured CLNs issued by an SPV are higher than the ones issued
 by the protection buyer. When the credit quality of the reference
 obligation and protection buyer becomes worse or the leverage effect is
 higher, it is a superior solution for the structured CLNs issued through
 an SPV. Third, the empirical results of credit spreads do not incorporate
 the correlation coefficient of spot rate and market index into their
 regression models and show that they are positively correlated with the
 volatilities of spot rate and return on market index; however, we find
 that the relationship among them depends on the sign of correlation
 coefficient of spot rate and equity index market. Finally, using the
 differences in the maturities of the note and the reference obligation as
 the proxy for basis risk measure, we demonstrate that the purpose of the
 SPV is not used to eliminate the basis risk but the credit risk of
 protection buyer. 
Journal: Applied Financial Economics 
Pages: 227-256 
Issue: 3 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701765190 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701765190
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:3:p:227-256




Template-Type: ReDIF-Article 1.0
Author-Name: Jun Yang 
Author-X-Name-First: Jun 
Author-X-Name-Last: Yang 
Title: Semiparametric estimation of asset pricing kernel 
Abstract:
  This article empirically studies the pricing kernel implicit in option
 prices. Based on the cross-sectional fits alone, no significant difference
 can be detected between models with different factor dynamics. A cubic
 pricing kernel provides almost perfect fits in the sample. Nonlinearity in
 the pricing kernel is crucial for in-sample performance. Both excess
 kurtosis and skewness are very important. The claim-based market line
 sharply distinguishes various estimates of the pricing kernel and tracks
 the market sentiment. However, a well-specified factor dynamics model
 improves the out-of-sample pricing performance. With a well-specified
 factor dynamics model, the linear pricing kernel beats the other
 competitors at a 2-week horizon. 
Journal: Applied Financial Economics 
Pages: 257-272 
Issue: 4 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802314492 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802314492
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:4:p:257-272




Template-Type: ReDIF-Article 1.0
Author-Name: Qing Xu 
Author-X-Name-First: Qing 
Author-X-Name-Last: Xu 
Author-Name: Xiao-Ming Li 
Author-X-Name-First: Xiao-Ming 
Author-X-Name-Last: Li 
Title: Estimation of dynamic asymmetric tail dependences: an empirical study on Asian developed futures markets 
Abstract:
  In this research, we employ three two-parameter Archimedean copulas (BB1,
 BB4 and BB7) to investigate the dynamic asymmetric tail dependences
 between two of three Asian developed futures markets, Hong Kong, Japan and
 Singapore, during the post-Asian financial crisis period. We first model
 the marginal distribution by conditional skewed-t distribution and find
 that higher moments of each filtered index futures return are time
 dependent. We then extend the two-parameter copulas incorporating
 time-varying tail dependences to capture the dynamic asymmetries. The
 estimated results provide strong evidence of asymmetric dependence across
 the three futures markets. Moreover, to take account of data snooping, we
 implement Hansen's (2005) superior predictive ability test to evaluate the
 model fitting. We found that the BB7 copula for the Hang Seng-MSCI SIN
 (Morgan Stanley Capital International index) pair and the BB1 copula for
 the Nikkei 225-MSCI SIN pair outperform the simple symmetric Gaussian
 copula. These best model fittings also demonstrate that the probability of
 dependence in bear markets is higher than in bull markets further exposing
 downside dependent risk in these markets. Finally, based on the model
 evaluation result, we estimate the copula-based portfolio Value at Risks
 (VaRs) and the diversification benefits at both lower and higher
 confidence levels. The results clearly show that the conditional
 copula-based portfolio VaR models can provide higher degree of
 diversification benefit at higher confidence level. Therefore, these
 sophisticated copula models are adequate and considerable for the
 financial risk management. 
Journal: Applied Financial Economics 
Pages: 273-290 
Issue: 4 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701857864 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857864
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:4:p:273-290




Template-Type: ReDIF-Article 1.0
Author-Name: Babatunde Olatunji Odusami 
Author-X-Name-First: Babatunde Olatunji 
Author-X-Name-Last: Odusami 
Title: Crude oil shocks and stock market returns 
Abstract:
  This article examines whether nonlinear crude oil effect observed in
 aggregate US stock return can be explained by unexpected shocks from the
 crude oil market. I separate the distribution of aggregate US stock return
 into variance component driven by smoothly arriving news information and
 discrete Poisson news arriving from the crude oil market. I find that
 unexpected crude oil shocks have nonlinear effect on excess US stock
 market return. Contemporaneous and lagged returns on crude oil futures
 have significant negative effect on jump distribution in US stock market
 returns. I also investigate if the volatility of aggregate US stock return
 is in any way related to information released at the Organization of
 Petroleum Exporting Countries (OPEC) meetings. The empirical result
 reveals no significant feedback effect from OPEC meetings to the US stock
 markets. 
Journal: Applied Financial Economics 
Pages: 291-303 
Issue: 4 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802314476 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802314476
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:4:p:291-303




Template-Type: ReDIF-Article 1.0
Author-Name: Stuart McLeay 
Author-X-Name-First: Stuart 
Author-X-Name-Last: McLeay 
Author-Name: Maxwell Stevenson 
Author-X-Name-First: Maxwell 
Author-X-Name-Last: Stevenson 
Title: Modelling the longitudinal properties of financial ratios 
Abstract:
  Previous studies provide conflicting evidence on the time series
 properties of company financial ratios, claiming either that the
 components of ratios exhibit nonstationarity which is not eliminated by
 the ratio transformation, or that a unit root in the components may be
 rejected which implies strong persistence in their ratio. In this article,
 a generalized model is derived that incorporates stochastic and
 deterministic trends and allows also for restricted and unrestricted
 proportionate growth in the ratio numerator and denominator. When the
 individual firm series are included in a panel analysis for large N and
 small T, this study is unable to reject convincingly a joint hypothesis of
 nonstationarity. However, the ratio variables are shown to be
 cointegrated, which can lead to stationarity in the ratio itself.
 Furthermore, evidence of cotrending provides support for a parsimonious
 model, where the financial ratio varies lognormally around its expected
 value. 
Journal: Applied Financial Economics 
Pages: 305-318 
Issue: 4 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167270 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167270
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:4:p:305-318




Template-Type: ReDIF-Article 1.0
Author-Name: Ho-Young Lee 
Author-X-Name-First: Ho-Young 
Author-X-Name-Last: Lee 
Author-Name: Myungsoo Son 
Author-X-Name-First: Myungsoo 
Author-X-Name-Last: Son 
Title: Earnings announcement timing and earnings management 
Abstract:
  This study examines whether earnings announcement timing is associated
 with earnings management. Unlike prior studies, we partition earnings
 reporting delay into two separate components: audit report lag and
 management discretionary lag. Using recent data, we find that less
 earnings management by late earnings reporters are attributable to
 auditors rather than management. After controlling for other factors, we
 show that auditors who lengthen their audit work are likely to permit less
 earnings management, possibly to minimize their litigation risk. This
 drives a negative association between total report lag and earnings
 management. However, no statistically significant association is found
 between management discretionary lag and earnings management. We find a
 positive association between management discretionary lag and earnings
 management only in the sub-sample where earnings were disclosed after the
 audit report date. 
Journal: Applied Financial Economics 
Pages: 319-326 
Issue: 4 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701857872 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857872
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:4:p:319-326




Template-Type: ReDIF-Article 1.0
Author-Name: W. K. Wong 
Author-X-Name-First: W. K. 
Author-X-Name-Last: Wong 
Title: Backtesting the tail risk of VaR in holding US dollar 
Abstract:
  US dollar is the most widely held currency in the world. In recent years,
 however, it suffered huge depreciation. In this article, various risk
 models are used to forecast the Value-at-Risk (VaR) in holding the
 currency. Being a quantile measure, VaR disregards valuable information
 conveyed by the sizes of tail losses. As a result, there is tail risk (TR)
 in the use of VaR in practice. Saddlepoint technique is used to backtest
 TR of VaR by summing all the tail losses. Substantial downside TR are
 detected in the US currency, and Asymmetric Power ARCH with normal inverse
 Gaussian innovation is found capable of capturing such risks. 
Journal: Applied Financial Economics 
Pages: 327-337 
Issue: 4 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167312 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167312
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:4:p:327-337




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Schaub 
Author-X-Name-First: Mark 
Author-X-Name-Last: Schaub 
Title: NASDAQ-listed European and Asia Pacific ADRs: does market-timing affect long-term performance? 
Abstract:
  The long-term excess returns for European and Asia Pacific American
 Depository Receipts (ADRs) listed on the National Association of
 Securities Dealers Automated Quotations (NASDAQ) from 1990 to 2002 are
 tested to determine differences in performance and evidence of
 market-timing effects. While the overall sample outperformed the NASDAQ
 index during the first 36 months of trading by over 30%, those ADRs listed
 before 1 January 1998 underperformed by less than 3% while those issued
 after outperformed the index by nearly 48%. Breaking the sample down into
 European and Asia Pacific issues reveals a huge market-timing difference
 in performance for Asia Pacific issues and a smaller, but significant,
 market-timing effect for European ADRs. 
Journal: Applied Financial Economics 
Pages: 339-345 
Issue: 5 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801949751 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801949751
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:5:p:339-345




Template-Type: ReDIF-Article 1.0
Author-Name: Hyeongwoo Kim 
Author-X-Name-First: Hyeongwoo 
Author-X-Name-Last: Kim 
Author-Name: Liliana Stern 
Author-X-Name-First: Liliana 
Author-X-Name-Last: Stern 
Author-Name: Michael Stern 
Author-X-Name-First: Michael 
Author-X-Name-Last: Stern 
Title: Nonlinear mean reversion in the G7 stock markets 
Abstract:
  We utilize the nonlinear unit root tests proposed by Park and Shintani
 (2005) and find strong evidence of nonlinear mean reversion between a US
 stock index and the stock indices in France, Germany, Italy and the UK. We
 identified an inaction band where deviations of these international stock
 indices from the US stock index follow a unit root process. Outside the
 band, however, they exhibit strong mean reversion properties. We show that
 standard linear unit root tests are not able to detect nonlinear
 cointegration and will yield the erroneous conclusion that the stock
 indices are not cointegrated. 
Journal: Applied Financial Economics 
Pages: 347-355 
Issue: 5 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802389007 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802389007
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:5:p:347-355




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Durand 
Author-X-Name-First: Robert 
Author-X-Name-Last: Durand 
Author-Name: Marta Simon 
Author-X-Name-First: Marta 
Author-X-Name-Last: Simon 
Author-Name: Alex Szimayer 
Author-X-Name-First: Alex 
Author-X-Name-Last: Szimayer 
Title: Anger, sadness and bear markets 
Abstract:
  Can an understanding of mood help us understand aspects of systematic
 risk, volume and portfolios' exposure to systematic risk during
 bear-market regimes? We hypothesize that bear markets are associated with
 negative emotions: either a low-arousal negative state (e.g. sadness and
 depression) or a high-arousal negative state (e.g. anger and stress). We
 define a bear market as a stock market regime where the average return is
 statistically significantly lower than zero and find evidence that the
 bear market of November 1987 to February 1988 behaved as if it was
 associated with a pervasive low-arousal negative state amongst investors. 
Journal: Applied Financial Economics 
Pages: 357-369 
Issue: 5 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801964362 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801964362
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:5:p:357-369




Template-Type: ReDIF-Article 1.0
Author-Name: Kosei Fukuda 
Author-X-Name-First: Kosei 
Author-X-Name-Last: Fukuda 
Title: Distribution switching of stock returns: international evidence 
Abstract:
  This article considers six alternative models-the normal model, normal
 model with parameter change, t model, t model with parameter change,
 normal and t model and the t and normal model-and the best model is
 selected using the Bayesian information criterion. The simulation results
 suggest that the proposed method works well with regard to all the models,
 with the exception of the t model with parameter change, which is
 sometimes unidentified. Empirical results show that in two out of the six
 countries, the monthly time series of stock returns are generated from the
 normal distribution before the switch point and from the t distribution
 after the switch point. Both the switch points are caused by international
 economic crises such as the turmoil in the international monetary system
 in 1971 or the oil shock of 1974. 
Journal: Applied Financial Economics 
Pages: 371-377 
Issue: 5 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701735920 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701735920
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:5:p:371-377




Template-Type: ReDIF-Article 1.0
Author-Name: Alex YiHou Huang 
Author-X-Name-First: Alex YiHou 
Author-X-Name-Last: Huang 
Title: A value-at-risk approach with kernel estimator 
Abstract:
  This article proposes an alternative approach of Value-at-Risk (VaR)
 estimation. Financial assets are known to have irregular return patterns;
 not only the volatility but also the distribution functions themselves may
 vary with time. Therefore, traditional time-series models of VaR
 estimation assuming constant and specific distribution are often
 unreliable. The study addresses the issue and employs the nonparametric
 kernel estimator technique directly on the tail distributions of financial
 assets to produce VaR estimates. Various key methodologies of VaR
 estimation are briefly discussed and compared. The empirical study
 utilizing a sample of stocks and stock indices for almost 14 years data
 shows that the proposed approach outperforms other existing methods. 
Journal: Applied Financial Economics 
Pages: 379-395 
Issue: 5 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701857906 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857906
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:5:p:379-395




Template-Type: ReDIF-Article 1.0
Author-Name: Hongbok Lee 
Author-X-Name-First: Hongbok 
Author-X-Name-Last: Lee 
Author-Name: Don Johnson 
Author-X-Name-First: Don 
Author-X-Name-Last: Johnson 
Title: The operating performance of preferred stock issuers 
Abstract:
  We examine the operating performance of preferred stock issuers using the
 sample of preferred stock issues during 1991-2000. We find the median
 profit margin and Return On Assets (ROA) of the preferred stock issuers
 deteriorate until the year of preferred issuance, hit the bottom in the
 year of issuance and gradually recover after the issue. Our finding is in
 contrast to the Loughran and Ritter's (1997) report of Seasoned Equity
 Offering (SEO) firms' operating performance; improvement before the
 issuance and deterioration after the offering. Our finding of the
 operating performance behaviour of preferred stock issuers is consistent
 with the common stock performance behaviour of preferred stock issuers
 found in Howe and Lee (2006), where preferred stock issuers show only
 transient (1 year post-issue) common stock underperformance and no
 longer-term (2 and 3 years post-issue) underperformance. 
Journal: Applied Financial Economics 
Pages: 397-407 
Issue: 5 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701857948 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857948
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:5:p:397-407




Template-Type: ReDIF-Article 1.0
Author-Name: M. Humayun Kabir 
Author-X-Name-First: M. 
Author-X-Name-Last: Humayun Kabir 
Author-Name: M. Kabir Hassan 
Author-X-Name-First: M. 
Author-X-Name-Last: Kabir Hassan 
Title: Russian financial crisis, US financial stock returns and the IMF 
Abstract:
  We find a statistically significant increase in adjusted correlation
 between portfolio returns during the Russian financial crisis period,
 especially during the peak of the crisis. We also find that commercial
 bank and Savings & Loan Institutions (S&L) portfolios lost market value
 significantly with events, starting with the debt moratorium and ruble
 devaluation on 17 August 1998. Much of the significant losses were driven
 by smaller size portfolios of financial institutions. The greater losses
 were incurred by commercial banks, and most importantly, by smaller
 commercial banks, S&Ls and investment banks in the third sub-period
 following the debt moratorium. We also found a form of contagion effect on
 the portfolio of smaller banks. Moreover, International Monetary Fund help
 or bailout has been perceived ineffective contributing to any recovery
 from crisis in Russia. 
Journal: Applied Financial Economics 
Pages: 409-426 
Issue: 5 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801935362 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801935362
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:5:p:409-426




Template-Type: ReDIF-Article 1.0
Author-Name: Ian Cooper 
Author-X-Name-First: Ian 
Author-X-Name-Last: Cooper 
Title: On tests of the conditional relationship between beta and returns 
Abstract:
  The Pettengill et al. (1995) test of the conditional relationship between
 beta and returns has recently become widely used. This article shows that
 there is a large bias in that test. The test is almost guaranteed to be
 satisfied, regardless of the model that generates expected returns. In
 particular, even if the Capital Asset Pricing Model (CAPM) is not true and
 expected returns and beta are unrelated, the test will detect
 statistically significant results of the size that they report in line
 with their hypothesis. The reason for the bias is that the ex post
 selection criterion used to partition data automatically generates
 coefficient values that the test interprets as being evidence in favour of
 the CAPM. 
Journal: Applied Financial Economics 
Pages: 427-432 
Issue: 6 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801964388 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801964388
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:6:p:427-432




Template-Type: ReDIF-Article 1.0
Author-Name: Andreas Reschreiter 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Reschreiter 
Title: Extreme equity valuation ratios and stock market investments 
Abstract:
  The extreme valuation ratios for the US equities have led to concerns
 that the equity market may fall to reflect fundamental values again. This
 article studies the Vector Error Correction Model (VECM) representation of
 the price-dividends and price-earnings relationships. The analysis reveals
 no significant adjustment in prices but significant changes in
 fundamentals in response to deviations from long-run price-fundamental
 relationships. This suggests increases in fundamentals but not a falling
 equity market. Subsequently, the analysis of whether the equity market is
 overvalued should assess the growth rates of fundamentals inherent in the
 current valuation ratios. When expected growth rates of dividends and
 earnings are irrational, then current equity prices are exuberant. The
 out-of-sample predicted growth rates of the fundamentals are in line with
 observed historic growth rates. This suggests that equity prices are not
 exuberant and investing in equities is rational despite the high-valuation
 ratios. 
Journal: Applied Financial Economics 
Pages: 433-438 
Issue: 6 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802360008 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802360008
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:6:p:433-438




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Ajayi 
Author-X-Name-First: Richard 
Author-X-Name-Last: Ajayi 
Author-Name: Apostolos Serletis 
Author-X-Name-First: Apostolos 
Author-X-Name-Last: Serletis 
Title: Testing for causality in the transmission of Eurodollar and US interest rates 
Abstract:
  This article employs linear Granger causality tests and the nonlinear
 causality test of Baek and Brock (1992) and Hiemstra and Jones (1994), as
 recently modified by Diks and Panchenko (2005b), to re-examine the dynamic
 relation between daily Eurodollar and US certificate of deposit interest
 rates during the period 4 January 1971 to 15 July 2005. Although we find
 significant linear causality only from the US certificate of deposit
 interest rates to the Eurodollar interest rates, we find significant
 bidirectional nonlinear causality between Eurodollar and US certificate of
 deposit interest rates. 
Journal: Applied Financial Economics 
Pages: 439-443 
Issue: 6 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801964420 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801964420
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:6:p:439-443




Template-Type: ReDIF-Article 1.0
Author-Name: Marina Abdul Razak 
Author-X-Name-First: Marina Abdul 
Author-X-Name-Last: Razak 
Author-Name: Obiyathulla Ismath Bacha 
Author-X-Name-First: Obiyathulla Ismath 
Author-X-Name-Last: Bacha 
Title: Pricing efficiency of the 3-month KLIBOR futures contracts: an empirical analysis 
Abstract:
  This study is an empirical investigation of the pricing efficiency of
 Malaysia's interest rate futures contract, the 3-month Kuala Lumpur
 Interbank Offered Rates (KLIBOR) futures contract. This article also
 examines several issues related to pricing efficiency. The study spans the
 contract's entire 10-year history, June 1996 to June 2006. In line with
 findings in other markets, we find a pre-ponderance of overpricing. Almost
 80% of the mispricing constituted overpricing of the futures contract.
 Mean overpricing was 8 basis points. Our results lend support to the
 hypothesis that there may be a 'Futures Habitat Premium'. Underpricing,
 though less frequent was of a larger magnitude and had higher volatility.
 Even after adjusting for brokerage costs, most of the price deviations
 were arbitrageable. We find the extent of mispricing to be dependent on
 the trend and volatility of the underlying rate. Analysis of the impact of
 switch in Central Bank target policy rate, away from the underlying asset
 of the futures contract, showed higher pricing deviation post switch. Our
 examination of the interest rate announcement effect showed the spot
 market to be more responsive and faster in reaction than the futures
 market. The magnitude of reaction to rate cuts appears to be different at
 different interest rate levels. 
Journal: Applied Financial Economics 
Pages: 445-462 
Issue: 6 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802129767 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802129767
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:6:p:445-462




Template-Type: ReDIF-Article 1.0
Author-Name: Massimo Guidolin 
Author-X-Name-First: Massimo 
Author-X-Name-Last: Guidolin 
Author-Name: Stuart Hyde 
Author-X-Name-First: Stuart 
Author-X-Name-Last: Hyde 
Title: What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model 
Abstract:
  We use multivariate regime switching vector autoregressive models to
 characterize the time-varying linkages among the Irish stock market, one
 of the top world performers of the 1990s, and the US and UK stock markets.
 We find that two regimes, characterized as bear and bull states, are
 required to characterize the dynamics of excess equity returns both at the
 univariate and multivariate level. This implies that the regimes driving
 the small open economy stock market are largely synchronous with those
 typical of the major markets. However, despite the existence of a
 persistent bull state in which the correlations among Irish and UK and US
 excess returns are low, we find that state comovements involving the three
 markets are so relevant to reduce the optimal mean-variance weight carried
 by ISEQ stocks to at most one-quarter of the overall equity portfolio. We
 compute time-varying Sharpe ratios and recursive mean-variance portfolio
 weights and document that a regime switching framework produces
 out-of-sample portfolio performance that outperforms simpler models that
 ignore regimes. These results appear robust to endogenizing the effects of
 dynamics in spot exchange rates on excess stock returns. 
Journal: Applied Financial Economics 
Pages: 463-488 
Issue: 6 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801901604 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801901604
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:6:p:463-488




Template-Type: ReDIF-Article 1.0
Author-Name: David Tennant 
Author-X-Name-First: David 
Author-X-Name-Last: Tennant 
Author-Name: Abiodun Folawewo 
Author-X-Name-First: Abiodun 
Author-X-Name-Last: Folawewo 
Title: Macroeconomic and market determinants of interest rate spreads in low- and middle-income countries 
Abstract:
  Numerous variables exogenous to the operations of commercial banks have
 been widely touted in academic literature and popular discourse to be
 important factors causing the typically high Interest Rate Spreads (IRS)
 in developing countries. Using data for a group of 33 countries, this
 article applies dynamic panel estimation techniques to investigate the
 macroeconomic and market determinants of banking sector IRS in low- and
 middle-income countries. The empirical results suggest that only one
 market specific factor, the banking sector reserve requirement,
 significantly and positively affects IRS. Conversely, several
 macroeconomic and macro-policy variables such as inflation, government
 crowding-out and the discount rate are important determinants of IRS.
 Results are also examined to ascertain whether the determinants of spreads
 vary across regional groupings of countries. 
Journal: Applied Financial Economics 
Pages: 489-507 
Issue: 6 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701857930 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857930
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:6:p:489-507




Template-Type: ReDIF-Article 1.0
Author-Name: Md. Arifur Rahman 
Author-X-Name-First: Md. Arifur 
Author-X-Name-Last: Rahman 
Title: Industry-level stock returns volatility and aggregate economic activity in Australia 
Abstract:
  Drawing upon rationales from the theories of investment and consumption
 under uncertainty and the models of sectoral reallocation, we assess the
 implications of industry-level stock returns volatility for the future
 state of the Australian economy in terms of real Gross Domestic Product
 (GDP) growth, inflation and unemployment. By explicitly modelling the
 cyclical pattern of industry-level volatility and relating it to
 corresponding cyclical behaviour of macroeconomic variables, we show that
 industry-level volatility is a leading indicator of the movements in
 output growth and inflation. We find complementary evidence from a Vector
 Autoregression (VAR) based multi-step Granger causality test and impulse
 response analysis. However, the forecast error variance decompositions
 suggest that although the industry-level volatility accounts for a
 significant fraction of the forecast error of inflation, this explains
 only a small fraction of output and unemployment uncertainties. Further
 analysis indicates that industry-level volatility contains better
 information about the future state of the economy than does aggregate
 stock market volatility 
Journal: Applied Financial Economics 
Pages: 509-525 
Issue: 7 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802359968 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802359968
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:7:p:509-525




Template-Type: ReDIF-Article 1.0
Author-Name: Bixia Xu 
Author-X-Name-First: Bixia 
Author-X-Name-Last: Xu 
Title: Investment success and the value of investment opportunities: evidence from the biotech industry 
Abstract:
  The general positive association between investment opportunities and
 firm market value has been well-documented by prior cross-industry
 studies. Differently, this study empirically investigates how the market
 pricing of investment opportunities is conditional upon the perceived firm
 ability to actually capitalize these opportunities for a specific industry
 which is characterized by high uncertainty of investment success. Under
 the proposed investment success framework, I find a nonlinear association
 between investment opportunities and firm market value, depending on
 perceived investment success rate. Rapid R&D progress is associated with
 high market pricing of investment opportunities. Moreover, the effect of
 R&D progress is asymmetric, depending on the nature of the progress.
 Results suggest that R&D progress provides risk-relevant information for
 investment success assessment. 
Journal: Applied Financial Economics 
Pages: 527-537 
Issue: 7 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801982646 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801982646
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:7:p:527-537




Template-Type: ReDIF-Article 1.0
Author-Name: Harm Bandholz 
Author-X-Name-First: Harm 
Author-X-Name-Last: Bandholz 
Author-Name: Jorg Clostermann 
Author-X-Name-First: Jorg 
Author-X-Name-Last: Clostermann 
Author-Name: Franz Seitz 
Author-X-Name-First: Franz 
Author-X-Name-Last: Seitz 
Title: Explaining the US bond yield conundrum 
Abstract:
  We analyse if and to what extent fundamental macroeconomic factors,
 temporary influences or more structural factors have contributed to the
 low levels of US bond yields over the last few years. For that purpose, we
 start with a general model of interest rate determination. The empirical
 part consists of a cointegration analysis with an error-correction
 mechanism. We are able to establish a stable long-run relationship and
 find that the behaviour of bond yields, even during the last years, can be
 well explained by macroeconomic and structural factors. Alongside the more
 traditional determinants like core inflation, monetary policy and the
 business cycle, we also include foreign holdings of US Treasuries. The
 latter should capture the frequently mentioned structural effects on
 long-term interest rates. Finally, our bond yield equation outperforms a
 random walk model in different forecasting exercises. 
Journal: Applied Financial Economics 
Pages: 539-550 
Issue: 7 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801964370 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801964370
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:7:p:539-550




Template-Type: ReDIF-Article 1.0
Author-Name: Ben Howatt 
Author-X-Name-First: Ben 
Author-X-Name-Last: Howatt 
Author-Name: Richard Zuber 
Author-X-Name-First: Richard 
Author-X-Name-Last: Zuber 
Author-Name: John Gandar 
Author-X-Name-First: John 
Author-X-Name-Last: Gandar 
Author-Name: Reinhold Lamb 
Author-X-Name-First: Reinhold 
Author-X-Name-Last: Lamb 
Title: Dividends, earnings volatility and information 
Abstract:
  It is generally accepted that a firm's dividend policy can provide
 information about its future financial performance. Most studies link
 dividend policy with firm valuation; however, other signals involving
 dividend policy are also observed. The focus of this article is not to
 continue the examination of the return (valuation) information contained
 in dividend announcements, but rather to consider the information about
 risk that the announcements provide. We consider the 'risk information
 hypothesis', whereby management provides the market with new information
 about the risk of the firm's earnings variability through their dividend
 policy. The results of our study provide evidence that positive changes in
 dividends are associated with positive future changes in mean real
 Earnings Per Share (EPS). Furthermore, a significant increase in EPS
 variance (risk) after a dividend change is observed for all dividend
 change classifications except for dividend omissions. The strongest signal
 of future variance shifts is with dividend increases. 
Journal: Applied Financial Economics 
Pages: 551-562 
Issue: 7 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802345397 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802345397
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:7:p:551-562




Template-Type: ReDIF-Article 1.0
Author-Name: Chi-Wei Su 
Author-X-Name-First: Chi-Wei 
Author-X-Name-Last: Su 
Title: An empirical study of Taiwan's bond market based on the nonlinear dynamic model 
Abstract:
  This article examines long-run dynamic adjustments of the term structure
 of interest rates using Taiwan government bond interest with different
 maturities. This permits threshold and momentum-threshold adjustments to
 test for asymmetry in unit roots and cointegration. More specifically, we
 employ nonlinear methodology to investigate whether the term structure of
 interest rates is consistent with the expectation theory. The results
 support the expectation theory in the case of the term structure of
 interest rates with dynamic adjustment. Furthermore, we find solid
 evidence of the asymmetric price transmission effect among bonds with
 different maturities in both the short and long run, and we employ the
 asymmetry error-correction model to successfully capture dynamic
 adjustments of interest rates. 
Journal: Applied Financial Economics 
Pages: 563-574 
Issue: 7 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802345405 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802345405
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:7:p:563-574




Template-Type: ReDIF-Article 1.0
Author-Name: Andreas Trauten 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Trauten 
Author-Name: Thomas Langer 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Langer 
Title: The benefits and obstacles of internet-based Commercial Paper issuance in Europe-a survey 
Abstract:
  We survey 54 corporate Commercial Paper (CP) issuers from 11 European
 countries in order to analyse the perceived benefits and obstacles of
 internet platforms for issuing CP in Europe. The lack of a joint
 initiative of large CP issuers, close relations to banks and the fact that
 liquidity is scattered over separate domestic CP markets are felt to be
 the main obstacles to the establishment of a European CP platform.
 Responses reveal consensus that an internet platform would increase
 flexibility but show divergent opinions about the effect on other
 criteria. Corporate issuers expect their own issuance activity as well as
 the overall market volume to increase within the next 5 years. The
 establishment of an internet-based issuance platform is considered to be
 likely. 
Journal: Applied Financial Economics 
Pages: 575-594 
Issue: 7 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802359943 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802359943
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:7:p:575-594




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Raquel Quiroga Garcia 
Author-X-Name-First: Raquel Quiroga 
Author-X-Name-Last: Garcia 
Title: Intra-day volatility forecasts 
Abstract:
  This article seeks to examine the forecasting performance of competing
 models for intra-day volatility for the IBEX-35 index futures market.
 Whilst the use of intra-day is becoming common in examining daily
 forecasts through realized volatility, relatively little research examines
 the forecasting performance of models designed to capture intra-day
 volatility itself. The results presented here suggest first that the
 Hyperbolic Generalized Autoregressive Conditional Heteroscedasticity
 (HYGARCH) model provides the best forecast of intra-day volatility.
 Second, both this model and the Fractionally Integrated Exponential GARCH
 (FIEGARCH) model are particularly good at very high-frequency forecasts
 (less than 1 hour). Third, the Integrated-GARCH and FIGARCH models perform
 better at frequencies of 1 hour and lower. Fourth, the Component-GARCH
 model appears to provide a consistent performance across several
 frequencies. Fifth, the FIEGARCH model performs particularly well when
 weighting underpredictions of volatility higher than overpredictions.
 Overall, the results presented here are of interest to both academics,
 those engaged in microstructure modelling and practitioners interested in
 volatility and interval forecasting and dynamic hedging. 
Journal: Applied Financial Economics 
Pages: 611-623 
Issue: 8 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801982653 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801982653
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:8:p:611-623




Template-Type: ReDIF-Article 1.0
Author-Name: Edward Jones 
Author-X-Name-First: Edward 
Author-X-Name-Last: Jones 
Author-Name: Jonathan Crook 
Author-X-Name-First: Jonathan 
Author-X-Name-Last: Crook 
Title: Wealth effects to bidding companies from regulatory interventions in the UK 
Abstract:
  Using a sample of 186 referrals between 1965 and 2006, we analyse the
 abnormal returns experienced by UK bidding companies when a decision is
 made by UK regulators to refer a merger or acquisition for inquiry and
 when the decision is published by the regulator. We find evidence of
 disagreement between the regulator and stock valuations as to the expected
 outcome of the merger or acquisition. 
Journal: Applied Financial Economics 
Pages: 625-634 
Issue: 8 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802314484 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802314484
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:8:p:625-634




Template-Type: ReDIF-Article 1.0
Author-Name: Hiroyuki Aman 
Author-X-Name-First: Hiroyuki 
Author-X-Name-Last: Aman 
Author-Name: Hironobu Miyazaki 
Author-X-Name-First: Hironobu 
Author-X-Name-Last: Miyazaki 
Title: Valuation effects of new equity issues by banks: evidence from Japan 
Abstract:
  This article examines the valuation effects of new equity issues by
 Japanese banks through private placement. Although past studies have shown
 a positive market response to private placement, our results indicate that
 abnormal returns are, on average, positive but statistically
 insignificant. Such findings fail to support the notion that private
 placements help resolve the problem of information asymmetry. However,
 after controlling for bank capital, the valuation effects for banks with
 higher capital are significantly negative, whereas those with lower
 capital are significantly positive. The difference suggests that valuation
 depends on whether capital regulation motivates the new issue. Moreover,
 there is a negative correlation between Nonperforming Loans (NPLs) and
 valuation effects. This indicates that an increase in the uncertainty of
 bank loan quality is associated with a negative market response. Finally,
 the results show that new issues with a single purchaser convey more
 negative information to the market than those with multiple purchasers.
 This is consistent with the potential entrenchment effect of private
 placements. 
Journal: Applied Financial Economics 
Pages: 635-645 
Issue: 8 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802112292 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802112292
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:8:p:635-645




Template-Type: ReDIF-Article 1.0
Author-Name: M. -H. Liu 
Author-X-Name-First: M. -H. 
Author-X-Name-Last: Liu 
Author-Name: D. Margaritis 
Author-X-Name-First: D. 
Author-X-Name-Last: Margaritis 
Author-Name: A. Tourani-Rad 
Author-X-Name-First: A. 
Author-X-Name-Last: Tourani-Rad 
Title: Monetary policy and interest rate rigidity in China 
Abstract:
  This study examines the conduct of monetary policy and the setting of
 deposit and lending rates in China. As China is still in the transitional
 stage from a centrally planned economy to a market economy, State-Owned
 Enterprises and banks are being restructured and financial markets are
 being developed. Our findings show that there is a long-term relationship
 between interest rates and inflation, but the relationship is weak. In the
 short run, the central bank adjusts deposit and lending rates downward
 faster than they adjust them upwards. The weak long-term relationship
 reflects the fact that the interest rate as a tool of monetary policy is
 rather ineffective in China and the asymmetric adjustment speed shows that
 interest rates are kept deliberately below their equilibrium levels for
 the state-sponsored objective of stimulating economic growth, creating
 jobs and maintaining financial stability. 
Journal: Applied Financial Economics 
Pages: 647-657 
Issue: 8 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801998576 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801998576
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:8:p:647-657




Template-Type: ReDIF-Article 1.0
Author-Name: Daehwan Kim 
Author-X-Name-First: Daehwan 
Author-X-Name-Last: Kim 
Author-Name: Taeyoon Sung 
Author-X-Name-First: Taeyoon 
Author-X-Name-Last: Sung 
Title: Cross-ownership, takeover threat and control benefit 
Abstract:
  This article critically examines two conventional ideas about
 cross-ownership: (1) it is almost impossible to takeover a cross-owned
 group of firms; (2) the controlling shareholder of a cross-owned group of
 firms extracts certain benefit from his/her control right. Through a
 simple analysis, we show that the amount of funds required to takeover a
 cross-owned group of firms is not necessarily bigger than the amount
 required to takeover a similar-sized stand-alone firm. Our analysis also
 indicates that the separation of control right and cash-flow right does
 not necessarily create extra benefit for the controller. Based on the
 analysis, we attempt to identify real barriers to the takeover of a
 cross-owned group of firms. 
Journal: Applied Financial Economics 
Pages: 659-667 
Issue: 8 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801982638 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801982638
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:8:p:659-667




Template-Type: ReDIF-Article 1.0
Author-Name: Gili Yen 
Author-X-Name-First: Gili 
Author-X-Name-Last: Yen 
Author-Name: Ching-Lung Chen 
Author-X-Name-First: Ching-Lung 
Author-X-Name-Last: Chen 
Title: Partial auction, pricing information and price adjustment in the IPO's aftermarket: an empirical study of TAIEX-listing firms 
Abstract:
  The present study examines the introduction of partial auction on speed
 of price adjustment in the Initial Public Offering's (IPO) aftermarket in
 Taiwan. From a paired comparison between before/after introducing partial
 auction sub-samples of the IPO firms, as expected, it is found that the
 average trading days of stock prices needed for reaching equilibrium is
 significantly smaller in the 'issues after introducing partial auction'
 sub-period, when compared with the 'issues before introducing partial
 auction' sub-period. Within the post-partial-auction sub-period, it is
 found that the average trading days of stock prices needed for reaching
 equilibrium is somewhat smaller in the 'issues with partial auction'
 subgroup when compared with the 'issues without partial auction' subgroup,
 but, when the observation period is extended to 3 months, the difference
 as expected disappears. More importantly, the average number of days of
 completing adjustment for both 'issues with partial auction' and 'issues
 without partial auction' subgroups are shortened as a result of the
 introduction of partial auction when compared with their counterpart in
 the pre-partial-auction sub-period. When 'firm size' and 'book-to-market
 ratio' are added in company with three other explanatory variables in a
 regression analysis, the inference that the introduction of the partial
 auction speeds up the price adjustment in the aftermarket remains intact.
 The present study therefore concludes that the speed of adjustment
 quickens after introducing auctions mechanism into Taiwan IPO market. 
Journal: Applied Financial Economics 
Pages: 669-680 
Issue: 8 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802129759 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802129759
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:8:p:669-680




Template-Type: ReDIF-Article 1.0
Author-Name: Henrik Svedsater 
Author-X-Name-First: Henrik 
Author-X-Name-Last: Svedsater 
Author-Name: Niklas Karlsson 
Author-X-Name-First: Niklas 
Author-X-Name-Last: Karlsson 
Author-Name: Tommy Garling 
Author-X-Name-First: Tommy 
Author-X-Name-Last: Garling 
Title: Momentum trading, disposition effects and prediction of future share prices: an experimental study of multiple reference points in responses to short- and long-run return trends 
Abstract:
  Returns of equities tend to exhibit momentum in the short to medium term
 and reversals in the longer term. While presenting results partly
 supporting such findings, we demonstrate that investors rely on multiple
 reference points in their trading behaviour. In particular it is shown
 that the interaction between long- and short-run returns may have
 important explanatory value for investment decisions. Predictions of
 future stock prices furthermore tend to be positively biased when
 evaluated against trading patterns, while loss aversion may drive
 investors to sometimes act against their beliefs about market sentiments.
 Implications for market responses to price movements are discussed. 
Journal: Applied Financial Economics 
Pages: 595-610 
Issue: 8 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801982620 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801982620
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:8:p:595-610




Template-Type: ReDIF-Article 1.0
Author-Name: Asli Ogunc 
Author-X-Name-First: Asli 
Author-X-Name-Last: Ogunc 
Author-Name: Srinivas Nippani 
Author-X-Name-First: Srinivas 
Author-X-Name-Last: Nippani 
Author-Name: Kenneth Washer 
Author-X-Name-First: Kenneth 
Author-X-Name-Last: Washer 
Title: Seasonality tests on the Shanghai and Shenzhen stock exchanges: an empirical analysis 
Abstract:
  This article investigates Day-of-the-Week and January Effects in the
 Shanghai and Shenzhen stock markets over the period 1990 to 2006 for both
 the 'A' and 'B' indices. During this period, these two Chinese stock
 markets went through the limit period and nonlimit period and then again
 through a limit period. We examine the seasonality effects both during the
 different periods and also over the whole period. Our results indicate
 that the Shanghai A index is prone to higher volatility and also shows
 some January and Weekend Effects. 
Journal: Applied Financial Economics 
Pages: 681-692 
Issue: 9 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167296 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167296
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:9:p:681-692




Template-Type: ReDIF-Article 1.0
Author-Name: Wassim Dbouk 
Author-X-Name-First: Wassim 
Author-X-Name-Last: Dbouk 
Author-Name: Lawrence Kryzanowski 
Author-X-Name-First: Lawrence 
Author-X-Name-Last: Kryzanowski 
Title: Impact of bond index revisions 
Abstract:
  This appears to be the first investigation of the impact of bond index
 additions and deletions on the returns of bonds and stocks of the
 underlying issuers using various unconditional and conditional
 return-generating models. The effect of additions and deletions is
 symmetric for each asset class, and robust across various
 return-generating models. While bond returns are positively (negatively)
 affected by bond index inclusions (exclusions), stock returns are
 unaffected by these bond index revisions. These results suggest that,
 although bond index additions and deletions materially affect bond values
 when measured at market, equity investors do not perceive any material
 change in financial risk from such changes. 
Journal: Applied Financial Economics 
Pages: 693-702 
Issue: 9 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802199661 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802199661
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:9:p:693-702




Template-Type: ReDIF-Article 1.0
Author-Name: Adriana Korczak 
Author-X-Name-First: Adriana 
Author-X-Name-Last: Korczak 
Author-Name: Piotr Korczak 
Author-X-Name-First: Piotr 
Author-X-Name-Last: Korczak 
Title: Corporate ownership and the information content of earnings in Poland 
Abstract:
  In this article we test the influence of ownership structure on the
 information content of earnings in Polish-listed companies. Our
 investigation is based on the notion that in a weak corporate governance
 environment expropriation of private benefits of control is pervasive and
 manipulation of financial disclosure is a way to conceal those benefits to
 avoid disciplinary action. Concentrated ownership can act as a substitute
 for missing country-level corporate governance mechanisms to limit
 acquisition of private benefits of control, reducing incentives to
 mispresent financial situation and thus improving the quality of public
 accounting information. We find that weak country-level corporate
 governance mechanisms in the transition environment are best substituted
 by concentrated holdings of several investors rather than a single large
 shareholder. The information content of earnings increases when a few
 blockowners jointly hold between 25 and 50% of voting rights. We argue
 that the overall beneficial effects on corporate governance practices come
 from each blockholder's incentives to protect themselves from being
 expropriated by managers and other blockholders. We also find a positive
 impact of managerial holdings on the information content of earnings, and
 we argue that the holdings effectively align managers' and investors'
 interests. 
Journal: Applied Financial Economics 
Pages: 703-717 
Issue: 9 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167247 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167247
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:9:p:703-717




Template-Type: ReDIF-Article 1.0
Author-Name: Edwin Neave 
Author-X-Name-First: Edwin 
Author-X-Name-Last: Neave 
Author-Name: Jun Yang 
Author-X-Name-First: Jun 
Author-X-Name-Last: Yang 
Title: Disaggregating marketplace attitudes toward risk: a contingent-claim-based model 
Abstract:
  With a view to providing economic interpretations of temporal changes in
 Risk-Neutral Probability Distributions (RNPDs), this article estimates
 RNPDs from option prices, then studies the expected excess returns on a
 fixed-strategy reference portfolio constructed from RNPD-defined
 contingent claims. It disaggregates the reference portfolio into an
 investment, an insurance and a certainty component, each containing one
 type of contingent claim (having positive, negative or zero expected
 excess return, respectively). The disaggregation provides a convenient way
 of operationalizing Markowitz's semi-variance measures, one for upside
 potential and one for downside risk. Our empirical tests show that the
 pricing of investment-oriented claims is related to both S&P index growth
 and volatility, but the pricing of insurance-oriented claims is related
 only to index volatility. Moreover, the relative importance of insurance
 earnings to total earnings appears principally to be related to
 volatility. Thus our analyses show that investment and insurance claims
 are priced differently in the marketplace, and the different pricing
 effects can be identified by disaggregating the reference portfolio
 returns. 
Journal: Applied Financial Economics 
Pages: 719-733 
Issue: 9 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801964412 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801964412
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:9:p:719-733




Template-Type: ReDIF-Article 1.0
Author-Name: Jui-Cheng Hung 
Author-X-Name-First: Jui-Cheng 
Author-X-Name-Last: Hung 
Author-Name: Yen-Hsien Lee 
Author-X-Name-First: Yen-Hsien 
Author-X-Name-Last: Lee 
Author-Name: Tung-Yueh Pai 
Author-X-Name-First: Tung-Yueh 
Author-X-Name-Last: Pai 
Title: Examining market efficiency for large- and small-capitalization of TOPIX and FTSE stock indices 
Abstract:
  This article uses parametric and nonparametric Variance Ratio (VR) tests
 of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form
 Efficient Market Hypothesis (EMH) for the large- and small-capitalization
 stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times
 Stock Exchange). Unlike the previous studies, the multiple VR test of Chow
 and Denning (1993) is the first extended to the nonparametric VR test of
 Wright (2000) as suggested by Luger (2003). The empirical results show
 that the weak-form EMH is supported for large-cap stock indices, but
 rejected for small-cap ones. This conclusion is further confirmed by using
 a rolling multiple VR tests. 
Journal: Applied Financial Economics 
Pages: 735-744 
Issue: 9 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802129775 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802129775
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:9:p:735-744




Template-Type: ReDIF-Article 1.0
Author-Name: Victor Pontines 
Author-X-Name-First: Victor 
Author-X-Name-Last: Pontines 
Author-Name: Reza Siregar 
Author-X-Name-First: Reza 
Author-X-Name-Last: Siregar 
Title: Tranquil and crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of the DCC procedure 
Abstract:
  The key objective of this study is to show that two potential
 shortcomings of the Determinant of Change in Covariance (DCC) matrix
 procedure of Rigobon (2003), namely with the arbitrary determination of
 the windows, i.e. tranquil and crisis periods and the violation of its
 heteroscedasticity assumption under the null, can be simultaneously
 addressed via a simple incorporation of a Markov-switching vector
 autoregressive approach into the overall DCC procedure. To demonstrate
 this, we revisit the period around the time of the East Asian crises using
 daily stock exchange of Indonesia, Malaysia, Philippines, Thailand,
 Singapore, Korea, Hong Kong and Taiwan, and test whether there is a
 significant break or discontinuity in the stock exchange returns of the
 eight East Asian markets during crisis periods, especially around the time
 of the 1997 financial crises. In contrast to that of Rigobon (2003), our
 results show that the propagation of shocks shifted significantly starting
 with the onset of the sharp decline in the Hong Kong stock market. 
Journal: Applied Financial Economics 
Pages: 745-752 
Issue: 9 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167239 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167239
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:9:p:745-752




Template-Type: ReDIF-Article 1.0
Author-Name: Cliff Huang 
Author-X-Name-First: Cliff 
Author-X-Name-Last: Huang 
Author-Name: Tsu-Tan Fu 
Author-X-Name-First: Tsu-Tan 
Author-X-Name-Last: Fu 
Title: Uncertainty and total factor productivity in the Taiwanese banking industry 
Abstract:
  In this article, we formulate a behavioural model under uncertainty to
 estimate Total Factor Productivity (TFP) in the Taiwan banking industry.
 In particular, the article provides a model based on the safety-first rule
 under uncertainty to measure the risk premium in banking operations that
 are subject to loan default and other investment risks. With panel data of
 40 banks in 1981-1996, a translog cost function and the associated share
 equations are used to estimate the dual rate of Total Cost Diminution
 (TCD), the dual Returns To Scale (RTS) and the derived primal rate of TFP.
 A constant elasticity of transformation output function is employed to
 construct an aggregated output index of loan and investment activities.
 The empirical results indicate zero productivity growth and a highly
 risk-averse banking industry. Government-owned banks are generally more
 risk-averse than privately owned banks. As expected, the Taiwan banking
 industry became more risk-venturesome after the deregulation and
 liberalization of the industry and during the stock market boom of the
 late 1980s. 
Journal: Applied Financial Economics 
Pages: 753-766 
Issue: 9 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167288 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167288
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:9:p:753-766




Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Mizrach 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Mizrach 
Author-Name: Susan Weerts 
Author-X-Name-First: Susan 
Author-X-Name-Last: Weerts 
Title: Highs and lows: a behavioural and technical analysis 
Abstract:
  We find that turnover rises on n-day highs and lows and is an increasing
 function of n. We offer several explanations from the technical and
 behavioural finance literature for why traders might use these signals.
 Turnover is persistent following these events, and new lows provide
 abnormal returns for up to 6 trading days. 'Technical analysis is about as
 useful as going to a fortuneteller, as far as I'm concerned. There is
 simply no evidence that these patterns mean anything&#x2026;'1 (Burton
 Malkiel, 2003). 
Journal: Applied Financial Economics 
Pages: 767-777 
Issue: 10 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802199679 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802199679
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:10:p:767-777




Template-Type: ReDIF-Article 1.0
Author-Name: David Wolfe 
Author-X-Name-First: David 
Author-X-Name-Last: Wolfe 
Title: Defining the level of abnormal return underperformance that exists for issuers of high-yield bonds 
Abstract:
  A great deal of academic research focuses on how bond issuance impacts
 the firm. Most recent research focuses on investment grade bonds and
 ignores noninvestment grade bonds. This article investigates the long-run
 stock underperformance of high-yield bond Initial Bond Offerings (IBOs) in
 the 3-5-year post-issuing period compared to firms that do not issue stock
 and/or bonds over the same 5-year post period. A second dataset featuring
 investment grade bond issuing firms is also compared to firms that do not
 issue stocks and/or bonds over the same 5-year post period. It is
 determined that stock underperformance does exist following bond IBOs
 using both the buy-and-hold return and Fama-French Four-Factor models. The
 level of underperformance is found to be greatest for callable bonds
 issuers followed by straight bonds and convertible bond issuers.
 Additionally, it is learned that high-yield bond issuing firms experience
 a greater level of underperformance than their investment-grade
 counterparts. This line of research partially fills the gap in
 understanding how noninvestment grade bonds impact the firm in both stock
 performance and the pricing decision. 
Journal: Applied Financial Economics 
Pages: 779-794 
Issue: 10 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802277129 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802277129
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:10:p:779-794




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Bayless 
Author-X-Name-First: Mark 
Author-X-Name-Last: Bayless 
Title: The myth of executive compensation: do shareholders get what they pay for? 
Abstract:
  We use compensation data for a sample of 701 US public firms and document
 a significant positive relation between the level of executive
 compensation and the subsequent realized stock returns. In present value
 terms, shareholders in firms incurring a total compensation cost of $78
 million above the median experience subsequent incremental wealth gains of
 $385 million above the median over the 5-year period following
 compensation awards. The results are robust to the use of size and
 industry-adjusted measures of compensation and returns, and hold after we
 segment the sample by firm size and industry. Our evidence is consistent
 with rational executive labour markets where more talented executives
 command higher compensation and produce superior returns. 
Journal: Applied Financial Economics 
Pages: 795-808 
Issue: 10 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802014571 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802014571
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:10:p:795-808




Template-Type: ReDIF-Article 1.0
Author-Name: Juncal Cunado Eizaguirre 
Author-X-Name-First: Juncal 
Author-X-Name-Last: Cunado Eizaguirre 
Author-Name: Javier Gomez Biscarri 
Author-X-Name-First: Javier 
Author-X-Name-Last: Gomez Biscarri 
Author-Name: Fernando Perez de Gracia Hidalgo 
Author-X-Name-First: Fernando 
Author-X-Name-Last: Perez de Gracia Hidalgo 
Title: Financial liberalization, stock market volatility and outliers in emerging economies 
Abstract:
  In this article, we test whether the structure of emerging market
 volatility has changed and assess the link between the structural changes
 in volatility behaviour and financial liberalization events. The opening
 of financial markets tends to generate outlying returns around the opening
 dates, thus giving the appearance of increases in market volatility. We
 include outlier detection methodologies in our location of endogenous
 breaks in order to filter out this effect. Our results suggest that
 changes in volatility behaviour have indeed been induced by financial
 liberalization of emerging markets, but the change is not always in the
 same direction: Latin American countries have enjoyed lower volatility
 whereas Asian countries seem to have suffered increases in market
 instability. Additionally, all markets become more subject to occasional
 large shocks. 
Journal: Applied Financial Economics 
Pages: 809-823 
Issue: 10 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802243758 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802243758
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:10:p:809-823




Template-Type: ReDIF-Article 1.0
Author-Name: Torben Lutje 
Author-X-Name-First: Torben 
Author-X-Name-Last: Lutje 
Title: To be good or to be better: asset managers' attitudes towards herding 
Abstract:
  Based on a questionnaire survey this article distinguishes between
 herding asset managers who try to be good, and nonherding asset managers
 who try to be better than their competitors. It provides evidence for
 reputational herding and discusses herding managers' working effort,
 preferred sources of information and investment horizon. Additionally,
 their risk-taking behaviour, including their investment behaviour in
 short-term tournament scenarios, is analysed. It is found that herding
 managers assess themselves as generally more risk averse than nonherding
 managers, but in the tournament they are willing to take more risk. This
 finding is ascribable to their fear of falling out of the herd. 
Journal: Applied Financial Economics 
Pages: 825-839 
Issue: 10 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100801964404 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100801964404
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:10:p:825-839




Template-Type: ReDIF-Article 1.0
Author-Name: Heli Snellman 
Author-X-Name-First: Heli 
Author-X-Name-Last: Snellman 
Author-Name: Matti Viren 
Author-X-Name-First: Matti 
Author-X-Name-Last: Viren 
Title: ATM networks and cash usage 
Abstract:
  This article deals with the issue of how the market structure in banking
 affects the choice of the means of payment. In particular, the demand for
 cash is analysed from this point of view. The analysis is based on a
 simple spatial transactions model in which banks' optimization problem is
 solved. The solution quite clearly shows that monopoly banks have an
 incentive to restrict the number of ATMs to a minimum. More generally, the
 number of ATMs depends on competitiveness in the banking sector. The
 predictions of the theoretical analysis are tested using a panel data from
 20 Organization for Economic Co-operation and Development (OECD) countries
 for the period 1988 to 2003. Empirical analysis shows that there is a
 strong and robust relationship between the number of ATM networks and the
 number of ATMs (in relation to populations). Moreover, it can be shown
 that the demand for cash depends on the number of ATMs, ATM networks and
 the popularity of other means of payment. Thus, the use of cash can be
 pretty well explained in the transaction demand framework assuming that
 the market structure and technical environment is properly controlled. 
Journal: Applied Financial Economics 
Pages: 841-851 
Issue: 10 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701675548 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701675548
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:10:p:841-851




Template-Type: ReDIF-Article 1.0
Author-Name: Duong Nguyen 
Author-X-Name-First: Duong 
Author-X-Name-Last: Nguyen 
Author-Name: Tribhuvan Puri 
Author-X-Name-First: Tribhuvan 
Author-X-Name-Last: Puri 
Title: Systematic liquidity, characteristic liquidity and asset pricing 
Abstract:
  In this article we examine whether the traditional characteristic
 liquidity premium can be explained by market liquidity risk. We find that
 after adjusting for Pastor and Stambaugh market liquidity factor, the
 level of traditional liquidity remains priced. Also, consistent with
 previous studies on market liquidity and asset pricing, we do not find
 stock characteristics or Fama-French factors to determine the impacts of
 liquidity level on stock return. More interestingly, we document that the
 well-known size-return relationship might simply be a proxy for the
 liquidity-return relationship. Our results are consistent in both
 time-series and cross-sectional frameworks as well as robust in both New
 York Stock Exchange-American Stock Exchange (NYSE-AMEX) and National
 Association of Securities Dealers Automated Quotations (NASDAQ) exchanges. 
Journal: Applied Financial Economics 
Pages: 853-868 
Issue: 11 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167254 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167254
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:853-868




Template-Type: ReDIF-Article 1.0
Author-Name: Scott Hendry 
Author-X-Name-First: Scott 
Author-X-Name-Last: Hendry 
Author-Name: Nadja Kamhi 
Author-X-Name-First: Nadja 
Author-X-Name-Last: Kamhi 
Title: Uncollateralized overnight lending in Canada 
Abstract:
  Loan-level data on the uncollateralized overnight loan market is
 generated using payment data from Canada's Large Value Transfer System
 (LVTS) and a modified version of the methodology proposed in Furfine
 (1999). There were on average just under 100 loans extended in this market
 each day from March 2004 to March 2006 for a total daily value of about $5
 billion. This makes the market slightly larger than the brokered repo
 market but only about one-tenth of the estimate for the direct trade repo
 market. The implied uncollateralized overnight rate was found to be
 remarkably stable relative to other measures of the overnight rate. Loan
 rates are found to vary with market conditions, the size of the loan, and
 the type (big versus small) of the borrower and lender. 
Journal: Applied Financial Economics 
Pages: 869-880 
Issue: 11 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802260869 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802260869
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:869-880




Template-Type: ReDIF-Article 1.0
Author-Name: Ahmed Kamaly 
Author-X-Name-First: Ahmed 
Author-X-Name-Last: Kamaly 
Author-Name: Eskandar Tooma 
Author-X-Name-First: Eskandar 
Author-X-Name-Last: Tooma 
Title: Calendar anomolies and stock market volatility in selected Arab stock exchanges 
Abstract:
  While seasonal effects for both advanced and emerging markets have been
 investigated extensively in mean and variance equations, Arab region asset
 markets have received much less attention. The objective of this article
 is to fill this gap in the literature by investigating the day-of-the-week
 effect in 12 major Arab stock markets using Arab Monetary Fund (AMF) daily
 index returns from May 2002 to December 2005. Our estimation strategy
 utilizes Autoregressive (AR) and Generalized Autoregressive Conditional
 Heteroscedastic (GARCH)-type specifications to allow for a time-varying
 variance. Among the most important results of this article are, first, is
 one-third of these markets exhibit significant day-of-the-week effect in
 returns. Second, two-third of these markets exhibit significant
 day-of-the-week effect on volatility. Third, most of these day-of-the-week
 effects are focused within the beginning and the end of the trading week.
 Finally, the existence of a significant risk premium was confirmed in five
 of the 12 studied markets. 
Journal: Applied Financial Economics 
Pages: 881-892 
Issue: 11 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802359976 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802359976
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:881-892




Template-Type: ReDIF-Article 1.0
Author-Name: Hui-Chu Shu 
Author-X-Name-First: Hui-Chu 
Author-X-Name-Last: Shu 
Author-Name: Mao-Wei Hung 
Author-X-Name-First: Mao-Wei 
Author-X-Name-Last: Hung 
Title: Effect of wind on stock market returns: evidence from European markets 
Abstract:
  Environmental psychology studies have found evidence that wind speed has
 a strong influence on mood and comfort. This study investigated the
 relationship between wind speed and daily stock market returns across 18
 European countries from 1994 to 2004. A significant and pervasive wind
 effect was found on stock returns. This finding was supported by
 psychological literature claiming that mood affects judgement and
 decision-making in situations involving uncertainty and risk, and
 coincides with the argument of misattribution. This investigation also
 found strong seasonality effect and temperature effect in European stock
 markets. Specifically, the influence of wind on stock returns is
 demonstrated to be more significant than that of sunlight, indicating that
 wind might exert a stronger impact on mood than sunshine and hence be a
 better proxy for mood than sunshine. Above all, our findings contradict
 the rational asset-pricing hypothesis and contribute to the behavioural
 finance literature. 
Journal: Applied Financial Economics 
Pages: 893-904 
Issue: 11 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802243766 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802243766
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:893-904




Template-Type: ReDIF-Article 1.0
Author-Name: Patricia Chelley-Steeley 
Author-X-Name-First: Patricia 
Author-X-Name-Last: Chelley-Steeley 
Author-Name: Nikolaos Tsorakidis 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Tsorakidis 
Title: Volatility changes in drachma exchange rates 
Abstract:
  In January 2001 Greece joined the eurozone. The aim of this article is to
 examine whether an intention to join the eurozone had any impact on
 exchange rate volatility. We apply the Iterated Cumulative Sum of Squares
 (ICSS) algorithm of Inclan and Tiao (1994) to a set of Greek drachma
 exchange rate changes. We find evidence to suggest that the unconditional
 volatility of the drachma exchange rate against the dollar, British pound,
 yen, German mark and ECU/Euro was nonstationary, exhibiting a large number
 of volatility changes prior to European Monetary Union (EMU) membership.
 We then use a news archive service to identify the events that might have
 caused exchange rate volatility to shift. We find that devaluation of the
 drachma increased exchange rate volatility but ERM membership and a
 commitment to joining the eurozone led to lower volatility. Our findings
 therefore suggest that a strong commitment to join the eurozone may be
 sufficient to reduce some exchange rate volatility which has implications
 for countries intending to join the eurozone in the future. 
Journal: Applied Financial Economics 
Pages: 905-916 
Issue: 11 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701394579 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701394579
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:905-916




Template-Type: ReDIF-Article 1.0
Author-Name: Ekaterini Panopoulou 
Author-X-Name-First: Ekaterini 
Author-X-Name-Last: Panopoulou 
Author-Name: Theologos Pantelidis 
Author-X-Name-First: Theologos 
Author-X-Name-Last: Pantelidis 
Title: Integration at a cost: evidence from volatility impulse response functions 
Abstract:
  We investigate the international information transmission between the US
 and the rest of the G-7 countries using daily stock market return data
 covering the last 20 years. A split-sample analysis reveals that the
 linkages between the markets have changed substantially in the recent era
 (i.e. post-1995 period), suggesting increased interdependence in the
 volatility of the markets under scrutiny. Our findings based on a
 volatility impulse response analysis suggest that this interdependence
 combined with increased persistence in the volatility of all markets make
 volatility shocks perpetuate for a significantly longer period nowadays
 compared to the pre-1995 era. 
Journal: Applied Financial Economics 
Pages: 917-933 
Issue: 11 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802112300 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802112300
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:917-933




Template-Type: ReDIF-Article 1.0
Author-Name: Ana-Maria Fuertes 
Author-X-Name-First: Ana-Maria 
Author-X-Name-Last: Fuertes 
Author-Name: Jo&#xeb;lle Miffre 
Author-X-Name-First: Jo&#xeb;lle 
Author-X-Name-Last: Miffre 
Author-Name: Wooi-Hou Tan 
Author-X-Name-First: Wooi-Hou 
Author-X-Name-Last: Tan 
Title: Momentum profits, nonnormality risks and the business cycle 
Abstract:
  This article examines the role of nonnormality risks in explaining the
 momentum puzzle of equity returns. It shows that momentum profits are not
 normally distributed and, relatedly, that the momentum profitability is
 partly a compensation for systematic negative skewness risk in line with
 market efficiency. This finding is pervasive across nine trading
 strategies that combine different holding and ranking periods and is
 reinforced when time dependencies in abnormal returns and risks are
 explicitly modelled. The analysis also reveals that the market and
 skewness risks of momentum portfolios evolve over the business cycle in a
 manner that is consistent with market timing and risk aversion. While
 nonnormality risks matter, a large proportion of the momentum profits
 remains unexplained which may provide comfort to behavioural theorists. 
Journal: Applied Financial Economics 
Pages: 935-953 
Issue: 12 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167304 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167304
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:12:p:935-953




Template-Type: ReDIF-Article 1.0
Author-Name: Brian Frederick Smith 
Author-X-Name-First: Brian Frederick 
Author-X-Name-Last: Smith 
Author-Name: Ben Amoako-Adu 
Author-X-Name-First: Ben 
Author-X-Name-Last: Amoako-Adu 
Author-Name: Madhu Kalimipalli 
Author-X-Name-First: Madhu 
Author-X-Name-Last: Kalimipalli 
Title: Concentrated control and corporate value: a comparative analysis of single and dual class structures in Canada 
Abstract:
  This study directly examines the empirical relationship between corporate
 value and three distinct ownership structures using data from Canada,
 where the security laws and shareholder protection conditions are similar
 to those of the US (La Porta et al., 1999) but corporate control tends to
 be more concentrated (Holderness et al., 1999). Ownership structure is
 classified in three ways: dual class firms, single class closely-held
 firms and widely-held firms. The focus of this article is to test for the
 impact of concentrated control on corporate value using either dual class
 or single class closely-held ownership structure. The empirical results,
 using both fixed and random effects estimation methods, show that after
 controlling for size, financial leverage, percentage of outside directors
 and industry differences, dual class companies sell at a significant
 discount compared to closely-held single class companies. Consistent with
 Claessens et al. (2002), and Gompers et al. (2004) dual class structure in
 Canada lessens corporate value because it lowers shareholder and manager
 alignment and increases agency problems. We also find that pyramid
 structure has a negative impact on value in both dual class and single
 class closely-held companies. 
Journal: Applied Financial Economics 
Pages: 955-974 
Issue: 12 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599498 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599498
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:12:p:955-974




Template-Type: ReDIF-Article 1.0
Author-Name: Par Sjolander 
Author-X-Name-First: Par 
Author-X-Name-Last: Sjolander 
Title: Are the Basel II requirements justified in the presence of structural breaks? 
Abstract:
  The Basel Accord and the Swedish regulatory authority Finansinspektionen
 stipulate that banks and securities firms are obliged to estimate their
 Internal Risk Management Models (IRMMs) based on a minimum time series
 estimation period length of 1 year back in time. In this article, the
 Minimum Capital Risk Requirements (MCRRs) are estimated using moving
 windows of Swedish long and short OMX index futures positions that are
 bootstrapped (in blocks) by the use of Value-at-Risk Exponential
 Generalized Autoregressive Conditional Heteroscedasticity (VaR-(E)GARCH)
 models. In order to detect and adjust for structural changes in the
 variance, a so-called Iterative Cumulative Sums of Squares (ICSS)
 algorithm is applied. By the use of the earlier-mentioned approach, it is
 concluded that out-of-sample risk predictions are more accurate when using
 estimation periods shorter than 1 year, probably since relevant
 information are outdated fairly quickly on the markets. Therefore, the
 Basel Committee can discard the 1-year requirement without increased risk
 of financial instability. 
Journal: Applied Financial Economics 
Pages: 985-998 
Issue: 12 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701704298 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701704298
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:12:p:985-998




Template-Type: ReDIF-Article 1.0
Author-Name: I.-Doun Kuo 
Author-X-Name-First: I.-Doun 
Author-X-Name-Last: Kuo 
Author-Name: Yueh-Neng Lin 
Author-X-Name-First: Yueh-Neng 
Author-X-Name-Last: Lin 
Title: Evidence on inefficiency of the Euribor option market 
Abstract:
  This article examines the efficiency of the Euro Inter-bank Offered Rate
 (Euribor) option market based on a constant-volatility option pricing
 model of Heath et al. (HJM, 1990, 1992) over the period 1 January 2003 to
 31 December 2005. Trading mispriced options associated with a riskless
 hedging strategy on average produce abnormal profits after taking into
 account the transaction costs for floor traders. For floor traders' point
 of view, our results show an inefficient Euribor option market for our
 sample period. For retail customers, however, trading associated with the
 riskless hedging strategy the abnormal profits may not be earned
 sufficiently to cover the transaction costs. 
Journal: Applied Financial Economics 
Pages: 1009-1017 
Issue: 12 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701604266 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701604266
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:12:p:1009-1017




Template-Type: ReDIF-Article 1.0
Author-Name: Alexandr Akimov 
Author-X-Name-First: Alexandr 
Author-X-Name-Last: Akimov 
Author-Name: Albert Wijeweera 
Author-X-Name-First: Albert 
Author-X-Name-Last: Wijeweera 
Author-Name: Brian Dollery 
Author-X-Name-First: Brian 
Author-X-Name-Last: Dollery 
Title: Financial development and economic growth: evidence from transition economies 
Abstract:
  The hypothesis that financial development promotes economic growth enjoys
 significant support from empirical evidence drawn from both developed and
 developing countries alike. However, analogous empirical evidence is still
 lacking for economies in transition. This article analyses the effects of
 financial intermediation on the growth of real GDP by employing data for
 27 countries over the period of 1989 to 2004. Using an endogenous growth
 model and panel data analysis techniques, we estimate regressions with
 various proxies for financial sector development. We find that in contrast
 to some recent empirical work, there is a robust positive link between
 financial development and economic growth in transition economies. 
Journal: Applied Financial Economics 
Pages: 999-1008 
Issue: 12 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701857880 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701857880
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:12:p:999-1008




Template-Type: ReDIF-Article 1.0
Author-Name: Pieter Jansen 
Author-X-Name-First: Pieter 
Author-X-Name-Last: Jansen 
Title: Did capital market convergence lower the effectiveness of monetary policy? 
Abstract:
  International capital market convergence reduces the ability for monetary
 authorities to set domestic monetary conditions. Traditionally, monetary
 policy transmission is channelled through the short-term interest rate.
 Savings and investment decisions are effected through the response of the
 bond yield to changes in the short-term interest rate. We find that
 capital market integration increased correlation between long-term
 interest rates across countries. Short-term interest rates also show more
 integration across countries and the correlation with the international
 business cycle has increased. A stronger linkage between international
 economic conditions and bond yields has important implications for the
 effectiveness of monetary policy. Monetary policy makers, especially in
 small countries, will face more difficulties in influencing domestic
 conditions in the bond market when they apply the traditional monetary
 policy framework in case of a country specific shock. 
Journal: Applied Financial Economics 
Pages: 975-984 
Issue: 12 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802359992 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802359992
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:12:p:975-984




Template-Type: ReDIF-Article 1.0
Author-Name: John Galbraith 
Author-X-Name-First: John 
Author-X-Name-Last: Galbraith 
Author-Name: Serguei Zernov 
Author-X-Name-First: Serguei 
Author-X-Name-Last: Zernov 
Title: Extreme dependence in the NASDAQ and S&P 500 composite indexes 
Abstract:
  Dependence among large observations in equity markets is usually examined
 using second-moment models such as those from the GARCH or SV classes.
 Such models treat the entire set of returns, and tend to produce similar
 estimates on different major equity markets, with a sum of estimated GARCH
 parameters, for example, slightly below one. Using dependence measures
 from extreme value theory, however, it is possible to characterize
 dependence among only the largest (or largest negative) financial returns;
 these alternative characterizations of clustering have important
 applications in risk management. In this article we compare the NASDAQ and
 S&P in this way, and implement tests which can be used for the null
 hypothesis of the same degree of extreme dependence. Although GARCH-type
 characterizations of second-moment dependence in the two markets produce
 similar results, the same is not true in the extremes: we find
 significantly more extreme dependence in the NASDAQ returns. More
 generally, the study of extreme dependence may reveal contrasts which are
 obscured when examining the conditional second moment. 
Journal: Applied Financial Economics 
Pages: 1019-1028 
Issue: 13 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802360032 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802360032
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:13:p:1019-1028




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Heaney 
Author-X-Name-First: Richard 
Author-X-Name-Last: Heaney 
Title: The size and composition of corporate boards in Hong Kong, Malaysia and Singapore 
Abstract:
  It is generally held that the choice of size and composition of the board
 of directors is endogenous to firm and recent theoretical models support
 this contention. This article focuses on the factors that might explain
 the size and composition of the board using a unique sample of the larger
 listed firms in Hong Kong, Malaysia and Singapore. While there is evidence
 of a size effect explaining board size, the impact of growth options and
 the existence of chief executive officer who is also chairman are found to
 be important in explaining board composition. 
Journal: Applied Financial Economics 
Pages: 1029-1041 
Issue: 13 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802359984 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802359984
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:13:p:1029-1041




Template-Type: ReDIF-Article 1.0
Author-Name: David Morelli 
Author-X-Name-First: David 
Author-X-Name-Last: Morelli 
Title: Capital market integration: evidence from the G7 countries 
Abstract:
  This article examines whether the capital markets of the G7 countries are
 integrated. Capital market integration is examined under the joint
 hypothesis of an international multifactor asset pricing model.
 International factors are extracted from a world portfolio using both
 maximum likelihood analysis and principal component analysis. Results show
 that international common factors exist, some of which are priced and
 equal across some countries, however, the international pricing model does
 not hold for all G7 countries. The price of risk is not found to be the
 same across all countries and the hypothesis of full capital market
 integration is not supported. 
Journal: Applied Financial Economics 
Pages: 1043-1057 
Issue: 13 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802167262 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802167262
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:13:p:1043-1057




Template-Type: ReDIF-Article 1.0
Author-Name: Ming Jing Yang 
Author-X-Name-First: Ming Jing 
Author-X-Name-Last: Yang 
Author-Name: Yi-Chuan Lai 
Author-X-Name-First: Yi-Chuan 
Author-X-Name-Last: Lai 
Title: An out-of-sample comparative analysis of hedging performance of stock index futures: dynamic versus static hedging 
Abstract:
  The purpose of this study is to examine the hedging performance of the
 major international stock index futures, including DJIA, S&P500,
 NASDAQ100, FTSE100, CAC40, DAX30 and Nikkei225 index futures, by using the
 various dynamic hedging strategies and the traditional static hedging
 strategies. The objective functions of the expected utility maximization
 and portfolio variance minimization were employed to measure the optimal
 hedge ratios and hedging effectiveness for the out-of-sample data. The
 results are summarized as follows: (1) The volatility specification test
 results indicate that information asymmetry exists in the second moments
 of most stock index and index futures return series; (2) The empirical
 results of hedging performance demonstrate that most of the models
 examined in the study can substantially improve investors' expected
 utility or reduce portfolio risk; (3) The comparative analysis results
 also reveal that the Error Correction (EC) models are superior to the
 other models for investors with different degrees of risk aversion.
 Overall, the empirical findings suggest that for aggressive investors, the
 hedging strategies based on the bivariate asymmetric
 Glosten-Jagannathan-Runkle-Error Correction-Generalized Autoregressive
 Conditional Heteroscedastic (GJR-EC-GARCH) model would achieve the better
 hedging performance. As for conservative investors, both the GJR-EC-GARCH
 and Error Correction-Ordinary Least Square (EC-OLS) models can perform
 very well. The results remain the same after considering the transaction
 costs. 
Journal: Applied Financial Economics 
Pages: 1059-1072 
Issue: 13 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802112284 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802112284
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:13:p:1059-1072




Template-Type: ReDIF-Article 1.0
Author-Name: Abdul-Magid Gadad 
Author-X-Name-First: Abdul-Magid 
Author-X-Name-Last: Gadad 
Author-Name: Andrew Stark 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Stark 
Author-Name: Hardy Thomas 
Author-X-Name-First: Hardy 
Author-X-Name-Last: Thomas 
Title: Divestitures: wealth transfers or real economic gains? 
Abstract:
  We investigate whether divestitures are associated with changes in
 operating performance. We evaluate the total operating performance of a
 pro-forma combination of seller and buyer firm in each divestiture and of
 the seller and buyer firms separately. We control for industry
 performance, pre-sale performance of the seller and buyer firms and the
 level of persistence in their operating performances. The total operating
 performance of the pro-forma combination increases by 3.2% per annum and
 the operating performance of the seller (buyer) firms increases by 3.0%
 (3.1%) per annum, on average, for 3 years after the sell offs. We conclude
 that divestitures lead to real economic gains and not merely a zero-sum
 transfer. 
Journal: Applied Financial Economics 
Pages: 1073-1081 
Issue: 13 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100701335440 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701335440
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:13:p:1073-1081




Template-Type: ReDIF-Article 1.0
Author-Name: Raj Aggarwal 
Author-X-Name-First: Raj 
Author-X-Name-Last: Aggarwal 
Author-Name: Min Qi 
Author-X-Name-First: Min 
Author-X-Name-Last: Qi 
Title: Distribution of extreme changes in Asian currencies: tail index estimates and value-at-risk calculations 
Abstract:
  This study examines the distribution of extreme values in daily currency
 changes for nine Asian countries. Using an improved estimator, extreme
 changes in Asian currencies can generally be represented by Frechet
 distributions. Our results are robust to the choice of the numeraire
 currency, the Asian crises and the 1985 Plaza Agreement. These results are
 important as asset and derivative pricing models, and Value-at-Risk (VaR)
 calculations depend on accurate assessments of the distribution of extreme
 values. Indeed, VaRs based on our fitted extreme distributions are similar
 to VaRs based on historical distributions but are multiples of those based
 on normal distributions. 
Journal: Applied Financial Economics 
Pages: 1083-1102 
Issue: 13 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802298026 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802298026
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:13:p:1083-1102




Template-Type: ReDIF-Article 1.0
Author-Name: Alexandros Milionis 
Author-X-Name-First: Alexandros 
Author-X-Name-Last: Milionis 
Author-Name: Evangelia Papanagiotou 
Author-X-Name-First: Evangelia 
Author-X-Name-Last: Papanagiotou 
Title: A study of the predictive performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange: sensitivity analysis and implications for weak-form market efficiency testing 
Abstract:
  This work examines the variation of the simple Moving Average (MA)
 trading rule performance as a function of the MA length in New York Stock
 Exchange (NYSE), Athens Stock Exchange (ASE) and Vienna Stock Exchange
 (VSE) using daily data from May 1993 to April 2005. Results show that
 changes of the MA trading rule performance as a function of the length of
 the MA are in many cases random. Moreover, in the presence of a 0.5% fee
 per transaction, trading rule performance as a function of the MA length
 in several cases follow a random walk with a positive drift process,
 implying better performance for longer MAs. To an extent, due to the large
 variability of the trading rule performance observed in many cases, these
 results weaken previous conclusions regarding the predictive power of the
 rule where use was made of MAs with only specific lengths, as well as any
 conclusions regarding acceptance or rejection of the weak-form market
 efficiency hypothesis. Further, a preliminary qualitative analysis showed
 enhanced trading rule performance for very short MA lengths, a result
 which needs further investigation. 
Journal: Applied Financial Economics 
Pages: 1171-1186 
Issue: 14 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802375519 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802375519
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:14:p:1171-1186




Template-Type: ReDIF-Article 1.0
Author-Name: Rakesh Bissoondeeal 
Author-X-Name-First: Rakesh 
Author-X-Name-Last: Bissoondeeal 
Author-Name: Jane Binner 
Author-X-Name-First: Jane 
Author-X-Name-Last: Binner 
Author-Name: Thomas Elger 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Elger 
Title: Monetary models of exchange rates and sweep programs 
Abstract:
  Numerous studies find that monetary models of exchange rates cannot beat
 a random walk model. Such a finding, however, is not surprising given that
 such models are built upon money demand functions and traditional money
 demand functions appear to have broken down in many developed countries.
 In this article, we investigate whether using a more stable underlying
 money demand function results in improvements in forecasts of monetary
 models of exchange rates. More specifically, we use a sweep-adjusted
 measure of US monetary aggregate M1 which has been shown to have a more
 stable money demand function than the official M1 measure. The results
 suggest that the monetary models of exchange rates contain information
 about future movements of exchange rates, but the success of such models
 depends on the stability of money demand functions and the specifications
 of the models. 
Journal: Applied Financial Economics 
Pages: 1117-1129 
Issue: 14 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802375501 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802375501
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:14:p:1117-1129




Template-Type: ReDIF-Article 1.0
Author-Name: Javier Gomez-Biscarri 
Author-X-Name-First: Javier 
Author-X-Name-Last: Gomez-Biscarri 
Title: The predictive power of the term spread revisited: a change in the sign of the predictive relationship 
Abstract:
  We qualify some of the traditionally accepted results on the predictive
 power of the term spread over output. We show that in the case of
 short-term spreads, the direction of the predictive power may be the
 opposite to that usually found in the empirical literature, which has
 mostly rested on the use of long spreads, and in theoretical results, that
 have tended to neglect the consideration of multiperiod dynamics. An
 analysis of data for Germany and the United States confirms that
 short-term spreads have low predictive power and sometimes in the opposite
 direction to the traditional argument. Some suggestions for empirical work
 are derived from the analysis. 
Journal: Applied Financial Economics 
Pages: 1131-1142 
Issue: 14 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802375493 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802375493
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:14:p:1131-1142




Template-Type: ReDIF-Article 1.0
Author-Name: Leong Fee Wan 
Author-X-Name-First: Leong Fee 
Author-X-Name-Last: Wan 
Author-Name: Yen Li Chee 
Author-X-Name-First: Yen Li 
Author-X-Name-Last: Chee 
Title: Macroeconomic considerations in regional reserve pooling 
Abstract:
  Traditional approach to optimal reserve determination centres on reserves
 as adjustments to shocks to the balance of payments. The demand for
 reserves varies according to the international interest rates, volatility
 of the terms of trade and the exchange rate regimes (Garcia, 1999). While
 precautionary motive (Aizenman and Lee, 2005; Li and Rajan, 2005)
 continues to dominate the changing motive of reserve accumulation in East
 Asia, the literature on optimal reserve allocation has shifted to the
 strategic issue of reserve pooling (Rajan and Siregar, 2002; Wan, 2005,
 2006), to mobilize the vast pool of reserves exceeding the optimal level
 for regional investment in East Asia. Using cointegration analysis to
 determine the key macroeconomic variables such as import-reserve ratio,
 trade openness, short-term indebtedness, volatility of exports, net
 capital inflow as well as the interest rate spread between US Treasury
 rates and regional average lending rates, this article attempts to develop
 a regional framework for reserve currency pooling as liquidity support for
 the newly established ASEAN Plus Three (APT; China, Korea and Japan) in
 the Chiang Mai Initiative (CMI) in May 2000. The benefits and costs of
 reserve pooling are analysed, taking into consideration its welfare
 implications with and without including Australia as the potential member
 of APT in the distant future. 
Journal: Applied Financial Economics 
Pages: 1143-1157 
Issue: 14 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802359950 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802359950
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:14:p:1143-1157




Template-Type: ReDIF-Article 1.0
Author-Name: Jordi Andreu 
Author-X-Name-First: Jordi 
Author-X-Name-Last: Andreu 
Author-Name: Salvador Torra 
Author-X-Name-First: Salvador 
Author-X-Name-Last: Torra 
Title: Optimal market indices using value-at-risk: a first empirical approach for three stock markets 
Abstract:
  Since Fama's Efficient Market Hypothesis (EMH), numerous authors have
 argued that it is impossible to constantly beat the market. The best an
 investor can do is buy and hold 'the market' through a market index.
 Taking into account the important role of market indices as benchmarks
 against which we compare performance and as tools to prove efficiency or
 calculate Capital Asset Pricing Model (CAPM), few articles have studied
 how we should build, weigh or incorporate Modern Portfolio Theory into
 market index construction. Everybody accepts market indices as an
 essential part of finance, but nobody seems to care about them. In this
 article, we propose a different way of calculating market indices, which
 uses characteristics of optimal portfolios and risk control to establish
 the components' weights. We present the minimum risk indices using a
 Value-at-Risk (VaR) minimization problem and prove that they have less
 risk than current market indices, and that in some markets they beat the
 actual market index. 
Journal: Applied Financial Economics 
Pages: 1163-1170 
Issue: 14 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802360024 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802360024
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:14:p:1163-1170




Template-Type: ReDIF-Article 1.0
Author-Name: Vincent Hooper 
Author-X-Name-First: Vincent 
Author-X-Name-Last: Hooper 
Author-Name: Jonathan Reeves 
Author-X-Name-First: Jonathan 
Author-X-Name-Last: Reeves 
Author-Name: Xuan Xie 
Author-X-Name-First: Xuan 
Author-X-Name-Last: Xie 
Title: Optimal modelling frequency for foreign exchange volatility forecasting 
Abstract:
  For the major foreign exchange rates, it is found that the optimal
 modelling frequency of volatility is weekly for forecast horizons ranging
 from 1 week up to 1 month. Autoregressive modelling is based on realized
 volatility measures computed from 30 min returns. 
Journal: Applied Financial Economics 
Pages: 1159-1162 
Issue: 14 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802360016 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802360016
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:14:p:1159-1162




Template-Type: ReDIF-Article 1.0
Author-Name: Kentaro Iwatsubo 
Author-X-Name-First: Kentaro 
Author-X-Name-Last: Iwatsubo 
Author-Name: Yoshihiro Kitamura 
Author-X-Name-First: Yoshihiro 
Author-X-Name-Last: Kitamura 
Title: Intraday evidence of the informational efficiency of the yen/dollar exchange rate 
Abstract:
  The informational efficiency of the yen/dollar exchange rate is
 investigated in five market segments within each business day from 1987 to
 2007. Among the results, we first find that the daily exchange rate has a
 cointegrating relationship with the cumulative price change of the segment
 for which the London and New York (NY) markets are both open, but not with
 that of any other segments. Second, the cumulative price change of the
 London/NY segment is the most persistent among the five market segments in
 the medium and long run. These results suggest that the greatest
 concentration of informed traders is in the London/NY segment, where
 intraday transactions are the highest. This is consistent with the
 theoretical prediction by Admati and Pfleiderer (1988) that prices are
 more informative when trading volume is heavier. 
Journal: Applied Financial Economics 
Pages: 1103-1115 
Issue: 14 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802389015 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802389015
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:14:p:1103-1115




Template-Type: ReDIF-Article 1.0
Author-Name: Sohrab Abizadeh 
Author-X-Name-First: Sohrab 
Author-X-Name-Last: Abizadeh 
Author-Name: Dennis Ng 
Author-X-Name-First: Dennis 
Author-X-Name-Last: Ng 
Title: Equities, liquidity and consumption: does the stock market matter? 
Abstract:
  A relatively strong performance of the North American stock markets
 during the last two decades, notwithstanding the sharp decline experienced
 in the year 2000 and beyond, has set the stage for an empirical
 investigation of the possible effects that stock wealth, among other
 variables, can have on the consumption patterns of Canada and the United
 States. We employ quarterly data to test for the wealth effect hypothesis
 using the stock wealth variable. Our comprehensive theoretical model is
 based on the life cycle consumption function and includes both human and
 nonhuman wealth. Based on the dynamic Ordinary Least Squares (OLS) method
 employed, we confirm that part of the increase in aggregate consumption in
 our sample countries is explained by the stock wealth variable, thus
 providing further support to the wealth effect hypothesis. 
Journal: Applied Financial Economics 
Pages: 1187-1196 
Issue: 15 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802464123 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802464123
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:15:p:1187-1196




Template-Type: ReDIF-Article 1.0
Author-Name: Isabel Ruiz 
Author-X-Name-First: Isabel 
Author-X-Name-Last: Ruiz 
Title: Common volatility across Latin American foreign exchange markets 
Abstract:
  This article uses high-frequency exchange rate data for a group of 13
 Latin American countries in order to analyse volatility co-movements.
 Particular interest is posed on understanding the existence of a common
 volatility process during the 1995-2008 period. The analysis relies on
 bivariate common factor models. We test for second-order common features
 using the common autoregressive conditional heteroskedasticity-feature
 methodology developed by Engle and Kozicki (1993). Overall, the results of
 this article indicate that while most currencies display evidence of
 time-varying variance, the volatility movements in the Latin American
 foreign exchange markets seems to be mainly country specific. Common
 volatility processes seem to be present only for a few South American
 markets. 
Journal: Applied Financial Economics 
Pages: 1197-1211 
Issue: 15 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802481796 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802481796
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:15:p:1197-1211




Template-Type: ReDIF-Article 1.0
Author-Name: Ben Marshall 
Author-X-Name-First: Ben 
Author-X-Name-Last: Marshall 
Author-Name: Sun Qian 
Author-X-Name-First: Sun 
Author-X-Name-Last: Qian 
Author-Name: Martin Young 
Author-X-Name-First: Martin 
Author-X-Name-Last: Young 
Title: Is technical analysis profitable on US stocks with certain size, liquidity or industry characteristics? 
Abstract:
  We consider whether popular moving average and trading range breakout
 technical trading rules are profitable on a subset of the US stocks with
 certain size, liquidity and industry characteristics. We find these rules
 are rarely profitable during the period 1990 to 2004, however there is
 some evidence that they are more profitable for smaller, less liquid
 stocks. There is no evidence to any industry bias in applying these rules
 and when a rule does produce statistically significant profits on a stock,
 these profits tend to be greater for longer decision period rules. 
Journal: Applied Financial Economics 
Pages: 1213-1221 
Issue: 15 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802446591 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802446591
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:15:p:1213-1221




Template-Type: ReDIF-Article 1.0
Author-Name: Hsiou-Wei Lin 
Author-X-Name-First: Hsiou-Wei 
Author-X-Name-Last: Lin 
Author-Name: Yun Chiang Tai 
Author-X-Name-First: Yun Chiang 
Author-X-Name-Last: Tai 
Title: A nonparametric general equilibrium estimation of covered interest rate arbitrage for western European countries during the pre-euro period: a behavioural perspective 
Abstract:
  In this article, the nonparametric threshold autoregressive model for the
 Covered Interest Rate Parity (CIP) deviation is proposed. We provide a
 threshold estimation under the general equilibrium framework. The
 Keynes-Einzig conjecture based on market observation is verified. Within
 thresholds, the momentum effect holds. The behavioural finance applies as
 the aggregated data are used. Outside thresholds, the random process is
 shown from our general equilibrium estimation. Our estimations show that
 the CIP deviation is nonstationary within thresholds for some countries.
 It contradicts to the limit of arbitrages and other market frictions for
 the threshold trading. The robustness test has been performed to reconfirm
 our results based on the Mean Absolute Error (MAE) criterion. The
 implication shows that the trend-following exists within thresholds and
 the directionless moving as the threshold is reached. Behind our
 estimation, it shows that the threshold forms a new equilibrium. As the
 nonparametric general equilibrium is pursued, the interactive effects
 behind the parameters estimation are also discussed. In this article, we
 provide a behavioural perspective about the real exchange rate in terms of
 covered interest rate parity to show the meaning behind the Keynes-Einzig
 conjecture. We also provide the estimation of latest aggregated data for
 comparison. It shows structural changes as the euro is adopted. 
Journal: Applied Financial Economics 
Pages: 1223-1237 
Issue: 15 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802403626 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802403626
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:15:p:1223-1237




Template-Type: ReDIF-Article 1.0
Author-Name: Manuel Ammann 
Author-X-Name-First: Manuel 
Author-X-Name-Last: Ammann 
Author-Name: Stephan Markus Kessler 
Author-X-Name-First: Stephan Markus 
Author-X-Name-Last: Kessler 
Title: Intraday characteristics of stock price crashes 
Abstract:
  This article presents the first detailed analysis of the intraday
 characteristics of idiosyncratic stock price crashes. The analysis focuses
 on the impact of large crashes in single stocks on their intraday returns
 and liquidity in the US market. Furthermore, optimal intradaily behaviour
 during crashes is studied. Crashes are found to happen rather quickly,
 usually during a time interval of a few hours. In general, a strong
 increase in trading activity is observed during a crash, indicating that
 investors are able to sell their stocks even in distressed markets. The
 level of liquidity change is linked to the size of the crash. However,
 there is little evidence that the large sales volume during a crash drives
 down stock prices. After a stock price crash a significant momentum effect
 is found for several hours. Stock price crashes appear to reduce
 information asymmetries. 
Journal: Applied Financial Economics 
Pages: 1239-1255 
Issue: 15 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802481804 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802481804
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:15:p:1239-1255




Template-Type: ReDIF-Article 1.0
Author-Name: Anna Vong 
Author-X-Name-First: Anna 
Author-X-Name-Last: Vong 
Author-Name: Duarte Trigueiros 
Author-X-Name-First: Duarte 
Author-X-Name-Last: Trigueiros 
Title: An empirical extension of Rock's IPO underpricing model to three distinct groups of investors 
Abstract:
  This article examines earned returns and allocation details of more than
 200 new offerings (Initial Public Offering, IPO) from companies that went
 public in Hong Kong during the period 1988 to 1995. Three distinct groups
 of investors are identified, each exhibiting a particular type of return's
 pattern. Each pattern seems to correspond to a specific level of
 information. This finding is of particular interest as it shows the level
 of return that an investor can expect from IPO investments, also being an
 extension of previous studies where, following Rock (1986), two, not
 three, groups of investors are identified. This article also finds that
 expected returns from IPOs remain positive and highly significant after
 adjusting for the allocation bias. With the exception of the smallest
 application sizes, results are invariant to adjustments such as
 transaction costs and the risk-free rate of return. 
Journal: Applied Financial Economics 
Pages: 1257-1268 
Issue: 15 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802570408 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802570408
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:15:p:1257-1268




Template-Type: ReDIF-Article 1.0
Author-Name: Kuntara Pukthuanthong-Le 
Author-X-Name-First: Kuntara 
Author-X-Name-Last: Pukthuanthong-Le 
Author-Name: Nuttawat Visaltanachoti 
Author-X-Name-First: Nuttawat 
Author-X-Name-Last: Visaltanachoti 
Title: Idiosyncratic volatility and stock returns: a cross country analysis 
Abstract:
  Empirical evidences regarding the association of idiosyncratic volatility
 and stock returns are inconsistent with the Capital Asset Pricing Model
 (CAPM), which implies that idiosyncratic risk should not be priced because
 it would be fully eliminated through diversification. Using Exponential
 Generalized Autoregressive Conditional Heteroscedasticity (EGARCH)
 estimated conditional idiosyncratic volatility of individual stocks across
 36 countries from 1973 to 2007, we find that idiosyncratic risk is priced
 on a significantly positive risk premium for stock returns. The evidence
 is statistically and economically significant. It overwhelmingly supports
 the prediction of existing theories that idiosyncratic risk is positively
 related to expected returns. 
Journal: Applied Financial Economics 
Pages: 1269-1281 
Issue: 16 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802534297 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802534297
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:16:p:1269-1281




Template-Type: ReDIF-Article 1.0
Author-Name: Leonardo Becchetti 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Becchetti 
Author-Name: Rocco Ciciretti 
Author-X-Name-First: Rocco 
Author-X-Name-Last: Ciciretti 
Title: Corporate social responsibility and stock market performance 
Abstract:
  We analyse the performance of a large sample of Socially Responsible (SR)
 stocks relative to a Control Sample (CS) of equivalent size for 14 years.
 We find that individual SR stocks have on average significantly lower
 returns and unconditional variance than CS stocks when controlling for
 industry effects. This result is paralleled by descriptive evidence on the
 lower (daily return) mean and variance of the buy-and-hold strategies on
 the SR portfolio with respect to those on the control portfolio. Beyond
 this first evidence we discover that: (i) individual SR stocks are
 significantly less risky when controlling for conditional
 heteroskedasticity; (ii) there are no significant differences in
 risk-adjusted returns between the two buy-and-hold strategies on (SR and
 CS) portfolios; (iii) the buy-and-hold strategies on the SR portfolio
 exhibits significantly lower exposition to systematic nondiversifiable
 risk. These last findings are robust to different-market model,
 Generalized Autoregressive Conditional Heteroskedasticity (GARCH(1, 1)),
 Asymmetric Power ARCH (APARCH(1, 1))-model specifications. 
Journal: Applied Financial Economics 
Pages: 1283-1293 
Issue: 16 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802584854 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802584854
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:16:p:1283-1293




Template-Type: ReDIF-Article 1.0
Author-Name: Luis Ferruz 
Author-X-Name-First: Luis 
Author-X-Name-Last: Ferruz 
Author-Name: Cristina Ortiz 
Author-X-Name-First: Cristina 
Author-X-Name-Last: Ortiz 
Author-Name: Jose Sarto 
Author-X-Name-First: Jose 
Author-X-Name-Last: Sarto 
Title: Decisions of domestic equity fund investors: determinants and search costs 
Abstract:
  In the present study, we confirm the asymmetry of the performance-flow
 relationship documented in the literature, but with the particularities of
 the sample of Spanish funds. Thus, we conclude that mid-performers show no
 significant influence on investor decisions. The panel data analysis also
 allows us to conclude that custodial and management fees and the size of
 the fund have a negative impact on the flows into funds. Empirical
 evidence is provided on the differential response of investors to the
 decision factors depending on the market states. 
Journal: Applied Financial Economics 
Pages: 1295-1304 
Issue: 16 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802584862 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802584862
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:16:p:1295-1304




Template-Type: ReDIF-Article 1.0
Author-Name: Sanjiv Jaggia 
Author-X-Name-First: Sanjiv 
Author-X-Name-Last: Jaggia 
Author-Name: Alison Kelly-Hawke 
Author-X-Name-First: Alison 
Author-X-Name-Last: Kelly-Hawke 
Title: Modelling skewness and elongation in financial returns: the case of exchange-traded funds 
Abstract:
  Recent studies have documented the importance of asymmetry and
 tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk
 and option-valuation models. This article explores the nature of skewness
 and elongation in daily Exchange-traded Fund (ETF) return distributions
 using g, h and (g &#xd7; h) distributions. These exploratory data analytic
 techniques of Tukey (1977) reveal patterns that are hidden from a cursory
 glance at conventional measures for skewness and elongation. The g, h and
 (g &#xd7; h) distributions provide parameter estimates that indicate
 substantial variation in skewness and elongation for individual ETFs;
 nonetheless, some trends are discovered when the funds are grouped by fund
 size and style of investing. Monte Carlo simulations suggest that these
 exploratory techniques are able to capture patterns found in commonly used
 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family
 of models. 
Journal: Applied Financial Economics 
Pages: 1305-1316 
Issue: 16 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599514 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599514
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:16:p:1305-1316




Template-Type: ReDIF-Article 1.0
Author-Name: Georgios Chortareas 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Chortareas 
Author-Name: Claudia Girardone 
Author-X-Name-First: Claudia 
Author-X-Name-Last: Girardone 
Author-Name: Alexia Ventouri 
Author-X-Name-First: Alexia 
Author-X-Name-Last: Ventouri 
Title: Efficiency and productivity of Greek banks in the EMU era 
Abstract:
  We provide a characterization of the Greek banking system's efficiency
 and productivity under the new environment that the Economic and Monetary
 Union (EMU) participation implies. We consider cost and profit efficiency
 as well as productivity change of commercial banks using the nonparametric
 Data Envelopment Analysis (DEA) and the Total Factor Productivity (TFP)
 Malmquist Index. The period under study is 1998-2003 covering Greece's
 entry into the euro area in 2001 and the run-up to it. Moreover, enhanced
 competition along with lower inflation and interest rates has further
 motivated financial innovation and Off-Balance Sheet (OBS) business. Our
 findings suggest that cost efficiency has risen by 4.3% over the 6 years
 under study. Moreover, Greek banks seem to enjoy relatively high profit
 efficiency (on average 75%) showing an increase by 93% over 1998-2003.
 Similarly, productivity seems to have risen by 15% and this was mainly
 driven by the improvements in the performance of best-practice
 institutions. Our results do not show any role for OBS activities in Greek
 banks' efficiency. Finally, while the impact of profitability and size on
 efficiency and productivity yields mixed results, our empirical findings
 seem to corroborate previous studies in that controlling for risk
 preferences is important in determining bank efficiency. 
Journal: Applied Financial Economics 
Pages: 1317-1328 
Issue: 16 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599506 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599506
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:16:p:1317-1328




Template-Type: ReDIF-Article 1.0
Author-Name: Fredj Jawadi 
Author-X-Name-First: Fredj 
Author-X-Name-Last: Jawadi 
Title: Essay in dividend modelling and forecasting: does nonlinearity help? 
Abstract:
  This article develops a method of nonlinear modelling for the dividends
 of the Group of seven (G7) indexes using threshold techniques: Smooth
 Transition Autoregressive Models (STAR). First, smoothness and
 nonlinearity are justified by the presence of heterogeneous expectations
 and companies of different sizes. Then, we show that this methodology is
 adapted to reproduce persistence in the dividend adjustment dynamics.
 Finally, we highlight the superiority of STAR models compared to the
 linear process in modelling dividends and reducing measurement error while
 forecasting future dividends. STAR forecasting supplanted those of linear
 model in the short and medium terms. 
Journal: Applied Financial Economics 
Pages: 1329-1343 
Issue: 16 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802481812 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802481812
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:16:p:1329-1343




Template-Type: ReDIF-Article 1.0
Author-Name: Elvan Aktas 
Author-X-Name-First: Elvan 
Author-X-Name-Last: Aktas 
Author-Name: Wm McDaniel 
Author-X-Name-First: Wm 
Author-X-Name-Last: McDaniel 
Title: Pragmatic problems in using beta for managerial finance applications 
Abstract:
  Any faculty member with experience in teaching managerial finance and
 investment courses can cite occasional awkward findings by students about
 required rates of returns. Unfortunately, many times the explanations for
 such unexpected findings are not as simple as outlier problems in the
 sample or an offer by a modified version of the model to correct the
 problem. Our purpose is to explore a broad sample to demonstrate the
 frequency of cases where Capital Asset Pricing Model (CAPM)-generated
 marginal costs of equity are less than zero; less than the risk-free rate
 and less than the company's marginal cost of debt capital. In addition to
 several robustness checks, the results are very similar with either
 Internet or calculated betas suggesting that the data used in the analysis
 does not present unusual characteristics. However, we do not offer further
 modifications to CAPM or other asset pricing models. 
Journal: Applied Financial Economics 
Pages: 1345-1354 
Issue: 16 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802570390 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802570390
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:16:p:1345-1354




Template-Type: ReDIF-Article 1.0
Author-Name: Claudio Morana 
Author-X-Name-First: Claudio 
Author-X-Name-Last: Morana 
Title: Realized betas and the cross-section of expected returns 
Abstract:
  What explains the cross section of expected returns for the 25 size/value
 Fama-French (FF) portfolios? It is found that modelling time-varying betas
 is important to explain the cross section of expected returns, as well as
 to comply with the time series restriction on Jensen-alpha. Support for a
 modified version of the conditional Jagannathan and Wang's (1996) Capital
 Asset Pricing Model (CAPM) is found, where implementation is carried out
 in the realized beta framework proposed in this article. About 63% of the
 cross-sectional variability of the expected returns for the 25 FF size and
 value sorted portfolios is then found to be explained by this parsimonious
 two-variable model. 
Journal: Applied Financial Economics 
Pages: 1371-1381 
Issue: 17 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599597 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599597
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:17:p:1371-1381




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Jagd 
Author-X-Name-First: Philip 
Author-X-Name-Last: Jagd 
Author-Name: Jakob Madsen 
Author-X-Name-First: Jakob 
Author-X-Name-Last: Madsen 
Title: Myopic loss aversion, bond returns and the equity premium puzzle 
Abstract:
  In an influential paper Bernatzi and Thaler (1995) (B&T) show that Myopic
 Loss Aversion (MLA) can explain the equity premium in the US over the
 period 1926 to 1990. However, bond returns, in their simulations, are
 based on coupons only. Allowing for capital gains on bonds in the
 simulations yields results that are somewhat different from those obtained
 by B&T. Furthermore, the simulations reveal another asset market puzzle
 related to the demand for bonds of long duration. 
Journal: Applied Financial Economics 
Pages: 1383-1390 
Issue: 17 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599530 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599530
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:17:p:1383-1390




Template-Type: ReDIF-Article 1.0
Author-Name: Nuttawat Visaltanachoti 
Author-X-Name-First: Nuttawat 
Author-X-Name-Last: Visaltanachoti 
Author-Name: Robin Luo 
Author-X-Name-First: Robin 
Author-X-Name-Last: Luo 
Title: Order imbalance, market returns and volatility: evidence from Thailand during the Asian crisis 
Abstract:
  This article examines the interaction between order imbalance, stock
 returns, volatility and volume dynamics during Asian financial crisis
 using intraday data of 418 stocks traded on the Stock Exchange of Thailand
 (SET) from January 1996 to October 2003. The inverse relationship between
 the past 30-min interval order imbalance and current stock return in both
 pre- and post-devaluation of baht indicates that aggregate investors are
 contrarians. During the currency crisis, aggregate investors are less
 contrarian compared to the pre-devaluation period. Moreover, excess sell
 orders have a stronger impact to future return than to the excess buy
 orders. During the financial crisis, future stock returns are sensitive to
 an increase in current excess sell orders, but are insensitive to the
 current excess buy orders. In addition to the positive volume-volatility
 relation, the influence of order imbalance to volatility is much weaker
 after controlling for the level of stock returns. 
Journal: Applied Financial Economics 
Pages: 1391-1399 
Issue: 17 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599522 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599522
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:17:p:1391-1399




Template-Type: ReDIF-Article 1.0
Author-Name: Ian Fraser 
Author-X-Name-First: Ian 
Author-X-Name-Last: Fraser 
Author-Name: Heather Tarbert 
Author-X-Name-First: Heather 
Author-X-Name-Last: Tarbert 
Author-Name: Kai Hong Tee 
Author-X-Name-First: Kai Hong 
Author-X-Name-Last: Tee 
Title: Do the financial statements of intangible-intensive companies hold less information content for investors? 
Abstract:
  This study uses the event study method to compare the information content
 of annual accounting releases in sectors that differ in respect of the
 proportion of market value that may be attributed to intangibles. The
 results demonstrate that there are differences between industrial sectors
 in the share price reaction to accounting events and that this reaction
 appears to be much less significant in sectors where the investment in
 intangible assets is relatively high. 
Journal: Applied Financial Economics 
Pages: 1433-1438 
Issue: 17 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902902212 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902902212
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:17:p:1433-1438




Template-Type: ReDIF-Article 1.0
Author-Name: Dave Seerattan 
Author-X-Name-First: Dave 
Author-X-Name-Last: Seerattan 
Author-Name: Nicola Spagnolo 
Author-X-Name-First: Nicola 
Author-X-Name-Last: Spagnolo 
Title: Central bank intervention and foreign exchange markets 
Abstract:
  In this article we examine the sensitivity of the foreign exchange market
 to central bank intervention. Using a time varying Markov switching model
 we separate periods of relatively stable market conditions from volatile
 periods and look at the dynamic of the causality effect under different
 market conditions. The analysis is conducted for three developing markets,
 namely Croatia, Iceland and Jamaica and one developed market, Australia,
 for comparative purposes. We show that direct intervention affects the
 probability of switching between states in the developed market but has
 little or no effect in the developing markets reviewed. We argue that this
 is due to specific intervention practices rather than market
 characteristics. Additionally, we find that intervention purchases and
 sales tend to have different effects. Monetary policy is also found to
 impact the probability of transitioning from one market state to another,
 sometimes detracting from the strength of the influence of direct
 intervention on the transition probabilities. 
Journal: Applied Financial Economics 
Pages: 1417-1432 
Issue: 17 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/00036840902817789 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/00036840902817789
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:17:p:1417-1432




Template-Type: ReDIF-Article 1.0
Author-Name: Jochen Papenbrock 
Author-X-Name-First: Jochen 
Author-X-Name-Last: Papenbrock 
Author-Name: Svetlozar Rachev 
Author-X-Name-First: Svetlozar 
Author-X-Name-Last: Rachev 
Author-Name: Markus Hochstotter 
Author-X-Name-First: Markus 
Author-X-Name-Last: Hochstotter 
Author-Name: Frank Fabozzi 
Author-X-Name-First: Frank 
Author-X-Name-Last: Fabozzi 
Title: Price calibration and hedging of correlation dependent credit derivatives using a structural model with &#x3b1;-stable distributions 
Abstract:
  The emergence of Credit Default Swap (CDS) indices and corresponding
 credit risk transfer markets with high liquidity and narrow bid-ask
 spreads has created standard benchmarks for market credit risk and
 correlation against which portfolio credit risk models can be calibrated.
 Integrated risk management for correlation dependent credit derivatives,
 such as single-tranches of synthetic Collateralized Debt Obligations
 (CDOs), requires an approach that adequately reflects the joint default
 behaviour in the underlying credit portfolios. Another important feature
 for such applications is a flexible model architecture that incorporates
 the dynamic evolution of underlying credit spreads. In this article, we
 present a model that can be calibrated to quotes of CDS index-tranches in
 a statistically sound way and simultaneously has a dynamic architecture to
 provide for the joint evolution of distance-to-default measures. This is
 accomplished by replacing the normal distribution by Smoothly Truncated
 &#x3b1;-Stable (STS) distributions in the Black/Cox version of the Merton
 approach for portfolio credit risk. This is possible due to the favourable
 features of this distribution family, namely, consistent application in
 the Black/Scholes no-arbitrage framework and the preservation of linear
 correlation concepts. The calibration to spreads of CDS index tranches is
 accomplished by a genetic algorithm. Our distribution assumption reflects
 the observed leptokurtic and asymmetric properties of empirical asset
 returns since the STS distribution family is basically constructed from
 &#x3b1;-stable distributions. These exhibit desirable statistical
 properties such as domains of attraction and the application of the
 generalized central limit theorem. Moreover, STS distributions fulfill
 technical restrictions like finite (exponential) moments of arbitrary
 order. In comparison to the performance of the basic normal distribution
 model which lacks tail dependence effects, our empirical analysis suggests
 that our extension with a heavy-tailed and highly peaked distribution
 provides a better fit to tranche quotes for the iTraxx IG index. Since the
 underlying implicit modelling of the dynamic evolution of credit spreads
 leads to such results, this suggests that the proposed model is
 appropriate to price and hedge complex transactions that are based on
 correlation dependence. A further application might be integrated risk
 management activities in debt portfolios where concentration risk is
 dissolved by means of portfolio credit risk transfer instruments such as
 synthetic CDOs. 
Journal: Applied Financial Economics 
Pages: 1401-1416 
Issue: 17 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902798040 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902798040
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:17:p:1401-1416




Template-Type: ReDIF-Article 1.0
Author-Name: Muhammad Azeem Qureshi 
Author-X-Name-First: Muhammad Azeem 
Author-X-Name-Last: Qureshi 
Title: Does pecking order theory explain leverage behaviour in Pakistan? 
Abstract:
  This study uses a 34 years' standardized balance sheet data of the
 manufacturing firms in Pakistan to know the leverage behaviour of these
 firms over time. The results indicate that leverage has two pervasive and
 significant relationships: one, negative relationship with current and
 past profitability; and two, positive relationship with past dividends.
 This provides empirical evidence to put forward strong support to Pecking
 Order Theory (POT) in context of profitability and dividends. Moreover, it
 provides empirical evidence to present a reasonable support to POT
 regarding growth. However, apropos size POT gets nominal empirical support
 from Pakistan. 
Journal: Applied Financial Economics 
Pages: 1365-1370 
Issue: 17 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902817592 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902817592
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:17:p:1365-1370




Template-Type: ReDIF-Article 1.0
Author-Name: Ray Sturm 
Author-X-Name-First: Ray 
Author-X-Name-Last: Sturm 
Title: The 'other' January effect and the presidential election cycle 
Abstract:
  The 'other' January effect posits that when January's stock returns are
 positive (negative), the remaining 11 months of the year tend to be
 positive (negative) as well. While no explanation is currently offered,
 this departure from market efficiency carries important implications for
 the portfolio management decision. Other research has shown that stock
 returns tend to be higher during the second half of the president's term
 than during the first half as a result of variations in fiscal policy
 across time. When the 'other' January effect is examined in the presence
 of the presidential election cycle, it seems clear that January holds
 greater predictive power during certain years of the president's term in
 office. Therefore, in portfolio management decisions, investors should not
 view either in isolation, but consider both together. 
Journal: Applied Financial Economics 
Pages: 1355-1363 
Issue: 17 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599589 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599589
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:17:p:1355-1363




Template-Type: ReDIF-Article 1.0
Author-Name: Khaled Abdou 
Author-X-Name-First: Khaled 
Author-X-Name-Last: Abdou 
Author-Name: Oscar Varela 
Author-X-Name-First: Oscar 
Author-X-Name-Last: Varela 
Title: Is there a puzzle in the failure of venture capital backed portfolio companies? 
Abstract:
  We examine the post-Initial Public Offering (IPO) role of Venture
 Capitalists (VCs) in their portfolio companies' failures, employing a
 LOGIT analysis of a matched pair sample of defunct and successful
 VC-backed companies, and an Ordinary Least Square (OLS) analysis of the
 lifespan of the defunct set. We find that the reputation and experience of
 VCs are major factors in extending the lifespan of the defunct portfolio
 companies. We also find that VC monitoring, experience, reputation and
 percentage ownership are not significant factors to differentiate between
 failure and success. VCs are associated with high risk investments making
 failures inevitable, but surprisingly we find no credible reasons that are
 related to VCs' financial management for failures. 
Journal: Applied Financial Economics 
Pages: 1439-1452 
Issue: 18 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902837087 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902837087
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:18:p:1439-1452




Template-Type: ReDIF-Article 1.0
Author-Name: Markus Schmid 
Author-X-Name-First: Markus 
Author-X-Name-Last: Schmid 
Title: Ownership structure and the separation of voting and cash flow rights-evidence from Switzerland 
Abstract:
  This article analyses the relation between a firm's equity capital
 structure, managerial and outside block ownership, and firm value based on
 a unique and hand-collected sample of 545 observations on 174 Swiss firms
 over the period from 2002 to 2005. While previous papers concentrate
 either on managerial ownership or on blockholdings, which can, but need
 not be, managerial, this article distinguishes between the two and
 investigates their relative importance. This distinction turns out to be
 important. I find the probability that a firm has a dual-class structure
 to be positively related to managerial ownership, the ownership of the
 single largest shareholder, and inside blockholders more generally while
 negatively related to the ownership of 'true' outside blockholders such as
 listed companies, mutual and pension funds. Moreover, I present strong
 evidence that the aim of the dual-class structure is to secure the largest
 shareholder's and, more specifically, inside blockholders' control over
 the firm. Most importantly, I find evidence that these inside controlling
 shareholders take advantage of the dual-class structure by extracting
 private benefits of control. 
Journal: Applied Financial Economics 
Pages: 1453-1476 
Issue: 18 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902984350 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902984350
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:18:p:1453-1476




Template-Type: ReDIF-Article 1.0
Author-Name: Masaya Okawa 
Author-X-Name-First: Masaya 
Author-X-Name-Last: Okawa 
Author-Name: Motoh Tsujimura 
Author-X-Name-First: Motoh 
Author-X-Name-Last: Tsujimura 
Title: The value of a merger and its optimal timing 
Abstract:
  In this article, we study a firm's merger strategy. When two firms merge,
 there are two types of transaction costs: fixed and proportional. To study
 the firm's merger strategy, we formulate the problem faced by the newly
 merged firm's management as an optimal stopping problem. Then, we derive
 the optimal merger strategy; that is, we find the optimal value of the
 merger option. We also show that the optimal strategy is unique.
 Furthermore, we illustrate numerical examples and undertake a comparative
 static analysis of the merger option. 
Journal: Applied Financial Economics 
Pages: 1477-1485 
Issue: 18 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902984319 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902984319
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:18:p:1477-1485




Template-Type: ReDIF-Article 1.0
Author-Name: Saeed Al-Muharrami 
Author-X-Name-First: Saeed 
Author-X-Name-Last: Al-Muharrami 
Author-Name: Kent Matthews 
Author-X-Name-First: Kent 
Author-X-Name-Last: Matthews 
Title: Market power versus efficient-structure in Arab GCC banking 
Abstract:
  This article evaluates the performance of the Arab Gulf Cooperation
 Council (GCC) banking industry in the context of the
 Structure-Conduct-Performance (SCP) hypothesis in the period 1993 to 2002.
 This article uses panel estimation differentiating between bank fixed
 effects and country fixed effects. It examines the Relative-Market-Power
 (RMP) and the Efficient-Structure (ES) hypotheses differentiating between
 the two by employing a nonparametric measure of technical efficiency, and
 finds that the banking industry in the Arab GCC countries is best
 explained by the mainstream SCP hypothesis. The empirical results do not
 find any support for the Hicks' (1935) 'Quiet Life' (QL) version of the
 market power hypothesis. 
Journal: Applied Financial Economics 
Pages: 1487-1496 
Issue: 18 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902845478 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902845478
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:18:p:1487-1496




Template-Type: ReDIF-Article 1.0
Author-Name: Muhammad Kashif Ali Shah 
Author-X-Name-First: Muhammad Kashif Ali 
Author-X-Name-Last: Shah 
Author-Name: Zulfiqar Hyder 
Author-X-Name-First: Zulfiqar 
Author-X-Name-Last: Hyder 
Author-Name: Muhammad Khalid Pervaiz 
Author-X-Name-First: Muhammad Khalid 
Author-X-Name-Last: Pervaiz 
Title: Central bank intervention and exchange rate volatility in Pakistan: an analysis using GARCH-X model 
Abstract:
  Excessive exchange rate volatility has a deleterious effect on
 international financial flows, external trade, investment and output.
 Among others, these economic costs prompt the central bank in emerging
 countries to contain excessive exchange rate volatility through
 intervention in the foreign exchange market. This article investigates the
 effectiveness of State Bank of Pakistan's (SBP) daily foreign exchange
 intervention starting from 3 July 2000 to 31 December 2005 (1593 trading
 day observations). The method of Generalized Autoregressive Conditional
 Heteroscedasticity, with exogenous variables (GARCH-X), used in this
 article, shows that SBP's intervention operation is very effective as it
 not only affects the exchange rate levels but also reduces the exchange
 rate volatility. It is also found that the short-term interest rate and
 the size of the foreign exchange reserves held by SBP also affect the
 exchange rate level and its volatility. Increase in short-term interest
 rate and higher foreign exchange reserves are associated with appreciation
 of exchange rate levels and vice versa. In addition, higher foreign
 exchange reserves also reduce the exchange rate volatility. In sharp
 contrast to the no days-of-the-week effects on exchange rate level, the
 results show that there is some evidence of significant days-of-the-week
 effects of intervention on exchange rate volatility. 
Journal: Applied Financial Economics 
Pages: 1497-1508 
Issue: 18 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902967553 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902967553
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:18:p:1497-1508




Template-Type: ReDIF-Article 1.0
Author-Name: Barry Harrison 
Author-X-Name-First: Barry 
Author-X-Name-Last: Harrison 
Author-Name: Winston Moore 
Author-X-Name-First: Winston 
Author-X-Name-Last: Moore 
Title: Spillover effects from London and Frankfurt to Central and Eastern European stock markets 
Abstract:
  This article investigates comovement in stock markets between the
 emerging economies of Central and Eastern Europe (CEE) and the developed
 markets of Western Europe. Three approaches are employed to examine this
 issue. The first two approaches, time-varying realized correlation ratios
 and cointegration statistics, use a two-step technique to derive
 time-varying estimates of the comovement between returns on CEE and EU
 stock exchanges. The first step uses common factor analysis to define the
 factors driving CEE stock exchanges, while the second step evaluates the
 relationship between the leading principal factor for CEE countries and
 the Deutsche Aktien Xchange (DAX) and Financial Times Stock Exchange
 (FTSE) using time-varying realized correlation and rolling cointegration
 statistics. The third approach employs Multivariate Generalized
 Autoregressive Conditional Heteroscedasticity (MGARCH) techniques to
 obtain estimates of mean and variance spillover effects. 
Journal: Applied Financial Economics 
Pages: 1509-1521 
Issue: 18 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902902220 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902902220
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:18:p:1509-1521




Template-Type: ReDIF-Article 1.0
Author-Name: Aigbe Akhigbe 
Author-X-Name-First: Aigbe 
Author-X-Name-Last: Akhigbe 
Author-Name: Surendranath Jory 
Author-X-Name-First: Surendranath 
Author-X-Name-Last: Jory 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Title: Takeovers of newly public targets 
Abstract:
  While studies have documented that Initial Public Offering (IPO)
 aftermarket performance is weak, little is known about how the aftermarket
 performance is affected by takeovers of the newly public firms. We find
 that the aftermarket performance of IPOs is more favourable for those
 newly public firms that are acquired. Thus, the IPO aftermarket
 performance is weaker when removing targets and focusing on firms with
 continuing operations. We also find the primary reason for the difference
 in performance between the newly public firms that are acquired versus
 those that are not is the takeover premium. IPO firms with a lower
 market-book multiple, lower financial leverage and higher operating
 leverage can command higher premiums. 
Journal: Applied Financial Economics 
Pages: 1523-1530 
Issue: 19 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599555 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599555
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:19:p:1523-1530




Template-Type: ReDIF-Article 1.0
Author-Name: Karligash Kenjegalieva 
Author-X-Name-First: Karligash 
Author-X-Name-Last: Kenjegalieva 
Author-Name: Richard Simper 
Author-X-Name-First: Richard 
Author-X-Name-Last: Simper 
Author-Name: Thomas Weyman-Jones 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Weyman-Jones 
Title: Efficiency of transition banks: inter-country banking industry trends 
Abstract:
  This study investigates the trend of X-(in) efficiencies across Eastern
 European 2004-accession countries' banking industries over the period 1999
 to 2003. We use Data Envelopment Analysis (DEA) estimators to obtain
 proxies for X-(in)efficiencies and we then analyse the inter-country
 industry differences using the methodology of Simar and Zelenyuk (2007)
 and the impact of country-specific environmental conditions, following
 Simar and Wilson's (2007) truncated regression with bootstrap methodology.
 Overall, the results suggest that Eastern European banking had
 considerable scope for X-efficiency improvements. However, the results
 also demonstrate that the efficiency gap between the sample countries
 declined over the period, and fewer environmental factors contributed to
 the difference in the banking efficiency levels. 
Journal: Applied Financial Economics 
Pages: 1531-1546 
Issue: 19 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902984343 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902984343
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:19:p:1531-1546




Template-Type: ReDIF-Article 1.0
Author-Name: Mika Vaihekoski 
Author-X-Name-First: Mika 
Author-X-Name-Last: Vaihekoski 
Title: Pricing of liquidity risk: empirical evidence from Finland 
Abstract:
  This study investigates the pricing of liquidity risk in stock market
 using conditional Asset Pricing Models (APMs). The estimation is conducted
 in the Generalized Method of Moment (GMM) framework with a price of risk
 specification. The main interest is to find out whether liquidity is
 priced as a systematic source of risk or as an asset-specific
 characteristic. Tests are conducted on the Finnish stock market known for
 wide variations in liquidity. The sample period is from 1987 to 2004, and
 size portfolios are used as test assets. The results indicate that
 illiquidity is priced as a market-wide systematic risk and not as an
 asset-specific risk. 
Journal: Applied Financial Economics 
Pages: 1547-1557 
Issue: 19 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599548 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599548
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:19:p:1547-1557




Template-Type: ReDIF-Article 1.0
Author-Name: Bjorn Hagstromer 
Author-X-Name-First: Bjorn 
Author-X-Name-Last: Hagstromer 
Author-Name: Jane Binner 
Author-X-Name-First: Jane 
Author-X-Name-Last: Binner 
Title: Stock portfolio selection with full-scale optimization and differential evolution 
Abstract:
  Full-Scale Optimization (FSO) is a utility maximization approach to
 portfolio choice problems that has theoretical appeal but that suffers
 from computational burden in large scale problems. We apply the heuristic
 technique differential evolution to solve FSO-type asset selection
 problems of 97 assets under complex utility functions rendering rough
 utility search surfaces. We show that this problem is computationally
 feasible and that solutions retrieved with random starting values are
 converging to one optimum. Furthermore, the study constitutes the first
 FSO application to stock portfolio optimization. The results indicate that
 when investors are loss averse, FSO improves stock portfolio performance
 compared to Mean Variance (MV) portfolios. This finding widens the scope
 of applicability of FSO, but it is also stressed that out-of-sample
 success will always be dependent on the forecasting ability of the input
 return distributions. 
Journal: Applied Financial Economics 
Pages: 1559-1571 
Issue: 19 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903018778 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903018778
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:19:p:1559-1571




Template-Type: ReDIF-Article 1.0
Author-Name: Bernard Bollen 
Author-X-Name-First: Bernard 
Author-X-Name-Last: Bollen 
Author-Name: Anthony Skotnicki 
Author-X-Name-First: Anthony 
Author-X-Name-Last: Skotnicki 
Author-Name: Madhu Veeraraghavan 
Author-X-Name-First: Madhu 
Author-X-Name-Last: Veeraraghavan 
Title: Idiosyncratic volatility and security returns: Australian evidence 
Abstract:
  This article examines whether idiosyncratic risk is priced for equities
 listed in the Australian Stock Exchange (ASX). Specifically, this article
 follows the methodology of Bali et al. (2005) and investigates whether
 idiosyncratic volatility is able to predict 1-month ahead excess returns
 on the value-weighted market index (the All Ordinaries Index-AOI), over
 the period 1980:01 to 2004:12. We also investigate whether the
 idiosyncratic volatility is priced differently in partitioned subperiods.
 Our findings suggest that idiosyncratic volatility is not priced in the
 Australian market. 
Journal: Applied Financial Economics 
Pages: 1573-1579 
Issue: 19 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902984327 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902984327
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:19:p:1573-1579




Template-Type: ReDIF-Article 1.0
Author-Name: Mohamed Belkhir 
Author-X-Name-First: Mohamed 
Author-X-Name-Last: Belkhir 
Title: Board structure, ownership structure and firm performance: evidence from banking 
Abstract:
  This article examines the interrelations among five ownership and board
 characteristics in a sample of 260 banks and Savings-and-Loan Holding
 Companies (SLHCs). These governance characteristics, designed to reduce
 agency problems between shareholders and managers are insider ownership,
 blockholder ownership, the proportion of outside directors, board
 leadership structure and board size. Using Two-Stage Least Squares (2SLS)
 regressions, we present the evidence of interdependencies between the
 board and ownership structures. The results suggest that the banks
 substitute between governance mechanisms that align the interests of
 managers and shareholders. These findings suggest that cross-sectional
 Ordinary Least Square (OLS) regressions of bank performance on single
 governance mechanisms may be misleading. Indeed, we find statistically
 significant relationships between performance and insider ownership and
 blockholder ownership when using OLS regressions. However, these
 statistically significant relationships disappear when the simultaneous
 equations framework is used. Together, these findings are consistent with
 optimal use of each governance mechanism by banks. 
Journal: Applied Financial Economics 
Pages: 1581-1593 
Issue: 19 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902967561 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902967561
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:19:p:1581-1593




Template-Type: ReDIF-Article 1.0
Author-Name: Christos Savva 
Author-X-Name-First: Christos 
Author-X-Name-Last: Savva 
Author-Name: Denise Osborn 
Author-X-Name-First: Denise 
Author-X-Name-Last: Osborn 
Author-Name: Len Gill 
Author-X-Name-First: Len 
Author-X-Name-Last: Gill 
Title: Spillovers and correlations between US and major European stock markets: the role of the euro 
Abstract:
  This article investigates the impact of the introduction of the euro on
 the interactions across the New York, London, Frankfurt and Paris stock
 markets. After controlling for possible returns and volatility spillovers,
 we focus on the correlations of shocks using the framework of Dynamic
 Conditional Correlations (DCC). Daily pseudo-closing prices (recorded at
 16:00 London time) are used to avoid conflating correlation and spillover
 effects. Statistical break tests confirm that the introduction of the euro
 significantly affects the cross-market correlations. Although dynamic
 correlations of shocks between all market pairs increase, the correlation
 in the post-euro period is highest between Frankfurt and Paris, indicating
 increased integration of these markets. Other findings include the
 presence of spillover effects from foreign markets for both returns and
 volatilities, with asymmetries in volatilities and conditional
 correlations such that negative shocks have larger effects than positive
 ones. 
Journal: Applied Financial Economics 
Pages: 1595-1604 
Issue: 19 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599563 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599563
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:19:p:1595-1604




Template-Type: ReDIF-Article 1.0
Author-Name: Eric Bentzen 
Author-X-Name-First: Eric 
Author-X-Name-Last: Bentzen 
Title: Seasonality in stock returns 
Abstract:
  In this article, we investigate the January effect on stocks traded at
 New York Stock Exchange (NYSE), American Stock Exchange (AMEX) and
 National Association of Securities Dealers Automated Quotations (NASDAQ).
 Unlike other empirical works we suggest expanding the model to cover
 several main effects. By doing so we find that the January effect is not
 the only effect, and it cannot be rejected that the effect from selected
 years are so powerful that it can affect the empirical findings. 
Journal: Applied Financial Economics 
Pages: 1605-1610 
Issue: 20 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902984368 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902984368
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:20:p:1605-1610




Template-Type: ReDIF-Article 1.0
Author-Name: Rozalia Pal 
Author-X-Name-First: Rozalia 
Author-X-Name-Last: Pal 
Author-Name: Roman Kozhan 
Author-X-Name-First: Roman 
Author-X-Name-Last: Kozhan 
Title: Firms' investment under financial constraints: a euro area investigation 
Abstract:
  In this article we describe a model of optimal investment of various
 types of financially constrained firms. We show that the resulting
 relationship between internal funds and investment is nonmonotonic. In
 particular, the magnitude of Cash Flow (CF) sensitivity of the investment
 is lower for the firms with credit rationing compared to the firms that
 are able to obtain short-term external financing. The inverse relationship
 is driven by the leverage multiplier effect. A positive CF shock increases
 the short-term borrowing capacity of the firm, which in turn has a
 positive effect on investment and the firm's growth. Moreover, the
 leverage multiplier effect is the highest for firms relying on short-term
 credits and it is lower for firms that are able to obtain long-term
 financing. Analysing a large euro area data set we find strong empirical
 support for our theoretical predictions. The results also help to explain
 some contrasting findings in the financial constraints literature. 
Journal: Applied Financial Economics 
Pages: 1611-1624 
Issue: 20 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599605 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599605
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:20:p:1611-1624




Template-Type: ReDIF-Article 1.0
Author-Name: Diego Romero-Avila 
Author-X-Name-First: Diego 
Author-X-Name-Last: Romero-Avila 
Title: Liberalization of capital controls and interest rates restrictions in the EU-15: did it affect economic growth? 
Abstract:
  This article studies the effect that the process of capital controls
 lifting and interest rate deregulation have brought about on growth in the
 EU-15 over the period 1960-2001. The evidence supports the existence of a
 positive growth impact from the liberalization of both capital controls
 and interest rate restrictions. These financial liberalization measures
 affect growth even after controlling for other growth policies and they
 are robust to business cycle effects that could spuriously drive the
 relation. Some tentative evidence indicates that the liberalization of
 capital controls and the deregulation of interest rates have effected
 growth through the increase in the efficiency of financial intermediation. 
Journal: Applied Financial Economics 
Pages: 1625-1648 
Issue: 20 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599571 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599571
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:20:p:1625-1648




Template-Type: ReDIF-Article 1.0
Author-Name: Laura Andreu 
Author-X-Name-First: Laura 
Author-X-Name-Last: Andreu 
Author-Name: Cristina Ortiz 
Author-X-Name-First: Cristina 
Author-X-Name-Last: Ortiz 
Author-Name: Jose Luis Sarto 
Author-X-Name-First: Jose Luis 
Author-X-Name-Last: Sarto 
Title: Herding behaviour in strategic asset allocations: new approaches on quantitative and intertemporal imitation 
Abstract:
  In this article, we contribute to financial literature on institutional
 herding behaviour, intertemporal imitation and informational cascades by
 analysing the changes in the strategic asset allocations of Spanish equity
 pension plans investing in Eurozone equities. This article is mainly
 focused on methodological improvements. Firstly, the study examines the
 herding phenomenon by using the traditional measure developed by
 Lakonishok, Shleifer and Vishny (LSV) (1992). Afterwards, some original
 analyses such as the consideration of a restricted definition of buying
 and selling and the amount of the variations in the strategic allocations
 are carried out to overcome certain shortcomings existing in this metric.
 Moreover, we analyse the intertemporal imitation and the informational
 cascades through time-series regressions. The results show that Spanish
 pension managers are involved in herd behaviour, a phenomenon that is
 reinforced when important movements of the strategic allocations are
 required. Intertemporal analyses confirm the convergent behaviour of a
 significant number of pension plans; while the study of informational
 cascades allows us to discriminate between those plans that present
 anticipatory abilities and those that follow the strategic movements of
 the rest of the managers. 
Journal: Applied Financial Economics 
Pages: 1649-1659 
Issue: 20 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903018786 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903018786
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:20:p:1649-1659




Template-Type: ReDIF-Article 1.0
Author-Name: Jung-Juei Lee 
Author-X-Name-First: Jung-Juei 
Author-X-Name-Last: Lee 
Author-Name: Lon-Ping Zu 
Author-X-Name-First: Lon-Ping 
Author-X-Name-Last: Zu 
Author-Name: Ming-Chang Wang 
Author-X-Name-First: Ming-Chang 
Author-X-Name-Last: Wang 
Author-Name: Chau-Jung Kuo 
Author-X-Name-First: Chau-Jung 
Author-X-Name-Last: Kuo 
Title: Competitive investors, trade timing and price discovery 
Abstract:
  This study develops a multiple-period, competitive rational expectations
 model for examining how competitive informed traders time their informed
 trading and how information is incorporated into prices. It is found that
 informed traders may choose either to trade early or late on their
 information, depending on the parameter values of the proposed model. As
 the mass of informed traders is large and/or the precision of the private
 information is high, informed traders choose to trade on their information
 late. Therefore, prices delay reflecting information and market becomes
 efficiency until the later trading period. 
Journal: Applied Financial Economics 
Pages: 1661-1674 
Issue: 20 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599621 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599621
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:20:p:1661-1674




Template-Type: ReDIF-Article 1.0
Author-Name: A. Tolga Ergun 
Author-X-Name-First: A. Tolga 
Author-X-Name-Last: Ergun 
Title: NYSE Rule 80A restrictions on index arbitrage and market linkage 
Abstract:
  To the extent that NYSE Rule 80A collar, which restricts index arbitrage
 form of program trading on volatile days, aims to delink S&P 500 cash and
 futures markets and prevent transmission of volatility from the futures to
 the cash market, this study finds the collar to be ineffective. The
 analyses are based on lead-lag regressions for the first and second
 moments using data diurnalized via a nonparametric filter for intraday
 volatility periodicity. The regression results also suggest that,
 consistent with the literature, the futures market has a much stronger
 tendency to lead the underlying cash market than lag and there is a strong
 bi-directional lead-lag relationship between volatilities of the two
 markets, which does not support the assertion that there is a systematic
 transmission of volatility from the futures to the cash market. 
Journal: Applied Financial Economics 
Pages: 1675-1685 
Issue: 20 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599613 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599613
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:20:p:1675-1685




Template-Type: ReDIF-Article 1.0
Author-Name: Han Donker 
Author-X-Name-First: Han 
Author-X-Name-Last: Donker 
Author-Name: Bernard Santen 
Author-X-Name-First: Bernard 
Author-X-Name-Last: Santen 
Author-Name: Saif Zahir 
Author-X-Name-First: Saif 
Author-X-Name-Last: Zahir 
Title: Ownership structure and the likelihood of financial distress in the Netherlands 
Abstract:
  This article examines the impact of ownership structure on the likelihood
 of financial distress of Dutch firms listed on the Amsterdam Stock
 Exchange (Euronext) from 1992 to 2002. We find that firms with higher
 levels of managerial shareholdings are less likely to experience financial
 distress. This finding is consistent with the alignment hypothesis that
 managers with higher ownership stakes are more likely to avoid financial
 distress. We also find empirical evidence that large outside shareholders
 reduce the probability of financial distress. Monitoring incumbent
 management by large outside shareholders might prevent sub optimal
 managerial behaviour and reduce the likelihood of financial distress.
 Finally, we find no evidence that high levels of institutional
 shareholdings are associated with a lower probability of financial
 distress. 
Journal: Applied Financial Economics 
Pages: 1687-1696 
Issue: 21 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599647 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599647
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1687-1696




Template-Type: ReDIF-Article 1.0
Author-Name: Rose Prasad 
Author-X-Name-First: Rose 
Author-X-Name-Last: Prasad 
Author-Name: S. Benjamin Prasad 
Author-X-Name-First: S. Benjamin 
Author-X-Name-Last: Prasad 
Title: Output versus salient impact in financial economics 
Abstract:
  If in fine arts imitation is the most sincere form of flattery, in
 natural and social sciences, it is citation by one's peers. A fairly good
 measure of the frequency of citation, or impact, is indicated by the
 Hirsch-Index (h-index) which quantitatively gauges the impact of articles
 in core journals in a discipline. In our exploratory study, we attempt to
 find association between (a) the quantity of research output (as measured
 by Chan et al., 2002) and (b) its quality or salient impact, indicated by
 the h-index, of the top 174 finance academics. We find significant
 correlation (r = 0.469) between (a) and (b) for the entire subset of 174;
 however, the unexplained variance is high. The h-index could be a useful
 objective measure in academic decisions. 
Journal: Applied Financial Economics 
Pages: 1697-1704 
Issue: 21 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903018752 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903018752
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1697-1704




Template-Type: ReDIF-Article 1.0
Author-Name: Erdal Atukeren 
Author-X-Name-First: Erdal 
Author-X-Name-Last: Atukeren 
Author-Name: Aylin Seckin 
Author-X-Name-First: Aylin 
Author-X-Name-Last: Seckin 
Title: An analysis of the price dynamics between the Turkish and the international paintings markets 
Abstract:
  We examine the dynamics of the relationships between the prices in
 Turkish paintings auctions and international art markets during 1990-2005
 using cointegration and Granger-causality tests. We also estimate the
 Capital Asset Pricing Model (CAPM) relationship between the Turkish and
 the global paintings markets. In our investigations, we employ a hedonic
 price index based on 1030 paintings by 13 Turkish painters and the global
 paintings market index as calculated by Artprice&#xa9;. We find that the
 prices in the Turkish paintings market move in line with the international
 art markets in the long term. As expected, the direction of causality runs
 unilaterally from the international paintings market to the Turkish
 paintings market. The CAPM beta values were found to be unstable over time
 and not statistically significant at conventional levels. Hence,
 international art investors might be able to benefit from the higher
 returns in the Turkish paintings market while diversifying their art
 portfolios, especially in the short term. 
Journal: Applied Financial Economics 
Pages: 1705-1714 
Issue: 21 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903018737 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903018737
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1705-1714




Template-Type: ReDIF-Article 1.0
Author-Name: Paul McGuinness 
Author-X-Name-First: Paul 
Author-X-Name-Last: McGuinness 
Title: The dual-tranche offer mechanism in Hong Kong and the characteristics of IPO subscription demand and initial return levels 
Abstract:
  Prior Hong Kong-based studies have dealt predominantly with Initial
 Public Offerings (IPOs) configured in a single-tranche offer form (see
 McGuinness (1992); Cheng et al. (2004); Fung et al. (2004); Vong (2006)
 for the main board; and Vong and Zhao (2008) for the Growth Enterprise
 Market (GEM)). This study revisits the issue by examining a recent set of
 IPOs utlizing a dual-tranche offer form, in which a local retail offer is
 accompanied by a book-built placing. This mechanism utilizes a number of
 features ('claw-backs', adjustable offer prices and over-allotment
 options) which allow for important supply and demand adjustments during
 the offer period. The absence of such features within the single-tranche
 offer form, which prevailed right up to the end of the 1990s, suggests
 radically different pricing characteristics across single- and
 dual-tranche regimes. Assessment is first made of ex-ante type variables,
 constructed using publicly available data prior to the close in retail
 applications. Average retail subscription rates on issues immediately
 prior to a given offering, the clustering of IPOs and the performance of
 the overall Hong Kong secondary market in the period surrounding the
 retail application window all serve as significant factors in explaining
 both IPO returns and excess subscription demand. Mainland
 PRC-incorporation (H-share issuers), advising sponsorship quality, an
 issuer's propensity to disclose a forecast of earnings and
 price-to-earnings levels also appear significant. In terms of ex-post
 variables, both IPO underpricing and subscription demand were positively
 related to over-allotment option exercise and the SD of post-listing
 returns. Significantly, there is no evidence to support the notion that
 the incidence and/or size of subsequent seasoned equity issues helps to
 promote IPO underpricing. This is investigated by examining equity
 capital-raising activities over a 36-month post-listing period. Given the
 mixed evidence to date (across markets and studies) on this issue, the
 results documented in this study provide an additional important data
 point to suggest that seasoned equity issuance is of second-order
 importance in relation to IPO underpricing. Finally, a measurement form
 for excess demand was also developed to reflect the idiosyncratic nature
 of the dual-tranche allotment mechanism. Subscription numbers were
 evaluated in relation to retail tranche supply adjustments, arising from
 'claw-backs' and employee share allotments. Consistent with Vong's (2006)
 earlier work on simple IPO subscription rates, after-market volatility
 appeared much more strongly tied to excess demand than to initial return
 levels. A number of analogues of excess demand, notably over-allotment
 option exercise and the proportion of shares allotted to retail applicants
 subscribing at the minimum order level, were significant in explaining
 initial returns. Finally, and consistent with Hanley (1993), higher
 initial return levels were apparent in issues priced towards the upper end
 of the offer price range. 
Journal: Applied Financial Economics 
Pages: 1715-1736 
Issue: 21 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902762723 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902762723
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1715-1736




Template-Type: ReDIF-Article 1.0
Author-Name: Thusitha Mahipala 
Author-X-Name-First: Thusitha 
Author-X-Name-Last: Mahipala 
Author-Name: Howard Chan 
Author-X-Name-First: Howard 
Author-X-Name-Last: Chan 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Trading volume and information asymmetry: routine versus nonroutine earnings announcements in Australia 
Abstract:
  Focussing on earnings-related rather than different classes of corporate
 announcements as in Chae (2005), we examine trading volume behaviour and
 the role played by informed and uninformed investors around routine and
 nonroutine announcements. Prior to preliminary final earnings
 announcements, there is a consistent decline in trading volume consistent
 with higher adverse selection costs. For interim announcements, there is
 an increase in pre-announcement trading volume while no significant
 volumes are observed for Annual General Meetings (AGMs) and nonroutine
 Management Earnings Forecast (MEF) announcements. As for
 post-announcement, trading volume is negatively related to firm size and
 number of analysts, suggesting a positive link between volume and
 information asymmetry. However, the news content of any MEF contained in
 nonroutine, AGM or interim announcements does not appear to have an impact
 upon pre- and post-announcement abnormal trading volume. 
Journal: Applied Financial Economics 
Pages: 1737-1752 
Issue: 21 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599639 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599639
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1737-1752




Template-Type: ReDIF-Article 1.0
Author-Name: Lynn Hodgkinson 
Author-X-Name-First: Lynn 
Author-X-Name-Last: Hodgkinson 
Author-Name: Jo Wells 
Author-X-Name-First: Jo 
Author-X-Name-Last: Wells 
Title: The ex-interest behaviour of UK gilt prices 
Abstract:
  Frank and Jagannathan (1998) compare ex-dividend drop in share price to
 the dividend paid in a tax-free environment and argue that market
 microstructure effects may explain a ratio of less than one. This study
 examines whether the results are supported in the UK gilt market where tax
 effects are also likely to be negligible. As there is a time delay from a
 stock's closing price on the cum-dividend day to the ex-dividend day of,
 usually, up to 3 days, a proxy is used to account for changes in the stock
 price unrelated to the dividend payment. An equilibrium model such as the
 capital asset pricing model is usually used for this purpose. The
 availability of gilt yield curve data from the Bank of England provides a
 potentially better proxy for the effects of changes on the gilt prices
 which are unrelated to the coupon paid. The results provide evidence that
 the gilt drop-off ratio is, in the main, not significantly different from
 one. 
Journal: Applied Financial Economics 
Pages: 1753-1760 
Issue: 21 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100902984335 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100902984335
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1753-1760




Template-Type: ReDIF-Article 1.0
Author-Name: Hung-Hsi Huang 
Author-X-Name-First: Hung-Hsi 
Author-X-Name-Last: Huang 
Author-Name: David Jou 
Author-X-Name-First: David 
Author-X-Name-Last: Jou 
Title: Multiperiod dynamic investment for a generalized situation 
Abstract:
  This study aims to demonstrate the optimal multiperiod dynamic asset
 allocation for a generalized situation and enable the investor to maximize
 his expected terminal wealth utility. Previous researches solved this
 problem constrained by the investor's utility function, the asset return
 distributions, the completeness of the market, the lack of transaction
 costs and other factors. Accordingly, this study considers a generalized
 situation where all the constraints are relaxed and provides a calculation
 process for solving this problem. 
Journal: Applied Financial Economics 
Pages: 1761-1766 
Issue: 21 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100802599654 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100802599654
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1761-1766




Template-Type: ReDIF-Article 1.0
Author-Name: Pawan Madhogarhia 
Author-X-Name-First: Pawan 
Author-X-Name-Last: Madhogarhia 
Author-Name: Ninon Sutton 
Author-X-Name-First: Ninon 
Author-X-Name-Last: Sutton 
Author-Name: Theodor Kohers 
Author-X-Name-First: Theodor 
Author-X-Name-Last: Kohers 
Title: Earnings management practices among growth and value firms 
Abstract:
  This research examines the earnings management practices of growth versus
 value firms. We predict that growth firms have more incentive to 'manage
 their earnings' and that they do so more aggressively as compared to value
 firms. The primary reason for this behaviour is that information
 asymmetries are more severe for growth firms. Using a sample of firms over
 the period from 1997 through 2001, this study finds that growth firms tend
 to manage their earnings upward and downward more aggressively than value
 firms. These results are robust to using different components of
 discretionary total accruals as a measure for earnings management and
 after controlling for other factors. 
Journal: Applied Financial Economics 
Pages: 1767-1778 
Issue: 22 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903018745 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903018745
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:22:p:1767-1778




Template-Type: ReDIF-Article 1.0
Author-Name: Shamila Jayasuriya 
Author-X-Name-First: Shamila 
Author-X-Name-Last: Jayasuriya 
Author-Name: William Shambora 
Author-X-Name-First: William 
Author-X-Name-Last: Shambora 
Title: Oops, we should have diversified! 
Abstract:
  This article extends the research on the improvements to the efficient
 portfolio frontier in globally diversified portfolios. We examine
 efficient frontiers of regional equity portfolios from developed and
 undeveloped countries. We show that a globally diversified portfolio has
 higher reward with less risk than individual regional portfolios. We also
 show that, in the past 8 years, a US investor would have achieved higher
 returns for the same risk if diversified in emerging and frontier markets.
 These results have implications for practical portfolio selection as well
 as empirical applications of Capital Asset Pricing Model (CAPM). 
Journal: Applied Financial Economics 
Pages: 1779-1785 
Issue: 22 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903035947 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903035947
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:22:p:1779-1785




Template-Type: ReDIF-Article 1.0
Author-Name: Sunil Poshakwale 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Poshakwale 
Author-Name: Chandra Thapa 
Author-X-Name-First: Chandra 
Author-X-Name-Last: Thapa 
Title: The impact of foreign equity investment flows on global linkages of the Asian emerging equity markets 
Abstract:
  Evidence of the impact of foreign equity investment flows on the global
 linkages of the Asian emerging equity markets is provided. Findings
 confirm that there is a general trend towards greater integration and this
 process appears to be influenced by the increasing volumes of foreign
 equity portfolio investment flows. The results support the widely-held
 view that foreign investors are return chasers and their trading behaviour
 is based on information drawn from recent returns available in the
 emerging markets. The results also confirm the price-pressure hypothesis
 which suggests that foreign equity investors are mainly responsible for
 the increases in the stock market valuations in the Asian emerging
 markets. In view of the findings, the Asian emerging markets may become
 more vulnerable to the changes in foreign investment flows and turn more
 volatile in future. 
Journal: Applied Financial Economics 
Pages: 1787-1802 
Issue: 22 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903049682 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903049682
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:22:p:1787-1802




Template-Type: ReDIF-Article 1.0
Author-Name: Liu Zhentao 
Author-X-Name-First: Liu 
Author-X-Name-Last: Zhentao 
Author-Name: Kazumi Asako 
Author-X-Name-First: Kazumi 
Author-X-Name-Last: Asako 
Title: Transfiguration of the foreign exchange market since the Euro introduction 
Abstract:
  We confirm that there are changes in the features of the foreign exchange
 market since the Euro introduction through empirical experiments on five
 major exchange rate series in the world. We verify the existence of
 asymmetry in volatility process of Japanese Yen (JPY)/United States Dollar
 (USD), Australian Dollar (AUD)/USD and New Zealand Dollar (NZD)/USD while
 JPY appreciates and AUD and NZD depreciate. We also ascertain that
 volatility for those five major exchange rate series has become larger and
 the correlation between exchange rate series has become stronger since the
 Euro introduction. 
Journal: Applied Financial Economics 
Pages: 1803-1812 
Issue: 22 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903049690 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903049690
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:22:p:1803-1812




Template-Type: ReDIF-Article 1.0
Author-Name: Peng Huang 
Author-X-Name-First: Peng 
Author-X-Name-Last: Huang 
Author-Name: C. James Hueng 
Author-X-Name-First: C. James 
Author-X-Name-Last: Hueng 
Title: Interest-rate risk factor and stock returns: a time-varying factor-loadings model 
Abstract:
  We extend the Fama-French three-factor model to include a risk factor
 that proxies for interest-rate risk faced by firms in an attempt to reduce
 the pricing errors that the three-factor model cannot explain. These
 pricing errors are observed especially in small size and low
 book-to-market ratio firms, which are in general more sensitive to
 interest-rate risk. In addition, the factor loadings are modelled as
 time-varying so that the investors' learning process can be taken into
 account. The results show that our Time-Varying-Loadings Four-Factor
 (TVL4) model significantly reduces the pricing errors. 
Journal: Applied Financial Economics 
Pages: 1813-1824 
Issue: 22 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903049674 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903049674
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:22:p:1813-1824




Template-Type: ReDIF-Article 1.0
Author-Name: Maximilian Hall 
Author-X-Name-First: Maximilian 
Author-X-Name-Last: Hall 
Author-Name: Dadang Muljawan 
Author-X-Name-First: Dadang 
Author-X-Name-Last: Muljawan 
Author-Name: Lolita Moorena 
Author-X-Name-First: Lolita 
Author-X-Name-Last: Moorena 
Title: Using the artificial neural network to assess bank credit risk: a case study of Indonesia 
Abstract:
  Ever since the Asian Financial Crisis, concerns have arisen over whether
 policy-makers have sufficient tools to maintain financial stability. The
 ability to predict financial disturbances enables the authorities to take
 precautionary action to minimize their impact. In this context, the
 authorities may use any financial indicators which may accurately predict
 shifts in the quality of bank exposures. This article uses key
 macro-economic variables (i.e. Gross Domestic Product (GDP) growth, the
 inflation rate, stock prices, exchange rates, and money in circulation) to
 predict the default rate of the Indonesian Islamic banks' exposures. The
 default rates are forecasted using the Artificial Neural Network (ANN)
 methodology, which incorporates the Bayesian Regularization technique.
 From the sensitivity analysis, it is shown that stock prices could be used
 as a leading indicator of future problems. 
Journal: Applied Financial Economics 
Pages: 1825-1846 
Issue: 22 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903018760 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903018760
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:22:p:1825-1846




Template-Type: ReDIF-Article 1.0
Author-Name: Shenqiu Zhang 
Author-X-Name-First: Shenqiu 
Author-X-Name-Last: Zhang 
Author-Name: Ivan Paya 
Author-X-Name-First: Ivan 
Author-X-Name-Last: Paya 
Author-Name: David Peel 
Author-X-Name-First: David 
Author-X-Name-Last: Peel 
Title: Linkages between Shanghai and Hong Kong stock indices 
Abstract:
  This article examines the dynamics of the linkages between Shanghai and
 Hong Kong stock indices. While the volatility linkage is analysed by a
 Multivariate Generalized Autoregressive Conditional Heteroscedasticity
 (MVGARCH) framework, the dependence of returns is examined by a copula
 approach. Eight different copula functions are applied in this study
 including two time-varying ones which capture the dynamics of the linkage.
 The result shows significant tail dependence of the returns in the two
 markets. 
Journal: Applied Financial Economics 
Pages: 1847-1857 
Issue: 23 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903085066 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903085066
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:23:p:1847-1857




Template-Type: ReDIF-Article 1.0
Author-Name: Niklas Ahlgren 
Author-X-Name-First: Niklas 
Author-X-Name-Last: Ahlgren 
Author-Name: Bo Sjo 
Author-X-Name-First: Bo 
Author-X-Name-Last: Sjo 
Author-Name: Jianhua Zhang 
Author-X-Name-First: Jianhua 
Author-X-Name-Last: Zhang 
Title: Panel cointegration of Chinese A and B shares 
Abstract:
  We study information flows in China's stock markets. By using panel data
 methods we test for a unit root in the price premium of domestic
 investors' A shares over foreign investors' B shares, as well as
 cointegration between the A- and B-share prices on the Shanghai and
 Shenzhen stock exchanges. We find that the A-share premia are
 nonstationary, and that the A- and B-share prices are not cointegrated up
 till January 2001. After February 2001, when domestic investors were
 allowed to trade B shares, the A-share premia become stationary and the A-
 and B-share prices cointegrated. One interesting result from the panel
 data analysis is that most firms' A and B shares are cointegrated, but not
 all firms. Cointegration is more likely for firms with a small A-share
 premium, low ratio of nontradeable shares, high growth rate and large
 B-share market capitalization relative to the A-share market
 capitalization. Our findings suggest that the relaxation of the investment
 restrictions decreased the segmentation between the A- and B-share markets
 in China. 
Journal: Applied Financial Economics 
Pages: 1859-1871 
Issue: 23 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903122182 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903122182
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:23:p:1859-1871




Template-Type: ReDIF-Article 1.0
Author-Name: Tomasz Piotr Wisniewski 
Author-X-Name-First: Tomasz Piotr 
Author-X-Name-Last: Wisniewski 
Title: Can political factors explain the behaviour of stock prices beyond the standard present value models? 
Abstract:
  This article documents that political factors can be linked to that part
 of stock prices which cannot be explained by the standard present value
 models. The nonfundamental component of stock market index appears to be
 significantly influenced by the political orientation of the president and
 his approval rating, election cycle and military conflicts. The findings
 presented here indicate that there is much more to the price formation
 process than the present value of future dividends. 
Journal: Applied Financial Economics 
Pages: 1873-1884 
Issue: 23 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903166189 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903166189
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:23:p:1873-1884




Template-Type: ReDIF-Article 1.0
Author-Name: Shelagh Heffernan 
Author-X-Name-First: Shelagh 
Author-X-Name-Last: Heffernan 
Author-Name: Xiaoqing Fu 
Author-X-Name-First: Xiaoqing 
Author-X-Name-Last: Fu 
Title: The structure of retail markets: what do we learn from bank-specific rates? 
Abstract:
  This article investigates the relationship between market structure and
 performance in the British retail banking market for the period 1993 to
 2004. Using panel data estimation methods, both the Market Power (MP) and
 Efficient-Structure (ES) hypotheses are tested. This study is the first to
 employ bank-specific national 'prices' for a wide range of deposit and
 credit products, and for the UK, to include estimations of X-efficiency
 and scale efficiency. The estimations employ two alternative measures of
 concentration and are extended to test for the influence of the
 macro-economy, a money market rate and other control variables. It is also
 possible to test the 'quiet life' hypothesis. Like the numerous studies
 employing US data, we find that bank behaviour is best described by one of
 the two MP hypotheses though there is less evidence that they enjoy a
 'quiet life'. The key policy lesson is that the competition authorities
 should direct their resources to monitor certain sub-markets in retail
 banking, rather than the sector as a whole. 
Journal: Applied Financial Economics 
Pages: 1885-1898 
Issue: 23 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903166197 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903166197
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:23:p:1885-1898




Template-Type: ReDIF-Article 1.0
Author-Name: S. Spyrou 
Author-X-Name-First: S. 
Author-X-Name-Last: Spyrou 
Author-Name: K. Kassimatis 
Author-X-Name-First: K. 
Author-X-Name-Last: Kassimatis 
Title: Time-variation in the value premium and the CAPM: evidence from European markets 
Abstract:
  Many previous studies document a robust premium for value versus growth
 stocks in international markets. We show that this premium is driven by
 few years where High Minus Low (HML) returns are high and significant. For
 instance, for 12 European markets the HML return is statistically
 significant, on average, approximately 36% of the years and for these
 statistically significant years the average monthly HML return is 2.24%.
 For the rest of the years (i.e. about 64% of the time) the average HML
 monthly return is only 0.54%. We also find that historical &#x3b2;s for
 value and growth portfolios vary significantly over time, change between
 good and bad economic conditions, and that value portfolio &#x3b2;s are
 not always smaller than growth portfolio &#x3b2;s for the majority of the
 sample markets. Finally, when time-variation in systematic risk is
 addressed, we cannot reject the zero-intercept hypothesis, i.e. portfolio
 returns appear consistent with the Capital Asset Pricing Model (CAPM). 
Journal: Applied Financial Economics 
Pages: 1899-1914 
Issue: 23 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903166171 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903166171
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:23:p:1899-1914




Template-Type: ReDIF-Article 1.0
Author-Name: Patrick Kent Watson 
Author-X-Name-First: Patrick Kent 
Author-X-Name-Last: Watson 
Title: The efficiency of the stock market in the CARICOM sub-region: an empirical study 
Abstract:
  The objective of this article is to determine whether the stock exchanges
 of Barbados, Jamaica, Trinidad and Tobago and the virtual Caribbean
 Community and Common Market (CARICOM) Regional Stock Exchange (CRSE), as
 well as the banking, conglomerate, financial and manufacturing sectors of
 these exchanges, are weak-form efficient or not. Three sets of tests are
 used: two parametric and one nonparametric. There are lot of similarities
 in the evidence provided by the two parametric approaches: a traditional
 Box-Jenkins-type 'correlation' analysis to test the random-walk hypothesis
 and the Lo-MacKinlay's heteroscedasticity-robust and nonrobust
 variance-ratio tests. However, a nonparametric variant of the Lo-MacKinlay
 test due to Wright, based on ranks and signs, generally provides quite
 different results, particularly the sign test. A recommendation is made to
 use Wright's tests in preference to the others when examining efficiency
 in the CARICOM and similar exchanges. This leads to the conclusion that
 all exchanges and their sectors are inefficient although the Box-Jenkins
 and Lo-MacKinlay parametric variance ratio tests suggest that the Barbados
 Stock Exchange (BSE) and some of the sectors in this and the Jamaica Stock
 Exchange (JSE) function efficiently. 
Journal: Applied Financial Economics 
Pages: 1915-1924 
Issue: 23 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903183465 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903183465
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:23:p:1915-1924




Template-Type: ReDIF-Article 1.0
Author-Name: Ingo Fender 
Author-X-Name-First: Ingo 
Author-X-Name-Last: Fender 
Author-Name: Martin Scheicher 
Author-X-Name-First: Martin 
Author-X-Name-Last: Scheicher 
Title: The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices 
Abstract:
  This article investigates the pricing of subprime mortgage risk using
 data for the ABX.HE indices, which have become a key barometer of market
 conditions during the recent financial crisis. After a discussion of ABX
 index mechanics and observed pricing patterns, we use regression analysis
 to establish the relationship between observed index returns and
 macroeconomic news as well as market-based proxies of various pricing
 factors. The results imply that declining risk appetite and heightened
 concerns about market illiquidity-likely due in part to significant short
 positioning-have provided a sizeable contribution to the observed collapse
 in ABX prices. In particular, while fundamental factors, such as housing
 market activity, have continued to exert an important influence on the
 subordinated indices, those backed by senior exposures have tended to
 react more to the general deterioration of the financial market
 environment. This provides further support for the inappropriateness of
 pricing models that do not account sufficiently for factors such as risk
 appetite and liquidity risk, particularly in periods of stress. In
 addition, as related risk premia can be captured by unconstrained
 investors, these findings lend support to government measures aimed at
 taking troubled assets off banks' balance sheets (e.g. the Troubled Asset
 Relief Program). 
Journal: Applied Financial Economics 
Pages: 1925-1945 
Issue: 24 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903282689 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282689
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:24:p:1925-1945




Template-Type: ReDIF-Article 1.0
Author-Name: Chao Wei 
Author-X-Name-First: Chao 
Author-X-Name-Last: Wei 
Title: Does the stock market react to unexpected inflation differently across the business cycle? 
Abstract:
  I find that nominal equity returns respond to unexpected inflation more
 negatively during contractions than expansions. In particular, returns on
 firms with lower book-to-market ratio, or of medium size, demonstrate
 strong asymmetric correlations with unexpected inflation across the
 business cycle. The cross-sectional correlations of returns on
 book-to-market and size portfolios with unexpected inflation mostly
 reflect the heterogeneous factor loadings of these portfolios on one of
 the Fama-French factors, namely, the excess market return. By examining
 the cyclical responses to unexpected inflation of the three primitive
 forces which determine stock prices: the discount rate, the expected
 growth rate of real activity and the equity risk premium, I find that
 changes in expected real activity and the equity premium, signalled by
 unexpected inflation, are important in explaining the asymmetric responses
 of the stock market to unexpected inflation across the business cycle. 
Journal: Applied Financial Economics 
Pages: 1947-1959 
Issue: 24 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903282622 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282622
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:24:p:1947-1959




Template-Type: ReDIF-Article 1.0
Author-Name: Sung Bae 
Author-X-Name-First: Sung 
Author-X-Name-Last: Bae 
Author-Name: Taihyeup David Yi 
Author-X-Name-First: Taihyeup David 
Author-X-Name-Last: Yi 
Title: Structural breaks and the Fisher hypothesis in bond and stock markets 
Abstract:
  We attempt to resolve the empirical puzzle in the Fisher effect that
 nominal stock returns are negatively related to expected inflation. We
 postulate that this negative relation is caused by simultaneous changes in
 expected inflation, ex ante real interest rates on bonds and ex ante real
 returns on stocks due to supply shocks. We find that ex ante real interest
 rates and real stock returns are not independent of the expected inflation
 over the structural break subperiods chosen a priori to coincide with the
 oil price shocks of 1973 and 1979. As an alternative procedure, we employ
 the Cumulative Sum (CUSUM) test, in which the timing of structural breaks
 is based completely on sample data without requiring a priori information.
 The CUSUM test identifies a structural break in 1982Q1, which coincides
 approximately with the Federal Open Market Committee's (FOMC) deemphasis
 of the monetary aggregates as intermediate targets. We show that the
 Fisher effect cannot be rejected after the structural break identified by
 the CUSUM test in either the aggregate bond or stock market. In sum, our
 results provide evidence that the puzzling relation of expected inflation
 and nominal stock returns is limited to the subperiod before the 1982Q1
 break. 
Journal: Applied Financial Economics 
Pages: 1961-1973 
Issue: 24 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903282614 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282614
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:24:p:1961-1973




Template-Type: ReDIF-Article 1.0
Author-Name: Nedal Al-Fayoumi 
Author-X-Name-First: Nedal 
Author-X-Name-Last: Al-Fayoumi 
Author-Name: Bana Abuzayed 
Author-X-Name-First: Bana 
Author-X-Name-Last: Abuzayed 
Title: Ownership structure and corporate financing 
Abstract:
  This article examines empirically the effect of ownership structure on
 the corporate financing decision from the agency theory perspective. This
 article contributes to the literature by examining the static and the
 dynamic effects of managerial insiders and large shareholders' ownership
 on the capital structure. Based on panel data analysis for a sample of
 Jordanian industrial firms during the period 2001 to 2005, the study
 provides empirical evidence indicating that the debt ratio is negatively
 related to managerial ownership and inconclusively related to individual
 block-holders' ownership. Moreover, the study finds no significant
 relationship between debt ratio and institutional ownership. These results
 are consistent with the entrenchment behaviour of managers and passive
 monitoring by institutions. Finally, supporting the results of previous
 literature, this study reveals that the capital structure is affected by
 firm's profitability, size and growth. 
Journal: Applied Financial Economics 
Pages: 1975-1986 
Issue: 24 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903266807 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903266807
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:24:p:1975-1986




Template-Type: ReDIF-Article 1.0
Author-Name: Bill Francis 
Author-X-Name-First: Bill 
Author-X-Name-Last: Francis 
Author-Name: Iftekhar Hasan 
Author-X-Name-First: Iftekhar 
Author-X-Name-Last: Hasan 
Author-Name: Dona Siregar 
Author-X-Name-First: Dona 
Author-X-Name-Last: Siregar 
Title: The choice of IPO versus M&A: evidence from banking industry 
Abstract:
  This study investigates factors influencing private banks' exit strategy
 between going public (Initial Public Offering (IPO)) and being a target in
 Merger and Acquisitions (M&A). Evidence indicates that a bank with high
 liquidity, operating in a geographical deregulatory environment is more
 likely to go for the M&A option. Larger and older institutions, improved
 economic environment, increased recent trend of choosing IPOs and smaller
 difference in premiums paid between the alternative choices are likely to
 encourage banks to opt for IPO as an exit strategy. We observe the
 existence of self-selection in making the exit choice and find that the
 average transaction value of bank IPOs (M&As) would have been higher
 (lower) had the banks chosen to engage in M&A (IPOs). 
Journal: Applied Financial Economics 
Pages: 1987-2007 
Issue: 24 
Volume: 19 
Year: 2009 
X-DOI: 10.1080/09603100903251262 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903251262
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:19:y:2009:i:24:p:1987-2007




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Taylor 
Author-X-Name-First: Mark 
Author-X-Name-Last: Taylor 
Title: Introduction to Applied Financial Economics Volume 20, 2010 
Abstract:
Journal: Applied Financial Economics 
Pages: 1-1 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903491496 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903491496
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:1-1




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Taylor 
Author-X-Name-First: Mark 
Author-X-Name-Last: Taylor 
Title: The global financial crisis: introduction and overview 
Abstract:
  We provide an introduction and overview to the 12 applied financial
 studies making up this special issue on the Global Financial Crisis (GFC).
 The studies cover a wide range of international and regional experience
 and employ a variety of applied techniques. 
Journal: Applied Financial Economics 
Pages: 3-5 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903457620 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903457620
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:3-5




Template-Type: ReDIF-Article 1.0
Author-Name: Les Coleman 
Author-X-Name-First: Les 
Author-X-Name-Last: Coleman 
Author-Name: Sean Pinder 
Author-X-Name-First: Sean 
Author-X-Name-Last: Pinder 
Title: What were they thinking? Reports from interviews with senior finance executives in the lead-up to the GFC 
Abstract:
  The impact of the Global Financial Crisis (GFC) on capital markets has
 demonstrated that corporate stakeholders (including shareholders, lenders
 and independent board members) need to be far more aware of the
 decision-making processes followed by corporate executives. Gaining
 insight into these processes is difficult at any time, yet attempting to
 uncover (in any meaningful sense) how executives reached critical
 decisions in the lead-up to the GFC is almost impossible in hindsight.
 This article overcomes this problem in that it reports the results of
 interviews conducted with senior Australian finance executives in the
 lead-up to the GFC. These interviews were designed to elicit granular
 explanations for the rationale underpinning major corporate finance
 decisions, and their timing and subjects provide a unique ex ante profile
 of the perceptions of senior executives in large firms as the GFC
 developed. The most significant finding is that the corporate executives
 shared a decision framework with core features similar to those of
 financiers that are thought to have contributed to the GFC, particularly
 permanently increasing asset prices, easy liquidity and safety in powerful
 risk management techniques. Our findings have strong implications for
 independent board members who - at least in hindsight - failed to identify
 and mitigate risks from systemic reliance on appreciating markets and the
 inevitability of mean reversion. 
Journal: Applied Financial Economics 
Pages: 7-14 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262533 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262533
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:7-14




Template-Type: ReDIF-Article 1.0
Author-Name: Abdullah Mamun 
Author-X-Name-First: Abdullah 
Author-X-Name-Last: Mamun 
Author-Name: M. Kabir Hassan 
Author-X-Name-First: M. 
Author-X-Name-Last: Kabir Hassan 
Author-Name: Mark Johnson 
Author-X-Name-First: Mark 
Author-X-Name-Last: Johnson 
Title: How did the Fed do? An empirical assessment of the Fed's new initiatives in the financial crisis 
Abstract:
  Facing the worst financial crisis since the Great Depression, the Federal
 Reserve (Fed) has responded with sweeping, unprecedented actions to aid a
 slowing economy and stimulate a frozen credit market. We focus on the
 policy changes instituted by the Fed and their wealth effects on banks,
 insurance companies, brokerage firms, savings and loans institutions and
 primary dealers. More specifically, we analyse the actions of the Fed that
 involved the modification of the terms on which financial institutions can
 borrow from the Discount Window (DW) and the creation of new liquidity
 enhancing facilities like the Term Auction Facility (TAF), the Term
 Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility
 (PDCF). We find that changes to the DW and the creation of a similar
 program, the TAF, had almost no effect on its intended beneficiaries -
 depository institutions. These results are consistent with Cecchetti
 (2009). Also, we find that new measures implemented by the Fed towards
 restoring the repurchase agreement market were well received by both
 depository institution and primary dealers. 
Journal: Applied Financial Economics 
Pages: 15-30 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262541 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262541
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:15-30




Template-Type: ReDIF-Article 1.0
Author-Name: Linus Wilson 
Author-X-Name-First: Linus 
Author-X-Name-Last: Wilson 
Title: The put problem with buying toxic assets 
Abstract:
  This article uses the option pricing arguments of Merton (1974) to
 demonstrate that even solvent banks will be reluctant to sell volatile,
 toxic assets at market prices. Banks' shareholders have insolvency puts
 that give them limited liability in the event of default. The insolvency
 puts are more valuable when the banks' assets are more volatile.
 Shareholders in banks will require any buyer to pay for the lost
 volatility as well as the market price of the toxic assets. Thus,
 taxpayers must be ready to richly overpay if they want banks to
 voluntarily part with their toxic assets. 
Journal: Applied Financial Economics 
Pages: 31-35 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262954 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262954
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:31-35




Template-Type: ReDIF-Article 1.0
Author-Name: Takayasu Ito 
Author-X-Name-First: Takayasu 
Author-X-Name-Last: Ito 
Title: Global financial crisis and US interest rate swap spreads 
Abstract:
  This article investigates the determinants of US interest rate swap
 spreads in the period including the financial crisis. The asymmetric
 impacts of the financial crisis on interest rate swap spreads are focused
 by dividing the whole sample period into two. Four determinants of swap
 spreads - default risk, the slope of yield curve, T-bill and EuroDollar
 (TED) spread and volatility - are chosen. The default risk measured both
 in Aaa and Baa corporate bonds are negatively incorporated in the period
 of financial crisis. The slope is positively incorporated in short- and
 long-term maturities in the period of financial crisis. The liquidity
 premium is positively incorporated in short- and long-term maturities in
 normal period and only in short-term maturity in the period of financial
 crisis. The market participants were uncertain as for the future of
 monetary policy by Federal Reserve Board (FRB). Thus the speculation on
 the path of monetary policy is considered to cause more volatility in the
 market. The volatility can be a positive determinant of US swap spreads in
 the period of financial crisis. 
Journal: Applied Financial Economics 
Pages: 37-43 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262921 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262921
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:37-43




Template-Type: ReDIF-Article 1.0
Author-Name: John Simpson 
Author-X-Name-First: John 
Author-X-Name-Last: Simpson 
Title: Were there warning signals from banking sectors for the 2008/2009 global financial crisis? 
Abstract:
  This article takes the position that there have been significant costs
 attached to global banking financial integration and these costs were
 identified in a period prior to the 2008 Global Financial Crisis revealed
 by the analysis of daily country banking index data from December 1999 to
 September 2008. Regression, correlation, cointegration, causality and
 variance decomposition analysis of daily bank price index data indicate
 that banking systems had achieved a high level of global integration,
 exemplified in the global involvement in the US sub-prime mortgage market.
 Integration implies interdependence, which in turn implies the existence
 of systemic risk or the threat of contagion. Re-focusing by banks on a
 culture of portfolio diversification of investments and borrowings is
 necessary. Greater involvement by a global banking regulatory authority
 such as the Bank for International Settlements (BIS) to monitor
 undiversified systemic interdependence may be inevitable (e.g. the
 administration of insurance schemes for interbank lines of credit). 
Journal: Applied Financial Economics 
Pages: 45-61 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262913 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262913
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:45-61




Template-Type: ReDIF-Article 1.0
Author-Name: Xin Zhao 
Author-X-Name-First: Xin 
Author-X-Name-Last: Zhao 
Author-Name: Carl Scarrott 
Author-X-Name-First: Carl 
Author-X-Name-Last: Scarrott 
Author-Name: Les Oxley 
Author-X-Name-First: Les 
Author-X-Name-Last: Oxley 
Author-Name: Marco Reale 
Author-X-Name-First: Marco 
Author-X-Name-Last: Reale 
Title: Extreme value modelling for forecasting market crisis impacts 
Abstract:
  This article introduces a new approach for estimating Value at Risk
 (VaR), which is then used to show the likelihood of the impacts of the
 current financial crisis. A commonly used two-stage approach is taken, by
 combining a Generalized Autoregressive Conditional Heteroscedasticity
 (GARCH) volatility model with a novel extreme value mixture model for the
 innovations. The proposed mixture model permits any distribution function
 for the main mode of the innovations, with the very flexible Generalized
 Pareto Distribution (GPD) for the upper and lower tails. A major advance
 with the mixture model is that it overcomes the problems with threshold
 choice in traditional methods as it is treated as a parameter in the model
 to be estimated. The model describes the tail distribution of both the
 losses and gains simultaneously, which is natural for financial
 applications. As the threshold is treated as a parameter, the uncertainty
 from its estimation is accounted for, which is a challenging and often
 overlooked problem in traditional approaches. The model is shown to be
 sufficiently flexible that it can be directly applied to reliably estimate
 the likelihood of impact of the financial crisis on stock and index
 returns. 
Journal: Applied Financial Economics 
Pages: 63-72 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262947 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262947
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:63-72




Template-Type: ReDIF-Article 1.0
Author-Name: Georgios Chalamandaris 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Chalamandaris 
Author-Name: Andrianos Tsekrekos 
Author-X-Name-First: Andrianos 
Author-X-Name-Last: Tsekrekos 
Title: The correlation structure of FX option markets before and since the financial crisis 
Abstract:
  The liquidity crunch and the ensuing financial crisis have unambiguously
 affected all national economies and global currency exchange rates. In
 this article we ask whether the cross-currency correlation structure has
 changed since 2007. Using an extensive set of volatility surfaces implied
 from over-the-counter options on 11 different exchange rates, as well as
 recent advances in static and dynamic factor models, we are able to show
 that the number of factors that innovate the correlation structure has not
 changed in the last two and a half years. It is the volatility, the
 persistence and the significance of global systematic factors, vis-a-vis
 regional or economy-specific ones, that appear to have changed
 dramatically. The implications for the risk management of currency
 exposures and for the predictability of exchange rate volatility are also
 outlined. 
Journal: Applied Financial Economics 
Pages: 73-84 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262525 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262525
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:73-84




Template-Type: ReDIF-Article 1.0
Author-Name: William Cheung 
Author-X-Name-First: William 
Author-X-Name-Last: Cheung 
Author-Name: Scott Fung 
Author-X-Name-First: Scott 
Author-X-Name-Last: Fung 
Author-Name: Shih-Chuan Tsai 
Author-X-Name-First: Shih-Chuan 
Author-X-Name-Last: Tsai 
Title: Global capital market interdependence and spillover effect of credit risk: evidence from the 2007-2009 global financial crisis 
Abstract:
  This article examines the impact of the 2007-2009 Global Financial Crisis
 on the interrelationships among global stock markets and the informational
 role of the TED spread as perceived credit risk. The current crisis
 originated from the dominant US market has a prompt and pervasive
 spillover effect into other global markets. Using the Vector
 Autoregressive (VAR) model, Granger causality test, cointegrating Vector
 Error Correction Model (VECM), we document enhanced leadership of the US
 market with respect to UK, Hong Kong, Japan, Australia, Russia and China
 markets during the crisis. Consistent with the contagion theory, the
 interdependence among international stock markets becomes stronger in the
 crisis. The TED spread serves as a leading 'fear' indicator and adjusts to
 new information rapidly during the crisis. While the impact of
 orthogonalized shocks from the US market on other global markets increases
 by at least two times during the crisis, the impact of orthogonalized
 shocks from the TED spread on global market indices increase by at least
 five times. Overall, these findings shed light on the dynamics of
 international stock market linkage and the spillover effect of credit
 risk. 
Journal: Applied Financial Economics 
Pages: 85-103 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262962 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262962
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:85-103




Template-Type: ReDIF-Article 1.0
Author-Name: Massimo Guidolin 
Author-X-Name-First: Massimo 
Author-X-Name-Last: Guidolin 
Author-Name: Francesca Rinaldi 
Author-X-Name-First: Francesca 
Author-X-Name-Last: Rinaldi 
Title: A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? 
Abstract:
  The 2007-2008 financial crisis has made it painfully obvious that markets
 may quickly turn illiquid. Moreover, recent experience has shown that
 distress and lack of active trading can jump 'around' between seemingly
 unconnected parts of the financial system contributing to transforming
 isolated shocks into systemic panic attacks. We develop a simple
 two-period model populated by both standard expected utility maximizers
 and ambiguity-averse investors who trade in the market for a risky asset.
 We show that, provided there is a sufficient amount of ambiguity, market
 breakdowns where large portions of traders withdraw from trading are
 endogenous and may be triggered by modest re-assessments of the range of
 possible scenarios on the performance of individual securities. Risk
 premia (spreads) increase with the proportion of traders in the market who
 are averse to ambiguity. When we analyse the effect of policy actions, we
 find that when a market has fallen into a state of impaired liquidity,
 bringing the market back to orderly functioning through a reduction in the
 amount of perceived ambiguity may cause further reductions in equilibrium
 prices. Finally, our model provides stark indications against the idea
 that policy-makers may be able to 'inflate' their way out of a financial
 crisis. 'The trading of legacy loans and securities continues to reveal
 systematic underpricing at issuance of once seemingly benign risks-credit,
 liquidity, counterparty, and even sovereign risks [&#x2026;] Until these
 assessments are more clearly refined and more broadly understood, we are
 likely to observe elevated levels of volatility and unwillingness by many
 investors to participate in certain asset markets at virtually any price.'
 (Warsh, 2009, emphasis added) 
Journal: Applied Financial Economics 
Pages: 105-135 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903262939 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903262939
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:105-135




Template-Type: ReDIF-Article 1.0
Author-Name: Douglas Wong 
Author-X-Name-First: Douglas 
Author-X-Name-Last: Wong 
Author-Name: Kui-Wai Li 
Author-X-Name-First: Kui-Wai 
Author-X-Name-Last: Li 
Title: Comparing the performance of relative stock return differential and real exchange rate in two financial crises 
Abstract:
  This article uses the Dynamic Conditional Correlation (DCC) model and the
 data from 11 economies to examine the inter-temporal interactions between
 stock return differential relative to the US and real exchange rate in the
 two financial crises of 1997 and 2008. The theoretical model suggests that
 relative stock return differential and real exchange rate that contain
 both permanent and temporary components are negatively correlated with
 each other. Evidence shows that sharp and rapid changes in conditional
 correlation occurred during the two financial crises. This study provides
 strong evidence in supporting the stochastic relationship between relative
 stock prices and real exchange rates, and exchange rate stability becomes
 crucial in a financial crisis. 
Journal: Applied Financial Economics 
Pages: 137-150 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903266468 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903266468
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:137-150




Template-Type: ReDIF-Article 1.0
Author-Name: Fabio Bagliano 
Author-X-Name-First: Fabio 
Author-X-Name-Last: Bagliano 
Author-Name: Claudio Morana 
Author-X-Name-First: Claudio 
Author-X-Name-Last: Morana 
Title: Permanent and transitory dynamics in house prices and consumption: some implications for the real effects of the financial crisis 
Abstract:
  In this article, a small-scale macroeconomic system is estimated in the
 framework of a common trends model, in order to explore the dynamic
 interactions between real house prices, consumption expenditure and output
 in the US and major European economies. The results point to important
 differences across countries, with long-run house price effects on
 consumption only for France, Germany and the US. However, interactions
 between house prices and consumption are detected in all countries at
 shorter horizons, with important implications of the current unwinding of
 the sub-prime crisis for real activity. Evidence for international
 comovements in the common trend component of house price dynamics is also
 found. 
Journal: Applied Financial Economics 
Pages: 151-170 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903266443 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903266443
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:151-170




Template-Type: ReDIF-Article 1.0
Author-Name: Isabel Ruiz 
Author-X-Name-First: Isabel 
Author-X-Name-Last: Ruiz 
Author-Name: Carlos Vargas-Silva 
Author-X-Name-First: Carlos 
Author-X-Name-Last: Vargas-Silva 
Title: Another consequence of the economic crisis: a decrease in migrants' remittances 
Abstract:
  The effects of the current global economic crisis are widespread. The
 economic downturn has affected large sectors of the population in
 developed and developing countries and international immigrants have not
 been the exception. This article documents the recent slowdown in workers'
 remittances, the money that international immigrants send to their
 countries of origin. Current data indicates that remittance flows have
 decreased for all regions of the world. Latin America stands out by
 reporting an almost 0% growth rate of remittances for 2008. Among Latin
 American countries, Mexico (the largest recipient of remittances in the
 region in terms of volume) seems to be the most affected with a decrease
 of more than US$900 million between 2007 and 2008. This article also
 presents evidence of the impact of some of the factors associated with the
 current economic crisis on remittances flows. The results indicate that
 there is a strong link between housing activity in the US and remittances
 flows. 
Journal: Applied Financial Economics 
Pages: 171-182 
Issue: 1-2 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903266450 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903266450
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:171-182




Template-Type: ReDIF-Article 1.0
Author-Name: Kritchaya Pattanachak 
Author-X-Name-First: Kritchaya 
Author-X-Name-Last: Pattanachak 
Author-Name: Jin Man Lee 
Author-X-Name-First: Jin Man 
Author-X-Name-Last: Lee 
Title: Sources of output volatility from financial crisis in emerging markets 
Abstract:
  We investigate how output fluctuates before and after these financial
 crises hit the E-7 countries by excluding the crisis period defined
 earlier from the sample. The E-7 is referred to a group of seven emerging
 market countries-Thailand, Malaysia, Indonesia, the Philippines, South
 Korea, Mexico and Argentina. The main focus of this study is on the source
 of change in output variability whether it is due to the shocks (impulses)
 or due to the structure (propagation mechanism). Thailand, Argentina and
 the Philippines have lower output variability after crisis, while South
 Korea, Mexico, Indonesia and Malaysia have higher output variance. The
 counterfactual Vector Autoregression (VAR) analysis shows that the source
 of output variability change is mainly attributable to the change in
 structure (propagation mechanism) rather than the change in shocks
 (impulses) for the E-7, except the Philippines. 
Journal: Applied Financial Economics 
Pages: 183-199 
Issue: 3 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903282705 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282705
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:183-199




Template-Type: ReDIF-Article 1.0
Author-Name: Jerry Coakley 
Author-X-Name-First: Jerry 
Author-X-Name-Last: Coakley 
Author-Name: Lei Fu 
Author-X-Name-First: Lei 
Author-X-Name-Last: Fu 
Author-Name: Hardy Thomas 
Author-X-Name-First: Hardy 
Author-X-Name-Last: Thomas 
Title: Misvaluation and UK mergers 1986-2002 
Abstract:
  We provide evidence that ex ante misvaluation matters for merger
 activities in the UK 1986-2002 using a sample of 302 bidders and targets.
 Sector or long-run misvaluation causes merger firms to be more overvalued
 than nonmerger firms. Acquirers are overvalued absolutely and relative to
 targets which are themselves absolutely undervalued. Bidders use mergers
 to purchase the superior long-term growth prospects of targets. Finally
 our probit regression results provide evidence that misvaluation drives
 merger waves in the UK. 
Journal: Applied Financial Economics 
Pages: 201-211 
Issue: 3 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903282655 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282655
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:201-211




Template-Type: ReDIF-Article 1.0
Author-Name: Olivier Damette 
Author-X-Name-First: Olivier 
Author-X-Name-Last: Damette 
Author-Name: Philippe Froute 
Author-X-Name-First: Philippe 
Author-X-Name-Last: Froute 
Title: Is the crisis treatment exacerbating cautiousness or risk-taking? 
Abstract:
  Using second generation Panel Unit Root Tests (PURT), panel cointegration
 tests and panel Granger causality tests we find that although the
 financial crisis may have increased risk aversion for investors, it did
 not make disappearing speculative behaviours on structured credit markets.
 On the contrary, support measures to the banking sector and fiscal
 stimulus packages have given the opportunity for some investors to
 speculate on sovereign debt through Credit Default Swap (CDS) vehicles.
 Thus this article supports ongoing initiatives to strengthen the
 prudential regulation undertaken in these markets under the Group of 20
 (G20) or the Financial Stability Forum (FSF). 
Journal: Applied Financial Economics 
Pages: 213-218 
Issue: 3 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903282697 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282697
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:213-218




Template-Type: ReDIF-Article 1.0
Author-Name: Abe de Jong 
Author-X-Name-First: Abe 
Author-X-Name-Last: de Jong 
Author-Name: Patrick Verwijmeren 
Author-X-Name-First: Patrick 
Author-X-Name-Last: Verwijmeren 
Title: To have a target debt ratio or not: what difference does it make? 
Abstract:
  The static tradeoff theory of capital structure predicts that firms aim
 to approach a target debt ratio. The theory provides several firm
 characteristics that determine this target ratio. In contrast, the pecking
 order model rejects a target debt ratio, because firms are expected to
 finance investments subsequently from (internal) equity, debt and
 (external) equity. A fundamental problem in empirical studies is that
 having a target debt ratio or not is unobservable from public data. We use
 survey evidence from 235 Chief Financial Officers (CFOs) to discriminate
 static tradeoff firms from pecking order firms and relate the responses to
 public data. For the two sets of firms we estimate standard capital
 structure models and find that pecking order firms contaminate static
 tradeoff theory-based estimations. 
Journal: Applied Financial Economics 
Pages: 219-226 
Issue: 3 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903282671 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282671
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:219-226




Template-Type: ReDIF-Article 1.0
Author-Name: Ansgar Belke 
Author-X-Name-First: Ansgar 
Author-X-Name-Last: Belke 
Author-Name: Ingo Bordon 
Author-X-Name-First: Ingo 
Author-X-Name-Last: Bordon 
Author-Name: Torben Hendricks 
Author-X-Name-First: Torben 
Author-X-Name-Last: Hendricks 
Title: Global liquidity and commodity prices-a cointegrated VAR approach for OECD countries 
Abstract:
  This article examines the interactions between money, consumer prices and
 commodity prices at a global level from 1970 to 2008. Using aggregated
 data for major Organization for Economic Cooperation and Development
 (OECD) countries and a Cointegrating Vector Autoregression (CVAR)
 framework, we are able to establish long-run and short-run relationships
 among these variables while the process is mainly driven by global
 liquidity. According to our empirical findings, different price
 elasticities in commodity and consumer goods markets can explain the
 recently observed overshooting of commodity over consumer prices. Although
 the sample period is rather long, recursive tests corroborate that our
 CVAR fits the data very well. 
Journal: Applied Financial Economics 
Pages: 227-242 
Issue: 3 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903282713 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282713
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:227-242




Template-Type: ReDIF-Article 1.0
Author-Name: Gerhard Kling 
Author-X-Name-First: Gerhard 
Author-X-Name-Last: Kling 
Author-Name: Utz Weitzel 
Author-X-Name-First: Utz 
Author-X-Name-Last: Weitzel 
Title: Endogenous mergers: bidder momentum and market reaction 
Abstract:
  Recent empirical studies on stock misvaluation as a possible determinant
 of mergers are inconclusive concerning the central hypothesis that over
 (under) valuation is negatively (positively) associated with merger
 announcement returns in stock mergers, but not in cash mergers. We provide
 empirical support for this hypothesis. In contrast to prior research, we
 employ a two-stage model to account for endogenous mergers and suggest an
 alternative specification of misvaluation based on an asset-pricing model
 (bidder momentum). In the first stage, we specify panel logit models to
 predict US mergers from 1981 to 2003 and find that bidder momentum
 triggers stock mergers, but not cash mergers. In the second stage, we
 regress cumulated abnormal returns on merger probabilities to control for
 the endogeneity of mergers. This reveals a lower market response for stock
 mergers compared to cash mergers, which we identify as market correction
 of misvalued acquirers. 
Journal: Applied Financial Economics 
Pages: 243-254 
Issue: 3 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903282663 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282663
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:243-254




Template-Type: ReDIF-Article 1.0
Author-Name: Shiok Ye Lim 
Author-X-Name-First: Shiok Ye 
Author-X-Name-Last: Lim 
Author-Name: Chong Mun Ho 
Author-X-Name-First: Chong 
Author-X-Name-Last: Mun Ho 
Author-Name: Brian Dollery 
Author-X-Name-First: Brian 
Author-X-Name-Last: Dollery 
Title: An empirical analysis of calendar anomalies in the Malaysian stock market 
Abstract:
  This study investigates the 'day of the week' effect and the 'twist of
 the Monday' effect for Kuala Lumpur Composite Index for the period May
 2000 to June 2006. Our empirical results find support for the Monday
 effect in that Monday exhibits a negative mean return (-0.09%) and
 represents the lowest stock returns in a week. The returns on Wednesday
 are the highest in a week (0.07%), followed by returns on Friday (0.04%).
 Monday returns were partitioned into positive and negative returns; we
 found that the Monday effect is clearly visible in a 'bad news'
 environment, but it failed to appear in 'good news' environment. This
 study also found evidence on 'twist of the Monday' effect, where returns
 on Mondays are influenced by previous week's returns and previous Friday's
 returns. The median return on a Monday following a previous week and a
 previous Friday with declining returns was -0.21% and -0.26%,
 respectively. The median return on a Monday following a previous week and
 a previous Friday with rising returns was 0.02% and 0.13%, respectively.
 The evidence of negative Monday returns in this period is consistent with
 the relevant empirical literature. 
Journal: Applied Financial Economics 
Pages: 255-264 
Issue: 3 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903282648 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282648
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:255-264




Template-Type: ReDIF-Article 1.0
Author-Name: Par Osterholm 
Author-X-Name-First: Par 
Author-X-Name-Last: Osterholm 
Title: The effect on the Swedish real economy of the financial crisis 
Abstract:
  This article investigates the effects of the financial crisis on the
 Swedish real economy. In order to do this, an index which describes the
 financial conditions of the Swedish economy is developed. The index
 indicates that domestic Swedish financial conditions have deteriorated
 substantially during 2008 and are now at the highest level since the
 crisis of the early 1990s. A Bayesian Vector Autoregression (BVAR) model
 with both US and Swedish variables is used to assess the quantitative
 effects of the financial crisis on Swedish real Gross Domestic Product
 (GDP) growth. Results suggest that the growth of the Swedish economy will
 be substantially slower in the next couple of years due to the financial
 crisis. 
Journal: Applied Financial Economics 
Pages: 265-274 
Issue: 4 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903357408 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903357408
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:265-274




Template-Type: ReDIF-Article 1.0
Author-Name: Steffen Brenner 
Author-X-Name-First: Steffen 
Author-X-Name-Last: Brenner 
Title: Passive shareholders and active managers: an empirical test of Admati and Pfleiderer's hypothesis 
Abstract:
  Admati and Pfleiderer (2006) demonstrate that under some conditions,
 linking CEO pay to share price performance may aggravate agency conflicts.
 Two fundamental conflicts are considered: the manager may take
 value-destroying, privately beneficial ('bad') actions, or
 value-enhancing, privately costly ('good') actions. Applying a structural
 equation model to a global data set, we find that when institutions
 encouraging 'good' ('bad') managerial conduct are lacking, CEO pay is more
 (less) strongly associated with share price performance. Our analysis
 suggests that the Wall Street Rule as a governance mechanism varies in its
 effectiveness to cope with different categories of agency conflict. 
Journal: Applied Financial Economics 
Pages: 275-291 
Issue: 4 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903299642 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903299642
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:275-291




Template-Type: ReDIF-Article 1.0
Author-Name: Kathryn Holmes 
Author-X-Name-First: Kathryn 
Author-X-Name-Last: Holmes 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: Iain Clacher 
Author-X-Name-First: Iain 
Author-X-Name-Last: Clacher 
Title: Style analysis and dominant index timing: an application to Australian multi-sector managed funds 
Abstract:
  Using a returns-based style analysis approach, we develop a dominant
 timing indicator to measure each fund's ability to take advantage of
 movements in their dominant passive index. We apply this to a sample of
 Australian multi-sector funds over the period 1990 to 2005. We find
 evidence that the dominant timing metric presents a more positive picture
 of fund timing ability in comparison to traditional timing measures;
 however, the majority of funds are still unable to time their dominant
 index effectively. 
Journal: Applied Financial Economics 
Pages: 293-301 
Issue: 4 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459915 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459915
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:293-301




Template-Type: ReDIF-Article 1.0
Author-Name: Christopher Battig 
Author-X-Name-First: Christopher 
Author-X-Name-Last: Battig 
Author-Name: Patricia Chelley-Steeley 
Author-X-Name-First: Patricia 
Author-X-Name-Last: Chelley-Steeley 
Title: The impact of the closing call auction: an examination of effects in London 
Abstract:
  This article examines the impact on market quality that the introduction
 of a closing call auction had at the London Stock Exchange (LSE). Using
 the market model approach of Cohen et al. (1983a, b) we show that opening
 and closing market quality improved for those Financial Times and Stock
 Exchange 100 (FTSE 100) securities participating in the closing call. A
 control sample of stocks is not characterized by discernable changes to
 market quality. 
Journal: Applied Financial Economics 
Pages: 303-315 
Issue: 4 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903282630 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903282630
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:303-315




Template-Type: ReDIF-Article 1.0
Author-Name: Charlie Xiaowu Cai 
Author-X-Name-First: Charlie Xiaowu 
Author-X-Name-Last: Cai 
Author-Name: Kevin Keasey 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Keasey 
Author-Name: Gaoliang Tian 
Author-X-Name-First: Gaoliang 
Author-X-Name-Last: Tian 
Title: Determinants of the component structure of intraday return distributions 
Abstract:
  There is existing evidence of equity returns having a mixture
 distribution with multiple component structures. Following the increasing
 interest in intraday trading, this article examines determinants of
 intraday equity return distributions and finds that greater information
 flow and stock liquidity reduce the number of components while greater
 heterogeneity amongst traders increases the number of components. These
 results show that when empirically modelling intraday return distributions
 allowance needs to be made for their time varying nature and the fact that
 they are conditional on the liquidity and information flow of a stock. In
 addition, the results reinforce the recent emphasis by market regulators
 on information flow and liquidity being key to increasing transparency and
 reducing uncertainty (multiple components in the return distribution). 
Journal: Applied Financial Economics 
Pages: 317-322 
Issue: 4 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903357390 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903357390
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:317-322




Template-Type: ReDIF-Article 1.0
Author-Name: Francis In 
Author-X-Name-First: Francis 
Author-X-Name-Last: In 
Author-Name: Sangbae Kim 
Author-X-Name-First: Sangbae 
Author-X-Name-Last: Kim 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Explaining mispricing with Fama-French factors: new evidence from the multiscaling approach 
Abstract:
  This article examines the Capital Asset Pricing Model (CAPM) over
 different frequencies utilizing a recently developed multiscaling method:
 wavelet analysis. Our empirical analysis shows that the risk factors are
 more relevant at the lower frequencies than at the higher frequencies in
 the traditional CAPM. In addition, the overreaction-related mispricing
 hypothesis explains the size effect but not the value premium. After
 incorporating the two risk factors (Small Minus Big (SMB) and High Minus
 Low (HML)), our empirical findings support the positive relationship
 between market risk and mean returns for big stocks, but not small stocks. 
Journal: Applied Financial Economics 
Pages: 323-330 
Issue: 4 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903299667 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903299667
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:323-330




Template-Type: ReDIF-Article 1.0
Author-Name: Zhiyong Dong 
Author-X-Name-First: Zhiyong 
Author-X-Name-Last: Dong 
Author-Name: Qingyang Gu 
Author-X-Name-First: Qingyang 
Author-X-Name-Last: Gu 
Author-Name: Xu Han 
Author-X-Name-First: Xu 
Author-X-Name-Last: Han 
Title: Ambiguity aversion and rational herd behaviour 
Abstract:
  This article reviews the literature on herd behaviour in financial
 markets in the context of the sequential trading model and points out the
 importance of incorporating ambiguity into the framework. Although Ford et
 al. (2005) have applied the Choquet-expected-utility theory to analyse the
 relationship between ambiguity and herd behaviour, their model does not
 allow for the separation between ambiguity and ambiguity aversion,
 therefore how ambiguity and ambiguity aversion affect herd behaviour
 cannot be analysed by comparative statistics. This article adopts the
 smooth model suggested by Klibanoff et al. (2005), and applies Gollier's
 (2006) value function to describe decision makers' welfare under
 ambiguity. Using very general assumptions, we prove that if the value
 functions of market makers and traders are homogeneous, herd behaviour
 will never happen even if ambiguity exists; if some types of traders have
 different attitudes towards ambiguity from market makers, then herd
 behaviour will happen with a positive probability. Our numerical
 simulation suggests that herd behaviour is one of the reasons behind stock
 price bubbles, and the probability of herd behaviour is positively
 correlated with the ambiguity of the distribution of stock returns as well
 as the disparity between traders and market makers' attitudes towards this
 ambiguity. 
Journal: Applied Financial Economics 
Pages: 331-343 
Issue: 4 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903299675 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903299675
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:331-343




Template-Type: ReDIF-Article 1.0
Author-Name: Matthew Yiu 
Author-X-Name-First: Matthew 
Author-X-Name-Last: Yiu 
Author-Name: Wai-Yip Alex Ho 
Author-X-Name-First: Wai-Yip 
Author-X-Name-Last: Alex Ho 
Author-Name: Daniel Choi 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Choi 
Title: Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil 
Abstract:
  This article investigates the dynamics of correlation between 11 Asian
 stock markets and the US stock market. By utilizing the method of
 'principal components', we identify a single latent factor that can
 explain a major portion of variation in the weekly returns of these 11
 markets from 1993 to early 2009. We employ the asymmetric Dynamic
 Conditional Correlation (DCC) model to estimate the correlation between
 this Asian factor and the US stock market. We find that there is a mean
 shift in the estimated DCC in the period from late of 2007. We refer this
 finding as contagion from the US to the Asian markets. However, we find no
 such evidence of having contagion between the US and individual markets in
 Asia during the Asian financial crisis. 
Journal: Applied Financial Economics 
Pages: 345-354 
Issue: 4 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903494946 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903494946
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:4:p:345-354




Template-Type: ReDIF-Article 1.0
Author-Name: Peter Kugler 
Author-X-Name-First: Peter 
Author-X-Name-Last: Kugler 
Author-Name: Jacqueline Henn-Overbeck 
Author-X-Name-First: Jacqueline 
Author-X-Name-Last: Henn-Overbeck 
Author-Name: Heinz Zimmermann 
Author-X-Name-First: Heinz 
Author-X-Name-Last: Zimmermann 
Title: Style consistency of hedge fund indexes across providers 
Abstract:
  This article investigates the consistency of style returns of hedge funds
 across eight providers of style indexes. We select 10 style categories
 which are defined in a relatively consistent way across the various
 providers, so that the natural null hypothesis is that the returns should
 behave very similarly. We compare the results of a principal component
 analysis with tests of the hypothesis that unconditional mean returns and
 first order autocorrelation coefficients of returns are equal across the
 different providers for the same style. Our findings reveal a substantial
 degree of heterogeneity of index returns within the same style and cast
 serious doubts on their usefulness as benchmarks in the asset management
 industry. 
Journal: Applied Financial Economics 
Pages: 355-369 
Issue: 5 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459790 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459790
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:5:p:355-369




Template-Type: ReDIF-Article 1.0
Author-Name: Kenneth Smith 
Author-X-Name-First: Kenneth 
Author-X-Name-Last: Smith 
Author-Name: Joe Brocato 
Author-X-Name-First: Joe 
Author-X-Name-Last: Brocato 
Title: Applying the Inclan-Tsiao breakpoint algorithm in the search for the flight-to-safety phenomenon 
Abstract:
  The focus of this article is to examine the recent historical record of
 the US equity and government bond markets in an attempt to associate
 negative return correlations between the two series to identify
 flight-to-safety episodes. Using the Inclan-Tsiao algorithm to date
 changes in equity market volatility, we find evidence of a
 flight-to-safety phenomenon. The method allows us to identify the dates
 where the equity index is negative coupled with positive government bond
 movements. Most of these observations occur during the worldwide crash of
 October 1987. 
Journal: Applied Financial Economics 
Pages: 371-380 
Issue: 5 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903373264 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903373264
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:5:p:371-380




Template-Type: ReDIF-Article 1.0
Author-Name: Javed Iqbal 
Author-X-Name-First: Javed 
Author-X-Name-Last: Iqbal 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Don Galagedera 
Author-X-Name-First: Don 
Author-X-Name-Last: Galagedera 
Title: Multivariate tests of asset pricing: simulation evidence from an emerging market 
Abstract:
  The finite sample performance of the Wald, Generalized Method of Moment
 (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests
 have been investigated in several studies on the US financial markets.
 This article extends this analysis in two important ways. Firstly,
 considering the fact that the Wald test is not invariant to alternative
 nonlinear formulation of the null hypothesis the article investigates
 whether alternative forms of the Wald and GMM tests result in considerable
 difference in size and power. Secondly, the article extends the analysis
 to the emerging market data. Emerging markets provide an interesting
 practical laboratory to test asset pricing models. The characteristics of
 emerging markets are different from the well-developed markets of US,
 Japan and Europe. It is found that the asymptotic Wald and GMM tests based
 on chi-square critical values result in considerable size distortions. The
 bootstrap tests yield the correct sizes. A multiplicative form of
 bootstrap GMM test appears to outperform the LR test when the returns
 deviate from normality and when the deviations from the asset pricing
 model are smaller. 
Journal: Applied Financial Economics 
Pages: 381-395 
Issue: 5 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459741 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459741
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:5:p:381-395




Template-Type: ReDIF-Article 1.0
Author-Name: Imad Moosa 
Author-X-Name-First: Imad 
Author-X-Name-Last: Moosa 
Author-Name: Sulaiman Al-Abduljader 
Author-X-Name-First: Sulaiman 
Author-X-Name-Last: Al-Abduljader 
Title: A test of the news model of stock price determination in an emerging market: the case of Kuwait 
Abstract:
  A news model of stock price determination is specified and estimated
 using the Kuwait Stock Exchange (KSE) index as the price variable over the
 period January 1996 to December 2004. Of the five explanatory news
 variables, only the news terms of the money supply and government revenue
 turned out to be significant and correctly signed. Some weaker evidence is
 found for the effect of the interest rate news term. The news model shows
 little dynamics, implying that news is reflected rather quickly on stock
 prices. It is also demonstrated that stock prices react to the media news
 and announcements, but it is not possible to measure the unanticipated
 components of the announcements in the absence of a proper survey of
 opinions. 
Journal: Applied Financial Economics 
Pages: 397-405 
Issue: 5 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459766 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459766
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:5:p:397-405




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Ajayi 
Author-X-Name-First: Richard 
Author-X-Name-Last: Ajayi 
Author-Name: Seyed Mehdian 
Author-X-Name-First: Seyed 
Author-X-Name-Last: Mehdian 
Author-Name: Mark Perry 
Author-X-Name-First: Mark 
Author-X-Name-Last: Perry 
Title: The relative influence of the East and the West on Middle Eastern emerging stock markets: an empirical investigation 
Abstract:
  This article examines the relative influence of the US, UK and Japan on
 Middle Eastern Emerging Markets (MEEMs). The empirical results, from
 maximum likelihood regressions, Generalized Autoregressive Conditional
 Heteroscedasticity (GARCH) models and Vector Autoregression (VAR)
 estimates, provide some support for a generally mild influence of the US,
 UK and Japan on the MEEMs, with the greatest influence coming from the US
 market and the least from Japan. The dynamics of the MEEMs are shown to be
 dominated primarily by their own price innovations. The findings further
 indicate that, although national responses to external shocks are
 generally heterogeneous, there are some similarities in the reactions to
 US, UK and Japanese market innovations, depending on the level of maturity
 of the stock markets in the MEEMs. 
Journal: Applied Financial Economics 
Pages: 407-415 
Issue: 5 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903427185 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903427185
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:5:p:407-415




Template-Type: ReDIF-Article 1.0
Author-Name: John Dukich 
Author-X-Name-First: John 
Author-X-Name-Last: Dukich 
Author-Name: Douglas Hawkins 
Author-X-Name-First: Douglas 
Author-X-Name-Last: Hawkins 
Title: Identifying shifts in spread using the Cauchy CUSUM: an application to the Japanese yen/US dollar exchange rate 
Abstract:
  It is well known that the log price relative of floating exchange rates,
 as well as a variety of other commodities and securities, does not follow
 a normal distribution but instead tends to be characterized by a
 heavy-tailed stable Paretian distribution. Specifically, we illustrate
 this property of floating exchange rates with the Japanese yen/US dollar
 exchange rate. Furthermore, we show that the distribution itself changes
 from time to time, with periods of sustained shifts in volatility. To
 capture the heavy-tailed nature of the distribution, we develop a
 Cumulative Sum (CUSUM) chart based on the Cauchy distribution to identify
 these periods of differing volatility. 
Journal: Applied Financial Economics 
Pages: 417-424 
Issue: 5 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903373272 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903373272
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:5:p:417-424




Template-Type: ReDIF-Article 1.0
Author-Name: Josep A. Tribo Gine 
Author-X-Name-First: Josep A. 
Author-X-Name-Last: Tribo Gine 
Author-Name: Maria Jose Casasola Martinez 
Author-X-Name-First: Maria Jose Casasola 
Author-X-Name-Last: Martinez 
Title: Banks as firms' blockholders: a study in Spain 
Abstract:
  This article analyses how a firm's returns are affected when a bank
 becomes a large blockholder. We investigate this issue by taking into
 consideration the types of blockholders that build coalitions with banks
 in order to control a firm. We find that the effect on a firm's returns is
 negative when a bank buys the largest stake and forms coalitions with
 other banks. However, this negative effect does not apply in other
 situations. We underscore our theoretical conjectures based on an
 empirical analysis of a panel dataset comprising a representative sample
 of listed and unlisted Spanish firms over the period 1996 to 2000. 
Journal: Applied Financial Economics 
Pages: 425-438 
Issue: 5 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459758 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459758
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:5:p:425-438




Template-Type: ReDIF-Article 1.0
Author-Name: Gaiyan Zhang 
Author-X-Name-First: Gaiyan 
Author-X-Name-Last: Zhang 
Author-Name: Jot Yau 
Author-X-Name-First: Jot 
Author-X-Name-Last: Yau 
Author-Name: Hung-Gay Fung 
Author-X-Name-First: Hung-Gay 
Author-X-Name-Last: Fung 
Title: Do credit default swaps predict currency values? 
Abstract:
  Using daily data of four currencies (Japanese Yen (JPY), Euro (EUR),
 British Pound (GBP) and Australian Dollar (AUD)) in terms of the US Dollar
 (USD), and JPY, USD, GBP and AUD in terms of the EUR from January 2004 to
 February 2008, we examine the lead-lag relationship between the Credit
 Default Swap (CDS) market and the currency market. Results indicate
 significant Granger-causality effects flowing from changes in both the
 North American investment-grade (IG) and high-yield (HY) CDS indices to
 changes in the JPY, EUR and AUD exchange rates in terms of the USD for the
 whole period and during the credit crisis of 2007 to 2008. However, for
 the four currencies in terms of the EUR, significant Granger-causality of
 the credit risk is found only in the AUD. Our results indicate that
 changes in CDS index spreads signal important carry-trade information for
 some currencies, but not others. 
Journal: Applied Financial Economics 
Pages: 439-458 
Issue: 6 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459774 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459774
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:6:p:439-458




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Hans Franses 
Author-X-Name-First: Philip Hans 
Author-X-Name-Last: Franses 
Author-Name: Jeanine Kippers 
Author-X-Name-First: Jeanine 
Author-X-Name-Last: Kippers 
Title: How do we pay with euro notes when some notes are missing? Empirical evidence from Monopoly&#xae; experiments 
Abstract:
  There are no empirical studies on how individuals actually pay with cash
 in case some notes or coins are missing. This lack of research is most
 likely due to the difficulties in collecting actual data. In this article,
 we therefore analyse euro transactions collected in an experimental
 setting, made during various games of Monopoly&#xae; (European edition),
 where in some games we leave out one of the notes each time. We find that
 not having access to 100-euro or 10-euro notes is not problematic for
 payment behaviour. However, not having 200-euro and 20-euro notes is
 troublesome. Moreover, we find that the 50-euro note is crucial for
 payments. 
Journal: Applied Financial Economics 
Pages: 459-464 
Issue: 6 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459808 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459808
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:6:p:459-464




Template-Type: ReDIF-Article 1.0
Author-Name: Marcos Alvarez Diaz 
Author-X-Name-First: Marcos 
Author-X-Name-Last: Alvarez Diaz 
Title: Speculative strategies in the foreign exchange market based on genetic programming predictions 
Abstract:
  In this article, we investigate the out-of-sample forecasting ability of
 a Genetic Program (GP) to approach the dynamic evolution of the yen/US
 dollar and British pound/US dollar exchange rates, and verify whether the
 method can beat the random walk model. Later on, we use the predicted
 values to generate a trading rule and we check the possibility of
 obtaining extraordinary profits in the foreign exchange market. Our
 results reveal a slight forecasting ability for one-period-ahead, which is
 lost when more periods ahead are considered. On the other hand, our
 trading strategy obtains above-normal profits. However, when transaction
 costs are incorporated, the profits practically disappear or become
 negative. 
Journal: Applied Financial Economics 
Pages: 465-476 
Issue: 6 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459782 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459782
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:6:p:465-476




Template-Type: ReDIF-Article 1.0
Author-Name: Gregory James 
Author-X-Name-First: Gregory 
Author-X-Name-Last: James 
Author-Name: Michail Karoglou 
Author-X-Name-First: Michail 
Author-X-Name-Last: Karoglou 
Title: Financial liberalization and stock market volatility: the case of Indonesia 
Abstract:
  This article examines the relationship between financial liberalization
 and stock market volatility in Indonesia. By looking at the time series
 properties of the Jakarta Composite Index (JCI) we identify breaks in
 stock market volatility which coincide with the timing of major policy
 events. Our main findings are (i) a significant decrease in volatility
 after the 'official' opening of the stock market to foreign participation;
 (ii) a significant increase in volatility in the year before market
 opening following reforms that eased entry requirements and the issuance
 of brokerage licenses and (iii) a significant increase in volatility at
 the time of the Asian crisis followed by a significant decrease in the
 second and sixth years after the crisis. 
Journal: Applied Financial Economics 
Pages: 477-486 
Issue: 6 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459816 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459816
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:6:p:477-486




Template-Type: ReDIF-Article 1.0
Author-Name: Luiz Renato Lima 
Author-X-Name-First: Luiz Renato 
Author-X-Name-Last: Lima 
Author-Name: Zhijie Xiao 
Author-X-Name-First: Zhijie 
Author-X-Name-Last: Xiao 
Title: Is there long memory in financial time series? 
Abstract:
  There has been a large amount of research on long memory in economic and
 financial time series. However, there is still no consensus on its
 presence in these series. We argue in this article that spurious short
 memory may be found because of the use of bandwidth parameters that
 diverge too quickly when the process exhibits long memory. We propose a
 new bandwidth parameter that is robust against the presence of long memory
 and revisit several economic and financial time series using the proposed
 bandwidth choice. Our results indicate the existence of spurious short
 memory in real exchange rates when traditional bandwidth parameters are
 employed, but short memory is rejected when the proposed bandwidth is
 used. We also find short memory in financial returns and long memory in
 their volatility. 
Journal: Applied Financial Economics 
Pages: 487-500 
Issue: 6 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459733 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459733
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:6:p:487-500




Template-Type: ReDIF-Article 1.0
Author-Name: Timothy Sharp 
Author-X-Name-First: Timothy 
Author-X-Name-Last: Sharp 
Author-Name: Steven Li 
Author-X-Name-First: Steven 
Author-X-Name-Last: Li 
Author-Name: David Allen 
Author-X-Name-First: David 
Author-X-Name-Last: Allen 
Title: Empirical performance of affine option pricing models: evidence from the Australian index options market 
Abstract:
  This article investigates the performance of affine option pricing models
 in the context of the Australian Standard & Poor's (S&P)/Australian Stock
 Exchange (ASX) 200 index option market. This investigation is done through
 the implicit estimation of the risk neutral parameters of affine option
 pricing models using S&P/ASX 200 index options data between January 2001
 and December 2006. In particular, Stochastic Volatility (SV) and jumps in
 both price and volatility are considered. Our research indicates that call
 options are best modelled with a process that includes SV and jumps in
 price and volatility, while put options are best modelled with a process
 that allows SV and jumps in price (but not in volatility). Under the
 assumption of near constant parameters through time a more parsimonious
 model is the best choice, with a plain SV model performing best for call
 options and a jump-diffusion or a SV model performing equally well for put
 options. 
Journal: Applied Financial Economics 
Pages: 501-514 
Issue: 6 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459824 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459824
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:6:p:501-514




Template-Type: ReDIF-Article 1.0
Author-Name: Marina Nikiforow 
Author-X-Name-First: Marina 
Author-X-Name-Last: Nikiforow 
Title: Does training on behavioural finance influence fund managers' perception and behaviour? 
Abstract:
  This article provides survey evidence on the influence of training on
 Behavioural Finance (BF) on professional fund managers' perception and
 investment behaviour. In particular, it examines whether 'trained' fund
 managers differ from the 'untrained' ones in their perception of markets
 and themselves, as well as in their choice of information sources and
 investment strategies. Additionally, the influence of integration of BF
 approaches into investment processes is also considered. The results
 reveal that training on BF basically intensifies the perception of biases
 in the behaviour of others, i.e. the reflection effect and the home bias.
 Training also reduces the affinity to conformity, leading to less reliance
 on colleagues and other market participants as information sources.
 However, pure training is insufficient to significantly affect fund
 managers' investment behaviour, but BF approaches need to be integrated
 into investment processes. 
Journal: Applied Financial Economics 
Pages: 515-528 
Issue: 7 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459832 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459832
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:7:p:515-528




Template-Type: ReDIF-Article 1.0
Author-Name: Zoubeida Benhamouda 
Author-X-Name-First: Zoubeida 
Author-X-Name-Last: Benhamouda 
Author-Name: Robert Watson 
Author-X-Name-First: Robert 
Author-X-Name-Last: Watson 
Title: A research note on the determinants of UK corporate share repurchase decisions 
Abstract:
  In this article, we empirically investigate the motivations for share
 repurchase decisions by a sample of 267 large UK listed companies covering
 the 4-year period 2001 to 2004. Though the UK constitutes the second
 largest market for share repurchases after the US, relatively little is
 known of the motivations of UK firms to repurchase their shares. Moreover,
 due to differences in the corporate governance and share repurchase
 regulations of the two countries, the extant US literature and evidence
 appear to be of relatively little relevance in explaining UK share
 repurchase decisions. Our results, using both two-way fixed effects
 regression models and multinominal Logit estimates, indicate that most
 repurchasing firms tend to be large and to already have high dividend
 payout ratios. Moreover, the most important determinant of share
 repurchase decisions appears to be corporate earnings, particularly
 expected earnings, which suggest that a degree of dividend substitution
 may lie behind many UK share repurchase decisions. 
Journal: Applied Financial Economics 
Pages: 529-541 
Issue: 7 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459857 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459857
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:7:p:529-541




Template-Type: ReDIF-Article 1.0
Author-Name: Alexander Bassen 
Author-X-Name-First: Alexander 
Author-X-Name-Last: Bassen 
Author-Name: Dirk Schiereck 
Author-X-Name-First: Dirk 
Author-X-Name-Last: Schiereck 
Author-Name: Bernd Wubben 
Author-X-Name-First: Bernd 
Author-X-Name-Last: Wubben 
Title: M&A success of German acquisitions in the US-evidence from capital market and survey data 
Abstract:
  This article examines the value creation of 78 German acquisitions in the
 US during the period 1990 to 2004. The observed Cumulative Abnormal
 Returns (CARs) confirm the previous finding that cross-border Mergers and
 Acquisitions (M&A) activity yields on average wealth gains for
 shareholders of the acquiring companies. No evidence of a negative
 cross-border wealth effect could be ascertained, thereby indicating a high
 international integration of the German capital market. The positive
 capital market perception of German M&A activities in the US is mainly
 driven by the acquisition of private targets and equity-settled
 transactions. The market reactions yield overall congruent results to the
 responses from surveyed executives of German acquirers. However, bidders'
 self assessment of US acquisitions is more positive than the capital
 market valuation, which substantiates manager overconfidence. 
Journal: Applied Financial Economics 
Pages: 543-559 
Issue: 7 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459840 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459840
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:7:p:543-559




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Hu 
Author-X-Name-First: Jian 
Author-X-Name-Last: Hu 
Title: Dependence structures in Chinese and US financial markets: a time-varying conditional copula approach 
Abstract:
  In this article, we use a time-varying conditional copula approach to
 model Chinese and US stock markets' dependence structures with other
 financial markets. The Autoregressive-Generalized Autoregressive
 Conditional Heteroscedastic-t (AR-GARCH-t) model is used to examine the
 marginal distributions, while Normal and Generalized Joe-Clayton (GJC)
 copula models are employed to analyse the joint distributions. In this
 pairwise analysis, both constant and time-varying conditional dependence
 parameters are estimated by a two-step maximum likelihood method. A
 comparative analysis of dependence structures in Chinese versus US stock
 markets is also provided. There are three main findings: first, the
 time-varying-dependence model does not always perform better than
 constant-dependence model. This result has not previously been reported in
 the literature. Second, we find that the upper tail dependence is much
 higher than the lower tail dependence in some short periods, which has not
 been documented in previous literature. Third, Chinese financial market is
 relatively separate from other international financial markets in contrast
 to the US market. The tail dependence with other financial markets is much
 lower in China than in the United States. Dependence, on average, rises
 significantly over sub-periods. 
Journal: Applied Financial Economics 
Pages: 561-583 
Issue: 7 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459865 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459865
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:7:p:561-583




Template-Type: ReDIF-Article 1.0
Author-Name: Christian Dunis 
Author-X-Name-First: Christian 
Author-X-Name-Last: Dunis 
Author-Name: Jason Laws 
Author-X-Name-First: Jason 
Author-X-Name-Last: Laws 
Author-Name: Georgios Sermpinis 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Sermpinis 
Title: Modelling commodity value at risk with higher order neural networks 
Abstract:
  The motivation for this article is to investigate the use of a promising
 class of Neural Network (NN) models, Higher Order Neural Networks (HONNs),
 when applied to the task of forecasting the 1-day ahead Value at Risk
 (VaR) of the brent oil and gold bullion series with only autoregressive
 terms as inputs. This is done by benchmarking their results with those of
 a different NN design, the Multilayer Perceptron (MLP), an Extreme Value
 Theory (EVT) model along with some traditional techniques, such as an
 Autoregressive Moving Average Model-Generalized Autoregressive Conditional
 Heteroscedasticity (ARMA-GARCH) (1,1) model and the RiskMetrics
 volatility. In addition to these, we also examine two hybrid
 NNs-RiskMetrics volatility models. More specifically, the forecasting
 performance of all models for computing the VaR of the brent oil and the
 gold bullion is examined over the period 2002 to 2008 using the last year
 for out-of-sample testing. The evaluation of our models is done by using a
 series of backtesting algorithms and two loss functions: a violation ratio
 calculating when the realized return exceeds the forecast VaR and an
 average squared violation magnitude function, firstly introduced in this
 article, computing the average magnitude of the violations. As it turns
 out, the hybrid HONNs-RiskMetrics model does remarkably well and
 outperforms all other models in forecasting the VaR of gold and oil at
 both the 5% and 1% confidence levels, providing an accurate number of
 independent violations which also have the lowest magnitude on average.
 The pure HONNs and MLPs along with the hybrid MLP-RiskMetrics model also
 give satisfactory forecasts in most cases. 
Journal: Applied Financial Economics 
Pages: 585-600 
Issue: 7 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459873 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459873
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:7:p:585-600




Template-Type: ReDIF-Article 1.0
Author-Name: Maurizio Michael Habib 
Author-X-Name-First: Maurizio Michael 
Author-X-Name-Last: Habib 
Author-Name: Mark Joy 
Author-X-Name-First: Mark 
Author-X-Name-Last: Joy 
Title: Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity 
Abstract:
  Using count-data techniques, this article studies the determinants of
 currency choice in the issuance of foreign-currency-denominated bonds. In
 particular, we investigate whether bond issuers choose their issuance
 currency in order to exploit the borrowing-cost savings associated with
 deviations from uncovered and covered interest parity. Our findings show
 that the choice of issuance currency is sensitive to deviations from
 uncovered interest parity but insensitive, in general, to deviations from
 covered interest parity. Furthermore, the influence of deviations from
 uncovered interest parity is stronger for financial issuers than for
 nonfinancial issuers. In as much as the issuance of
 foreign-currency-denominated bonds affects the relative international
 standing of world currencies, one implication of these findings is that
 monetary policy, through its influence on nominal interest rates, has a
 greater impact on the internationalization of currencies than has been
 previously accounted for. 
Journal: Applied Financial Economics 
Pages: 601-626 
Issue: 8 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459949 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459949
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:8:p:601-626




Template-Type: ReDIF-Article 1.0
Author-Name: Donald Lien 
Author-X-Name-First: Donald 
Author-X-Name-Last: Lien 
Author-Name: Keshab Shrestha 
Author-X-Name-First: Keshab 
Author-X-Name-Last: Shrestha 
Title: Estimating optimal hedge ratio: a multivariate skew-normal distribution approach 
Abstract:
  In this article, we adopt Multivariate Skew-Normal (MSKN) distributions
 to test for the joint normality of spot and futures returns and to
 estimate optimal hedge ratios. Using daily data for 22 different
 commodities, we reject the joint normality hypothesis in favour of
 Skew-Normal (SKN) distributions for all commodities at less than 1%
 significance level. In the out-of-sample performance comparison, the MSKN
 hedge ratio is found to outperform the conventional Minimum Variance (MV)
 hedge ratio for about half of the 22 commodities considered. On the other
 hand, the Lower Partial Moment (LPM) hedge ratio based on the MSKN
 dominates the LPM hedge ratio based on the multivariate normal
 distribution for almost all commodities in the out-of-sample comparison. 
Journal: Applied Financial Economics 
Pages: 627-636 
Issue: 8 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459907 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459907
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:8:p:627-636




Template-Type: ReDIF-Article 1.0
Author-Name: Christophe Godlewski 
Author-X-Name-First: Christophe 
Author-X-Name-Last: Godlewski 
Title: Banking environment and loan syndicate structure: a cross-country analysis 
Abstract:
  What is the influence of the banking environment on bank syndicate
 structure? We provide empirical evidence on this issue by examining the
 influence of several banking environment characteristics, including the
 structure of the banking market, financial development, banking regulation
 and supervision and legal risk, on the structure of bank syndicates. The
 results of a cross-country analysis performed on a sample of 15 586
 syndicated loan facilities for borrowers from 24 countries confirm that
 syndicate structure is influenced by banking environment in a way
 consistent with minimizing agency costs and efficient re-contracting
 objectives. 
Journal: Applied Financial Economics 
Pages: 637-648 
Issue: 8 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459899 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459899
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:8:p:637-648




Template-Type: ReDIF-Article 1.0
Author-Name: Ohannes George Paskelian 
Author-X-Name-First: Ohannes George 
Author-X-Name-Last: Paskelian 
Author-Name: Stephen Bell 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Bell 
Title: The market and operating performance of Chinese seasoned equity offerings 
Abstract:
  This article examines the short-term market and the long-term operating
 performance of Chinese seasoned equity issues (Seasoned Equity Offerings
 (SEOs)). Employing data for 596 rights offerings and 181 private
 placements for the period 1998 to 2004, we find significant positive
 short-term market reaction for both rights offerings and private
 placements; however, the long-term operating performance of the firms
 offering private placements is significantly better than the rights
 offering firms. In China, firms issuing rights offerings are required to
 adhere to strict rules set by the Chinese Securities Regulatory Commission
 (CSRC). These firms must meet minimum standards with respect to earnings
 and profitability before being permitted to issue rights offerings. Firms
 issuing private placements are not required to meet the same strict
 earnings/profitability requirements. Our results suggest that the
 regulatory oversight is important for the short-term market reaction of
 the equity issuing firms. However, it is not a determinant of the
 long-term performance of the firms. Also, our results provide some
 evidence that firms issuing rights offerings may manipulate their past
 earnings and profitability measures in order to reach the requirements set
 forth by the CSRC. The identity of the equity buyer seems to be a better
 determinant of the long-term profitability of the equity issuing firms. 
Journal: Applied Financial Economics 
Pages: 649-657 
Issue: 8 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459881 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459881
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:8:p:649-657




Template-Type: ReDIF-Article 1.0
Author-Name: Ursina Meier 
Author-X-Name-First: Ursina 
Author-X-Name-Last: Meier 
Author-Name: J. Francois Outreville 
Author-X-Name-First: J. Francois 
Author-X-Name-Last: Outreville 
Title: Business cycles in insurance and reinsurance: international diversification effects 
Abstract:
  This article examines the existence of a cyclical pattern in
 property-liability insurance for the US over the recent period 1982 to
 2001 in connection with the international price of reinsurance during the
 same period. The fluctuations in the price of reinsurance during the past
 20 years have been documented recently in the business literature. If the
 price of reinsurance decreases, reinsurance becomes more affordable for
 insurance companies and this will be reflected in more capacity, price
 competition and finally an increase in the loss and combined ratio. Our
 study is using a price index developed recently for this period of time
 and based on Swiss Re's global book of business. We show that the
 reinsurance price index exhibits a significant cycle of almost nine years.
 The beginning of our observation period starting in 1982 coincides with
 previously found structural breaks in the Loss Ratio (LR) series. We find
 that inclusions of the reinsurance price and/or the Money Market (MM) rate
 do not contribute much to the explanation of the LR in property-liability
 insurance, whereas the LR does help to explain the fluctuations in the
 reinsurance price index. This supports our hypothesis of the international
 diversification effects of reinsurance operation and a proliferation of
 cycles or large insurance shocks through international reinsurance
 services. 
Journal: Applied Financial Economics 
Pages: 659-668 
Issue: 8 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459931 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459931
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:8:p:659-668




Template-Type: ReDIF-Article 1.0
Author-Name: Fredj Jawadi 
Author-X-Name-First: Fredj 
Author-X-Name-Last: Jawadi 
Author-Name: Mohamed Hedi Arouri 
Author-X-Name-First: Mohamed Hedi 
Author-X-Name-Last: Arouri 
Author-Name: Duc Khuong Nguyen 
Author-X-Name-First: Duc Khuong 
Author-X-Name-Last: Nguyen 
Title: Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions 
Abstract:
  In this article, we investigate the hypothesis of efficiency of central
 bank intervention policies within the current global financial crisis. We
 firstly discuss the major existing interventions of central banks around
 the world to improve liquidity, restore investor confidence and avoid a
 global credit crunch. We then evaluate the short-term efficiency of these
 policies in the context of the UK, the US and the French financial markets
 using different modelling techniques. On the one hand, the impulse
 response functions in a Structural Vector Autoregressive (SVAR) model are
 used to apprehend stock market reactions to central bank policies. On the
 other hand, since these reactions are likely to be of an asymmetric and
 nonlinear nature, a two-regime Smooth Transition Regression-Generalized
 Autoregressive Conditional Heteroscedasticity (STR-GARCH) model is
 estimated to explore the complexity and nonlinear responses of stock
 markets to exogenous shifts in monetary policy shocks. As expected, our
 findings show strong repercussions from interest rate changes on stock
 markets, indicating that investors keep a close eye on central bank
 intervention policies to make their trading decisions. The stock markets
 lead monetary markets, however, when central banks are slow to adjust
 their benchmark interest rates. 
Journal: Applied Financial Economics 
Pages: 669-680 
Issue: 8 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903493195 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903493195
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:8:p:669-680




Template-Type: ReDIF-Article 1.0
Author-Name: Martin Melecky 
Author-X-Name-First: Martin 
Author-X-Name-Last: Melecky 
Author-Name: Evgenij Najdov 
Author-X-Name-First: Evgenij 
Author-X-Name-Last: Najdov 
Title: Comparing constraints to economic stabilization in Macedonia and Slovakia: macroestimates with micronarratives 
Abstract:
  This article re-emphasizes the link from structural policies to enhanced
 macroeconomic stabilization using a small structural model estimated on
 quarterly data for Macedonia and Slovakia over 1995-2007. The success of
 macroeconomic stabilization, typically in the hands of monetary policy, is
 not only determined by a suitable choice of the nominal anchor, which
 shapes the reaction function of monetary policy, but also the constraints
 within which the monetary policy strives to achieve its objectives. The
 key attributes of the constraints to macroeconomic stabilization are
 economic rigidities and structural shocks. By benchmarking the estimated
 economic rigidities and structural shocks faced by Macedonia to those
 faced by Slovakia, we find that Macedonia has relatively weaker
 transmission mechanisms of monetary policy, higher output rigidity, a
 lower exchange rate pass-through, and faces larger external shocks. For
 Macedonia, these relatively higher constraints on monetary policy together
 with the chosen exchange rate anchor result in higher output and inflation
 volatility relative to Slovakia. Hence, it appears that small open
 economies with stronger economic rigidities should apply monetary policy
 regimes that allow for more flexible adjustments in external relative
 prices to enhance their macroeconomic stability. 
Journal: Applied Financial Economics 
Pages: 681-699 
Issue: 9 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903493203 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903493203
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:9:p:681-699




Template-Type: ReDIF-Article 1.0
Author-Name: Nikolas Rokkanen 
Author-X-Name-First: Nikolas 
Author-X-Name-Last: Rokkanen 
Title: With good reputation size does not matter: issue frequency and the determinants of debt maturity 
Abstract:
  This article examines empirically the effect firm reputation has on the
 determinants of debt maturity. Utilizing data from European primary bond
 market between 1999 and 2005, I find that reputation is a determinant of
 the maturity of newly issued debt, where firms of high or low reputation
 issue short-term debt and firms of mediocre reputation issue long-term
 debt. Thus, reputation appears to mimic a nonmonotonic relationship
 between credit quality and maturity. The annualized coupon payments are
 shown to be a significant factor in determining the debt maturity and
 reveal a monotonously increasing relationship between credit quality and
 debt maturity once controlled for. Finally, I show that issuers lacking a
 credit rating have an implied credit quality positioned between Investment
 Grade (IG) and Speculative Grade (SG) debt. 
Journal: Applied Financial Economics 
Pages: 701-718 
Issue: 9 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903493229 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903493229
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:9:p:701-718




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Luiz Barros Fernandes 
Author-X-Name-First: Jose Luiz Barros 
Author-X-Name-Last: Fernandes 
Author-Name: Juan Ignacio Pena 
Author-X-Name-First: Juan 
Author-X-Name-Last: Ignacio Pena 
Author-Name: Benjamin Miranda Tabak 
Author-X-Name-First: Benjamin 
Author-X-Name-Last: Miranda Tabak 
Title: Behaviour finance and estimation risk in stochastic portfolio optimization 
Abstract:
  The objective of this article is twofold. The first is to incorporate
 mental accounting, loss-aversion, asymmetric risk-taking behaviour and
 probability weighting in a multi-period portfolio optimization for
 individual investors. While these behavioural biases have previously been
 identified in the literature, their overall impact during the
 determination of optimal asset allocation in a multi-period analysis is
 still missing. The second objective is to account for the estimation risk
 in the analysis. Considering 26 daily index stock data over the period
 from 1995 to 2007, we empirically evaluate our model (Behaviour Resample
 Adjusted Technique-BRATE) against the traditional Markowitz model. 
Journal: Applied Financial Economics 
Pages: 719-738 
Issue: 9 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903493211 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903493211
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:9:p:719-738




Template-Type: ReDIF-Article 1.0
Author-Name: Nicholas Taylor 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Taylor 
Title: Market and idiosyncratic volatility: high frequency dynamics 
Abstract:
  The explanatory power of idiosyncratic volatility is examined in the
 context of the dynamics of market volatility. Results based on high
 frequency individual Standard & Poor's (S&P) 100 stock data indicate that
 aggregate idiosyncratic volatility has a significant and persistent impact
 on market volatility (and vice versa). Furthermore, we show that this
 explanatory power improves as one increases the number of stocks used to
 construct idiosyncratic volatility. 
Journal: Applied Financial Economics 
Pages: 739-751 
Issue: 9 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903459923 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903459923
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:9:p:739-751




Template-Type: ReDIF-Article 1.0
Author-Name: Peng Huang 
Author-X-Name-First: Peng 
Author-X-Name-Last: Huang 
Author-Name: C. James Hueng 
Author-X-Name-First: C. 
Author-X-Name-Last: James Hueng 
Author-Name: Ruey Yau 
Author-X-Name-First: Ruey 
Author-X-Name-Last: Yau 
Title: Traditional view or revisionist view? The effects of monetary policy on exchange rates in Asia 
Abstract:
  This article investigates the channels through which the short-term
 interest rate is used as an instrument to stabilize the exchange rates in
 Asia during the financial crisis in the 1990s. A time-varying-parameter
 model with Generalized Autoregressive Conditional Heteroscedasticity
 (GARCH) disturbances is employed to estimate the dynamic effect of the
 interest rate on the exchange rate. We distinguish the direct effect from
 the indirect effect. The direct effect exists so that a contractionary
 monetary policy can have an appreciation impact (the traditional view).
 The indirect effect refers to the higher default risk induced by a
 monetary policy tightening, which on the contrary generates a depreciation
 pressure (the revisionist view). Using weekly data from Indonesia, South
 Korea and Thailand from 1997:07 to 1998:12, we find that there is no
 significant evidence in favour of the traditional view. The revisionist
 view is clearly in effect in Thailand at the very beginning of the crisis. 
Journal: Applied Financial Economics 
Pages: 753-760 
Issue: 9 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903539484 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903539484
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:9:p:753-760




Template-Type: ReDIF-Article 1.0
Author-Name: Anthony Murphy 
Author-X-Name-First: Anthony 
Author-X-Name-Last: Murphy 
Author-Name: Marwan Izzeldin 
Author-X-Name-First: Marwan 
Author-X-Name-Last: Izzeldin 
Title: Recovering the moments of information flow and the normality of asset returns 
Abstract:
  We investigate the univariate procedure used by Ane and Geman (AG, 2000)
 to recover the moments of the information flow from high-frequency data,
 in a mixture of distributions model which generalizes the subordinated
 process in Clark (1973). We explain why the third and higher moments of
 the latent information flow cannot be accurately recovered using this
 procedure. We illustrate this using Monte Carlo simulations. We also show
 that, contrary to the claims in AG, returns conditioned on the re-centred
 number of trades are not approximately Gaussian. Finally, we consider the
 bivariate approach of Richardson and Smith (1994), inter alia, to recover
 the moments of information flow. 
Journal: Applied Financial Economics 
Pages: 761-769 
Issue: 10 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003636212 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003636212
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:10:p:761-769




Template-Type: ReDIF-Article 1.0
Author-Name: Jie Ding 
Author-X-Name-First: Jie 
Author-X-Name-Last: Ding 
Author-Name: Nigel Meade 
Author-X-Name-First: Nigel 
Author-X-Name-Last: Meade 
Title: Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios 
Abstract:
  The forecasting of the volatility of asset returns is a prerequisite for
 many risk management tasks in finance. The objective here is to identify
 the volatility scenarios that favour either Generalized Autoregressive
 Conditional Heteroscedasticity (GARCH) or Stochastic Volatility (SV)
 models. Scenarios are defined by the persistence of volatility (its
 robustness to shocks) and the volatility of volatility. A simulation
 experiment generates return series using both volatility models for a
 range of volatility scenarios representative of that observed in real
 assets. Forecasts are generated from SV, GARCH and Exponentially Weighted
 Moving Average (EWMA) volatility models. SV model forecasts are only
 noticeably more accurate than GARCH in scenarios with very high volatility
 of volatility and a stochastic volatility generating process. For
 scenarios with medium volatility of volatility, there is little penalty
 for using EWMA regardless of the volatility generating process. A set of
 return time series selected from FX rates, equity indices, equities and
 commodities is used to validate the simulation-based results. Broadly
 speaking, the real series come from the medium volatility of volatility
 scenarios where EWMA forecasts are reliably accurate. The robust structure
 of EWMA appears to contribute to its greater forecasting accuracy than
 more flexible GARCH model. 
Journal: Applied Financial Economics 
Pages: 771-783 
Issue: 10 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003636188 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003636188
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:10:p:771-783




Template-Type: ReDIF-Article 1.0
Author-Name: Yan Wendy Wu 
Author-X-Name-First: Yan Wendy 
Author-X-Name-Last: Wu 
Title: Testing the effects of capital structure on entrepreneurial effort 
Abstract:
  Do entrepreneurs work less or harder when they borrow more? This article
 tests how entrepreneurial effort is affected by the firm's financing
 choice. In line with the typical agency theory prediction, entrepreneurial
 effort is negatively related to the magnitude of the equity financing.
 Furthermore, accounting for firm and entrepreneur heterogeneities, I find
 that entrepreneurs work less when they use more debt financing, and higher
 firm risk leads to greater entrepreneurial effort reductions. 
Journal: Applied Financial Economics 
Pages: 785-794 
Issue: 10 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003652391 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003652391
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:10:p:785-794




Template-Type: ReDIF-Article 1.0
Author-Name: Les Coleman 
Author-X-Name-First: Les 
Author-X-Name-Last: Coleman 
Title: The price gold shareholders place on market risks 
Abstract:
  This study introduces two gold-mining companies with almost identical
 assets but opposite hedge policies and demonstrates that shareholders do
 not place any permanent value on hedging. The unhedged gold miner has a
 market value premium above its hedged counterpart that changes in response
 to gold's price; but the alternative risk strategies do not bring any
 difference in returns to shareholders and financial measures of firm risk.
 These conclusions challenge previous analyses and the standard finance
 assumption that securities with higher expected risks bring higher
 returns. 
Journal: Applied Financial Economics 
Pages: 795-802 
Issue: 10 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003636196 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003636196
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:10:p:795-802




Template-Type: ReDIF-Article 1.0
Author-Name: Roselyne Joyeux 
Author-X-Name-First: Roselyne 
Author-X-Name-Last: Joyeux 
Author-Name: George Milunovich 
Author-X-Name-First: George 
Author-X-Name-Last: Milunovich 
Title: Testing market efficiency in the EU carbon futures market 
Abstract:
  We use the cost-of-carry model to investigate the extent of market
 efficiency in the EU futures market for carbon dioxide allowances over the
 period of June 2005 to December 2007. We reject the cost-of-carry
 hypothesis for the entire data sample, but find some evidence of
 improvement in market efficiency over the period. Recursive estimates of
 some cost-of-carry model parameters start approaching their theoretical
 values when estimated on progressively smaller and more recent
 sub-samples. 
Journal: Applied Financial Economics 
Pages: 803-809 
Issue: 10 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003636220 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003636220
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:10:p:803-809




Template-Type: ReDIF-Article 1.0
Author-Name: Gilberto Loureiro 
Author-X-Name-First: Gilberto 
Author-X-Name-Last: Loureiro 
Title: The market for ADRs: does depositary bank reputation matter? 
Abstract:
  This article analyses whether the reputation of depositary banks that
 sponsor US cross-listed firms has an impact on: (1) the number of new
 issuers every year, (2) the stock price reaction around the listing date
 (3) the percentage of institutional ownership and (4) the activity of
 raising capital. Using a total of 676 American Depositary Receipts (ADRs),
 from 45 different countries, issued between 1962 and 2003, I find a
 positive and significant relation between depositary bank reputation and
 the market share of new listings. Using a subsample of listings, from 1996
 to 2003, the results of the event study show a positive relation between
 depositary bank reputation and average abnormal returns estimated for the
 week of listing. The results also show that issuers sponsored by more
 reputable depositary banks tend to have higher levels of institutional
 ownership. No statistical significant relation is found between depositary
 bank reputation and capital raisings. 
Journal: Applied Financial Economics 
Pages: 811-825 
Issue: 10 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603100903539492 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603100903539492
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:10:p:811-825




Template-Type: ReDIF-Article 1.0
Author-Name: Hoa Nguyen 
Author-X-Name-First: Hoa 
Author-X-Name-Last: Nguyen 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Are firms hedging or speculating? The relationship between financial derivatives and firm risk 
Abstract:
  The focus of this article is an investigation of the relationship between
 the use of financial derivatives and firm risk using a sample of
 Australian firms. Our results suggest that this relationship is nonlinear
 in nature. Specifically, the use of financial derivatives is associated
 with a risk reduction for moderate derivative users. Derivative usage
 among extensive derivative users, on the other hand, appears to lead to an
 increase in firm risk. Nevertheless, compared to firms that do not make
 use of derivatives, there is no evidence that extensive derivative users
 are exposed to a risk level in excess of that of nonderivative users. The
 results are, therefore, indicative of a hedging motive behind the use of
 financial derivatives. 
Journal: Applied Financial Economics 
Pages: 827-843 
Issue: 10 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003636204 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003636204
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:10:p:827-843




Template-Type: ReDIF-Article 1.0
Author-Name: Parvez Ahmed 
Author-X-Name-First: Parvez 
Author-X-Name-Last: Ahmed 
Author-Name: Sudhir Nanda 
Author-X-Name-First: Sudhir 
Author-X-Name-Last: Nanda 
Author-Name: Oliver Schnusenberg 
Author-X-Name-First: Oliver 
Author-X-Name-Last: Schnusenberg 
Title: Can firms do well while doing good? 
Abstract:
  We investigate the relationship between a firm's degree of social
 responsibility and its performance. To accomplish this objective, we
 examine the stock market reaction to the announcement of Fortune
 magazine's list of 100 Best Companies to Work For over the 1998-2003
 period. We find significant positive excess returns, which indicate that
 being included on the list is viewed positively by the stock market. To
 explain the positive abnormal performance, we regress the excess returns
 against firm-specific variables. Excess return has a positive relation to
 the job growth rate, but not to firm rank, on a pre-listing basis.
 However, the additional analysis reveals that the firms with a more
 favourable ranking are relatively small and have a higher job growth rate,
 low employee turnover, high betas and extremely positive stock market
 performance prior to their inclusion on the list. In the year following
 the publication, sample firms with a favourable ranking have higher sales
 and gross profit margin than their lower-ranked counterparts. Overall, the
 results indicate that firms exhibiting a high degree of social
 responsibility towards their employees are positively rewarded by stock
 market participants, and that the rankings are somewhat related to pre-
 and post-survey financial performance. 
Journal: Applied Financial Economics 
Pages: 845-860 
Issue: 11 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003652409 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003652409
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:11:p:845-860




Template-Type: ReDIF-Article 1.0
Author-Name: M. Vermorken 
Author-X-Name-First: M. 
Author-X-Name-Last: Vermorken 
Author-Name: A. Szafarz 
Author-X-Name-First: A. 
Author-X-Name-Last: Szafarz 
Author-Name: H. Pirotte 
Author-X-Name-First: H. 
Author-X-Name-Last: Pirotte 
Title: Sector classification through non-Gaussian similarity 
Abstract:
  Standard sector classification frameworks present drawbacks that might
 hinder portfolio managers. This article introduces a new nonparametric
 approach to equity classification. Returns are decomposed into their
 fundamental drivers through Independent Component Analysis (ICA). Stocks
 are then classified according to the relative importance of the identified
 fundamental drivers for their returns. A method is developed permitting
 the quantification of these dependencies, using a similarity index.
 Hierarchical clustering allows for grouping the stocks into new classes.
 The resulting classes are compared with those from the two-digit Global
 Industry Classification System (GICS) for US blue chip companies. It is
 shown that specific relations between stocks are not captured by the GICS
 framework. The method is tested for robustness and successfully applied to
 portfolio management. 
Journal: Applied Financial Economics 
Pages: 861-878 
Issue: 11 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003636238 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003636238
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:11:p:861-878




Template-Type: ReDIF-Article 1.0
Author-Name: Katsiaryna Salavei 
Author-X-Name-First: Katsiaryna 
Author-X-Name-Last: Salavei 
Title: Implications of financial statement restatements of different items 
Abstract:
  This study examines short-term market reaction to financial statement
 restatements conditional on the initial level of noise in a restated
 account. I find evidence suggesting that the initial degree of estimation
 of restated items is an important determinant of market reaction.
 Investors do not penalize firms that restate noisy items as much as firms
 that make mistakes in precise items. Moreover, investors anticipate
 restatements of less noisy items, while the restatements of items that
 involve a substantial degree of estimation come as a surprise. 
Journal: Applied Financial Economics 
Pages: 879-890 
Issue: 11 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003689708 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003689708
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:11:p:879-890




Template-Type: ReDIF-Article 1.0
Author-Name: Daniel Chai 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Chai 
Author-Name: Daniel Choi 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Choi 
Title: The investor recognition hypothesis: the New Zealand case 
Abstract:
  Recently, Kaniel et al. (2005) find that the Investor Recognition
 Hypothesis (IRH) is valid across countries. The New Zealand (NZ) stock
 market is among the developed countries which exhibit significant
 High-Volume Return Premiums (HVRP) supporting the IRH. In this article, we
 reexamine Kaniel et al.'s finding for the NZ stock market. We confirm that
 HVRP does exist in NZ stocks. However, when we classify NZ stocks into
 large, medium and small size categories, the HVRP exists actually only in
 medium sized stocks. When we further partition NZ medium size stocks into
 penny and nonpenny stocks, the HVRP exists only in nonpenny stocks. 
Journal: Applied Financial Economics 
Pages: 891-898 
Issue: 11 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003670682 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003670682
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:11:p:891-898




Template-Type: ReDIF-Article 1.0
Author-Name: YongChern Su 
Author-X-Name-First: YongChern 
Author-X-Name-Last: Su 
Author-Name: MingDa Chen 
Author-X-Name-First: MingDa 
Author-X-Name-Last: Chen 
Author-Name: HanChing Huang 
Author-X-Name-First: HanChing 
Author-X-Name-Last: Huang 
Title: An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility 
Abstract:
  Many researches indicate that the Black-Scholes (BS) option-pricing model
 demonstrates systematic biases due to some unreasonable assumptions. In
 practice, implied volatilities tend to differ across exercise prices and
 time to maturities. To solve the problem, Heston and Nandi (HN) (2000)
 develop closed-form Generalized Autoregressive Conditional
 Heteroscedasticity (HN-GARCH) model. In this study, we apply their model
 on Financial Time Stock Exchange (FTSE) 100 index option. As a benchmark,
 we employ the ad hoc BS model which uses a separate implied volatility for
 each option to fit the smirk/smile in implied volatilities. The test finds
 that the HN GARCH has smaller valuation errors than the ad hoc BS model. 
Journal: Applied Financial Economics 
Pages: 899-910 
Issue: 11 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003652417 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003652417
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:11:p:899-910




Template-Type: ReDIF-Article 1.0
Author-Name: Bernhard Zwergel 
Author-X-Name-First: Bernhard 
Author-X-Name-Last: Zwergel 
Title: On the exploitability of the turn-of-the-month effect-an international perspective 
Abstract:
  Many empirical studies have found that patterns in stock index returns
 are seasonally related, which is contrary to the weak form of the
 Efficient Market Hypothesis (EMH). This article takes a closer look at the
 Turn-Of-the-Month Effect (TOME) and its economic relevance. By
 scrutinizing the exploitability and global persistence of the TOME, the
 ongoing discussion about the possibilities of using scientific research on
 seasonal anomalies for the creation of trading strategies is extended.
 This article is the first in the TOME literature to consider major non-US
 futures and to evaluate trading strategies using several risk-adjusted
 performance measures. Furthermore, it shows that an out-of-sample trading
 strategy based on the TOME is profitable in all studied futures, including
 when transaction costs and slippage are taken into account. 
Journal: Applied Financial Economics 
Pages: 911-922 
Issue: 11 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724307 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724307
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:11:p:911-922




Template-Type: ReDIF-Article 1.0
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Thanh Ngo 
Author-X-Name-First: Thanh 
Author-X-Name-Last: Ngo 
Title: How accounting fraud has changed merger valuation 
Abstract:
  The accounting fraud of Enron and other firms prompted acquirers to be
 more diligent before investing in companies. The fraud also led to the
 creation of the Sarbanes-Oxley Act (SOX), which contains provisions that
 require more due diligence for firms that pursue mergers. We document
 significant changes in the behaviour and valuation of mergers since SOX.
 Acquirers rely more heavily on financial and legal advisors, while targets
 rely more heavily on financial advisors. The total premium (which includes
 the target's stock price run up) that acquirers pay for targets is
 significantly lower since SOX. The long-term stock price performance
 following mergers is more favourable (or less unfavourable) since SOX,
 regardless of the horizon used to measure long-term stock price
 performance. Whether the more conservative pursuit of targets by acquirers
 is voluntary or forced by SOX provisions, acquirer decision making has
 improved since the accounting fraud. 
Journal: Applied Financial Economics 
Pages: 923-940 
Issue: 12 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724299 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724299
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:12:p:923-940




Template-Type: ReDIF-Article 1.0
Author-Name: Feng Ren 
Author-X-Name-First: Feng 
Author-X-Name-Last: Ren 
Author-Name: David Giles 
Author-X-Name-First: David 
Author-X-Name-Last: Giles 
Title: Extreme value analysis of daily Canadian crude oil prices 
Abstract:
  Crude oil markets are highly volatile and risky. Extreme Value Theory
 (EVT), an approach to modelling and measuring risks under rare events, has
 seen a more prominent role in risk management in recent years. This
 article presents an application of EVT to the daily returns of crude oil
 prices in the Canadian spot market between 1998 and 2006. We focus on the
 Peak Over Threshold (POT) method by analysing the generalized
 Pareto-distributed exceedances over some high threshold. This method
 provides an effective means for estimating tail risk measures such as
 Value-at-Risk (VaR) and Expected Shortfall (ES). The estimates of risk
 measures computed under different high quantile levels exhibit strong
 stability across a range of the selected thresholds. At the 99th quantile,
 the estimates of VaR are approximately 6.3% and 6.8% for daily positive
 and negative returns, respectively. 
Journal: Applied Financial Economics 
Pages: 941-954 
Issue: 12 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724323 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724323
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:12:p:941-954




Template-Type: ReDIF-Article 1.0
Author-Name: Moorad Choudhry 
Author-X-Name-First: Moorad 
Author-X-Name-Last: Choudhry 
Title: Measuring bond market liquidity: devising a composite aggregate liquidity score 
Abstract:
  The importance of liquidity in financial markets is emphasized strongly
 in the academic literature. There is no single definition of liquidity,
 which can lead to confusion when attempting to measure liquidity levels.
 This problem is often solved through the use of proxy indicators such as
 the bid offer spread. No single measure is completely satisfactory, and
 the use of proxy measures renders comparison across markets difficult. Our
 objective is to devise a composite aggregate measure of liquidity that
 makes use of a range of market factors, and which is applicable to any
 financial market. For illustration, we consider the UK government bond
 market during 1993-2002, a period during which structural reform aimed at
 improving liquidity was undertaken. We devise a transparent, accessible
 and easy-to-implement method to measure liquidity level in a financial
 market, using an aggregate scoring system. This adopts a composite
 methodology, using components selected on the basis of their relative
 importance to promoting liquidity. Our measure suggests that market
 liquidity improved in the gilt market our observation period. Furthermore,
 the measurement methodology we propose may be employed as a practical tool
 by institutional investors to measure liquidity in any financial market,
 and enables them to make comparisons across different markets prior to
 making the investment decision. 
Journal: Applied Financial Economics 
Pages: 955-973 
Issue: 12 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724281 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724281
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:12:p:955-973




Template-Type: ReDIF-Article 1.0
Author-Name: Han Hou 
Author-X-Name-First: Han 
Author-X-Name-Last: Hou 
Author-Name: Su-Yin Cheng 
Author-X-Name-First: Su-Yin 
Author-X-Name-Last: Cheng 
Title: The roles of stock market in the finance-growth nexus: time series cointegration and causality evidence from Taiwan 
Abstract:
  This article uses quarterly data from 1971 to 2007 to investigate the
 finance-growth nexus in Taiwan. We take into account the role of stock
 market into our examined model and revise the stock-flow problem when
 calculating financial related variables. The result supports the
 comovement phenomenon among financial intermediation, stock market and
 economic development based on the Johansen cointegration. The contribution
 of stock market capitalization to economic growth is substantially larger
 than that of banking in the long-term, highlighting the importance of
 stock market in Taiwan. Further, Granger causality based on Vector Error
 Correction Model (VECM) concludes the bi-directional causal relation
 between financial development and economic growth, suggesting the
 simultaneous interaction of supply-leading and demand-following phenomena
 addressed by Partick (1966). 
Journal: Applied Financial Economics 
Pages: 975-981 
Issue: 12 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724331 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724331
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:12:p:975-981




Template-Type: ReDIF-Article 1.0
Author-Name: I-Chun Tsai 
Author-X-Name-First: I-Chun 
Author-X-Name-Last: Tsai 
Title: Order imbalances from after-hours trading 
Abstract:
  The purpose of this research is to examine the information content of
 order imbalances, an important variable in representing trading activity.
 The Taiwan Stock Exchange launched limited after-hours trading, in which
 investors can only trade at the closing price of the normal trading hours.
 Using the data set in Taiwan after-hours market, this article obtains the
 order imbalances through calculations using the fixed price of the orders,
 and could compare whose information content with that of other trading
 variables. The results of this study show when the prices are fixed, the
 trading price and volume contain less information, however, the excess
 demand or supply, namely, order imbalance, can provide more information. 
Journal: Applied Financial Economics 
Pages: 983-987 
Issue: 12 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724315 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724315
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:12:p:983-987




Template-Type: ReDIF-Article 1.0
Author-Name: Claudio Morana 
Author-X-Name-First: Claudio 
Author-X-Name-Last: Morana 
Title: Realized mean-variance efficient portfolio selection and euro area stock market integration 
Abstract:
  In this article a realized regression version of the Britten-Jones (BJ,
 1999) portfolio selection approach is proposed, yielding a conditional
 mean-variance efficient portfolio selection strategy. Application to euro
 area stock markets diversification, differently from other standard
 approaches, actually yields a balanced and stable allocation of wealth,
 free from the problem of corner solutions, suggesting that diversification
 among euro area stock markets is still feasible and desirable. 
Journal: Applied Financial Economics 
Pages: 989-1001 
Issue: 12 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724349 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724349
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:12:p:989-1001




Template-Type: ReDIF-Article 1.0
Author-Name: Dave Berger 
Author-X-Name-First: Dave 
Author-X-Name-Last: Berger 
Title: Investor perceptions and volatility within a risk-return framework 
Abstract:
  Conditional asset pricing models within the risk-return literature
 describe a relation between expected risk and return for period t + 1,
 with expectations formed during period t. Existing risk estimates in the
 literature are formed using backward looking measures during period t,
 which are projected forward for period t + 1. Evidence suggests that ex
 post observations do not always correspond with conditional ex ante
 expectations. Using forward-looking survey data, I compare measures of
 expected risk, with common estimates of risk in the literature. Supporting
 empirical research, I find a strong relation between forward-looking
 investor risk perceptions and conditional risk estimates. 
Journal: Applied Financial Economics 
Pages: 1003-1010 
Issue: 13 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003742515 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003742515
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:13:p:1003-1010




Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Hearn 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Hearn 
Author-Name: Jenifer Piesse 
Author-X-Name-First: Jenifer 
Author-X-Name-Last: Piesse 
Title: Modelling size and illiquidity in West African equity markets 
Abstract:
  This article assesses the effectiveness of traded turnover and Amihud
 (2002) metrics in measuring illiquidity, as used in a multifactor Capital
 Asset Pricing Model (CAPM). The performance of this model is contrasted
 with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and
 simple stochastic drift models on a new sample of five West African equity
 markets: Cote d'Ivoire, Ghana, Nigeria, Morocco and Tunisia, together with
 the developed markets in London and Paris. Analysis of portfolio
 characteristics reveals that investment strategies based on Francophone
 markets outperform those of Anglophone markets in Africa, despite their
 lower mean returns. There is some evidence of limited benefits to
 investors from including assets from the small and highly illiquid Cote
 d'Ivoire and Ghanaian markets. 
Journal: Applied Financial Economics 
Pages: 1011-1030 
Issue: 13 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724364 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724364
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:13:p:1011-1030




Template-Type: ReDIF-Article 1.0
Author-Name: Lucie Samson 
Author-X-Name-First: Lucie 
Author-X-Name-Last: Samson 
Title: Asset pricing, size and North American stock market integration 
Abstract:
  In this article, the restrictions imposed on excess returns by a latent
 variable model and an observed variable model are tested on stock market
 data from Canada and the United States. These two economies are highly
 integrated at the trade and production levels and it is to be expected
 that this is reflected in returns determination. The proposed latent
 variable model implies that all excess returns should move proportionately
 if assets are perfectly integrated. In our empirical analysis, data is
 disaggregated into ten size portfolios for each country. The restriction
 that all portfolios are governed by one single latent variable is rejected
 over the 1962-2004 sample period. It is established that this rejection is
 due to the presence of the smaller size portfolios. However, it is
 observed that Canada-US stock market integration has increased for small
 firms in more recent years. Financial and economic contributing risk
 factors are also identified. 
Journal: Applied Financial Economics 
Pages: 1031-1039 
Issue: 13 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003742507 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003742507
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:13:p:1031-1039




Template-Type: ReDIF-Article 1.0
Author-Name: Manabu Asai 
Author-X-Name-First: Manabu 
Author-X-Name-Last: Asai 
Author-Name: Angelo Unite 
Author-X-Name-First: Angelo 
Author-X-Name-Last: Unite 
Title: General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 
Abstract:
  We extend the range-based approach of Alizadeh et al. (2002) in order to
 deal with leverage and size effects and nonnormal conditional distribution
 in Stochastic Volatility (SV) models. We employ the Efficient Importance
 Sampling (EIS) method to estimate the range-based asymmetric SV models.
 Empirical results for the stock market indices of the Association of
 Southeast Asian Nations (ASEAN5) countries show that the conditional
 distributions of stock returns are nonnormal and that the model considered
 captures the existence/absence of the leverage and size effects. 
Journal: Applied Financial Economics 
Pages: 1041-1049 
Issue: 13 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724356 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724356
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:13:p:1041-1049




Template-Type: ReDIF-Article 1.0
Author-Name: Fernando A. Ribeiro Soares 
Author-X-Name-First: Fernando A. 
Author-X-Name-Last: Ribeiro Soares 
Author-Name: Mauricio Barata de Paula Pinto 
Author-X-Name-First: Mauricio Barata de Paula 
Author-X-Name-Last: Pinto 
Author-Name: Tito Belchior Silva Moreira 
Author-X-Name-First: Tito Belchior Silva 
Author-X-Name-Last: Moreira 
Title: An alternative methodology for testing currency crises resulting from imbalances in macroeconomic fundamentals 
Abstract:
  This article analyses whether exchange rate pressures and speculative
 attacks against the Brazilian currency during the period of exchange rate
 anchorage resulted from imbalances in economic fundamentals. An
 alternative methodological approach is used to test whether the
 deterioration of economic fundamentals can explain the pressure put on the
 exchange rate during a period of crisis. The most innovative aspect of
 this approach lies in the development of a construct of fundamentals for
 the Brazilian economy that incorporates variables related to the external,
 fiscal and monetary sectors. The results show that macroeconomic
 imbalances contributed to the currency collapse that occurred in January
 of 1999. 
Journal: Applied Financial Economics 
Pages: 1051-1056 
Issue: 13 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003742531 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003742531
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:13:p:1051-1056




Template-Type: ReDIF-Article 1.0
Author-Name: Bjorn-Christopher Witte 
Author-X-Name-First: Bjorn-Christopher 
Author-X-Name-Last: Witte 
Title: Temporal information gaps and market efficiency: a dynamic behavioural analysis 
Abstract:
  This study seeks to explore how market efficiency changes, if ordinary
 traders receive fundamental news more or less often. We show that longer
 Temporal Information Gaps (TIGs) lead to fewer but larger shocks and a
 reduction of the average noise level on the dynamics. The consequences of
 these effects for market efficiency are ambiguous. Longer TIGs can
 deteriorate or improve market efficiency. The concrete result depends on
 the stability of the market together with the interval in which the length
 of the gap is incremented. 
Journal: Applied Financial Economics 
Pages: 1057-1070 
Issue: 13 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003742499 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003742499
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:13:p:1057-1070




Template-Type: ReDIF-Article 1.0
Author-Name: Shehu Usman Rano Aliyu 
Author-X-Name-First: Shehu Usman Rano 
Author-X-Name-Last: Aliyu 
Title: Exchange rate volatility and export trade in Nigeria: an empirical investigation 
Abstract:
  This article seeks to quantitatively assess the impact of exchange rate
 volatility on nonoil export flows in Nigeria. Theoretically,
 volatility-trade link is ambiguous, although a strand of studies reported
 inverse link between export flow and volatility. This article employed
 fundamental analysis where the flow of nonoil exports from the Nigerian
 economy is assumed to be predicated on fundamental variables: the naira
 exchange rate volatility, the US dollar volatility, Nigeria's Terms of
 Trade (TOT) and Index of Openness (OPN). Empirical results showed the
 presence of unit root at level; however, the null hypothesis of
 nonstationarity was rejected at first difference. Cointegration results
 revealed that a stable long-run equilibrium relationship exists between
 nonoil exports and the fundamental variables. Using quarterly observations
 for 20 years, vector cointegration estimate revealed that the naira
 exchange rate volatility decreased nonoil exports by 3.65%, while the same
 estimate for the US dollar volatility increased export of nonoil in
 Nigeria by 5.2% in the year 2003. This article recommends the measures
 that would promote greater openness of the economy and exchange rate
 stability in the economy. 
Journal: Applied Financial Economics 
Pages: 1071-1084 
Issue: 13 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003724380 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003724380
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:13:p:1071-1084




Template-Type: ReDIF-Article 1.0
Author-Name: Kenneth Khang 
Author-X-Name-First: Kenneth 
Author-X-Name-Last: Khang 
Author-Name: Tao-Hsien Dolly King 
Author-X-Name-First: Tao-Hsien Dolly 
Author-X-Name-Last: King 
Title: Short horizon liquidity and trading activity in the US Treasury market: do inventory holding costs matter? 
Abstract:
  We examine the short horizon relation between liquidity and trading
 activity in the US Treasury market during nonannouncement periods at 5-,
 10- and 30-minute intervals. Our results provide an interesting contrast
 to the findings of Lee et al. (1993), who examine this relation for the
 New York Stock Exchange (NYSE). Similar to the NYSE, we find that
 market-makers adjust both spread and depth simultaneously in managing
 their inventory positions. However, in contrast to the NYSE, we find a
 positive, not negative, relation between trading activity and liquidity
 after controlling for adverse selection. These results are robust to
 whether we measure trading activity with volume or number of trades and
 whether we measure liquidity using bid-ask spread or depth. 
Journal: Applied Financial Economics 
Pages: 1085-1098 
Issue: 14 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003761861 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003761861
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:14:p:1085-1098




Template-Type: ReDIF-Article 1.0
Author-Name: Leonardo Gambacorta 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Gambacorta 
Author-Name: Carlotta Rossi 
Author-X-Name-First: Carlotta 
Author-X-Name-Last: Rossi 
Title: Modelling bank lending in the euro area: a nonlinear approach 
Abstract:
  This article investigates the possible nonlinearities in the response of
 bank lending to monetary policy shocks in the euro area. The credit market
 is modelled over the period 1985 to 2005 by means of an Asymmetric Vector
 Error Correction Model (AVECM) involving four endogenous variables (loans
 to the private sector, real Gross Domestic Product (GDP), lending rate and
 consumer price index) and one exogenous variable (money market rate). The
 main features of the model are the existence of two cointegrating
 equations representing the long-run credit demand and supply and the
 possibility for loading and lagged term coefficients to assume different
 values depending on the monetary policy regime (easing or tightening). The
 main result of this article is that the effect on credit, GDP and prices
 of a monetary policy tightening is larger than the effect of a monetary
 policy easing. This finding supports the existence of an asymmetric broad
 credit channel in the euro area. 
Journal: Applied Financial Economics 
Pages: 1099-1112 
Issue: 14 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003781430 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003781430
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:14:p:1099-1112




Template-Type: ReDIF-Article 1.0
Author-Name: Bryan Lim 
Author-X-Name-First: Bryan 
Author-X-Name-Last: Lim 
Author-Name: Joao Rosario 
Author-X-Name-First: Joao 
Author-X-Name-Last: Rosario 
Title: The performance and impact of stock picks mentioned on 'Mad Money' 
Abstract:
  We analyse both the market reaction and the long-term returns of stock
 picks mentioned on the Consumer News and Business Channel (CNBC) programme
 'Mad Money', hosted by former hedge fund manager Jim Cramer. We find that
 Cramer's stock-picking style is consistent with a positive-feedback
 trading strategy, favouring stocks which have outperformed over an
 interval prior to the pick date. Subsequent to a pick, Cramer's immediate
 effect on a stock appears inversely proportional to the corresponding
 firm's market capitalization. The returns over a 6-month horizon provide
 some evidence in favour of Cramer's stock-picking ability. In particular,
 his recommendations on small-cap stocks accurately predict the long-run
 trends. 
Journal: Applied Financial Economics 
Pages: 1113-1124 
Issue: 14 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003761887 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003761887
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:14:p:1113-1124




Template-Type: ReDIF-Article 1.0
Author-Name: Jonathan Batten 
Author-X-Name-First: Jonathan 
Author-X-Name-Last: Batten 
Author-Name: Xuan Vinh Vo 
Author-X-Name-First: Xuan Vinh 
Author-X-Name-Last: Vo 
Title: The determinates of equity portfolio holdings 
Abstract:
  The investor preference for home assets rather than a diversified
 portfolio of international assets termed 'home bias' remains a puzzle,
 given recent information and technology improvements, although presumed
 risk reduction benefits may have been reduced through improved financial
 market integration. This article investigates the effect of various
 barriers to international investment on Australian equity portfolio
 investment and confirms the common view that higher transaction costs
 impede international investment, although market liquidity, market size
 and common language are also important factors. 
Journal: Applied Financial Economics 
Pages: 1125-1132 
Issue: 14 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003761879 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003761879
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:14:p:1125-1132




Template-Type: ReDIF-Article 1.0
Author-Name: John McDonald 
Author-X-Name-First: John 
Author-X-Name-Last: McDonald 
Title: The Q theory of investment, the capital asset pricing model and the capitalization rate in real estate valuation 
Abstract:
  This article combines Tobin's Q theory of real investment with the
 Capital Asset Pricing Model (CAPM) to produce a model of the
 capitalization rate used in the valuation of real estate assets using the
 income approach. An empirical study of capitalization rates for office
 buildings in downtown Chicago is included. 
Journal: Applied Financial Economics 
Pages: 1133-1143 
Issue: 14 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003742523 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003742523
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:14:p:1133-1143




Template-Type: ReDIF-Article 1.0
Author-Name: Surendranath Jory 
Author-X-Name-First: Surendranath 
Author-X-Name-Last: Jory 
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Title: The long-run performance of firms emerging from Chapter 11 bankruptcy 
Abstract:
  In this article, we assess the stock price performance of 184 firms
 emerging from Chapter 11 bankruptcy between 1980 and 2006. We find their
 mean post-bankruptcy performance to be similar to the performance of their
 size and-book-to-market control firms, as well as to the performance of
 their respective New York Stock Exchange-American Stock Exchange
 (NYSE-AMEX) beta decile-portfolio. We also analyse the effects of the
 bankruptcy process, new equity ownership and Chief Executive Officer (CEO)
 changes on the stock price performance of firms that emerged from Chapter
 11. We find that being incorporated in the state of Delaware, the
 bankruptcy duration, a prepackaged bankruptcy, and the proportion of
 equity retained by the pre-Chapter 11 shareholders positively influence
 stock price performance. We also find that filing Chapter 11 with the
 Delaware Bankruptcy District Court, a change in the company's name, equity
 ownership by management, and the experience of the new CEO leading the
 firm out of bankruptcy do not lead to improved performance
 post-bankruptcy. 
Journal: Applied Financial Economics 
Pages: 1145-1161 
Issue: 14 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003761895 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003761895
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:14:p:1145-1161




Template-Type: ReDIF-Article 1.0
Author-Name: Christopher Baum 
Author-X-Name-First: Christopher 
Author-X-Name-Last: Baum 
Author-Name: Chi Wan 
Author-X-Name-First: Chi 
Author-X-Name-Last: Wan 
Title: Macroeconomic uncertainty and credit default swap spreads 
Abstract:
  This article empirically investigates the impact of macroeconomic
 uncertainty on the spreads of individual firms' Credit Default Swaps
 (CDSs). While the existing literature acknowledges the importance of the
 levels of macroeconomic factors in determining CDS spreads, we find that
 the second moments of these factors-macroeconomic uncertainty-have
 significant explanatory power over and above that of traditional
 macroeconomic factors such as the risk-free rate and the Treasury term
 spread. 
Journal: Applied Financial Economics 
Pages: 1163-1171 
Issue: 15 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003781455 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003781455
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:15:p:1163-1171




Template-Type: ReDIF-Article 1.0
Author-Name: Hisham Farag 
Author-X-Name-First: Hisham 
Author-X-Name-Last: Farag 
Author-Name: Robert Cressy 
Author-X-Name-First: Robert 
Author-X-Name-Last: Cressy 
Title: Do unobservable factors explain the disposition effect in emerging stock markets? 
Abstract:
  In a previous paper, we utilized panel data methods to explore both
 cross-sectional variations and time series effects within the post-event
 period for losers' stocks. Some of these effects are not observable, but
 ignoring them lays the estimation open to bias from concealed
 heterogeneity amongst firms and periods (Hsiao, 2004). In this article we
 re-examine our methodology to test whether past losers outperform past
 winners. Using daily data from the Egyptian stock market on a sample of 20
 companies which experienced dramatic 1-day price change over the period
 2005 to 2008, a two way Fixed Effects (FE) model reveals strong evidence
 of price reversal with period FE. Results support the disposition effect
 by selling winners short and buying losers. Firm size is negatively
 correlated with post-event Abnormal Returns (ARs) consistent with the
 argument that small firms have a greater tendency to price-reverse.
 However, temporary, unobservable time-specific phenomena common to all
 companies, together with permanent, unobservable company-specific factors
 are more important in explaining price reversals. We also find that,
 unobservable company-specific factors account for a much larger percentage
 of post-event variations in stock prices. These company effects are
 sufficiently large to suggest a profitable trading strategy. 
Journal: Applied Financial Economics 
Pages: 1173-1183 
Issue: 15 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003781463 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003781463
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:15:p:1173-1183




Template-Type: ReDIF-Article 1.0
Author-Name: Yves Kuhry 
Author-X-Name-First: Yves 
Author-X-Name-Last: Kuhry 
Author-Name: Laurent Weill 
Author-X-Name-First: Laurent 
Author-X-Name-Last: Weill 
Title: Financial intermediation and macroeconomic efficiency 
Abstract:
  This article evaluates whether financial intermediary development
 explains cross-country differences in macroeconomic efficiency. Stochastic
 frontier approach is applied at the aggregate level to estimate efficiency
 on a panel of 41 countries for the period 1991 to 1995. Generalized Method
 of Moments (GMM) dynamic panel techniques are then adopted to control for
 potential endogeneity of the regressors. We find evidence of a positive
 role of financial intermediary development on efficiency, with differences
 in terms of robustness according to the measure of financial intermediary
 development. 
Journal: Applied Financial Economics 
Pages: 1185-1193 
Issue: 15 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003800792 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003800792
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:15:p:1185-1193




Template-Type: ReDIF-Article 1.0
Author-Name: Simon Hussain 
Author-X-Name-First: Simon 
Author-X-Name-Last: Hussain 
Title: UK security analysts' idiosyncratic factors and predictive ability 
Abstract:
  This is the first study to examine forecasting ability and the impact of
 UK analysts' idiosyncratic factors (experience, firm coverage and
 resources). The focus is on a sample of 21 084 annual earnings-per-share
 forecasts made by UK analysts for FTSE-100 companies between 1993 and
 1998, derived from the I/B/E/S International database. Consistent with
 experimental expectations, this study finds that UK analysts' forecasting
 abilities are a positive function of experience and brokerage house
 resources, and are negatively related to extreme firm coverage. It also
 appears that analysts working for larger brokerage houses have greater
 prior experience and are less likely to have extreme firm-coverage
 requirements. 
Journal: Applied Financial Economics 
Pages: 1195-1203 
Issue: 15 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003800818 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003800818
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:15:p:1195-1203




Template-Type: ReDIF-Article 1.0
Author-Name: Maru Etta-Nkwelle 
Author-X-Name-First: Maru 
Author-X-Name-Last: Etta-Nkwelle 
Author-Name: Jin-Gil Jeong 
Author-X-Name-First: Jin-Gil 
Author-X-Name-Last: Jeong 
Author-Name: Philip Fanara 
Author-X-Name-First: Philip 
Author-X-Name-Last: Fanara 
Title: Misalignment of the real exchange rate in the African Financial Community (CFA zone) and its policy implications 
Abstract:
  The purpose of this study is to see whether the same pre-devaluation
 overvaluation (1980 to 1993) of the Communaute Financiere Africaine (CFA)
 franc exists for the post-devaluation period (1995 to 2004). As
 overvaluation can have significant negative impacts on exports, it is
 imperative to investigate whether this has continued. First, we found that
 the same overvaluation exists for the post-devaluation period. Second, we
 observe that post-devaluation, the overvaluation trend has been reverting
 and recurring downwards until 1999 and 2000 and steadily increasing since
 2001. In fact, the average overvaluation for the zone is estimated at 25%
 in 2004 which is about 85% of the pre-devaluation level. Third, the
 economies where agriculture dominates are more overvalued than the
 economies where agriculture does not dominate. This stylized fact is
 similar to pre-devaluation observations by Devarajan (1997). Fourth, we
 also found that the oil producing countries are less overvalued than the
 nonoil producing countries; and the middle income economies are less
 overvalued than lower income economies. The latter two stylized facts are
 contrary to the pre-devaluation dynamics observed by Devarajan (1997).
 Finally, the empirical analysis suggests that the anticipated contribution
 of the parity relationship to the overvaluation of the currency is
 minimal. Instead, the macroeconomic variables that have the most negative
 influences on the Real Exchange Rate (RER) of the CFA franc are terms of
 trade shocks, increases in investment and aid inflow. 
Journal: Applied Financial Economics 
Pages: 1205-1215 
Issue: 15 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003800826 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003800826
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:15:p:1205-1215




Template-Type: ReDIF-Article 1.0
Author-Name: Alejandro Balbas 
Author-X-Name-First: Alejandro 
Author-X-Name-Last: Balbas 
Author-Name: Susana Reichardt 
Author-X-Name-First: Susana 
Author-X-Name-Last: Reichardt 
Title: On the future contract quality option: a new look 
Abstract:
  This article provides a new method for replicating and pricing the
 quality options usually embedded in many future contracts. The replicating
 strategies may draw on both the future contract as well as its related
 calls and puts. They also yield the quality option theoretical price in
 perfect markets, as well as upper and lower bounds for its bid or ask
 prices if frictions are incorporated. With respect to previous literature,
 this new approach seems to reflect five contributions: First, the analysis
 does not depend on any dynamic assumption concerning the Term Structure of
 Interest Rates (TSIR) behaviour; second, it incorporates the information
 contained in calls and puts on the future contract; third, it allows us to
 use real market perfectly synchronized prices; fourth, transaction costs
 can be considered and, finally, this article shows that the quality option
 may be a useful security in the portfolio of many traders. These traders
 will make the future contract more effective as a hedging instrument. This
 article also presents an empirical test involving the German market. 
Journal: Applied Financial Economics 
Pages: 1217-1229 
Issue: 15 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.482515 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.482515
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:15:p:1217-1229




Template-Type: ReDIF-Article 1.0
Author-Name: Bernard Bollen 
Author-X-Name-First: Bernard 
Author-X-Name-Last: Bollen 
Title: The security market plane 
Abstract:
  The relation between market risk and asset returns can be modelled with
 the Security Market Line (SML), a positive linear relation between
 expected excess asset returns and the asset's &#x3b2;. Pettengill et al.
 (1995) make the case that tests of &#x3b2; must be conditioned upon excess
 market returns to obtain meaningful results. This study proceeds from and
 extends the work of Pettengill et al. (1995), and in the process
 introduces the notion of the Security Market Plane (SMP). The SMP is a
 conditional relation between expected excess asset returns, &#x3b2; and
 realized excess market returns and is derived directly from the market
 model. Econometric testing on equities traded at the Australian Securities
 Exchange (ASX) based on a model motivated by the SMP offers strong
 evidence of the relevance of &#x3b2; to asset returns. The analysis does
 not reject the hypothesis that factors other than the market portfolio may
 be relevant to excess portfolio returns. 
Journal: Applied Financial Economics 
Pages: 1231-1240 
Issue: 15 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003781448 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003781448
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:15:p:1231-1240




Template-Type: ReDIF-Article 1.0
Author-Name: David Burnie 
Author-X-Name-First: David 
Author-X-Name-Last: Burnie 
Author-Name: Adri De Ridder 
Author-X-Name-First: Adri 
Author-X-Name-Last: De Ridder 
Title: Far tail or extreme day returns, mutual fund cash flows and investment behaviour 
Abstract:
  This study examines the frequency of extreme trading days and investment
 behaviour in Sweden. We show that the frequency, as well as the magnitude
 of extreme trading days has increased over time. We also show that the
 frequency of extreme trading days in a year is positively correlated to
 the frequency the preceding year and that this behaviour has persisted
 from 1940 to 2006. Furthermore, we show that aggregate cash flows into
 equity and bond funds are unrelated to risk measured by SD of return. Our
 findings show that investors, individuals as well as corporations, use
 simple passive investment strategies and hence do not believe in market
 timing or wish to risk capital on capturing far tail or black swan-type
 returns. 
Journal: Applied Financial Economics 
Pages: 1241-1256 
Issue: 16 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.489885 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.489885
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1241-1256




Template-Type: ReDIF-Article 1.0
Author-Name: Bala Arshanapalli 
Author-X-Name-First: Bala 
Author-X-Name-Last: Arshanapalli 
Author-Name: William Nelson 
Author-X-Name-First: William 
Author-X-Name-Last: Nelson 
Author-Name: Lorne Switzer 
Author-X-Name-First: Lorne 
Author-X-Name-Last: Switzer 
Title: The effects of macroeconomic announcements on equity returns and their connections to Fama-French factors 
Abstract:
  By employing daily data we investigated the relationship between the role
 of macroeconomic announcements and equity returns via their connection to
 Fama-French (FF) factors. Macroeconomic announcements had a profound
 effect on equity returns, the FF factors and momentum. We find that the
 information in macroeconomic announcements are not totally captured by FF
 factors and momentum. This casts some doubt on the risk-based explanation
 of FF factors as reflections of macroeconomic risks. 
Journal: Applied Financial Economics 
Pages: 1257-1267 
Issue: 16 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.485925 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.485925
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1257-1267




Template-Type: ReDIF-Article 1.0
Author-Name: Enzo Weber 
Author-X-Name-First: Enzo 
Author-X-Name-Last: Weber 
Title: Volatility and causality in Asia Pacific financial markets 
Abstract:
  This article analyses shock and volatility transmission between the
 foreign exchange, money and stock markets in Asian Pacific countries from
 1999 to 2006. The proposed methodology achieves identification of the
 simultaneous equation systems by modelling the high-frequency
 heteroscedasticity of the structural disturbances in multivariate
 Exponential Generalized Autoregressive Conditional Heteroscedasticity
 (EGARCH) processes. The procedure avoids exclusion restrictions, considers
 volatility spillover and guarantees positive definite covariance-matrices.
 Important results include the key issues of monetary policy reactions to
 financial shocks, the potential of exchange rate stabilization strategies
 or equity market responses to interest and exchange rate developments.
 Additionally, regional coherence of the structural financial innovations
 is explored. 
Journal: Applied Financial Economics 
Pages: 1269-1292 
Issue: 16 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.485926 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.485926
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1269-1292




Template-Type: ReDIF-Article 1.0
Author-Name: Tommy Lundgren 
Author-X-Name-First: Tommy 
Author-X-Name-Last: Lundgren 
Author-Name: Rickard Olsson 
Author-X-Name-First: Rickard 
Author-X-Name-Last: Olsson 
Title: Environmental incidents and firm value-international evidence using a multi-factor event study framework 
Abstract:
  Event study methodology is used to analyse whether bad news in the form
 of Environmental (EV) incidents affect firm value negatively. An
 international sample of firms with EV incidents is studied. It is found
 that EV incidents are generally associated with the loss of value. For
 European firms, the loss is statistically significant and the magnitude of
 the abnormal returns should be of economic significance to corporations
 and investors. The results are not sensitive to multiple variations in
 methodology, including the use of international versions of the market
 model as well as of multi-factor models of the Fama-French type. Results
 are also robust to different parametric and nonparametric test statistics. 
Journal: Applied Financial Economics 
Pages: 1293-1307 
Issue: 16 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.482516 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.482516
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1293-1307




Template-Type: ReDIF-Article 1.0
Author-Name: Carlos Alves 
Author-X-Name-First: Carlos 
Author-X-Name-Last: Alves 
Author-Name: Victor Mendes 
Author-X-Name-First: Victor 
Author-X-Name-Last: Mendes 
Title: Mutual funds biased preference for the parent's stock: evidence and explanation 
Abstract:
  The potential manager-investor conflict of interests in mutual funds is a
 classic agency problem. Using a database from Portugal, we show that
 mutual funds tend to overweight the stocks issued by their parent and
 underweigh the stocks of competitors. This cannot be explained by
 performance, risk, securities' characteristics or information advantage;
 funds invest in the stock of their parent company especially when there is
 widespread selling, and avoid selling them when the stock is experiencing
 low performance. This agency relationship is costly for fund investors:
 compared with the competitor's stock, the parent's stock underperforms
 after being acquired by the fund. 
Journal: Applied Financial Economics 
Pages: 1309-1320 
Issue: 16 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.491439 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.491439
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1309-1320




Template-Type: ReDIF-Article 1.0
Author-Name: Christos Alexakis 
Author-X-Name-First: Christos 
Author-X-Name-Last: Alexakis 
Author-Name: Theophano Patra 
Author-X-Name-First: Theophano 
Author-X-Name-Last: Patra 
Author-Name: Sunil Poshakwale 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Poshakwale 
Title: Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market 
Abstract:
  This article examines the predictability of stock returns in the Athens
 Stock Exchange (ASE) during 1993 to 2006 by using accounting information.
 Using panel data analysis, this article concludes that the selected set of
 financial ratios contains significant information for predicting the
 cross-section of stock returns. Results indicate that portfolios selected
 on the basis of financial ratios produce higher than average returns,
 suggesting that the emerging Greek market does not fully incorporate
 accounting information into stock prices and hence it is not semi-strong
 efficient. 
Journal: Applied Financial Economics 
Pages: 1321-1326 
Issue: 16 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.482517 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.482517
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1321-1326




Template-Type: ReDIF-Article 1.0
Author-Name: John Gibson 
Author-X-Name-First: John 
Author-X-Name-Last: Gibson 
Author-Name: Grant Scobie 
Author-X-Name-First: Grant 
Author-X-Name-Last: Scobie 
Title: Using Engel curves to estimate CPI bias in a small, open, inflation-targeting economy 
Abstract:
  The Consumer Price Index (CPI) bias for New Zealand is calculated by
 estimating the food Engel curves for demographically similar households
 with the same level of CPI-deflated incomes at different points in time.
 For the 17 years from 1984 to 2001 the bias in the New Zealand CPI as a
 cost-of-living index averaged over 1% annually. This bias is similar to
 estimates for the US when the same method is used over a similar era.
 Thus, the claim of some statistical agencies that bias in their own CPI is
 less than the widely discussed bias in the US may not be supported. The
 estimated CPI bias justifies the initial choice of inflation target for
 the Reserve Bank of New Zealand but not the recent raising of the target. 
Journal: Applied Financial Economics 
Pages: 1327-1335 
Issue: 17 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.491441 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.491441
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:17:p:1327-1335




Template-Type: ReDIF-Article 1.0
Author-Name: Xiuqing Ji 
Author-X-Name-First: Xiuqing 
Author-X-Name-Last: Ji 
Author-Name: Christos Giannikos 
Author-X-Name-First: Christos 
Author-X-Name-Last: Giannikos 
Title: The profitability, seasonality and source of industry momentum 
Abstract:
  We systematically examine industry momentum on a global basis. The
 results show that industry momentum is profitable around the globe for
 various ranking and holding periods. The profits are larger in January
 than in other months. Industry momentum reverses in the long run and the
 reversal does not concentrate in January; these findings are consistent
 with behavioural explanations for the profitability of industry momentum. 
Journal: Applied Financial Economics 
Pages: 1337-1349 
Issue: 17 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603101003800800 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603101003800800
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:17:p:1337-1349




Template-Type: ReDIF-Article 1.0
Author-Name: Luciana Reis 
Author-X-Name-First: Luciana 
Author-X-Name-Last: Reis 
Author-Name: Roberto Meurer 
Author-X-Name-First: Roberto 
Author-X-Name-Last: Meurer 
Author-Name: Sergio Da Silva 
Author-X-Name-First: Sergio 
Author-X-Name-Last: Da Silva 
Title: Stock returns and foreign investment in Brazil 
Abstract:
  We examine the relationship between stock returns and foreign investment
 in Brazil, and find that the inflows of foreign investment boosted the
 returns from 1995 to 2005. There was a strong contemporaneous correlation,
 although not Granger causality. Foreign investment along with the exchange
 rate, the influence of the world stock markets and country risk can
 explain 73% of the changes that occurred in the stock returns over the
 period. We also find that positive feedback trading played a role, and
 that the market promptly assimilated new information. 
Journal: Applied Financial Economics 
Pages: 1351-1361 
Issue: 17 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.498342 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.498342
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:17:p:1351-1361




Template-Type: ReDIF-Article 1.0
Author-Name: Francesca Battaglia 
Author-X-Name-First: Francesca 
Author-X-Name-Last: Battaglia 
Author-Name: Vincenzo Farina 
Author-X-Name-First: Vincenzo 
Author-X-Name-Last: Farina 
Author-Name: Franco Fiordelisi 
Author-X-Name-First: Franco 
Author-X-Name-Last: Fiordelisi 
Author-Name: Ornella Ricci 
Author-X-Name-First: Ornella 
Author-X-Name-Last: Ricci 
Title: The efficiency of cooperative banks: the impact of environmental economic conditions 
Abstract:
  This article analyses the cost and profit efficiencies of cooperative
 banks. Cooperative banks are small financial institutions providing
 financial services in several local geographical areas, and they play a
 fundamental role in various European banking systems. Even though these
 small financial institutions present a homogeneous business model, their
 performance is strongly influenced by the economic conditions of their
 local markets. The efficiency measurement has to account for the
 heterogeneity of the environmental conditions. By using a large sample of
 Italian cooperative banks (2683 year observations) collected between 2000
 and 2005, we estimated the cost and profit efficiency using Stochastic
 Frontier Analysis (SFA) and including various environmental variables
 accounting for disparities among Italian regions. We show that
 environmental conditions substantially influence efficiency estimates:
 banks in the Northeast of Italy are shown to be the more cost efficient,
 benefiting from a favourable environment, while banks in the South of
 Italy display a higher profit efficiency, probably due to lower
 competitive pressures. We show that the coefficients for branches and the
 concentration of cooperative banks with respect to other banks are
 important both on the cost side and the profit side. 
Journal: Applied Financial Economics 
Pages: 1363-1376 
Issue: 17 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.491442 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.491442
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:17:p:1363-1376




Template-Type: ReDIF-Article 1.0
Author-Name: Jui-Jane Chang 
Author-X-Name-First: Jui-Jane 
Author-X-Name-Last: Chang 
Author-Name: Szu-Lang Liao 
Author-X-Name-First: Szu-Lang 
Author-X-Name-Last: Liao 
Title: Warrant introduction effects on stock return processes 
Abstract:
  As the underpricing of warrants remains unsolved after many adjustments
 presented by previous researchers, we further investigate the impact of
 the warrant introduction on the underlying stock return processes. This
 research attempts to determine whether the introduction of warrants
 influences the return processes of underlying stocks. If the introduction
 creates a potential dilution effect on stock return process, full dilution
 adjustment pricing models would lead to underpricing. To examine whether
 full dilution adjustment is required for warrant pricing, the Generalized
 Autoregressive Conditional Heteroscedasticity in Mean (GARCH-M) model has
 been extended to derive four models for testing the dilution effect on
 stock return processes. Empirical results show that the volatilities of
 underlying stock return processes are significantly reduced following
 warrant introduction even after distinguishing dilution from asymmetric
 effect. 
Journal: Applied Financial Economics 
Pages: 1377-1395 
Issue: 17 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.491440 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.491440
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:17:p:1377-1395




Template-Type: ReDIF-Article 1.0
Author-Name: Ming-Shann Tsai 
Author-X-Name-First: Ming-Shann 
Author-X-Name-Last: Tsai 
Author-Name: Sue-Jane Chiang 
Author-X-Name-First: Sue-Jane 
Author-X-Name-Last: Chiang 
Author-Name: Chih-Hsun Lin 
Author-X-Name-First: Chih-Hsun 
Author-X-Name-Last: Lin 
Title: A study of REITs in the Asia-Pacific area: volatility characters and their long-term relationship with stock indices 
Abstract:
  This study examines some important characters of Real Estate Investment
 Trusts (REITs) in six Asia-Pacific areas including Australia, Japan,
 Singapore, Taiwan, Korea and Hong Kong. The results show that volatility
 behaviours of REITs have Generalized Autoregressive Conditional
 Heteroscedastic (GARCH) effects; in addition, REITs and stocks have a long
 term relationship in all markets. 
Journal: Applied Financial Economics 
Pages: 1397-1400 
Issue: 17 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.493137 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.493137
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:17:p:1397-1400




Template-Type: ReDIF-Article 1.0
Author-Name: Daisuke Tsuruta 
Author-X-Name-First: Daisuke 
Author-X-Name-Last: Tsuruta 
Title: Nonbank financing and performance of informationally opaque businesses 
Abstract:
  Previous studies argue that banks offer loans to informationally opaque
 businesses using relationship lending technology. Using survey data of
 small businesses in Japan, we show that informationally opaque and
 financially weak firms that do not have lending relationships use high
 interest rate nonbank loans because of low availability of bank credit.
 Furthermore, we show that nonbank loan applicants are likely to incur
 operating losses and default. These results imply that nonbanks have
 difficulty avoiding the information problem because borrowers have
 uninformative financial statements and weak financial conditions. 
Journal: Applied Financial Economics 
Pages: 1401-1413 
Issue: 18 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.498344 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.498344
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:18:p:1401-1413




Template-Type: ReDIF-Article 1.0
Author-Name: Pilar Gargallo 
Author-X-Name-First: Pilar 
Author-X-Name-Last: Gargallo 
Author-Name: Jesus Miguel 
Author-X-Name-First: Jesus 
Author-X-Name-Last: Miguel 
Author-Name: Pilar Olave 
Author-X-Name-First: Pilar 
Author-X-Name-Last: Olave 
Author-Name: Manuel Salvador 
Author-X-Name-First: Manuel 
Author-X-Name-Last: Salvador 
Title: Evaluating value at risk using selection criteria of the model and the information set 
Abstract:
  This article proposes a new methodology to estimate the Value at Risk
 (VaR) in a time varying heteroscedastic dynamic regression context. The
 methodology assumes that the form of the model and its information set may
 also change over time and takes into account the uncertainty associated
 with the joint selection of model and information set, providing more
 reliability to the elaborated forecasts. A Bayesian framework is adopted
 and a cross validation selection criterion, asymptotically equivalent to
 the Bayes factor, is proposed. Finally, we estimate the VaR on line of
 five international equity indexes. Our VaR estimations tend to follow the
 evolution of the series more closely than classical procedures by keeping
 the coverage properties. 
Journal: Applied Financial Economics 
Pages: 1415-1428 
Issue: 18 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.498346 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.498346
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:18:p:1415-1428




Template-Type: ReDIF-Article 1.0
Author-Name: Kurt Brannas 
Author-X-Name-First: Kurt 
Author-X-Name-Last: Brannas 
Author-Name: A. M. M. Shahiduzzaman Quoreshi 
Author-X-Name-First: A. M. M. 
Author-X-Name-Last: Shahiduzzaman Quoreshi 
Title: Integer-valued moving average modelling of the number of transactions in stocks 
Abstract:
  The Integer-valued Moving Average Model (INMA) is advanced to model the
 number of transactions in intra-day data of stocks. The conditional mean
 and variance properties are discussed and model extensions to include
 explanatory variables are offered. Least squares and generalized method of
 moment estimators are presented. In a small Monte Carlo study a feasible
 least squares estimator comes out as the best choice. Empirically we find
 support for the use of long-lag moving average models in a Swedish stock
 series. There is evidence of asymmetric effects of news about prices on
 the number of transactions. 
Journal: Applied Financial Economics 
Pages: 1429-1440 
Issue: 18 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.498343 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.498343
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:18:p:1429-1440




Template-Type: ReDIF-Article 1.0
Author-Name: Baoying Lai 
Author-X-Name-First: Baoying 
Author-X-Name-Last: Lai 
Author-Name: Nathan Lael Joseph 
Author-X-Name-First: Nathan Lael 
Author-X-Name-Last: Joseph 
Title: Pricing-to-market and the volatility of UK export prices 
Abstract:
  This empirical study examines the Pricing-To-Market (PTM) behaviour of 20
 UK export sectors. Using both Exponential General Autoregressive
 Conditional Heteroscedasticity (EGARCH) and Threshold GARCH (TGARCH)
 estimation methods, we find evidence of PTM that is accompanied by strong
 conditional volatility and weak asymmetry effects. The PTM estimates
 suggest that when the currency of exporters appreciates in the current
 period, exporters pass-on between 31% and 94% of the Foreign Exchange (FX)
 rate increase to importers. However, both export price changes and
 producers' prices are sluggish, perhaps being driven by coordination
 failure and menu driven costs, amongst others. Furthermore, export prices
 contain strong time varying effects which impact on PTM strategy.
 Exporters do not typically appear to put much more weight on negative news
 of (say) an FX rate appreciation compared to positive news of an FX rate
 depreciation. Much depends on the export sector. 
Journal: Applied Financial Economics 
Pages: 1441-1460 
Issue: 18 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.496722 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.496722
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:18:p:1441-1460




Template-Type: ReDIF-Article 1.0
Author-Name: Yen-Hsiao Chen 
Author-X-Name-First: Yen-Hsiao 
Author-X-Name-Last: Chen 
Author-Name: Patricia Fraser 
Author-X-Name-First: Patricia 
Author-X-Name-Last: Fraser 
Title: What drives stock prices? Fundamentals, bubbles and investor behaviour 
Abstract:
  Using a dynamic version of the present value model and a range of
 developed and Asian emerging markets, this article considers estimates of
 stock market prices given expectations on dividends and earnings and
 compares these fundamental stock prices with actual stock prices. The
 reported empirical results suggest that a dynamic present value model
 combined with differing definitions of cash flows can explain actual stock
 price movements for many of the sample markets. For markets where price
 deviations from fundamental value are statistically significant, the
 revealed deviations are investigated by considering types of investor
 behaviour which might drive such departures. 
Journal: Applied Financial Economics 
Pages: 1461-1477 
Issue: 18 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.498345 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.498345
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:18:p:1461-1477




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Arestis 
Author-X-Name-First: Philip 
Author-X-Name-Last: Arestis 
Author-Name: Ambika Luintel 
Author-X-Name-First: Ambika 
Author-X-Name-Last: Luintel 
Author-Name: Kul Luintel 
Author-X-Name-First: Kul 
Author-X-Name-Last: Luintel 
Title: Financial structure and economic growth: evidence from time series analyses 
Abstract:
  This article examines whether financial structure influences economic
 growth. Recent empirical studies examine this issue by utilizing panel and
 cross-section approaches. We use time series data and methods, along with
 the dynamic heterogeneous panel approach in a sample of six low and middle
 income countries. We find that cross country data cannot be pooled and
 that financial structure significantly affects real per capita output. We
 also find that panel estimates, in most cases, do not correspond to
 country specific estimates, and hence may proffer incorrect inferences for
 several countries of the panel. 
Journal: Applied Financial Economics 
Pages: 1479-1492 
Issue: 19 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.508716 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.508716
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:19:p:1479-1492




Template-Type: ReDIF-Article 1.0
Author-Name: Heung-Joo Cha 
Author-X-Name-First: Heung-Joo 
Author-X-Name-Last: Cha 
Author-Name: Jaebeom Kim 
Author-X-Name-First: Jaebeom 
Author-X-Name-Last: Kim 
Title: Stock returns and aggregate mutual fund flows: a system approach 
Abstract:
  To investigate if the mutual fund flows have been a driving factor in the
 US stock market at the macro level, we combine information from the stock
 market with information from bond and money markets in a system method.
 The empirical evidence from Seemingly Unrelated Regression Error
 Correction Model (SURECM) and Granger and Sims causality tests in a system
 indicates that the fund flows are weakly exogenous and stock performance
 causes fund flows, implying that investors move their money to the
 securities that yield higher returns to rebalance their investment
 portfolios in the US market. 
Journal: Applied Financial Economics 
Pages: 1493-1498 
Issue: 19 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.508714 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.508714
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:19:p:1493-1498




Template-Type: ReDIF-Article 1.0
Author-Name: Dror Parnes 
Author-X-Name-First: Dror 
Author-X-Name-Last: Parnes 
Title: The information content of analysts reports and bankruptcy risk measures 
Abstract:
  We evaluate the information content of analysts' reports and bankruptcy
 risk quantities towards each other, and examine whether differences arise
 between low- and high-risk firms and between stock recommendations and
 earnings forecasts. We reveal that past changes in analysts' reports
 convey valuable information towards future developments in default risk
 measures, analysts' outcome rely upon lagged modifications in corporate
 creditworthiness, and the predictive power in both directions is more
 pronounced among high risk enterprises. Furthermore, default likelihoods
 and analysts' recommendations and forecasts Granger cause each other,
 generating a significant feedback system. Moreover, earnings forecasts
 portray more profound relations to credit risk quantities than stock
 recommendations. 
Journal: Applied Financial Economics 
Pages: 1499-1513 
Issue: 19 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.508715 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.508715
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:19:p:1499-1513




Template-Type: ReDIF-Article 1.0
Author-Name: Dan Luo 
Author-X-Name-First: Dan 
Author-X-Name-Last: Luo 
Author-Name: Shujie Yao 
Author-X-Name-First: Shujie 
Author-X-Name-Last: Yao 
Title: World financial crisis and the rise of Chinese commercial banks: an efficiency analysis using DEA 
Abstract:
  The current financial crisis has hit the banking giants of the world
 really hard. It is striking to note that some of the large Chinese
 commercial banks have emerged to be the biggest winners as a result of the
 crisis, thanks to reforms over the past 10 years. The most significant
 reform before the crisis was ownership diversification, aiming to improve
 corporate governance and efficiency. Within 1 year from October 2005,
 three of the four biggest State-Owned Banks (SOBs) were listed on the
 stock exchanges. This article will study whether this reform has really
 improved bank efficiency. Adopting the Data Envelopment Analysis (DEA)
 approach, this article examines whether Initial Public Offering (IPO) is
 effective in enhancing bank performance. Using data of 14 listed banks
 during 1999 to 2008, the results show that on average, bank efficiency
 increased by almost 5% after listing. Despite the fact that Joint Equity
 Banks (JEBs) still perform better than SOBs, the latter manage to catch up
 and reduce the efficiency gap with the former during the past few years.
 This in part explains why the Chinese banking system has been less
 affected by the current world financial crisis than their western
 counterparts, leading to an important conclusion that SOB reforms in China
 over the past 10 years have produced remarkable results. 
Journal: Applied Financial Economics 
Pages: 1515-1530 
Issue: 19 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.508717 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.508717
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:19:p:1515-1530




Template-Type: ReDIF-Article 1.0
Author-Name: Yang Ni 
Author-X-Name-First: Yang 
Author-X-Name-Last: Ni 
Author-Name: Shasha Guo 
Author-X-Name-First: Shasha 
Author-X-Name-Last: Guo 
Author-Name: David Giles 
Author-X-Name-First: David 
Author-X-Name-Last: Giles 
Title: Capital structures in an emerging market: a duration analysis of the time interval between IPO and SEO in China 
Abstract:
  We model the durations between firms' 'Initial Public Offerings' (IPOs)
 and their subsequent 'Seasoned Equity Offerings' (SEOs) in China between
 2001 and 2006. Our results have important implications for the capital
 structure in emerging markets. Our evidence on financing decisions in
 China contradicts the predictions of both the trade-off and pecking order
 theories. Firms do not issue equity after debt financing to offset the
 deviation from the target leverage ratio. Profitability is negatively
 related to debt ratios. Limited access to the corporate bond market and
 the privilege of the low effective tax rate that local governments give to
 firms have increased the cost of debt and decreased the benefit of debt,
 and make firms in China under-utilize the tax shield of debt.
 Surprisingly, profitability is positively related to the conditional
 probability of equity financing, and market timing is an important
 consideration when Chinese firms undertake equity financing. 
Journal: Applied Financial Economics 
Pages: 1531-1545 
Issue: 19 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.505552 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.505552
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:19:p:1531-1545




Template-Type: ReDIF-Article 1.0
Author-Name: Victor Phua 
Author-X-Name-First: Victor 
Author-X-Name-Last: Phua 
Author-Name: Howard Chan 
Author-X-Name-First: Howard 
Author-X-Name-Last: Chan 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Author-Name: Robert Hudson 
Author-X-Name-First: Robert 
Author-X-Name-Last: Hudson 
Title: The influence of time, seasonality and market state on momentum: insights from the Australian stock market 
Abstract:
  This article provides further insights into the properties of momentum
 trading strategies using information from the Australian market. Based on
 a methodology that avoids the look-ahead bias of many momentum studies
 that employ monthly data, we confirm the existence of a momentum effect in
 Australia. In contrast to previously reported results, momentum is
 stronger amongst larger firms in the Australian market and buying
 'winners' generates higher returns than shorting 'losers'. We find strong
 seasonal influences which are consistent with the tax selling hypothesis
 and institutional 'window dressing'. In addition, we show that momentum
 returns are highly variable over time. Specifically, the momentum
 strategies employed in the late 1990s generate higher returns than those
 in the early 1990s. Some aspects of the effect are quite different from
 those previously observed in other markets and this is useful for testing
 theories about the causes of momentum out of sample. We use information on
 the intertemporal performance of 'winners' and 'losers' in different
 market states to determine which of a number of behavioural theories are
 most predictive of the observed movements of the Australian market. The
 evidence indicates that models based on the disposition effect better fit
 the observed data than models based on an overreaction bias. 
Journal: Applied Financial Economics 
Pages: 1547-1563 
Issue: 20 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.510463 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.510463
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:20:p:1547-1563




Template-Type: ReDIF-Article 1.0
Author-Name: Jing-Ming Kuo 
Author-X-Name-First: Jing-Ming 
Author-X-Name-Last: Kuo 
Author-Name: Jerry Coakley 
Author-X-Name-First: Jerry 
Author-X-Name-Last: Coakley 
Author-Name: Andrew Wood 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Wood 
Title: The lunar moon festival and the dark side of the moon 
Abstract:
  We propose and adduce evidence for a new seasonal anomaly associated with
 the Lunar Moon Festival (LMF) in East Asian economies. While the LMF
 effect bears some resemblance to the festivity and vacation anomalies, it
 is mainly driven by nostalgia, historically negative associations, the
 full moon and uncertainty about future harvest prospects. This negative
 sentiment and associated increase in risk and loss aversion are
 responsible for reducing share turnover, return volatility and stock
 returns over a 2-week period. The LMF effect is the strongest for China,
 Taiwan and South Korea where it is not only celebrated as a public or
 cultural holiday but it also impacts on neighbouring stock markets where
 overseas Chinese investors possess significant resources. Robustness
 checks demonstrate that it has a distinctive and more pronounced impact
 than competing seasonal effects associated with lunar phases and the
 summer vacations. 
Journal: Applied Financial Economics 
Pages: 1565-1575 
Issue: 20 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.507172 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.507172
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:20:p:1565-1575




Template-Type: ReDIF-Article 1.0
Author-Name: Ismail Genc 
Author-X-Name-First: Ismail 
Author-X-Name-Last: Genc 
Author-Name: Abdullah Jubain 
Author-X-Name-First: Abdullah 
Author-X-Name-Last: Jubain 
Author-Name: Abdullah Al-Mutairi 
Author-X-Name-First: Abdullah 
Author-X-Name-Last: Al-Mutairi 
Title: Economic versus financial integration or decoupling between the US and the GCC 
Abstract:
  Although the two biggest economies of the Gulf Cooperation Council (GCC),
 namely the Kingdom of Saudi Arabia and the United Arab Emirates, are not
 economically affected by the business cycles in the US, financial
 interactions are a different story. In this article, we show that while
 the GCC economies have decoupled from that of the US, the stock markets in
 them are very much in synchronization with the fluctuations in the US
 stock market. 
Journal: Applied Financial Economics 
Pages: 1577-1583 
Issue: 20 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.508713 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.508713
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:20:p:1577-1583




Template-Type: ReDIF-Article 1.0
Author-Name: Shelagh Heffernan 
Author-X-Name-First: Shelagh 
Author-X-Name-Last: Heffernan 
Author-Name: Xiaoqing Fu 
Author-X-Name-First: Xiaoqing 
Author-X-Name-Last: Fu 
Title: Determinants of financial performance in Chinese banking 
Abstract:
  China's banking system has undergone gradual reform since 1978, with a
 view to improving efficiency and resource allocation. Recent reforms have
 focused on allowing banks to list some shares on domestic and foreign
 exchanges, greater foreign equity participation in Chinese banks and the
 establishment of new rural financial institutions. To assess whether these
 objectives have been achieved, this study looks at how well different
 types of Chinese banks have performed between 1999 and 2006, and tests for
 the factors influencing performance. It also evaluates four measures of
 performance to identify which one, if any, is superior. The independent
 variables include the standard financial ratios, those which reflect more
 recent reforms (listing, bank type, the extent of foreign ownership) and
 macroeconomic variables. The results suggest Economic Value Added (EVA)
 and the Net Interest Margin (NIM) do better than the more conventional
 measures of profitability, namely Return On Average Equity (ROAE) and
 Return On Average Assets (ROAA). Some macroeconomic variables and
 financial ratios are significant with the expected signs. Though the type
 of bank is influential, bank size is not. Neither the percentage of
 foreign ownership nor bank listings has a discernable effect. 
Journal: Applied Financial Economics 
Pages: 1585-1600 
Issue: 20 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.505553 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.505553
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:20:p:1585-1600




Template-Type: ReDIF-Article 1.0
Author-Name: Marcel Prokopczuk 
Author-X-Name-First: Marcel 
Author-X-Name-Last: Prokopczuk 
Title: Intra-industry contagion effects of earnings surprises in the banking sector 
Abstract:
  In this article we investigate whether contagion is present in the
 banking sector by analysing how banks are affected by negative earnings
 surprises from their competitors. The banking sector is of crucial
 importance for the economy and, thus, highly regulated on an individual
 bank level. However, a high degree of contagion risk should call for a
 regulation of the financial network rather than solely regulating on an
 individual level. To be able to make a judgement about the magnitude of
 possible contagion effects we compare the results of the banking sector
 with the results of the nonbanking industries. We find that earnings
 surprises cause significant contagion in the banking sector. In contrast,
 we do not find this effect in the nonbanking sectors, including the
 insurance sector. The magnitude of contagion in the banking sector is
 positively related with the size of the bank reporting an earnings
 surprise, as well as the size of the affected banks. 
Journal: Applied Financial Economics 
Pages: 1601-1613 
Issue: 20 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.508718 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.508718
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:20:p:1601-1613




Template-Type: ReDIF-Article 1.0
Author-Name: Charles Amo Yartey 
Author-X-Name-First: Charles Amo 
Author-X-Name-Last: Yartey 
Title: The institutional and macroeconomic determinants of stock market development in emerging economies 
Abstract:
  This article examines the institutional and macroeconomic determinants of
 stock market development using a panel data of 42 emerging economies for
 the period 1990 to 2004. This article finds that macroeconomic factors
 such as income level, gross domestic investment, banking sector
 development, private capital flows and stock market liquidity are
 important determinants of stock market development in emerging market
 countries. The results also show that political risk, law and order and
 bureaucratic quality are important determinants of stock market
 development because they enhance the viability of external finance. This
 result suggests that the resolution of political risk can be an important
 factor in the development of emerging stock markets. 
Journal: Applied Financial Economics 
Pages: 1615-1625 
Issue: 21 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.522519 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.522519
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:21:p:1615-1625




Template-Type: ReDIF-Article 1.0
Author-Name: Nikolaos Voukelatos 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Voukelatos 
Title: The asymmetric impact of firm-specific and of index returns on the volatility processes of individual stocks 
Abstract:
  This article examines the volatility processes of the 30 constituent
 stocks of the Dow Jones Industrial Average (DJIA) from 1998 to 2007.
 Estimating the standard Glosten, Jagannathan and Runkle (GJR) model across
 the DJIA's components confirms previous empirical findings of individual
 stocks' conditional variances being less asymmetric than that of the
 parent index. A modified specification is then tested, termed the GJR-I,
 where lagged signed market returns have replaced firm-specific returns.
 The results suggest that individual stock volatility is significantly
 correlated with past signed index returns and that the asymmetry
 phenomenon is more pronounced with respect to market news compared to
 firm-specific news. This result still holds after estimating an extended
 specification where the conditional variance responds both to
 idiosyncratic and systematic innovations. The fact that individual stock
 volatility responds more asymmetrically to market returns than to firm
 specific returns stands in contrast to the 'leverage effect' as well as
 'volatility feedback' explanations, but it is consistent with the
 hypothesis of the volatility asymmetry phenomenon being a 'down market
 effect'. 
Journal: Applied Financial Economics 
Pages: 1627-1638 
Issue: 21 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.515202 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.515202
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:21:p:1627-1638




Template-Type: ReDIF-Article 1.0
Author-Name: Samuel Kyle Jones 
Author-X-Name-First: Samuel Kyle 
Author-X-Name-Last: Jones 
Author-Name: Michael Stroup 
Author-X-Name-First: Michael 
Author-X-Name-Last: Stroup 
Title: Closed-end country fund premiums and economic freedom 
Abstract:
  The Economic Freedom Index (EFI) is a measure of a country's
 institutional characteristics that promote economic activity, including
 the security of private property, openness to international trade,
 stability of the monetary system and lack of credit market manipulation.
 We use this index as a proxy for the degree of market segmentation and
 test the hypothesis that closed-end country fund premiums can be partially
 explained by a country's EFI value. Using panel data analysis, we find
 that EFI is significant in explaining observed variability in country fund
 premiums. 
Journal: Applied Financial Economics 
Pages: 1639-1649 
Issue: 21 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.524615 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524615
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:21:p:1639-1649




Template-Type: ReDIF-Article 1.0
Author-Name: Ching-Ping Wang 
Author-X-Name-First: Ching-Ping 
Author-X-Name-Last: Wang 
Author-Name: Hung-Hsi Huang 
Author-X-Name-First: Hung-Hsi 
Author-X-Name-Last: Huang 
Author-Name: Wei-Li Lin 
Author-X-Name-First: Wei-Li 
Author-X-Name-Last: Lin 
Title: Momentum strategy and institutional investing in Taiwan stock market 
Abstract:
  This study uses the sample with 539 individual stocks in Taiwan stock
 market from July 2002 to December 2007 for discussing and comparing the
 performances among these portfolios of institutional net buys/sells,
 Jegadeesh and Titman (JT) momentum strategy and George and Hwang (GH)
 momentum strategy. The empirical findings are as follows. First, this
 study examines short-term momentum with no waiting period; the findings
 indicate that the institutional portfolio is significantly more profitable
 than the others. Next, this study examines medium term momentum with
 1-year waiting period; the results show institutional portfolio and JT
 strategies in strategy (6, &#x223c;12, 6) begin appearing a reversal
 phenomenon. Although GH strategy earns positive return, the momentum
 phenomenon is not significant. Finally, this study examines long-term
 momentum with 2-year waiting periods; the results indicate GH momentum
 portfolio yields positive return significantly in strategy (6, &#x223c;24,
 12). 
Journal: Applied Financial Economics 
Pages: 1651-1658 
Issue: 21 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.522517 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.522517
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:21:p:1651-1658




Template-Type: ReDIF-Article 1.0
Author-Name: Tae-Joon Kim 
Author-X-Name-First: Tae-Joon 
Author-X-Name-Last: Kim 
Author-Name: Jai-Won Ryou 
Author-X-Name-First: Jai-Won 
Author-X-Name-Last: Ryou 
Author-Name: Shinji Takagi 
Author-X-Name-First: Shinji 
Author-X-Name-Last: Takagi 
Title: Financial market reforms and corporate financing in Korea 
Abstract:
  Following the Asian financial crisis of 1997, the Korean economy
 experienced radical structural reforms, particularly in the financial
 sector. In this environment, Korea's corporate sector, once characterized
 by a high degree of leverage, turned to the capital market for financing,
 while banks diversified their lending targets. Our analysis of large
 firm-level data finds that, following the crisis, the corporate financing
 behaviour of both chaebol-affiliated and independent firms became more
 responsive to such factors as return on assets, cash flows and credit
 rating. On the lenders' side, the tighter prudential enforcement of the
 1988 Basel capital adequacy requirements limited the supply of bank loans.
 We conclude that both the changed corporate incentives in an environment
 of greater market discipline and the improved prudential supervision
 explain much of the more diversified pattern of Korean corporate financing
 practices in the post-crisis period. 
Journal: Applied Financial Economics 
Pages: 1659-1666 
Issue: 21 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.518947 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.518947
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:21:p:1659-1666




Template-Type: ReDIF-Article 1.0
Author-Name: J. Andrew Coutts 
Author-X-Name-First: J. Andrew 
Author-X-Name-Last: Coutts 
Title: Trading rules and stock returns: some further short run evidence from the Hang Seng 1997-2008 
Abstract:
  This article re-examines the work of Coutts and Cheung (2000), who
 investigated the applicability and validity of trading rules in the Hang
 Seng Index (HSI) on the Hong Kong Stock Exchange (HKSE) for the period
 January 1985 through June 1997, and for two subsamples of equal length,
 partitioned from the whole sample. They concluded that the moving average
 oscillator and the trading range break-out rules, appeared to be present,
 to varying extents, for all three data samples, although the Trading Range
 Break-out rule was by far the strongest. However, their striking
 conclusion was that these rules were statistically significant over much
 shorter data periods than used in previous studies. They also suggested
 that because there is a tendency for potentially 'profitable' trading
 rules, once documented to cease existing, and consequently further
 research concerning the HSI was required in years hence. It is in this
 spirit that we replicate the work of Coutts and Cheung, and conclude that
 these once potentially short-term 'profitable' trading rules, are now
 defunct, which leads us to suggest the validity of 'profitable' trading
 rules, released to the 'public information set' via academic journals. 
Journal: Applied Financial Economics 
Pages: 1667-1672 
Issue: 21 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.524613 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524613
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:21:p:1667-1672




Template-Type: ReDIF-Article 1.0
Author-Name: Winston Ricardo Moore 
Author-X-Name-First: Winston Ricardo 
Author-X-Name-Last: Moore 
Title: Capital account liberalization and commercial bank interest rate margins 
Abstract:
  A large body of literature exists on the potential impact that capital
 account liberalization has had on uncovered interest rate parity. However,
 it can also have important effects on domestic bank spreads by providing
 economies of scale and scope and increasing competitive pressures. This
 article provides an investigation of how capital account liberalization
 has affected the interest rate margins of the domestic banking markets in
 112 countries. The study finds that contrary to a priori reasoning,
 opening a country's capital account has little or no impact on interest
 rate spreads obtained by the banking industries in the study. These
 results are robust to various changes in model specification and
 estimation approach. 
Journal: Applied Financial Economics 
Pages: 1673-1685 
Issue: 21 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.524617 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524617
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:21:p:1673-1685




Template-Type: ReDIF-Article 1.0
Author-Name: Rajeev Sooreea 
Author-X-Name-First: Rajeev 
Author-X-Name-Last: Sooreea 
Author-Name: Mark Wheeler 
Author-X-Name-First: Mark 
Author-X-Name-Last: Wheeler 
Title: A dynamic analysis of the determinates of the US current account deficit 
Abstract:
  This article examines the determinates of the US current account deficit.
 We decompose the trade balance into its import and export components. This
 allows us to model responses of imports and exports separately. The
 analysis is conducted with a semi-structural Vector Error Correction Model
 (VECM). Our results show that a US stock market improvement, a
 depreciation of the US dollar, an increase in US interest rate and
 economic growth of the Japanese economy all will help reduce the US trade
 deficit. 
Journal: Applied Financial Economics 
Pages: 1687-1695 
Issue: 22 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.524612 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524612
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:22:p:1687-1695




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Mark Wohar 
Author-X-Name-First: Mark 
Author-X-Name-Last: Wohar 
Title: An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear 
Abstract:
  In this article we examine the persistent nature of the 3-month UK real
 interest rate for the period 1957:Q2 to 2008:Q2. We employ unit root and
 cointegration tests, confidence intervals for the sum of the
 Autoregressive (AR) coefficient, fractional integration tests, structural
 break tests and threshold modelling. Evidence from both unit root tests
 and AR modelling support the view that the real rate is nonstationary.
 Similarly, and in contrast to previous literature, the fractional
 integration test supports covariance nonstationarity, although there is
 evidence of mean reversion. Evidence from structural break tests support
 stationary behaviour, but only if we allow for three or more breaks, which
 may not be defendable on economic grounds. Finally, stationary behaviour
 is supported by a nonlinear exponential smooth transition model, which
 suggests that the real rate behaves in a random walk fashion when the rate
 is close to equilibrium but exhibits strong mean reversion when the
 disequilibrium becomes large. 
Journal: Applied Financial Economics 
Pages: 1697-1707 
Issue: 22 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.522520 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.522520
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:22:p:1697-1707




Template-Type: ReDIF-Article 1.0
Author-Name: Luis Gil-Alana 
Author-X-Name-First: Luis 
Author-X-Name-Last: Gil-Alana 
Title: Testing persistence in the context of conditional heteroscedasticity errors 
Abstract:
  This article examines the power of two well-known procedures of
 fractional integration in the context of conditional heteroskedasticity in
 the variance. One of the methods is parametric while the other is
 semiparametric. Several Monte Carlo experiments conducted in this article
 show that both methods perform well to detect the order of integration of
 the series under the assumption that the underlying disturbances follow
 Generalized Autoregressive Conditional Heteroscedasticity (GARCH)-type
 errors. The methods are applied to 10 European stock market indices. The
 results indicate that the orders of integration of the series are close to
 1 in all cases, being strictly higher than 1 in four countries. Moreover,
 taking the d-differenced processes, and estimating Fractionally Integrated
 GARCH (FI-GARCH) models on the squared residuals, fractional degrees of
 integration are obtained in the majority of the series. 
Journal: Applied Financial Economics 
Pages: 1709-1723 
Issue: 22 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.522516 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.522516
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:22:p:1709-1723




Template-Type: ReDIF-Article 1.0
Author-Name: Christian Hopp 
Author-X-Name-First: Christian 
Author-X-Name-Last: Hopp 
Title: The evolution of inter-organizational networks in venture capital financing 
Abstract:
  Using a cross-section of Venture Capital (VC) transactions in Germany
 during the period 1995 to 2005, I analyse the origins of social networks
 in VC financing and document how they evolve over time. I focus
 specifically on the industry and investment experience of VCs as a
 resource to allow for better screening of business proposals and to
 provide a higher quality of managerial advice to the financed
 entrepreneur. The results show that forming relationships with partner VCs
 can represent a way to overcome the absence of relevant industry
 experience. Upon entering into new industries, and in the case of
 unsuccessful collaborations, lead investors in VC syndicates tend to
 explore new partnering opportunities resulting in network expansions.
 Moreover, with more experience within a given industry, lead investors
 tend to rely on existing partners. 
Journal: Applied Financial Economics 
Pages: 1725-1739 
Issue: 22 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.522518 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.522518
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:22:p:1725-1739




Template-Type: ReDIF-Article 1.0
Author-Name: Yu-Shao Liu 
Author-X-Name-First: Yu-Shao 
Author-X-Name-Last: Liu 
Author-Name: Chi-Wei Su 
Author-X-Name-First: Chi-Wei 
Author-X-Name-Last: Su 
Title: The relationship between the real estate and stock markets of China: evidence from a nonlinear model 
Abstract:
  The use of asymmetrical threshold cointegration tests is adopted in this
 study to investigate whether any significant relationship or asymmetric
 adjustment exists between the real estate and stock markets of China. Our
 results indicate the existence of a long run nonlinear relationship
 between the Shenzhen Composite Index and the Real Estate Price Index. In
 the short run, the Granger causality test favours the 'wealth effect'
 hypothesis; conversely, in the long run, the existence of the 'credit
 price' effect is discernible above a certain threshold value, whilst the
 'wealth effect' is apparent below this threshold value, which implies a
 bidirectional feedback causal relationship. Our empirical results
 demonstrate that in the long run, the price transmissions between these
 two markets are nonlinear and asymmetric. 
Journal: Applied Financial Economics 
Pages: 1741-1749 
Issue: 22 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.524616 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524616
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:22:p:1741-1749




Template-Type: ReDIF-Article 1.0
Author-Name: Mohd Edil Abd Sukor 
Author-X-Name-First: Mohd Edil Abd 
Author-X-Name-Last: Sukor 
Author-Name: Obiyathulla Ismath Bacha 
Author-X-Name-First: Obiyathulla Ismath 
Author-X-Name-Last: Bacha 
Title: Pricing efficiency of stock rights issues in Malaysia 
Abstract:
  This article undertakes an empirical examination of pure rights issues in
 Malaysia. Though pricing efficiency is the main focus, we also examine
 related issues. We study a total of 38 pure rights issues that occurred
 over the 8-year period January 1998 to December 2005. Using two
 alternative valuation models, the adjusted Black-Scholes Call Option Model
 (BSOPM) and the traditional Implied Rights Valuation Model (IRVM), we find
 the Malaysian market to be inefficient in pricing the rights. Mispricing
 is quite extensive with a predominance of overpricing. Significantly, both
 pricing models, despite their different theoretical underpinnings produce
 similar results. These results are further validated by the returns to our
 two arbitrage strategies. The trading strategy, which establishes a net
 short position in the rights produces substantial positive returns,
 whereas the strategy which effectively goes long the rights, produced
 marginally negative returns. We found underlying stock price volatility,
 liquidity and moneyness of the rights to be the key determinants of the
 extent of mispricing. Finally, we find that underlying stock price
 volatility was significantly lower post rights issue. 
Journal: Applied Financial Economics 
Pages: 1751-1760 
Issue: 22 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.524619 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524619
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:22:p:1751-1760




Template-Type: ReDIF-Article 1.0
Author-Name: Chia-Pin Chen 
Author-X-Name-First: Chia-Pin 
Author-X-Name-Last: Chen 
Author-Name: Ying-Sing Liu 
Author-X-Name-First: Ying-Sing 
Author-X-Name-Last: Liu 
Author-Name: Chih-Wen Hsu 
Author-X-Name-First: Chih-Wen 
Author-X-Name-Last: Hsu 
Title: The impact of speculative trading activities on the speculative market: a case of Taiwan stock index futures market 
Abstract:
  This article investigates the behaviour of speculative trading activities
 for the speculative market at the Taiwan stock index futures (TX futures)
 over the period 1 January 2000 to 31 October 31 2007. By testing the
 impact of contemporaneous (lagged) speculative trading activities for
 futures return and conditional volatility, we examine tax and seasonal
 effects for speculative trading activities. Our empirical results reveal a
 positive relationship of contemporaneous speculative trading activities
 for daily futures return and conditional volatility, and a negative
 relationship of lagged speculative trading activities and conditional
 return volatility. Furthermore, we incorporate speculation ratio into
 Glosten, Jagannathan and Runkle-Generalized Autoregressive Conditional
 Heteroscedastic (GJR-GARCH) model and find asymmetric volatility in
 conditional return of TX futures. In addition, evidence shows that
 speculative trading activities significantly increased in the period
 following the reduction in the rate of transaction tax, and significantly
 decreased on Monday. Finally, we support seasonal behaviour for
 speculative trading activities on the TX index futures. 
Journal: Applied Financial Economics 
Pages: 1761-1768 
Issue: 23 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.524614 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524614
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:23:p:1761-1768




Template-Type: ReDIF-Article 1.0
Author-Name: Virginie Coudert 
Author-X-Name-First: Virginie 
Author-X-Name-Last: Coudert 
Author-Name: Mathieu Gex 
Author-X-Name-First: Mathieu 
Author-X-Name-Last: Gex 
Title: Disrupted links between credit default swaps, bonds and equities during the GM and Ford crisis in 2005 
Abstract:
  We analyse the crisis experienced by General Motors (GM) and Ford
 following the downgrading of their credit ratings in May 2005 and its
 impact on the financial markets. At that time, the Credit Default Swap
 (CDS) premia of GM and Ford sharply increased; all other CDS premia also
 rose markedly, but stock markets hardly reacted. We try to determine if
 the usual links between CDS, bonds and stocks were affected by the crisis.
 To answer this question, we consider 5-year maturity CDS premia and stock
 prices for 120 major US and European firms, and construct a generic 5-year
 bond for each of these firms. We estimate nonlinear Vector
 Error-Correction Model (VECM) and Vector Autoregressive (VAR) model at the
 firm level. First, the results show that the CDS market has a lead over
 the bond market, confirming previous results by Blanco et&#xa0;al. (2005)
 and Zhu (2006), whereas the stock market tends to lead the CDS market.
 Second, we show that those markets were somewhat disconnected during the
 crisis, as their links were significantly loosened. 
Journal: Applied Financial Economics 
Pages: 1769-1792 
Issue: 23 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.524618 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524618
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:23:p:1769-1792




Template-Type: ReDIF-Article 1.0
Author-Name: Yothin Jinjarak 
Author-X-Name-First: Yothin 
Author-X-Name-Last: Jinjarak 
Author-Name: Huanhuan Zheng 
Author-X-Name-First: Huanhuan 
Author-X-Name-Last: Zheng 
Title: Financial panic and emerging market funds 
Abstract:
  This article studies equity investment of emerging-market funds based on
 the 2003-2009 weekly data and compares the dynamics of flow and return
 between tranquil period and financial panic based on the experience of the
 latest 2008-2009 global financial crisis. First, we find that the
 well-documented positive feedback trading is a tranquil-period phenomenon
 such that it is more difficult in general for emerging-market funds to
 attract new investment in financial panic. Second, the predictive power of
 flow on return is driven by a combination of price pressure and
 information effects in tranquil period, while the information effect
 dominates in financial panic. Third, the underlying co-movements or
 contagion of flow across the emerging-market funds influence the
 association between flow and return. Overall, the findings highlight the
 importance of accounting for state-dependent dynamics as well as
 cross-regional co-movements in the analysis of flow and return. 
Journal: Applied Financial Economics 
Pages: 1793-1805 
Issue: 23 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.526572 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526572
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:23:p:1793-1805




Template-Type: ReDIF-Article 1.0
Author-Name: Wei-Huei Hsu 
Author-X-Name-First: Wei-Huei 
Author-X-Name-Last: Hsu 
Author-Name: Abdullah Mamun 
Author-X-Name-First: Abdullah 
Author-X-Name-Last: Mamun 
Author-Name: Lawrence Rose 
Author-X-Name-First: Lawrence 
Author-X-Name-Last: Rose 
Title: Size does matter! The intra-industry effect of bank loan ratings 
Abstract:
  We observe an intra-industry effect following a bank loan rating
 downgrade announcement, which differs for large and small competitors. A
 significant negative market reaction occurs between smaller competitors
 and rated firms, indicating the presence of a contagion effect; while
 significantly positive market reactions for larger competitors of rated
 firms indicate a competitive effect is present. We compare the size of
 rated firms with a corresponding competitor at firm level instead of
 aggregating at an industry level. This approach indicates an
 intra-industry effect is present, which differs depending on the relative
 size of competitors to the announcing firm. Our results confirm that
 rating agencies offer valuable information to the marketplace. 
Journal: Applied Financial Economics 
Pages: 1807-1818 
Issue: 23 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.526573 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526573
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:23:p:1807-1818




Template-Type: ReDIF-Article 1.0
Author-Name: Neil Hartnett 
Author-X-Name-First: Neil 
Author-X-Name-Last: Hartnett 
Title: The value relevance of earnings forecast disclosures: an investigation of forecast attributes and signalling in the Australian IPO context 
Abstract:
  Evidence regarding the value relevance of corporate earnings forecast
 disclosures made during initial public offerings has not been consistent
 in the literature. This study considers several different attributes of an
 earnings forecast that might better determine the forecast's value
 relevance and which could therefore help to explain prior inconsistencies.
 These emphases include the forecast disclosure itself, the forecast size
 and the forecast interval. This study analyses forecast disclosures across
 a sample of 300 companies listing on the Australian Securities Exchange
 (ASX). Results indicate neither forecast disclosure nor forecast size to
 be discriminating factors of relevance and this contrasts with earlier
 studies. Differential value relevance was observed for forecasts with
 forecast intervals of less than 12 months, vis-a-vis other disclosures.
 This outcome provides evidence to suggest the dichotomous variable of
 forecast disclosure/nondisclosure used in prior studies might not always
 effectively proxy the change in information asymmetry or signalling
 effects typically proposed in the literature. 
Journal: Applied Financial Economics 
Pages: 1819-1828 
Issue: 23 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.526574 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526574
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:23:p:1819-1828




Template-Type: ReDIF-Article 1.0
Author-Name: Cristina Ortiz 
Author-X-Name-First: Cristina 
Author-X-Name-Last: Ortiz 
Author-Name: Gloria Ramirez 
Author-X-Name-First: Gloria 
Author-X-Name-Last: Ramirez 
Author-Name: Luis Vicente 
Author-X-Name-First: Luis 
Author-X-Name-Last: Vicente 
Title: Quarterly return patterns in the Spanish stock market 
Abstract:
  In this article, we analyse the potential quarterly anomalies of Spanish
 stock returns. We extend previous studies by analysing the daily
 Cumulative Abnormal Return (CAR) in the first trading days of a quarter to
 better understand the behaviour of stocks. Our results show no clear stock
 return anomalies during the first three quarters of the year that is
 consistent with the existing literature. Nevertheless, the results provide
 evidence of a significant anomaly for the last quarter, especially for
 loser small-cap stocks. This turn-of-the-year effect is stronger in bear
 market years than in bull market years. The daily return analysis for
 January shows that the main CAR is reached in the first trading days of
 the year and that the current personal income tax law in Spain has
 prolonged the duration of the January effect. 
Journal: Applied Financial Economics 
Pages: 1829-1838 
Issue: 23 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.528366 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528366
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:23:p:1829-1838




Template-Type: ReDIF-Article 1.0
Author-Name: Zhipeng Yan 
Author-X-Name-First: Zhipeng 
Author-X-Name-Last: Yan 
Author-Name: Yan Zhao 
Author-X-Name-First: Yan 
Author-X-Name-Last: Zhao 
Title: New evidence on value investing in emerging equity markets 
Abstract:
  We design modified value investing strategies in emerging equity markets
 by comparing a country's value weight with its market capitalization
 weight among a group of emerging countries. These strategies can be easily
 tested and implemented by using various country index funds. Our proposed
 strategy calculates the delta weight, the difference of a country's weight
 based on value (Gross Domestic Product (GDP), Earning-Price (EP) ratio or
 Dividend Yield (DY)) and its capitalization weight, for each country. If
 the delta weight is positive, the country's index fund is considered
 undervalued and the strategy is to buy delta shares of that country's
 equity. Conversely, if delta weight is negative, the country's index fund
 is deemed as overvalued and the strategy is to short delta shares of that
 country's equity. These market neutral delta strategies can generate
 annualized returns of 14.25-16.89% even with the presence of
 over-weighting constraints which limit the over-investment in small
 financial markets. 
Journal: Applied Financial Economics 
Pages: 1839-1849 
Issue: 24 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.526576 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526576
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1839-1849




Template-Type: ReDIF-Article 1.0
Author-Name: Hong Liu 
Author-X-Name-First: Hong 
Author-X-Name-Last: Liu 
Author-Name: John Wilson 
Author-X-Name-First: John 
Author-X-Name-Last: Wilson 
Title: The profitability of banks in Japan 
Abstract:
  This article investigates the profitability of Japanese banks following
 the major financial crisis that affected the country's economy in the
 mid-1990s. Further, it examines the determinants of bank profitability for
 a sample of banks with different ownership structures (City, Trust,
 Regional, Second Association Regional, Shinkin and Other Credit
 Cooperatives). We find evidence that well capitalized, efficient banks,
 with lower credit risks tend to outperform less capitalized, less
 efficient counterparts with higher credit risks. Second Association
 Regional banks and Shinkin banks (but not other ownership types) appear to
 benefit from diversification advantages which feed through to
 profitability. Furthermore, we find that industry concentration, Gross
 Domestic Product (GDP) growth and the extent of stock market development
 play an important role in determining the profitability of Japanese banks. 
Journal: Applied Financial Economics 
Pages: 1851-1866 
Issue: 24 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.526577 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526577
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1851-1866




Template-Type: ReDIF-Article 1.0
Author-Name: Kurt Rotthoff 
Author-X-Name-First: Kurt 
Author-X-Name-Last: Rotthoff 
Title: Product liability litigation: an issue of Merck and lawsuits over Vioxx 
Abstract:
  Merck & Co., Inc. pulled Vioxx, a $2.5 billon a year nonsteroidal
 anti-inflammatory drug, off the shelf in September 2004. The removal
 followed a study that was published reporting Vioxx increased the risk of
 Cardiovascular Events (CE) after long-term use. In the years since then,
 many lawsuits have been filed against Merck. This article examines the
 incentive to recall a product and the effects of Merck pulling Vioxx from
 the shelves. Using the market's expected Internal Rate of Return (IRR) for
 Merck, I calculate the expected profits from future Vioxx sales. I then
 use data on financial effects to show how the Market Value (MV) of Merck
 reflects their probability of winning legal cases concerning Vioxx. 
Journal: Applied Financial Economics 
Pages: 1867-1878 
Issue: 24 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.526571 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526571
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1867-1878




Template-Type: ReDIF-Article 1.0
Author-Name: Hamid Baghestani 
Author-X-Name-First: Hamid 
Author-X-Name-Last: Baghestani 
Title: Evaluating Blue Chip forecasts of the trade-weighted dollar exchange rate 
Abstract:
  Existing studies examining exchange rate expectations have used data from
 surveys which ask participants to provide their forecasts in, for example,
 3 months, 6 months, 12 months and so on. This study contributes to the
 literature by evaluating the Blue Chip quarterly forecasts of
 trade-weighted dollar exchange rates collected as 3-month averages. As
 such, the actual rates (against which we evaluate the forecasts) are
 quarterly averages instead of the end-of-period figures utilized by
 previous studies. Our findings for 1989-2008 reveal that forecast accuracy
 improves with a reduction in lead time. The forecasts, however, display a
 Topically Oriented Trend Adjustment (TOTA) behaviour and thus fail to be
 forward-looking. Further evidence indicates that Blue Chip forecasts are
 unbiased but, in general, fail to outperform those of the random walk in
 terms of predictive information content and directional accuracy. From a
 more practical perspective, Blue Chip forecasts are generally unable to
 accurately predict directional change and are thus of no value to a user. 
Journal: Applied Financial Economics 
Pages: 1879-1889 
Issue: 24 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.526578 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526578
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1879-1889




Template-Type: ReDIF-Article 1.0
Author-Name: Brian Jacobsen 
Author-X-Name-First: Brian 
Author-X-Name-Last: Jacobsen 
Title: Forecasting with distributional scaling 
Abstract:
  Option pricing and allocation tools in portfolio construction should be
 prospective - based on assumptions about how prices will change in the
 future. Most capital market assumptions used in portfolio construction are
 based on retrospective analysis, boiling down to simple calculations of
 historical correlations. A better method is to take advantage of the
 self-similarity of returns where tick-by-tick returns are scaled up to
 daily returns, or where daily returns are scaled up to monthly returns.
 Distributional scaling can be used for this purpose. 
Journal: Applied Financial Economics 
Pages: 1891-1892 
Issue: 24 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.528364 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528364
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1891-1892




Template-Type: ReDIF-Article 1.0
Author-Name: Tseng-Chung Tang 
Author-X-Name-First: Tseng-Chung 
Author-X-Name-Last: Tang 
Title: The effect of performance on corporate disclosure: an empirical study of Taiwan banks 
Abstract:
  This study addresses bank performance and its effect on disclosure
 practices. Results show that better-performing banks are less likely to
 disclose information on their corporate governance practices possibly
 because of their desire to avoid the two-audience signalling problem. In
 addition, large and highly leveraged banks tend to disclose more; the
 former may wish to alleviate public criticism or government interference
 in their affairs, while the latter may wish to minimize their agency costs
 of debt. This study also extends previous work by exploring an empirical
 exposition of the Receiver Operating Characteristic (ROC) curve analysis,
 and thus provides compelling evidence on the reliability and robustness of
 the model. 
Journal: Applied Financial Economics 
Pages: 1893-1899 
Issue: 24 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.528359 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528359
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1893-1899




Template-Type: ReDIF-Article 1.0
Author-Name: E. Guo 
Author-X-Name-First: E. 
Author-X-Name-Last: Guo 
Author-Name: O. Suliman 
Author-X-Name-First: O. 
Author-X-Name-Last: Suliman 
Title: Corporate operating characteristics and capital structure: causality testing in heterogeneous panel data 
Abstract:
  This article adopts a new technique, developed by Hurlin (2004), to test
 for Granger causality between capital structure and corporate operating
 characteristics including time-invariant, firm-specific effects in
 heterogeneous panel data from five US industries over the period 1980 to
 2002. Previous studies addressed the issue of whether corporate operating
 characteristics cause changes in capital structure while our study focuses
 on the causal linkages between capital structure and corporate operating
 characteristics. For robustness, we validated the results using the Mixed
 Fixed Random (MFR) technique developed by Nair-Reichert and Weinhold
 (2001). The results indicate that causality test is more revealing than
 correlation-based analyses. It is clear that capital structure theories
 are co-existent in different industries. The study provides ample evidence
 that simultaneity between corporate operating characteristics and capital
 structure is prevalent with differential results in different industries
 and forms of debt. 
Journal: Applied Financial Economics 
Pages: 1901-1922 
Issue: 24 
Volume: 20 
Year: 2010 
X-DOI: 10.1080/09603107.2010.526575 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526575
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1901-1922




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Taylor 
Author-X-Name-First: Mark 
Author-X-Name-Last: Taylor 
Title: Special issue in honour of Clive Granger 
Abstract:
  This special issue of Applied Financial Economics is dedicated to the
 memory and the achievements of Professor Sir Clive Granger, economics
 Nobel laureate and one of the great econometricians and applied economists
 of the twentieth and early twenty-first centuries. As editor of the
 Applied Economics journals I am proud that Sir Clive had such a long and
 distinguished association with the journals; indeed he was one of the
 early editors of Applied Economics and was for many years on the editorial
 board of both Applied Economics and Applied Financial Economics. Sir Clive
 also published a number of his own papers in the journals, the first in
 1971 (in Applied Economics) and the last in 2001 (in Applied Financial
 Economics). 
Journal: Applied Financial Economics 
Pages: 1-2 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.534276 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.534276
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:1-2




Template-Type: ReDIF-Article 1.0
Author-Name: Clive Granger 
Author-X-Name-First: Clive 
Author-X-Name-Last: Granger 
Title: The Applied Economics journals: a personal reflection 
Abstract:
Journal: Applied Financial Economics 
Pages: 3-5 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.528251 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.528251
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:3-5




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Harvey 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Harvey 
Title: Modelling the Phillips curve with unobserved components 
Abstract:
  The relationship between inflation and the output gap can be modelled
 simply and effectively by including an unobserved random walk component in
 the model. The dynamic properties match the stylized facts and the random
 walk component satisfies the properties normally required for core
 inflation. The model may be generalized so as to include a term for the
 expectation of next period's output, but it is shown that this is
 difficult to distinguish from the original specification. The model is
 fitted as a single equation and as part of a bivariate model that includes
 an equation for Gross Domestic Product (GDP). Fitting the bivariate model
 highlights some new aspects of Unobserved Components (UC) modelling.
 Single equation and bivariate models tell a similar story: an output gap
 2% above trend is associated with an annual inflation rate that is 1%
 above core inflation. 
Journal: Applied Financial Economics 
Pages: 7-17 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.523169 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.523169
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:7-17




Template-Type: ReDIF-Article 1.0
Author-Name: David Hendry 
Author-X-Name-First: David 
Author-X-Name-Last: Hendry 
Title: Revisiting UK consumers' expenditure: cointegration, breaks and robust forecasts 
Abstract:
  We revisit equilibrium-correction modelling of aggregate real consumers'
 expenditure in the UK, using Autometrics applied to the data in Davidson,
 Hendry, Srba and Yeo (DHSY; 1978). The many selection decisions involved
 in developing viable empirical models are discussed in a setting where
 there are more candidate explanatory variables than observations, here due
 to Impulse-Indicator Saturation (IIS) for detecting breaks, outliers and
 data contamination. Additional tests of the selected model include whether
 it encompasses the original specification, evidence of nonlinearity and if
 the conditioning variables are super exogenous. We consider how IIS
 affects economic interpretations of models, and conversely, and the
 implications of robust forecasting devices. 
Journal: Applied Financial Economics 
Pages: 19-32 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.523173 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.523173
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:19-32




Template-Type: ReDIF-Article 1.0
Author-Name: Kenneth Wallis 
Author-X-Name-First: Kenneth 
Author-X-Name-Last: Wallis 
Title: Combining forecasts - forty years later 
Abstract:
  This article is dedicated to the memory of Clive Granger, a founding
 editor of this journal. Its title echoes the title of his invited review
 article in a special issue of the Journal of Forecasting in 1989. That
 issue marked the twentieth anniversary of the publication of his article
 with John Bates, which is widely regarded as the seminal article in the
 field of forecast combination. This article returns to two of the topics
 in 'Combining forecasts - twenty years later' that are of much current
 interest, namely the impact of forecasters' different information sets on
 the original point forecast combination result, and properties of
 different methods of combining density forecasts. A parallel result to his
 inefficiency-of-mean-forecasts result for point forecasts is seen to apply
 to density forecasts, where logarithmic combination is shown to have some
 advantage over linear combination. 
Journal: Applied Financial Economics 
Pages: 33-41 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.523179 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.523179
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:33-41




Template-Type: ReDIF-Article 1.0
Author-Name: Nii Ayi Armah 
Author-X-Name-First: Nii Ayi 
Author-X-Name-Last: Armah 
Author-Name: Norman Swanson 
Author-X-Name-First: Norman 
Author-X-Name-Last: Swanson 
Title: Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators 
Abstract:
  Central banks regularly monitor select financial and macroeconomic
 variables in order to obtain early indication of the impact of monetary
 policies. This practice is discussed on the Federal Reserve Bank of New
 York website, for example, where one particular set of macroeconomic
 'indicators' is given. In this article, we define a particular set of
 'indicators' that is chosen to be representative of the typical sort of
 variable used in practice by both policy-setters and economic forecasters.
 As a measure of the 'adequacy' of the 'indicators', we compare their
 predictive content with that of a group of observable factor proxies
 selected from amongst 132 macroeconomic and financial time series, using
 the diffusion index methodology of Stock and Watson (SW, 2002a, b) and the
 factor proxy methodology of Bai and Ng (2006a, b) and Armah and Swanson
 (2010). The variables that we predict are output growth and inflation, two
 representative variables from our set of indicators that are often
 discussed when assessing the impact of monetary policy. Interestingly, we
 find that the indicators are all contained within the set the observable
 variables that proxy our factors. Our findings, thus, support the notion
 that a judiciously chosen set of macroeconomic indicators can effectively
 provide the same macroeconomic policy-relevant information as that
 contained in a large-scale time-series dataset. Of course, the large-scale
 datasets are still required in order to select the key indicator variables
 or confirm one's prior choice of key variables. Our findings also suggest
 that certain yield 'spreads' are also useful indicators. The particular
 spreads that we find to be useful are the difference between treasury or
 corporate yields and the federal funds rate. After conditioning on these
 variables, traditional spreads, such as the yield curve slope and the
 reverse yield gap are found to contain no additional marginal predictive
 content. We also find that the macroeconomic indicators (not including
 spreads) perform best when forecasting inflation in nonvolatile time
 periods, while inclusion of our spread variables improves predictive
 accuracy in times of high volatility. 
Journal: Applied Financial Economics 
Pages: 43-60 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.523188 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.523188
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:43-60




Template-Type: ReDIF-Article 1.0
Author-Name: Philip Hans Franses 
Author-X-Name-First: Philip 
Author-X-Name-Last: Hans Franses 
Author-Name: Heleen Mees 
Author-X-Name-First: Heleen 
Author-X-Name-Last: Mees 
Title: Does news on real Chinese GDP growth impact stock markets? 
Abstract:
  Real Gross Domestic Product (GDP) growth in China follows a random walk.
 Also, it has often been suggested that China 'cooks its books', that is to
 say that governmental officials in China manipulate economic statistics,
 such as GDP growth rate to present the outside world a rosy picture
 (Foreign Policy, 3 September 2009). If such unreliability is known to
 stock traders, news on GDP should not impact stock market fluctuations or
 their volatility. We test this hypothesis for 12 series with daily stock
 market returns for the years 2006 to and including 2009. 
Journal: Applied Financial Economics 
Pages: 61-66 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.523190 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.523190
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:61-66




Template-Type: ReDIF-Article 1.0
Author-Name: Timo Terasvirta 
Author-X-Name-First: Timo 
Author-X-Name-Last: Terasvirta 
Author-Name: Zhenfang Zhao 
Author-X-Name-First: Zhenfang 
Author-X-Name-Last: Zhao 
Title: Stylized facts of return series, robust estimates and three popular models of volatility 
Abstract:
  Financial return series of sufficiently high frequency display stylized
 facts such as volatility clustering, high kurtosis, low starting and
 slow-decaying autocorrelation function of squared returns and the
 so-called Taylor effect. In order to evaluate the capacity of volatility
 models to reproduce these facts, we apply both standard and robust
 measures of kurtosis and autocorrelation of squares to first-order
 Generalized Autoregressive Conditional Heteroscedasticity (GARCH),
 Exponential GARCH (EGARCH) and Autoregressive Stochastic Volaticity (ARSV)
 models. Robust measures provide a fresh view of stylized facts, which is
 useful because many financial time series can be viewed as being
 contaminated with outliers. 
Journal: Applied Financial Economics 
Pages: 67-94 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.523195 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.523195
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:67-94




Template-Type: ReDIF-Article 1.0
Author-Name: Dick van Dijk 
Author-X-Name-First: Dick van 
Author-X-Name-Last: Dijk 
Author-Name: Haris Munandar 
Author-X-Name-First: Haris 
Author-X-Name-Last: Munandar 
Author-Name: Christian Hafner 
Author-X-Name-First: Christian 
Author-X-Name-Last: Hafner 
Title: The euro introduction and noneuro currencies 
Abstract:
  This article documents the existence of large structural breaks in the
 unconditional correlations among the US dollar exchange rates of the
 British pound, Norwegian krone, Swedish krona, Swiss franc and euro during
 the period 1994 to 2003. Using the framework of Dynamic Conditional
 Correlation (DCC) models, we find that such breaks occurred both at the
 time the formal decision to proceed with the euro was made in December
 1996 and at the time of the actual introduction of the euro in January
 1999. Most correlations were substantially lower during the intervening
 period. We also find breaks in unconditional volatilities at the same
 points in time, but these are comparatively of a much smaller magnitude. 
Journal: Applied Financial Economics 
Pages: 95-116 
Issue: 1-2 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2011.523197 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.523197
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:95-116




Template-Type: ReDIF-Article 1.0
Author-Name: Yosef Bonaparte 
Author-X-Name-First: Yosef 
Author-X-Name-Last: Bonaparte 
Author-Name: Frank Fabozzi 
Author-X-Name-First: Frank 
Author-X-Name-Last: Fabozzi 
Title: Savings selectivity bias, subjective expectations and stock market participation 
Abstract:
  Studies of household stock market participation report low participation
 rates. The explanations cited are that the fixed costs associated with
 participation and high risk aversion discourage households from buying
 stocks. However, the low participation rate findings are unchallenged. We
 argue that because prior studies fail to recognize that not all households
 save, there exists a selection bias when estimating the household
 participation rate. After correcting for this selection bias, as well as
 accounting for the influence of subjective expectations on market
 participation, we show that the unconditional probability of participating
 in the stock market would increase twofold. 
Journal: Applied Financial Economics 
Pages: 119-130 
Issue: 3 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.526579 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526579
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:3:p:119-130




Template-Type: ReDIF-Article 1.0
Author-Name: Axel Weber 
Author-X-Name-First: Axel 
Author-X-Name-Last: Weber 
Author-Name: Rafael Gerke 
Author-X-Name-First: Rafael 
Author-X-Name-Last: Gerke 
Author-Name: Andreas Worms 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Worms 
Title: Changes in euro area monetary transmission? 
Abstract:
  Empirical evidence on whether euro area monetary transmission has changed
 is, at best, mixed. We argue that this inconclusiveness is likely to be
 due to the fact that existing empirical studies concentrate on the effects
 of particular developments on specific transmission channels. Such
 analyses typically require strong assumptions. Moreover, specific changes
 could have off-setting effects regarding the overall effectiveness of
 monetary policy. In order to shed light on this issue, we investigate
 whether there has been a significant change in the overall transmission of
 monetary policy to inflation and output by estimating a standard Vector
 Autoregression (VAR) for the euro area and by endogenously searching for
 possible break dates. We find a significant break point around 1996 and
 some evidence for a second one around 1999. We compare the effects of
 monetary policy shocks for these episodes and find that the well-known
 'stylized facts' of monetary policy transmission remain valid. Therefore,
 we argue that the general guiding principles of the Eurosystem monetary
 policy remain adequate. Moreover, it seems that monetary transmission
 after 1998 is not very different from before 1996, but probably very
 different compared to the interim period. 
Journal: Applied Financial Economics 
Pages: 131-145 
Issue: 3 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.526580 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526580
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:3:p:131-145




Template-Type: ReDIF-Article 1.0
Author-Name: Ricardo Sousa 
Author-X-Name-First: Ricardo 
Author-X-Name-Last: Sousa 
Title: Building proxies that capture time-variation in expected returns using a VAR approach 
Abstract:
  I use the consumer's budget constraint to derive a relationship between
 stock market returns, the residuals of the trend relationship among
 consumption, aggregate wealth and labour income, and three major sources
 of risk: future changes in the housing consumption share, future labour
 income growth and future consumption growth. I model the joint dynamics of
 changes in the housing consumption share, consumption-growth, wealth
 growth, income growth, asset returns, consumption-wealth ratio and
 dividend-price ratio, and show that asset returns largely reflect
 expectations about long-run risk. On the other hand, unexpected shocks
 play a negligible role in the context of forecasting future asset returns.
 Combining the intertemporal budget constraint and the forecasting
 properties of an informative Vector Autoregression (VAR), one can,
 therefore, generate the predictability of many economically motivated
 variables developed in the literature on asset pricing, and accommodate
 the implications of a wide class of optimal models of consumer behaviour
 without imposing a functional form on preferences. 
Journal: Applied Financial Economics 
Pages: 147-163 
Issue: 3 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.528358 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528358
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:3:p:147-163




Template-Type: ReDIF-Article 1.0
Author-Name: Jean Jinghan Chen 
Author-X-Name-First: Jean Jinghan 
Author-X-Name-Last: Chen 
Author-Name: Peng Cheng 
Author-X-Name-First: Peng 
Author-X-Name-Last: Cheng 
Author-Name: Xinrong Xiao 
Author-X-Name-First: Xinrong 
Author-X-Name-Last: Xiao 
Title: Related party transactions as a source of earnings management 
Abstract:
  In this article, we contribute to the earnings management literature by
 addressing the issue of Related Party Transactions (RPTs) during a firm's
 Initial Public Offering (IPO) process. We regard RPT-based earnings
 management as a kind of agency problem in the context of Chinese IPOs, and
 argue that the conflicts of interests between the controlling shareholders
 and the minority shareholders are the root of RPT-based earnings
 management in Chinese IPOs. We provide empirical evidence to demonstrate
 that RPT-based earnings management in a portfolio of earnings management
 tools including accruals management, and how it affects the firm's
 post-IPO long-term performance in China. Using 257 Chinese A and B shares
 IPOs during 1999 and 2000, our empirical findings suggest that controlling
 shareholders structure operating RPTs in pre-IPO period and these RPTs are
 positively associated with firm's operating performance. The decline in
 operating RPTs after IPO contributes to firm's post-IPO long-term
 underperformance and negatively affects firms' stock return. 
Journal: Applied Financial Economics 
Pages: 165-181 
Issue: 3 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.528361 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528361
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:3:p:165-181




Template-Type: ReDIF-Article 1.0
Author-Name: Shapour Mohammadi 
Author-X-Name-First: Shapour 
Author-X-Name-Last: Mohammadi 
Author-Name: Ahmad Pouyanfar 
Author-X-Name-First: Ahmad 
Author-X-Name-Last: Pouyanfar 
Title: Behaviour of stock markets' memories 
Abstract:
  In this article, we show that the memory of markets has nonchaotic
 behaviour. Its time trend is neutral and nonlinearity tests such as Brock,
 Dechert, Sheinkman (BDS) rejects nonlinearity in stock markets' memories.
 The estimation of fractional differencing parameters is carried out by
 various methods such as Maximum Likelihood Estimation (MLE), Nonlinear
 Least Squares (NLS), Hurst exponents, Gewek, Porter- Hudak (GPH), wavelet
 transformation, and Whittle. Also Lyapunov exponents are estimated by two
 methods of Rosenstein and Jacobian. Results of Lyapunov exponent
 estimation shows memory of markets are not chaotic. Furthermore, there are
 no any Autoregressive Conditional Heteroscedasticity (ARCH) effects in
 memory of markets. ARCH test is more specific than the BDS test and it may
 powerful test for detecting possible ARCH effects. All of tests show
 memory of markets has random behaviour. 
Journal: Applied Financial Economics 
Pages: 183-194 
Issue: 3 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.524620 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.524620
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:3:p:183-194




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitrios Sideris 
Author-X-Name-First: Dimitrios 
Author-X-Name-Last: Sideris 
Title: Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states 
Abstract:
  This article has two aims. The first aim is to assess the potential for
 an Optimum Currency Area (OCA) of six New Member States (NMS) of the EU
 (Bulgaria, the Czech Republic, Hungary, Poland, Romania and Slovakia) with
 the eurozone, by applying the theory of the Generalized Purchasing Power
 Parity (G-PPP). The second aim is to examine whether the introduction of
 the euro in 1999 and the policy decision of the six countries to join the
 eurozone, have created any forces fostering their convergence - evidence
 which would be in line with the theory on the endogeneity of the OCA
 criteria. Our findings indicate that G-PPP holds for the real exchange
 rates of the six NMS for the post euro period, and that the introduction
 of the euro and the choice of the six economies to participate in the EU
 did promote their integration. 
Journal: Applied Financial Economics 
Pages: 195-206 
Issue: 4 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.528360 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528360
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:4:p:195-206




Template-Type: ReDIF-Article 1.0
Author-Name: Evrim Imer-Ertunga 
Author-X-Name-First: Evrim 
Author-X-Name-Last: Imer-Ertunga 
Title: Global financing conditions and sovereign debt yields of emerging market countries 
Abstract:
  This article provides an analysis for the comovements of global financing
 conditions and sovereign debt yields of three emerging market countries
 having huge current account deficits. Instant effects of 10-year
 government bonds of G-3 countries and the United Kingdom may be important
 in calculating global financing conditions. Hence, global financing
 conditions can be derived by an index taking the daily 10-year government
 bonds of these countries into account. The index may help to understand
 the global linkages between the advanced and emerging market countries.
 Both correlation coefficients and univariate Generalized Autoregressive
 Conditional Heteroscedasticity (GARCH) results exhibit that when global
 economy was in disarray, advanced economies bond yields tended to fall
 (due to expectations of low inflation and low growth rate), and emerging
 bond yields tended to rise (due to global risk aversion). Besides, GARCH
 (1, 1) results show that the variances of the Hungary, South Africa and
 Turkey are mainly affected by last day's volatility. 
Journal: Applied Financial Economics 
Pages: 207-215 
Issue: 4 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.528363 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528363
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:4:p:207-215




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Carver 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Carver 
Author-Name: Matthew Ennis 
Author-X-Name-First: Matthew 
Author-X-Name-Last: Ennis 
Title: The real options content of oil producer stocks 
Abstract:
  Oil producers may have options to expand or abandon their operations, the
 exercise of which depends on prevailing oil prices and production costs.
 These embedded options suggest that the equity of oil production firms may
 resemble options on oil. This article examines whether options of various
 strike prices and maturity dates replicate the daily changes in oil
 producers' stock prices. We find that oil producer stocks resemble options
 contracts and that implied strike prices are related to production costs.
 Large integrated oil companies have implied strikes ranging from $10 to
 $35 per barrel, while higher production cost Canadian oil sands producers
 have implied strikes of $35-$60 per barrel. The results provide insights
 to investors interested in either understanding producers' exposure to oil
 or designing a trading strategy to take advantage of the gamma provided by
 oil producer optionality. 
Journal: Applied Financial Economics 
Pages: 217-231 
Issue: 4 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.528362 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528362
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:4:p:217-231




Template-Type: ReDIF-Article 1.0
Author-Name: Seung Hee Choi 
Author-X-Name-First: Seung Hee 
Author-X-Name-Last: Choi 
Author-Name: Bang Nam Jeon 
Author-X-Name-First: Bang Nam 
Author-X-Name-Last: Jeon 
Title: The impact of the macroeconomic environment on merger activity: evidence from US time-series data 
Abstract:
  This article investigates the dynamic impact of the macroeconomic
 environment on aggregate merger activity in the US economy obtained from
 firm-level data during the period from January 1980 to December 2004.
 Applying time-series econometric tools to US Mergers and Acquisitions
 (M&A) data, we find: First, there is a long-run equilibrium relationship
 between the set of macroeconomic variables and four alternative measures
 of merger activity, implying that the macroeconomic factors plays an
 important role in determining the trend of aggregate merger activity in
 the US economy. Second, the most important macroeconomic variables in
 determining M&A volume include real income for the frequency-based measure
 of US merger activity, and stock market conditions and monetary policy for
 transaction value based measures of aggregate mergers. The ascending phase
 of business cycle provides the most favourable environment for more
 mergers for all four measures of merger activity. Our subsample period
 study provides evidence that 'corporate net cash flow' plays a significant
 role after 1998, which is consistent with the free-cash-flow hypothesis.
 Third, there are short run adjustment processes to the long-run
 equilibrium path in US merger activity. The main processes of
 impulse-response dynamics seem to finish within the 5-6 quarter period. We
 also discuss policy implications and directions for future extension. 
Journal: Applied Financial Economics 
Pages: 233-249 
Issue: 4 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.528365 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528365
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:4:p:233-249




Template-Type: ReDIF-Article 1.0
Author-Name: Jyh-Horng Lin 
Author-X-Name-First: Jyh-Horng 
Author-X-Name-Last: Lin 
Author-Name: Chuen-Ping Chang 
Author-X-Name-First: Chuen-Ping 
Author-X-Name-Last: Chang 
Author-Name: Rosemary Jou 
Author-X-Name-First: Rosemary 
Author-X-Name-Last: Jou 
Title: A simple model of retail banking: a liquidity-providing perspective 
Abstract:
  The banking industry is experiencing a renewed focus on retail banking, a
 trend often attributed to the stability and profitability of retail
 activities. This article examines the impact of retail banking on
 performance by liquidity providing and branch network strategies. Our
 findings suggest that the bank will use cost-minimizing electronic
 technology to provide liquidity and external financing, which is linked
 with high bank interest margins but low default risk in bank equity
 returns. 
Journal: Applied Financial Economics 
Pages: 251-260 
Issue: 4 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.530211 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530211
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:4:p:251-260




Template-Type: ReDIF-Article 1.0
Author-Name: Shwu-Jane Shieh 
Author-X-Name-First: Shwu-Jane 
Author-X-Name-Last: Shieh 
Author-Name: Chih-Yung Lin 
Author-X-Name-First: Chih-Yung 
Author-X-Name-Last: Lin 
Title: Pricing credit default swap with nonlinear dependence 
Abstract:
  The pricing model for a First-to-Default (FtD) Credit Default Swap (CDS)
 with three assets is constructed with the assumptions that the default
 barrier is changing over time, the survival probability is log-normally
 distributed, and the default-free interest rate is constant. We calibrate
 the nonlinear dependence structure in the joint survival function of these
 assets by applying elliptical and Archimedean copula functions. There are
 two parts in the empirical study. First, we estimate the prices of the CDS
 of 30 firms that compose the Dow Jones Industrial Index using the model
 with a single asset and find that the estimated prices are not
 significantly different from the market prices. Second, we estimate the
 CDS price of a portfolio that consists of AT&T, Microsoft and Coca-Cola
 using the pricing model we constructed. Results show that the dependence
 among these firms can be better described by Gumbel copula functions. 
Journal: Applied Financial Economics 
Pages: 261-269 
Issue: 4 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.530212 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530212
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:4:p:261-269




Template-Type: ReDIF-Article 1.0
Author-Name: Pornsit Jiraporn 
Author-X-Name-First: Pornsit 
Author-X-Name-Last: Jiraporn 
Author-Name: Yixin Liu 
Author-X-Name-First: Yixin 
Author-X-Name-Last: Liu 
Title: Staggered boards, accounting discretion and firm value 
Abstract:
  Motivated by agency theory, this study investigates how staggered boards
 influence accounting discretion. The results indicate that staggered
 boards do affect accounting discretion. In fact, the impact of staggered
 boards on accounting discretion is substantially larger (about seven times
 stronger) than the effect of all other corporate governance provisions
 combined. Firms with a staggered board exercise less income inflating
 accounting discretion. Further evidence reveals that accounting discretion
 has a benign effect on subsequent firm value. Yet, the presence of
 staggered boards reduces significantly the favourable effect of accounting
 discretion on subsequent firm performance. The evidence is robust to a
 large number of control variables including other governance provisions.
 The evidence is in line with the notion that staggered boards improve
 managers' job security, reduce managerial myopia, and thus induce managers
 to exercise less short-term transitory accounting discretion. 
Journal: Applied Financial Economics 
Pages: 271-285 
Issue: 5 
Volume: 21 
Year: 2010 
X-DOI: 10.1080/09603107.2010.530213 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530213
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2010:i:5:p:271-285




Template-Type: ReDIF-Article 1.0
Author-Name: Gabe de Bondt 
Author-X-Name-First: Gabe 
Author-X-Name-Last: de Bondt 
Author-Name: Tuomas Peltonen 
Author-X-Name-First: Tuomas 
Author-X-Name-Last: Peltonen 
Author-Name: Daniel Santabarbara 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Santabarbara 
Title: Booms and busts in China's stock market: estimates based on fundamentals 
Abstract:
  This article empirically models China's stock prices using conventional
 fundamentals: corporate earnings, risk-free interest rate and a proxy for
 equity risk premium. It uses the estimated long-run stock price
 misalignments to date booms and busts, and analyses equity market reforms
 and excess liquidity as potential drivers of these stock price
 misalignments. Results show that China's equity prices can be well
 modelled using fundamentals, but that various booms and busts can be
 identified. Policy actions, either taking the form of deposit rate
 changes, equity market reforms or excess liquidity, have significantly
 contributed to these misalignments. 
Journal: Applied Financial Economics 
Pages: 287-300 
Issue: 5 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.530218 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530218
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:5:p:287-300




Template-Type: ReDIF-Article 1.0
Author-Name: Naser Abumustafa 
Author-X-Name-First: Naser 
Author-X-Name-Last: Abumustafa 
Author-Name: Salah Nusair 
Author-X-Name-First: Salah 
Author-X-Name-Last: Nusair 
Title: Insider trading during the 2008 financial crisis 
Abstract:
  The literature suggests that insider trading may outperform the stock
 market by buying or selling stocks of the company in the short run and/or
 long run. For this research, we construct a daily index consisting of the
 most liquid and large company for each tested market: New York Stock
 Exchange (NYSE) and Kuwait Stock Exchange (KSE) to test for insider
 trading. Our finding indicates that insider trading at NYSE and KSE
 outperform the market in the short run only. The results suggest that both
 types of insider trading, buying or selling, are profitable in the short
 run. At the same time, our results conclude that all insiders trading are
 not profitable in the long run. Stocks that were sold or bought by
 insiders underperform the market in the long run. We also conclude that
 both types of insider trading activities significantly increased during
 the last quarter of 2008 and the first 2 months of 2009 in both NYSE and
 KSE. 
Journal: Applied Financial Economics 
Pages: 301-307 
Issue: 5 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.530217 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530217
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:5:p:301-307




Template-Type: ReDIF-Article 1.0
Author-Name: Patrick Kuok-Kun Chu 
Author-X-Name-First: Patrick Kuok-Kun 
Author-X-Name-Last: Chu 
Title: Study on the tracking errors and their determinants: evidence from Hong Kong exchange traded funds 
Abstract:
  This article presents the first study on the magnitude of tracking error
 and the determinants of tracking errors using the daily figures of the
 Exchange Traded Funds (ETFs) traded in Hong Kong stock market. In general,
 the results suggest that the tracking errors are comparatively higher than
 those documented in US and Australia. The magnitude of the tracking errors
 is also found to be negatively related to the size but positively related
 to the expense ratios of the funds, which are consistent with the previous
 studies. 
Journal: Applied Financial Economics 
Pages: 309-315 
Issue: 5 
Volume: 21 
Year: 2010 
X-DOI: 10.1080/09603107.2010.530215 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530215
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2010:i:5:p:309-315




Template-Type: ReDIF-Article 1.0
Author-Name: Wen-Yi Lin 
Author-X-Name-First: Wen-Yi 
Author-X-Name-Last: Lin 
Author-Name: Po-Jung Chen 
Author-X-Name-First: Po-Jung 
Author-X-Name-Last: Chen 
Author-Name: Sheng-Syan Chen 
Author-X-Name-First: Sheng-Syan 
Author-X-Name-Last: Chen 
Title: Stock characteristics and herding in financial analyst recommendations 
Abstract:
  Most studies investigating the herding of financial analysts focused on
 the impact of analyst attributes on herding, while firm characteristics
 may also contribute significantly to herding. The primary objective of
 this study is to examine whether analyst recommendations prefer stocks
 with firm characteristics associated with future returns and demonstrate
 the so-called 'characteristic herding' behaviour. Thus, in this study, we
 incorporate within Welch's (2000) model those characteristics of firms
 relating to future returns; as a result, we find that 'characteristic
 herding' is discernible in the recommendations of financial analysts. This
 tendency towards herding in analyst recommendations increases with the
 firm size and book-to-price ratio of the stock. One of these two firm
 characteristics positively correlates with the future returns of stocks
 while the other displays a negative correlation. Consequently, the
 'characteristic herding' of analysts is caused in part by recommendations
 made on account of stock fundamentals and in part by other reasons. This
 may dampen the impact of future returns on herding. It has also been
 observed that herding exists in the market regardless of bull market or
 bear market. No significant inferiority is reported in analyst performance
 with herding when compared to the performance without herding. 
Journal: Applied Financial Economics 
Pages: 317-331 
Issue: 5 
Volume: 21 
Year: 2010 
X-DOI: 10.1080/09603107.2010.528367 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.528367
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2010:i:5:p:317-331




Template-Type: ReDIF-Article 1.0
Author-Name: Andros Gregoriou 
Author-X-Name-First: Andros 
Author-X-Name-Last: Gregoriou 
Title: The liquidity effects of revisions to the CAC40 stock index 
Abstract:
  This article explores liquidity effects following CAC40 index revisions
 over the time period 1997 to 2001. We find evidence of a sustained
 increase (decrease) in the liquidity of the added (deleted) stocks.
 Furthermore, the improvement (reduction) in the liquidity of the stocks is
 due to a decrease (increase) in the direct cost of trading as opposed to a
 reduction (enhancement) in the asymmetric information cost of transacting.
 The empirical findings support the information cost, liquidity
 explanation. This is because investors demand a smaller (larger) risk
 premium for investing in stocks with more (less) available information. 
Journal: Applied Financial Economics 
Pages: 333-341 
Issue: 5 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.530216 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530216
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:5:p:333-341




Template-Type: ReDIF-Article 1.0
Author-Name: Noah Patrick Stefanec 
Author-X-Name-First: Noah Patrick 
Author-X-Name-Last: Stefanec 
Title: The impact of firm strategies on stock market value in the biotechnology industry 
Abstract:
  To what degree do stock holders extend or withhold external finance to or
 from publicly traded biotech firms and why? To address this question, two
 firms are considered here; the results suggest that the most significant
 events favourably altering investor valuation of firms in the diagnostic
 segment of the biotechnology market are those which are distributional and
 knowledge-gathering in nature. Buyouts of firms in the therapeutic segment
 of the biotechnology market play a large role in the extraction of
 external finance, particularly because the purchasing of another firms'
 previous labours can significantly lower the costs of bringing new
 products to market. 
Journal: Applied Financial Economics 
Pages: 343-352 
Issue: 5 
Volume: 21 
Year: 2010 
X-DOI: 10.1080/09603107.2010.530214 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530214
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2010:i:5:p:343-352




Template-Type: ReDIF-Article 1.0
Author-Name: Antoine Giannetti 
Author-X-Name-First: Antoine 
Author-X-Name-Last: Giannetti 
Author-Name: Ariel Viale 
Author-X-Name-First: Ariel 
Author-X-Name-Last: Viale 
Title: A dynamic analysis of stock price ratios 
Abstract:
  Stock price ratios have long been used by finance practitioners as a
 relative value metric. A popular argument for this widespread use is that
 stock price ratios tend to revert to their long-run mean so that
 substantial deviations from historical averages could successfully be
 arbitraged away. In this work, we lay out the theoretical conditions for
 the ratio of stock prices to be a stationary process. In particular, we
 theoretically relate price ratio stationarity to economic mean reversion
 in profitability (as measured by dividends or earnings price ratios)
 across securities. We further test our theoretical predictions using a
 popular example of 'close' stocks. 
Journal: Applied Financial Economics 
Pages: 353-368 
Issue: 6 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.530219 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530219
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:6:p:353-368




Template-Type: ReDIF-Article 1.0
Author-Name: K. G. Stewart 
Author-X-Name-First: K. G. 
Author-X-Name-Last: Stewart 
Author-Name: L. Zheng 
Author-X-Name-First: L. 
Author-X-Name-Last: Zheng 
Title: Treating cross-dependence in event studies: the Canadian income trust leak 
Abstract:
  An alleged Canadian income trust announcement leak of 23 November 2005
 provides a remarkable example of the sensitivity of event study analysis
 to the treatment of cross-sectional dependence in returns. Whereas a leak
 should chiefly have affected the returns on other securities, not income
 trusts, we find that a mechanical application of standard event study
 methodology yields the seemingly strong but spurious finding that income
 trust returns were affected. The treatment of cross-sectional dependence
 reverses this finding. 
Journal: Applied Financial Economics 
Pages: 369-377 
Issue: 6 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532103 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532103
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:6:p:369-377




Template-Type: ReDIF-Article 1.0
Author-Name: A. Noulas 
Author-X-Name-First: A. 
Author-X-Name-Last: Noulas 
Author-Name: G. Genimakis 
Author-X-Name-First: G. 
Author-X-Name-Last: Genimakis 
Title: The determinants of capital structure choice: evidence from Greek listed companies 
Abstract:
  This article investigates the capital structure determination of firms
 listed on the Athens Stock Exchange, using both cross-sectional and
 nonparametric statistics. The data set is mainly composed of balance sheet
 data for 259 firms over a 9-year period from 1998 to 2006, excluding firms
 from the banking, finance, real estate and insurance sectors. The first
 part of the study assesses the extent to which leverage depends upon a
 broader set of capital structure determinants, while the latter provides
 evidence that capital structure varies significantly across a series of
 firm classifications. The results document empirical regularities with
 respect to alternative measures of debt that are consistent with existing
 theories and, in particular, reasonably support the pecking order
 hypothesis. Overall, this study tries to shed more light on corporate
 financing behaviour in a way to loosen the capital structure puzzle. 
Journal: Applied Financial Economics 
Pages: 379-387 
Issue: 6 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532108 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532108
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:6:p:379-387




Template-Type: ReDIF-Article 1.0
Author-Name: Liang Ding 
Author-X-Name-First: Liang 
Author-X-Name-Last: Ding 
Author-Name: Hiroyoki Miyake 
Author-X-Name-First: Hiroyoki 
Author-X-Name-Last: Miyake 
Author-Name: Hao Zou 
Author-X-Name-First: Hao 
Author-X-Name-Last: Zou 
Title: Asymmetric correlations in equity returns: a fundamental-based explanation 
Abstract:
  Many studies have shown that the correlation of stock portfolio returns
 is higher during market downturns, while very few of them offer an
 explanation for the causes of such an asymmetry. This article examines
 potential fundamental causes for the phenomenon. We find that such an
 asymmetry is caused by the following sources during market downturns:
 increasing common fundamental risk, higher correlation of individual
 fundamental risk and more sensitive loadings of these risk factors. We
 also find that these fundamental factors can only partially explain the
 asymmetric correlation. Possible mechanisms for these sources to drive the
 asymmetry are also discussed in the article. 
Journal: Applied Financial Economics 
Pages: 389-399 
Issue: 6 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532106 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532106
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:6:p:389-399




Template-Type: ReDIF-Article 1.0
Author-Name: Kenneth Hunsader 
Author-X-Name-First: Kenneth 
Author-X-Name-Last: Hunsader 
Author-Name: Ross Dickens 
Author-X-Name-First: Ross 
Author-X-Name-Last: Dickens 
Title: The oil industry's response to new avenues in futures trading 
Abstract:
  We examine the Cumulative Abnormal Returns (CARs) of petroleum, airline
 and investment banking firms to the announcement and initiation of trading
 for two new oil-related assets in 2006: West Texas Intermediate crude
 futures contracts traded via the Intercontinental Exchange and the
 American Stock Exchange's (AMEX) US Oil exchange traded fund (USO). In
 general, we find few significant changes, but the changes we find are
 marginally positive reactions related to the two new contracts. We also
 find evidence that firms which utilize derivatives benefit less than firms
 which do not. However, firms which trade derivatives (nonhedgers) have
 greater returns than nontraders (hedgers). 
Journal: Applied Financial Economics 
Pages: 401-413 
Issue: 6 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532104 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532104
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:6:p:401-413




Template-Type: ReDIF-Article 1.0
Author-Name: Elvan Aktas 
Author-X-Name-First: Elvan 
Author-X-Name-Last: Aktas 
Title: Systematic factors, information release and market volatility 
Abstract:
  Recent several months have demonstrated historical levels of market
 volatility; sometimes attributed to changes in previously hypothesized
 systematic risk factors, however many times without any known reason other
 than the overreaction by market participants. Times like these make it
 even more important that we have a better understanding of how markets
 receive and evaluate new information about systematic risk factors such as
 macroeconomic variables. Despite a strong intuitive notion and established
 theoretical relationships that these risk factors should influence equity
 values, few studies have been able to establish this relationship
 empirically. Previous research has used cash-market prices for equity
 indices, but perhaps options on those indices are more sensitive to the
 new information released to the market by the announcement of
 macroeconomic variables, as suggested by numerous empirical studies
 supporting the hypothesis that option traders might be a better informed
 segment of the population. In this study, I examine the impact of a broad
 set of macroeconomic announcements on equity index options, in search of
 candidates for priced factors. The data set includes 19 macro announcement
 series and daily option prices for the period from 1983 to 2002. I find
 that balance of trade, consumer price index, producer price index,
 employment, housing starts, money supply and retail sales are associated
 with higher volatility of index option returns. 
Journal: Applied Financial Economics 
Pages: 415-420 
Issue: 6 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.530220 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.530220
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:6:p:415-420




Template-Type: ReDIF-Article 1.0
Author-Name: A. E. Milionis 
Author-X-Name-First: A. E. 
Author-X-Name-Last: Milionis 
Author-Name: E. Papanagiotou 
Author-X-Name-First: E. 
Author-X-Name-Last: Papanagiotou 
Title: A test of significance of the predictive power of the moving average trading rule of technical analysis based on sensitivity analysis: application to the NYSE, the Athens Stock Exchange and the Vienna Stock Exchange. Implications for weak-form market efficiency testing 
Abstract:
  In this article, an alternative testing procedure for the significance of
 the predictive power of the Moving Average (MA) trading rule of technical
 analysis is proposed and applied to the New York Stock Exchange (NYSE),
 the Athens Stock Exchange (ASE) and the Vienna Stock Exchange (VSE). In
 contrast to existing methodologies, for which significance testing is
 performed considering exclusively one combination of MA lengths each time,
 the one proposed in this article takes into account the variability of the
 performance of the MA trading rule by considering jointly the rule's
 cumulative returns using MAs at all lengths. More reliable testing of the
 hypothesis of weak-form market efficiency and more straightforward
 interpretation of results by investors are among the advantages of the
 proposed approach over the existing one. An application of the proposed
 methodology to capital markets for the period 1993 to 2005 shows that
 weak-form market efficiency is clearly accepted for the NYSE, is rejected
 for the ASE except for the last sub-period (2001 to 2005), while for the
 VSE, it is rejected for the first sub-period (1993 to 1997) and accepted
 for the other two sub-periods. 
Journal: Applied Financial Economics 
Pages: 421-436 
Issue: 6 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532105 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532105
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:6:p:421-436




Template-Type: ReDIF-Article 1.0
Author-Name: Rasoul Rezvanian 
Author-X-Name-First: Rasoul 
Author-X-Name-Last: Rezvanian 
Author-Name: Rima Turk Ariss 
Author-X-Name-First: Rima Turk 
Author-X-Name-Last: Ariss 
Author-Name: Seyed Mehdian 
Author-X-Name-First: Seyed 
Author-X-Name-Last: Mehdian 
Title: Cost efficiency, technological progress and productivity growth of Chinese banking pre- and post-WTO accession 
Abstract:
  China has recently taken substantial steps to reform its banking sector,
 particularly after joining the World Trade Organization (WTO) in December
 2001. This study examines the effect of recent banking reforms and WTO
 accession on the cost efficiency of Chinese banking and the efficiency
 differentials across different bank ownership groups. We use a
 nonparametric approach to investigate the efficiency trend and
 productivity growth of banks between 1998 and 2006 prior to and after
 joining the WTO. We find that, on average, domestic banks outperform their
 foreign counterparts over the sample period in terms of overall and
 allocative efficiencies, but they fall behind in terms of overall
 technical efficiency. A pre- and post-WTO accession analysis reveals that
 the efficiency of domestic banks has declined post-accession, while
 foreign banks have enjoyed an improvement in their cost efficiency
 post-WTO accession. The findings further suggest that the total factor
 productivity of Chinese banks has weakened over the period under study.
 However, total factor productivity has increased for both domestic and
 foreign banks after China joined the WTO, equally owing to efficiency
 improvement and technological progress. 
Journal: Applied Financial Economics 
Pages: 437-454 
Issue: 7 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532110 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532110
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:7:p:437-454




Template-Type: ReDIF-Article 1.0
Author-Name: Rajeev Goel 
Author-X-Name-First: Rajeev 
Author-X-Name-Last: Goel 
Author-Name: Iftekhar Hasan 
Author-X-Name-First: Iftekhar 
Author-X-Name-Last: Hasan 
Title: Economy-wide corruption and bad loans in banking: international evidence 
Abstract:
  This study investigates the effects of economy-wide corruption on bad
 loans across a large sample of countries. The evidence reveals that
 greater corruption is associated with more bad loans. Loan defaults are
 lower in faster growing economies, in economies with higher lending rates
 and in nations in the Euro zone, ceteris paribus. However, other
 institutional controls, including central bank autonomy, financial
 underdevelopment, bank-based economies and transition nations fail to show
 appreciable effects on the incidence of bad loans. The findings are robust
 to an alternate corruption measure and to endogeneity of corruption.
 Policy implications are discussed. 
Journal: Applied Financial Economics 
Pages: 455-461 
Issue: 7 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532112 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532112
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:7:p:455-461




Template-Type: ReDIF-Article 1.0
Author-Name: Marco Realdon 
Author-X-Name-First: Marco 
Author-X-Name-Last: Realdon 
Title: Discrete time linear-quadratic pricing of bonds and options 
Abstract:
  This article presents a discrete time pricing model whereby prices are
 either exponential linear-quadratic functions of stochastic factors or
 transforms of such exponential linear-quadratic functions. The model is
 applied to price default-free bonds and stock options under stochastic
 volatility and is the discrete time counterpart of the continuous time
 Linear Quadratic (LQ) model of Cheng and Scaillet (2007). In discrete
 time, the factors are conditionally Gaussian and market prices of risk can
 be specified with much freedom. 
Journal: Applied Financial Economics 
Pages: 463-467 
Issue: 7 
Volume: 21 
Year: 2010 
X-DOI: 10.1080/09603107.2010.533960 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.533960
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2010:i:7:p:463-467




Template-Type: ReDIF-Article 1.0
Author-Name: Klaus Mohn 
Author-X-Name-First: Klaus 
Author-X-Name-Last: Mohn 
Author-Name: B&#xe5;rd Misund 
Author-X-Name-First: B&#xe5;rd 
Author-X-Name-Last: Misund 
Title: Shifting sentiments in firm investment: an application to the oil industry 
Abstract:
  Recent developments in the oil and gas industry suggest that investment
 behaviour is not necessarily changeless over time. We propose a
 micro-econometric procedure to investigate the stability of investment
 behaviour at the firm level. Applying system Generalized Method of Moments
 (GMM) on a panel data set for 253 oil and gas companies over 14 years, we
 estimate accelerator models of investment with error-correction. Robust
 econometric evidence indicates a structural break in oil and gas
 investment in 1998. The process of capital formation over the last few
 years is more flexible than before, with significant and material changes
 in the role of explanatory factors like cash flow and uncertainty. 
Journal: Applied Financial Economics 
Pages: 469-479 
Issue: 7 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.534060 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.534060
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:7:p:469-479




Template-Type: ReDIF-Article 1.0
Author-Name: Timotej Jagric 
Author-X-Name-First: Timotej 
Author-X-Name-Last: Jagric 
Author-Name: Sebastjan Strasek 
Author-X-Name-First: Sebastjan 
Author-X-Name-Last: Strasek 
Title: Behavioural patterns as determinants of market movements: evidence from an emerging market 
Abstract:
  This article aims to empirically support the hypothesis that behavioural
 patterns are key determinants of market movements. We developed a model
 for predicting market psychology which is based on the application of a
 self-organizing network algorithm. The estimated model is applied to a
 mechanical trading system, which independently adopts investment decisions
 based on the current daily data. The model was tested on the data for
 daily trading on the Slovenian stock market as an example of an emerging
 capital market. The performance of the model supports the suggested
 hypothesis. 
Journal: Applied Financial Economics 
Pages: 481-491 
Issue: 7 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532109 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532109
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:7:p:481-491




Template-Type: ReDIF-Article 1.0
Author-Name: Yi-Chein Chiang 
Author-X-Name-First: Yi-Chein 
Author-X-Name-Last: Chiang 
Author-Name: Tung Liang Liao 
Author-X-Name-First: Tung Liang 
Author-X-Name-Last: Liao 
Author-Name: Tse-An Hsiao 
Author-X-Name-First: Tse-An 
Author-X-Name-Last: Hsiao 
Title: Evaluating hedging strategies in the foreign exchange market with the stochastic dominance approach 
Abstract:
  This study uses stochastic dominance theory, which is distribution free,
 to evaluate eight foreign exchange hedging strategies for six currencies
 in terms of US Dollar from 1990 to 2007. Our results show that 'always
 hedge' is the best performing strategy for European currencies such as
 British Pound, Euro and Swiss Franc. However, the Forward Hedge Rule
 (hedging when forward rate is at a premium) generally outperforms the
 other seven strategies for currencies such as Canadian Dollar, Hong Kong
 Dollar and Japanese Yen. Our results can be a reference for decision
 makers to design their hedging strategies in the foreign exchange market. 
Journal: Applied Financial Economics 
Pages: 493-503 
Issue: 7 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532111 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532111
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:7:p:493-503




Template-Type: ReDIF-Article 1.0
Author-Name: Tzu-Yi Yu 
Author-X-Name-First: Tzu-Yi 
Author-X-Name-Last: Yu 
Author-Name: Chenghsien Tsai 
Author-X-Name-First: Chenghsien 
Author-X-Name-Last: Tsai 
Author-Name: Hsiao-Tzu Huang 
Author-X-Name-First: Hsiao-Tzu 
Author-X-Name-Last: Huang 
Author-Name: Chuen-Lung Chen 
Author-X-Name-First: Chuen-Lung 
Author-X-Name-Last: Chen 
Title: Applying simulation optimization to dynamic financial analysis for the asset-liability management of a property-casualty insurer 
Abstract:
  The Dynamic Financial Analysis (DFA) system is a useful decision-support
 system for the insurer, but it lacks optimization capability. This article
 applies a simulation optimization technique to a DFA system and use the
 enhanced system to search an Asset-Liability Management (ALM) solution for
 a Property-Casualty (P&C) insurance company. The simulation optimization
 technique used herein is a Genetic Algorithm (GA), and the optimization
 problem is a constrained, multi-period asset allocation problem that takes
 account of insurance liability dynamics. We find that coupling a DFA
 system with simulation optimization results in significant improvements
 over the search method currently available to the DFA system. The results
 were robust across random number sets. Furthermore, the resulting asset
 allocations changes with the asset-liability setting in a way that is
 consistent with the differences in the settings. Applying simulation
 optimization to a DFA system is therefore promising. 
Journal: Applied Financial Economics 
Pages: 505-518 
Issue: 7 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.532107 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.532107
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:7:p:505-518




Template-Type: ReDIF-Article 1.0
Author-Name: Brahim Razgallah 
Author-X-Name-First: Brahim 
Author-X-Name-Last: Razgallah 
Author-Name: Kamal Smimou 
Author-X-Name-First: Kamal 
Author-X-Name-Last: Smimou 
Title: Oil prices and the greenback: it takes two to tango 
Abstract:
  Although the relationship between oil prices and exchange rates has been
 investigated extensively in the literature, the results remain mixed. The
 aim of this article is to revisit this relationship allowing for nonlinear
 dynamics in the speed of adjustment to the equilibrium. This article
 argues that the existing literature does not consider oil as an asset
 class in portfolio allocation, and fails, therefore, to find evidence that
 exchange rate movements affect oil price dynamics. In other words, the
 role of oil prices in portfolio preferences is not exogenous to exchange
 rate determination as modelled in the literature, but rather endogenous.
 This article shows that during periods of high exchange rate volatility
 oil prices become highly affected by exchange rate movements of the dollar
 through a nonlinear smooth transition framework. 
Journal: Applied Financial Economics 
Pages: 519-528 
Issue: 8 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.534062 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.534062
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:8:p:519-528




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Brambila-Macias 
Author-X-Name-First: Jose 
Author-X-Name-Last: Brambila-Macias 
Author-Name: Isabella Massa 
Author-X-Name-First: Isabella 
Author-X-Name-Last: Massa 
Title: Finance-growth nexus: evidence from a top global reformer 
Abstract:
  In the last two decades, Egypt has experienced two waves of ambitious
 economic reforms. During the same period, the economy has boomed and the
 stock market has skyrocketed. In this article, we develop a simple
 endogenous growth model and estimate multivariate vector autoregressive
 models in order to investigate the linkages between economic reforms,
 stock market and economic growth in Egypt. The channels through which the
 stock market may affect the Egyptian economic activity are also examined.
 Our results show unidirectional causality running from stock market
 development to economic growth through the level of investment.
 Furthermore, there is evidence that the reforms launched by the Egyptian
 government impact directly on the liquidity of the stock market, which in
 turn increases the incentives for investment and boosts further economic
 growth. 
Journal: Applied Financial Economics 
Pages: 529-544 
Issue: 8 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.533997 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.533997
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:8:p:529-544




Template-Type: ReDIF-Article 1.0
Author-Name: Farooq Malik 
Author-X-Name-First: Farooq 
Author-X-Name-Last: Malik 
Title: Estimating the impact of good news on stock market volatility 
Abstract:
  The literature agrees that bad news increases volatility but disagrees
 over the impact of good news on stock market volatility and often report
 it as statistically insignificant. This article shows that accounting for
 endogenously determined structural breaks within the asymmetric
 Generalized Autoregressive Conditional Heteroscedastic (GARCH) model
 reduces volatility persistence and good news significantly decreases
 volatility. However, good news does not affect volatility if structural
 breaks are ignored. We validate our empirical results with Monte Carlo
 simulations and provide an intuitive explanation for our results. Our
 results resolve earlier inconsistencies in the literature and have
 important practical implications for building accurate asset pricing
 models and forecasting of stock market volatility. 
Journal: Applied Financial Economics 
Pages: 545-554 
Issue: 8 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.534063 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.534063
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:8:p:545-554




Template-Type: ReDIF-Article 1.0
Author-Name: Rim Khemiri 
Author-X-Name-First: Rim 
Author-X-Name-Last: Khemiri 
Title: The smooth transition GARCH model: application to international stock indexes 
Abstract:
  The aim of this article is to study the dynamics of four international
 stock indexes, by developing a model that introduces asymmetry and
 nonlinearity on the conditional variance. The Smooth Transition
 Generalized Autoregressive Conditional Heteroscedastic (STGARCH) model is
 considered, where the possibility of intermediate regimes is modelled with
 the introduction of a smooth transition mechanism in a Generalized
 Autoregressive Conditional Heteroscedastic (GARCH) specification. The
 transition function is either logistic (the Logistic Smooth Transition
 GARCH (LSTGARCH) model) or exponential (the Exponential Smooth Transition
 GARCH (EST-GARCH) model). It is found that, on one side, an important
 characteristic of the LSTGARCH model is that it highlights the asymmetric
 effect of unanticipated shocks on the conditional volatility. On the other
 side, the ESTGARCH model allows the dynamics of the conditional variance
 to be independent of the sign of past news. Indeed, this model allows to
 highlight the size effect of the shocks, so that small and big shocks have
 separate effects. I find that this model performs better than the
 symmetric GARCH model by allowing for asymmetry and regime changes on the
 conditional volatility and for gradual change on the transition parameter. 
Journal: Applied Financial Economics 
Pages: 555-562 
Issue: 8 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.533998 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.533998
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:8:p:555-562




Template-Type: ReDIF-Article 1.0
Author-Name: Abhilash Nair 
Author-X-Name-First: Abhilash 
Author-X-Name-Last: Nair 
Title: Existence and extent of impact of individual stock derivatives on spot market volatility in India 
Abstract:
  This article first examines the existence of a change in the structure of
 conditional volatility of stock returns around the time when trading in
 individual stock derivatives is introduced. Thereafter, it analyses the
 extent of the structural change between the pre- and post-derivatives
 regimes, after allowing for asymmetric response to 'good' and 'bad' news,
 following the Generalized Autoregressive Conditional Heteroscedastic
 (GARCH) family of models. Since the exact point of regime change is known
 for each stock analysed, the article specifies alternative switching
 asymmetric GARCH (Exponential GARCH (EGARCH), Periodic GARCH (PGARCH) and
 Glosten-Jagannathan-Runkle GARCH (GJR GARCH)) models for each stock. The
 final choice of model is made on the basis of the news impact curve. The
 main finding of this study is that although derivatives seem to enhance
 the quantity of information transmitted to the spot market, the quality of
 such information is doubtful, resulting in delayed incorporation of such
 information into price. This, the article argues, may be because trading
 volumes in the Indian derivatives market are dominated by retail investors
 who lack access to information relevant for trading in the short run. The
 article then builds a case for introducing longer term derivative
 instruments for more meaningful retail participation. 
Journal: Applied Financial Economics 
Pages: 563-600 
Issue: 8 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.534061 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.534061
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:8:p:563-600




Template-Type: ReDIF-Article 1.0
Author-Name: Rumi Masih 
Author-X-Name-First: Rumi 
Author-X-Name-Last: Masih 
Author-Name: Suhair Khan 
Author-X-Name-First: Suhair 
Author-X-Name-Last: Khan 
Title: Is the finance led growth hypothesis robust to alternative measures of financial development? 
Abstract:
  In this article we employ tests of noncausation to measure the impact of
 financial development on 34 developing countries experiencing vastly
 different stages of economic development and covering annual observations
 over the period 1960-2009 for most countries. Focusing on the dual role of
 financial development and economic growth as proposed in much of the
 endogenous growth literature, we draw upon individual country evidence
 from 34 developing countries at alternative stages of economic
 development. Our contribution to the literature lies in our use of several
 tests based on multiple measures selected to represent financial
 development. Testing each one separately, we come up with varying patterns
 of correlation between finance and growth for individual countries. The
 variation or consistency of each measure as an influence on economic
 growth is both telling for policy and the determination of future patterns
 of growth for emerging market economies. 
Journal: Applied Financial Economics 
Pages: 601-623 
Issue: 9 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.534065 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.534065
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:9:p:601-623




Template-Type: ReDIF-Article 1.0
Author-Name: Dave Berger 
Author-X-Name-First: Dave 
Author-X-Name-Last: Berger 
Title: Testing the CAPM across observed and fundamental returns 
Abstract:
  The Capital Asset Pricing Model (CAPM) describes a relationship between
 risk and expected forward-looking returns. Existing research tests the
 model using realized returns as the proxy for exante expectations.
 However, recent studies cast doubt on the ability of expost observed
 returns to proxy for exante expectations. Using an alternative
 specification to proxy for investor expectations, I test the CAPM in the
 context of pricing size and book/market equities. The results indicate
 that the CAPM retains additional merit with an improved measure of
 expectations. However, the value premium appears large and significant
 across both specifications of expected returns. 
Journal: Applied Financial Economics 
Pages: 625-636 
Issue: 9 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.534066 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.534066
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:9:p:625-636




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Burdekin 
Author-X-Name-First: Richard 
Author-X-Name-Last: Burdekin 
Author-Name: Hsin-hui Whited 
Author-X-Name-First: Hsin-hui 
Author-X-Name-Last: Whited 
Title: Offshore versus local listings of Taiwanese firms: evidence from London, New York and Taipei 
Abstract:
  This article examines the differential between the share prices of
 Taiwanese securities traded on their home market of Taipei versus their
 trading values offshore in London and New York over the 1998 to 2009
 period. In line with prior research on mainland Chinese securities, we
 examine how the premiums attached to Taiwanese securities abroad are
 related to exchange rate expectations and investor sentiment. Our cross
 sectional panel regression analysis identifies significant roles for both
 market wide and company specific sentiment effects. Additional sentiment
 effects may be linked with fluctuations in the bid-ask spreads as investor
 interest waxes and wanes. 
Journal: Applied Financial Economics 
Pages: 637-649 
Issue: 9 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.534067 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.534067
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:9:p:637-649




Template-Type: ReDIF-Article 1.0
Author-Name: Rasyad Parinduri 
Author-X-Name-First: Rasyad 
Author-X-Name-Last: Parinduri 
Author-Name: Yohanes Riyanto 
Author-X-Name-First: Yohanes 
Author-X-Name-Last: Riyanto 
Title: Do banks respond to capital requirements? Evidence from Indonesia 
Abstract:
  Using dynamic panel data models, and addressing a common inappropriate
 use of simultaneous equation models in the literature, we examine the
 effect of capital requirements on banks' behaviour in Indonesia. We find
 that banks tend to comply with capital requirements by increasing their
 capital ratios when the ratios are lower than, or falling towards, the 8%
 regulatory minimum. However, our results are mostly driven by large
 private-domestic banks and heavily undercapitalized banks that were
 closely monitored by the regulator in the aftermath of the 1998 crisis.
 Therefore, whether in normal circumstances banks in Indonesia comply with
 capital requirements remains questionable. 
Journal: Applied Financial Economics 
Pages: 651-663 
Issue: 9 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535780 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535780
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:9:p:651-663




Template-Type: ReDIF-Article 1.0
Author-Name: Alex YiHou Huang 
Author-X-Name-First: Alex YiHou 
Author-X-Name-Last: Huang 
Title: Volatility forecasting in emerging markets with application of stochastic volatility model 
Abstract:
  The volatility of financial asset returns is a key variable in risk
 management and derivative pricing. The behaviours of emerging equity
 markets are now significant to global economies. This research examines
 the performance of five popular categories of volatility forecasting
 models on 31 emerging and developed stock indices with data series
 comprising recent 7 years. A modification in estimation processes of the
 Stochastic Volatility Model (SVM) is proposed. The empirical analysis
 shows that the equity markets of emerging markets are more volatile and
 difficult to model than those of developed countries. The SVM performs
 well in both settings, and has a clear advantage in developed markets. 
Journal: Applied Financial Economics 
Pages: 665-681 
Issue: 9 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535781 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535781
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:9:p:665-681




Template-Type: ReDIF-Article 1.0
Author-Name: Andy Saporoschenko 
Author-X-Name-First: Andy 
Author-X-Name-Last: Saporoschenko 
Title: The effect of Santa Ana wind conditions and cloudiness on Southern California stock returns 
Abstract:
  Santa Ana wind conditions in Southern California are highly specific and
 noticeable weather events with a rich anecdotal history of causing
 negative psychological and physical effects including hypersensitivity.
 Thus, the Santa Ana wind events offer another means of examining the
 effect of weather on stock returns and other stock behaviour. This study
 examines the effects of Santa Ana wind conditions and Southern California
 cloudiness on individual stock data - which offers a more robust means of
 identifying stock weather effects. No evidence of a negative influence of
 Santa Ana wind conditions or Southern California sky cover (cloudiness) on
 Southern California individual corporation stock returns is found.
 Inherently, the effect of weather on stock behaviour depends on localized
 trading by investors located in the geographic area of the weather
 occurrence. Several proxies for local ownership of Southern California
 stocks are examined in relationship to their effect on Southern California
 stock return weather effects. ' &#x2026; those hot dry winds that come
 down through the mountain passes and curl your hair and make your nerves
 jump and your skin itch. On nights like that every booze party ends in a
 fight. Meek little wives feel the edge of the carving knife and study
 their husbands' necks. Anything can happen'. The Red Wind, by Raymond
 Chandler 
Journal: Applied Financial Economics 
Pages: 683-694 
Issue: 10 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535785 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535785
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:683-694




Template-Type: ReDIF-Article 1.0
Author-Name: Phillip Daves 
Author-X-Name-First: Phillip 
Author-X-Name-Last: Daves 
Author-Name: Michael Ehrhardt 
Author-X-Name-First: Michael 
Author-X-Name-Last: Ehrhardt 
Title: Creating a synthetic after-tax zero-coupon bond using US Treasury STRIP bonds: implications for the true after-tax spot rate 
Abstract:
  For an individual or company that is subject to taxes, we develop a
 method that uses laddered Separate Trading of Registered Interest and
 Principal (STRIP) bonds to determine the value (and composition) of a
 portfolio that replicates a risk-free after-tax cash flow that will occur
 on a single future date. In contrast to previous approaches, our method
 does not require rebalancing or short sales. In addition, we show that the
 standard after-tax risk-free spot rate, defined as the after-tax yield on
 a US Treasury STRIP bond, is correct only for a flat-term structure. Using
 our method, we provide a true measure of the after-tax risk-free spot rate
 that applies to any term structure. 
Journal: Applied Financial Economics 
Pages: 695-705 
Issue: 10 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535789 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535789
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:695-705




Template-Type: ReDIF-Article 1.0
Author-Name: Scott Hegerty 
Author-X-Name-First: Scott 
Author-X-Name-Last: Hegerty 
Title: Is exchange-market pressure contagious among transition economies? 
Abstract:
  The recent financial crisis led to such macroeconomic turmoil in
 transition economies that the ability of some countries to maintain their
 euro pegs was called into question. Others, such as Russia and Ukraine,
 were forced to devalue their currencies. How likely is it that one
 country's crisis could spread to its neighbours? To answer this question,
 monthly indices of Exchange Market Pressure (EMP) are constructed for
 seven transition economies. Impulse-Response functions and other tests
 show that Russia is a less likely source of a contagious currency crisis
 than are smaller, more advanced euro candidates such as Hungary. 
Journal: Applied Financial Economics 
Pages: 707-716 
Issue: 10 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535788 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535788
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:707-716




Template-Type: ReDIF-Article 1.0
Author-Name: Nicholas Taylor 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Taylor 
Title: Time-varying price discovery in fragmented markets 
Abstract:
  This article examines temporal aspects of the price discover process in
 the (fragmented) Standard & Poor's (S&P) 500 market. This is achieved by
 augmenting the coefficients in the model upon which the price discovery
 measures are based, by a set of time-varying (theoretically-implied)
 scaling factors. The factors considered can be characterized as those that
 measure market liquidity and those that measure the degree of information
 asymmetry that exists at a particular time. Regarding the latter measures,
 this feature of financial markets is assessed by considering, inter alia,
 price discovery around the release of key macroeconomic information. Using
 high-frequency data from five constituent S&P 500 index markets, the
 results provide two main insights into price discovery in this fragmented
 market. First, the majority of price discovery appears to occur in the
 market for the individual stocks making up the index and in the
 (electronically traded) E-mini futures market. And second, the E-mini
 futures market becomes the dominant price discovery market only during
 periods of extreme information asymmetry and when this market is liquid -
 a finding that supports theoretical arguments proposed in the related
 literature. 
Journal: Applied Financial Economics 
Pages: 717-734 
Issue: 10 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535784 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535784
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:717-734




Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Morley 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Morley 
Author-Name: Dennis Thomas 
Author-X-Name-First: Dennis 
Author-X-Name-Last: Thomas 
Title: Risk-return relationships and asymmetric adjustment in the UK housing market 
Abstract:
  This study employs an Exponential Generalized Autoregressive Conditional
 Heteroscedasticity-in-Mean (EGARCH-M) model to determine whether regional
 house prices in the UK share any of the properties associated with assets
 such as equities. The results suggest there is some evidence of a positive
 risk-return relationship as well as evidence of asymmetric adjustment,
 implying housing should be treated similarly to other assets, with
 important implications for the pricing of risk by mortgage lenders.
 However there are differences across the regions, which can be partially
 explained by using London house prices as a determinant of other regional
 prices and incorporating interest rates into the model. 
Journal: Applied Financial Economics 
Pages: 735-742 
Issue: 10 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535782 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535782
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:735-742




Template-Type: ReDIF-Article 1.0
Author-Name: Ajay Shah 
Author-X-Name-First: Ajay 
Author-X-Name-Last: Shah 
Author-Name: Ila Patnaik 
Author-X-Name-First: Ila 
Author-X-Name-Last: Patnaik 
Title: Foreign shareholding: a decomposition analysis 
Abstract:
  Stulz (2005) has emphasized that for home bias to decline, insiders have
 to reduce ownership so as to make purchase of shares by foreigners
 possible. We offer a decomposition in the ownership of shares by
 foreigners into three parts: the change in insider shareholding, the
 change in market capitalization and the change in the fraction of outside
 shareholding that is held by foreigners. As an example, this decomposition
 is applied to help understand the sharp change in foreign ownership of
 Indian firms after 2001. 
Journal: Applied Financial Economics 
Pages: 743-746 
Issue: 10 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535783 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535783
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:743-746




Template-Type: ReDIF-Article 1.0
Author-Name: Hung-Hsi Huang 
Author-X-Name-First: Hung-Hsi 
Author-X-Name-Last: Huang 
Author-Name: Ching-Ping Wang 
Author-X-Name-First: Ching-Ping 
Author-X-Name-Last: Wang 
Author-Name: Shiau-Hung Chen 
Author-X-Name-First: Shiau-Hung 
Author-X-Name-Last: Chen 
Title: Pricing Taiwan option market with GARCH and stochastic volatility 
Abstract:
  This study compares the out-of-sample performances among Black-Scholes
 (B-S), Stochastic Volatility (SV) and Generalized Autoregressive
 Conditional Heteroscedasticity (GARCH) models in the Taiwan option market.
 Using Absolute Relative Pricing Error (ARPE) as the performance criterion,
 the empirical result reveals that the performance for GARCH is the best,
 and SV slightly dominates B-S. Additionally, this study performs the
 regression of ARPE on time-to-maturity, moneyness and a binary variable
 that is set to unity, if the option is a call and to zero in the case of a
 put. For the three models, the regression result displays that the pricing
 error is consistently decreasing in time-to-maturity and moneyness, and
 the out-of-sample performance in puts are more accurate than those in
 calls. Since the corresponding R2 of the regression in GARCH is the
 smallest, the pricing error for the other two models is relatively severe
 with respect to the three explanatory variables. 
Journal: Applied Financial Economics 
Pages: 747-754 
Issue: 10 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535786 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535786
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:747-754




Template-Type: ReDIF-Article 1.0
Author-Name: Chiao-Yi Chang 
Author-X-Name-First: Chiao-Yi 
Author-X-Name-Last: Chang 
Title: The basis under negative shock and the price discovery in futures market 
Abstract:
  This article examines the informational content of the basis under
 positive and negative prior shocks, and its linkage to the relationship
 between the Indian stock index spots and futures contracts. The leading
 role of the futures market in the spot markets is confirmed. Furthermore,
 the strengthening positive or negative basis under negative prior shocks
 has different levels of leading relationship in futures and spot returns.
 Adopting the different subdivided scenarios and employing different
 interactions in terms of dummy variables which describe the absolute value
 of a positive or negative basis under negative prior shock, this article
 finds that the positive relationship between the futures return and spot
 return is relatively weaker in terms of the strengthening positive basis,
 but is relatively stronger under negative prior shocks. In contrast, the
 leading role of the futures markets is relatively stronger in terms of the
 strengthening negative basis, but is weaker under negative prior shocks.
 This result reflects the fact that investors' perceived uncertainty of
 'negative prior shocks' will change the original connection of futures and
 spot returns, considering the strengthening basis. Coincidentally, this
 article fails to find that the spot returns lead the futures prices. 
Journal: Applied Financial Economics 
Pages: 755-761 
Issue: 10 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.535787 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.535787
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:755-761




Template-Type: ReDIF-Article 1.0
Author-Name: R. Aroskar 
Author-X-Name-First: R. 
Author-X-Name-Last: Aroskar 
Author-Name: W. A. Ogden 
Author-X-Name-First: W. A. 
Author-X-Name-Last: Ogden 
Title: Optimal portfolios: are they optimal for the long run? 
Abstract:
  This study analyses the potential for diversification among assets as
 suggested by modern portfolio theory. It uses Johansen's cointegration
 methodology to identify long-term relationships among assets. We compare
 results from optimized portfolios constructed from samples of country
 funds and iShares with portfolios from the same samples but not optimized.
 The optimized portfolios exhibit diversification potential while the
 nonoptimized portfolios do not. 
Journal: Applied Financial Economics 
Pages: 763-770 
Issue: 11 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.537634 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.537634
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:11:p:763-770




Template-Type: ReDIF-Article 1.0
Author-Name: Guangjie Li 
Author-X-Name-First: Guangjie 
Author-X-Name-Last: Li 
Title: The horizon effect of stock return predictability and model uncertainty on portfolio choice: UK evidence 
Abstract:
  We study how stock return's predictability and model uncertainty affect a
 rational buy-and-hold investor's decision to allocate her wealth for
 different lengths of investment horizons in the UK market. We consider the
 Financial Times Stock Exchange (FTSE) All-Share Index as the risky asset,
 and the UK Treasury bill as the risk free asset in forming the investor's
 portfolio. We identify the most powerful predictors of the stock return by
 accounting for model uncertainty. We find that though stock return
 predictability is weak, it can still affect the investor's optimal
 portfolio decision over different investment horizons. 
Journal: Applied Financial Economics 
Pages: 771-787 
Issue: 11 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.537630 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.537630
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:11:p:771-787




Template-Type: ReDIF-Article 1.0
Author-Name: Chia-Hao Lee 
Author-X-Name-First: Chia-Hao 
Author-X-Name-Last: Lee 
Author-Name: Shuh-Chyi Doong 
Author-X-Name-First: Shuh-Chyi 
Author-X-Name-Last: Doong 
Author-Name: Pei-I Chou 
Author-X-Name-First: Pei-I 
Author-X-Name-Last: Chou 
Title: Dynamic correlation between stock prices and exchange rates 
Abstract:
  This article examined the interaction between stock price and exchange
 rate and explored their dynamic correlation influenced by the stock market
 volatility. We used newly developed Smooth Transition Conditional
 Correlation-Generalized Autoregressive Conditional Heteroscedasticity
 (STCC-GARCH) model and applied weekly data from Indonesia, Korea,
 Malaysia, the Philippines, Taiwan and Thailand for the period 2000 to 2008
 to test the dynamic correlation hypothesis. The empirical results
 indicated that there are significant price spillovers from stock market to
 foreign exchange market for Indonesia, Korea, Malaysia, Thailand and
 Taiwan. Furthermore, the correlation between stock and foreign exchange
 markets becomes higher when stock market volatility increases in Asian
 emerging markets except in the Philippines. These results are important
 for international investors and managers to devise hedging and
 diversification strategies for their portfolios. The evidence suggests
 that investors can hedge risk between stock and foreign exchange in
 domestic markets when the stock market is stable. Otherwise, when the
 stock market becomes volatile, investors diversify their portfolio
 internationally for hedging risk since the correlation between stock and
 foreign exchange markets becomes higher. 
Journal: Applied Financial Economics 
Pages: 789-800 
Issue: 11 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.537631 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.537631
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:11:p:789-800




Template-Type: ReDIF-Article 1.0
Author-Name: Yu-Sheng Lai 
Author-X-Name-First: Yu-Sheng 
Author-X-Name-Last: Lai 
Author-Name: Her-Jiun Sheu 
Author-X-Name-First: Her-Jiun 
Author-X-Name-Last: Sheu 
Title: On the importance of asymmetries for dynamic hedging during the subprime crisis 
Abstract:
  Asymmetric responses to news in volatilities and correlations are
 important characteristics of many financial asset returns. This study
 investigates the asymmetries on spot and futures and extends the work of
 Kroner and Sultan (1993) using the Asymmetric Dynamic Conditional
 Correlation (ADCC) model introduced by Cappiello et&#xa0;al. (2006). In
 particular, the performance of asymmetric hedges during the subprime
 crisis period is of much interest to investors since futures provide them
 a convenient tool for managing the market risk. The results on FTSE100 and
 DAX30 markets show that the ADCC model not only can provide better
 descriptions on the data, but can also improve the hedging performance for
 both in-sample and out-of-sample periods, illustrating the importance of
 modelling asymmetries for futures hedging. 
Journal: Applied Financial Economics 
Pages: 801-813 
Issue: 11 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.539535 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.539535
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:11:p:801-813




Template-Type: ReDIF-Article 1.0
Author-Name: Peter Brusov 
Author-X-Name-First: Peter 
Author-X-Name-Last: Brusov 
Author-Name: Tatiana Filatova 
Author-X-Name-First: Tatiana 
Author-X-Name-Last: Filatova 
Author-Name: Natali Orehova 
Author-X-Name-First: Natali 
Author-X-Name-Last: Orehova 
Author-Name: Nastia Brusova 
Author-X-Name-First: Nastia 
Author-X-Name-Last: Brusova 
Title: Weighted average cost of capital in the theory of Modigliani-Miller, modified for a finite lifetime company 
Abstract:
  The theory of the capital cost and the capital structure by Modigliani
 and Miller (MM) is based on many assumptions, removal of which
 significantly alters its conclusions. While the account of corporate and
 individual taxes, the possibility of bankruptcy and a number of other
 assumptions have received considerable attention, the MM assumption that
 all financial flows are perpetuity (the lifetime of the company is
 infinite) is much less studied. In fact, the lifetime of the company is
 always, of course, finite and the inclusion of this significantly changes
 formulae obtained by MM, in particular for the Weighted Average Cost of
 Capital (WACC). In this article, we consider the WACC of the company in
 the theory of MM and modify MM's theory for a finite lifetime company. For
 the first time, we derive the analytical expression for WACC of the
 company with arbitrary lifetime. In two limited cases - 1 year and
 perpetuity companies - our expression gives the well-known results of
 Myers and MM, correspondingly. We have solved the obtained equation for a
 2 year company and compared this result with those of Myers and MM. It
 shows that WACC values for 2 year company is closer to MM (perpetuity)
 limit than to Myers (1 year) one at small equity cost (just above the debt
 cost) while at bigger equity cost, it is closer to Myers limit than to MM
 one. Algorithm for finding of WACC in the case of arbitrary lifetime of
 the project has been developed. The use of the obtained equations for the
 projects of n years, and for companies operating in the market n years
 significantly alters the assessment of the WACC of the company. 
Journal: Applied Financial Economics 
Pages: 815-824 
Issue: 11 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.537635 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.537635
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:11:p:815-824




Template-Type: ReDIF-Article 1.0
Author-Name: Weiju Young 
Author-X-Name-First: Weiju 
Author-X-Name-Last: Young 
Author-Name: Chun-An Li 
Author-X-Name-First: Chun-An 
Author-X-Name-Last: Li 
Title: Price transmission between stocks of European countries and their American depositary receipts 
Abstract:
  Previous studies show that the price transmission between foreign stocks
 and their American Depositary Receipts (ADRs) relies not only on current
 but also on past information such as individual stock returns, market
 returns and changes in exchange rates. In addition to these factors, this
 study investigates whether changes in trading volume and macro events
 affect the price transmission between European stocks and their ADRs. The
 results show that changes in domestic volume of several European countries
 on the same calendar day do affect subsequent ADR returns, implying that
 volume contains incremental information not in prices. We also find that
 the announcements of several EU agreements have significant impacts on the
 price transmission between UK domestic stocks and their ADRs, but not on
 that of other European countries. Since UK does not use the euro currency,
 investors may expect changes in future UK pound value and thus revalue
 stock prices. 
Journal: Applied Financial Economics 
Pages: 825-835 
Issue: 11 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.537633 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.537633
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:11:p:825-835




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Mark Wohar 
Author-X-Name-First: Mark 
Author-X-Name-Last: Wohar 
Title: Sum of the parts stock return forecasting: international evidence 
Abstract:
  This article examines the issue of stock returns forecasting and in
 particular extends the analysis of the recently introduced sum of the
 parts modelling technique. The sum of the parts technique undertakes a
 first-stage regression analysis where the predictor variables themselves
 are estimated and the fitted values from these equations are then used in
 the forecast model. We conduct a series of one-step ahead recursive
 forecasts using the above methodology and compare that to the usual
 predictive regression approach for 11 markets, and a variety of forecast
 metrics and tests. Across the full range of markets and forecast measures,
 our results suggest that no single model dominates. Notably, while the sum
 of the parts approach often reports a lower Mean Absolute Error (MAE) and
 Root Mean-Squared Error (RMSE), it is rarely significantly lower than
 competing forecasts. Similar results are found on the basis of both
 regression and sign based tests. Thus, across the range of markets the new
 approach meets with only limited success in providing better forecasts,
 although it rarely performs significantly worse. Furthermore, in specific
 markets, the sum of the parts approach does perform well. Notably for
 Italy, the UK, US and Korea, this approach outperforms the alternate
 models on all or nearly all measures. Thus, in terms of guiding
 researchers on the appropriate forecast model, the sum of the parts
 approach is interesting and does suggest some forecast improvement.
 However, that is only for specific markets. Hence, in choosing which
 forecast method to adopt there remains the trade-off between the
 simplicity of the predictive regression approach and the sum of the parts
 approach, which is more involved but on occasion more accurate, although
 not universally so. 
Journal: Applied Financial Economics 
Pages: 837-845 
Issue: 12 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.541150 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.541150
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:12:p:837-845




Template-Type: ReDIF-Article 1.0
Author-Name: Muliaman Hadad 
Author-X-Name-First: Muliaman 
Author-X-Name-Last: Hadad 
Author-Name: Maximilian Hall 
Author-X-Name-First: Maximilian 
Author-X-Name-Last: Hall 
Author-Name: Karligash Kenjegalieva 
Author-X-Name-First: Karligash 
Author-X-Name-Last: Kenjegalieva 
Author-Name: Wimboh Santoso 
Author-X-Name-First: Wimboh 
Author-X-Name-Last: Santoso 
Author-Name: Richard Simper 
Author-X-Name-First: Richard 
Author-X-Name-Last: Simper 
Title: Productivity changes and risk management in Indonesian banking: a Malmquist analysis 
Abstract:
  In this study, we utilize a nonparametric efficiency measurement approach
 which combines the Semi-Oriented Radial Measure-Data Envelopment Analysis
 (SORM-DEA) approach for dealing with negative data (Emrouznejad et al.,
 2010) with the Slacks-Based Efficiency Measures (SBM) of Tone (2001, 2002)
 to analyse productivity changes for Indonesian banks over the period Q1
 2003 to Q2 2007. The first part of the analysis showed that average
 productivity changes for the Indonesian banking industry tended to be
 driven by technological progress rather than by frontier shift, although a
 relatively stable pattern was exhibited for most of the period. With
 respect to the risk management analysis, most of the balance sheet
 variables were shown to have had the expected impact on Risk Management
 Efficiency (RME), with the state-owned grouping exhibiting the highest
 degree of RME and the listed and Islamic banks outperforming their
 nonlisted and conventional bank counterparts, respectively. A strategy
 based on the gradual adoption of newer technology, with a particular focus
 on internal risk management enhancement, seems to offer the highest
 potential for boosting the productivity of the financial intermediary
 operations of Indonesian banks. 
Journal: Applied Financial Economics 
Pages: 847-861 
Issue: 12 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.537636 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.537636
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:12:p:847-861




Template-Type: ReDIF-Article 1.0
Author-Name: Jeffrey Gerlach 
Author-X-Name-First: Jeffrey 
Author-X-Name-Last: Gerlach 
Title: International sports and investor sentiment: do national team matches really affect stock market returns? 
Abstract:
  Ashton et&#xa0;al. (2003), Edmans et&#xa0;al. (2007) and Kaplanski and
 Levy (2010) document abnormal stock market returns on the trading day
 following international sporting events, particularly soccer. This study
 examines returns in matching countries and finds that unusual returns also
 exist in those countries even though their national teams did not play.
 The evidence shows that national team matches do not affect neutral
 markets like the matching countries, which implies that sports do not
 cause unusual returns in either domestic or foreign markets. The results
 indicate that changes in investor sentiment following international sports
 matches do not have a significant effect on asset prices. 
Journal: Applied Financial Economics 
Pages: 863-880 
Issue: 12 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.543069 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.543069
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:12:p:863-880




Template-Type: ReDIF-Article 1.0
Author-Name: Mark Bayless 
Author-X-Name-First: Mark 
Author-X-Name-Last: Bayless 
Author-Name: Nancy Jay 
Author-X-Name-First: Nancy 
Author-X-Name-Last: Jay 
Title: Are seasoned equity offerings made in response to weak operating performance? 
Abstract:
  This article examines the operating performance of firms surrounding
 Seasoned Equity Offerings (SEOs) and finds that weak operating performance
 by issuing firms begins during a 2-year period prior to issue. This is in
 contrast to the stylized facts that a seasoned equity issue initiates a
 period of weak performance. Our findings suggest instead that an issue is
 more likely a reaction to a period of weak performance that is already
 well under way. Consistent with previous studies, we find that weak
 performance continues after the issue despite the evidence of favourable
 macroeconomic conditions. 
Journal: Applied Financial Economics 
Pages: 881-895 
Issue: 12 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.539534 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.539534
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:12:p:881-895




Template-Type: ReDIF-Article 1.0
Author-Name: Jung-Hua Hung 
Author-X-Name-First: Jung-Hua 
Author-X-Name-Last: Hung 
Author-Name: Yi-Ping Kuo 
Author-X-Name-First: Yi-Ping 
Author-X-Name-Last: Kuo 
Title: The effect of family control on investment-cash flow sensitivity 
Abstract:
  This article examines the effect of family control on investment-cash
 flow sensitivity and distinguishes the effect between agency problems and
 asymmetric information. Using an unbalanced panel data of 1206 Taiwanese
 firms for the time period 1999 to 2008, we find that family control
 increases the investment-cash flow sensitivity. In family controlled
 firms, compared with in firms that are not family controlled, investment
 is more sensitive to cash flow, which is related to asymmetric information
 problems. 
Journal: Applied Financial Economics 
Pages: 897-904 
Issue: 12 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.539533 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.539533
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:12:p:897-904




Template-Type: ReDIF-Article 1.0
Author-Name: Y. Hammami 
Author-X-Name-First: Y. 
Author-X-Name-Last: Hammami 
Title: Is the stock market efficient in bad times and inefficient in good times? 
Abstract:
  This article examines the cross sectional predictability of stock returns
 within the framework of time varying risk premia and asymmetric risk. In
 bad times, small, value and cyclical stocks are riskier than big, growth
 and noncyclical stocks, thereby explaining the value, size and cyclical
 premia. In contrast, in good times, value, big and noncyclical stocks
 generate higher average returns than do growth, small and cyclical stocks,
 despite the fact that they are not riskier. Furthermore, empirical tests
 of macroeconomic models highlight that average returns are commensurate
 with risk only in bad times. These results are robust to different
 measures of risk and different sets of test assets. 
Journal: Applied Financial Economics 
Pages: 905-915 
Issue: 12 
Volume: 21 
Year: 2011 
X-DOI: 10.1080/09603107.2010.539536 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.539536
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:12:p:905-915




Template-Type: ReDIF-Article 1.0
Author-Name: Paul McGuinness 
Author-X-Name-First: Paul 
Author-X-Name-Last: McGuinness 
Author-Name: Richard Harris 
Author-X-Name-First: Richard 
Author-X-Name-Last: Harris 
Title: Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen 
Abstract:
  Within the context of the mainland Chinese (Shanghai and Shenzhen) and
 Hong Kong market places, we investigate two of the most important
 documented calendar anomalies: the 'turn-of-the-month' and Chinese Lunar
 New Year (CLNY) return effects. Both appear as features of all three
 markets over the 1995 to 2010 time-frame. However, the 'turn-of-the-month'
 effect is much more pronounced in Hong Kong and the mainland B-markets
 than it is in the more segmented and less international (mainland Chinese)
 A-market. The CLNY effect is concentrated in returns over four trading
 days: three days prior to and one day after the CLNY holiday. Moreover,
 the effect is common to all major sectors of the Hong Kong market as well
 as to the Shanghai and Shenzhen A- and B-markets. Despite an elevation in
 mean return levels at the 'turn-of-the-month' and CLNY, volatility levels
 appear little different to other periods. In addition, as in McGuinness
 (2005), a pre-CLNY seasonal effect is absent from results. A post-CLNY
 seasonal effect, capturing the earnings reporting season in Hong Kong,
 also proved elusive. Consistent with McConnell and Xu (2008) for the US,
 we also offer no discernible evidence of a 'turn-of-the-month' effect at
 quarter ends. Finally, and importantly, we find strong evidence that Hong
 Kong short-sales turnover shrinks as the calendar month-end nears. This is
 consistent with some participants delaying or bringing-forward short
 positions so as to avoid an anticipated upturn in returns at month-end. 
Journal: Applied Financial Economics 
Pages: 917-929 
Issue: 13 
Volume: 21 
Year: 2011 
Keywords: 'turn-of-the-month', Chinese Lunar New Year (CLNY), calendar effects, 
X-DOI: 10.1080/09603107.2010.548782 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.548782
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:917-929




Template-Type: ReDIF-Article 1.0
Author-Name: Leonardo Becchetti 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Becchetti 
Author-Name: Maria Melody Garcia 
Author-X-Name-First: Maria Melody 
Author-X-Name-Last: Garcia 
Title: Informal collateral and default risk: do 'Grameen-like' banks work in high-income countries? 
Abstract:
  We study collateralization strategy and effects on the ex post loan
 performance of a European 'Grameen-type' bank which mainly finances small
 firms or microfirms and seeks to reconcile economic sustainability with
 social goals. Our analysis on individual loan data documents that the bank
 has a remarkably low share of nonperforming loans in spite of an extremely
 high share of uncollateralized loans (around 42%). Econometric findings
 document that collateralization depends positively on ex ante borrower's
 risk (proxied by nonperforming past track record) and negatively on
 relationship lending. In this regard, the originality of the bank's policy
 is that of lending to small borrowers which belong to larger networks and
 consortia with which the bank has a long history of relationships. The
 incentive effect seems to work because collateralized borrowers are
 riskier ex ante, but not ex post. 
Journal: Applied Financial Economics 
Pages: 931-947 
Issue: 13 
Volume: 21 
Year: 2011 
Keywords: collateral, bank-firm relationship, default risk, 
X-DOI: 10.1080/09603107.2011.554368 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.554368
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:931-947




Template-Type: ReDIF-Article 1.0
Author-Name: Sherrill Shaffer 
Author-X-Name-First: Sherrill 
Author-X-Name-Last: Shaffer 
Title: Strategic risk aversion 
Abstract:
  This article demonstrates that exaggerated risk aversion may comprise a
 rational form of strategic behaviour in the face of asymmetric
 information. Unlike some other forms of strategic behaviour analysed
 previously, this behaviour confers a benefit in the form of higher ex post
 consumption (not merely higher expected consumption or expected utility)
 and whether or not markets are perfectly competitive. 
Journal: Applied Financial Economics 
Pages: 949-956 
Issue: 13 
Volume: 21 
Year: 2011 
Keywords: strategic behaviour, risk aversion, contingent claims, asymmetric information, 
X-DOI: 10.1080/09603107.2011.556587 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.556587
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:949-956




Template-Type: ReDIF-Article 1.0
Author-Name: F. Tsoligkas 
Author-X-Name-First: F. 
Author-X-Name-Last: Tsoligkas 
Author-Name: I. Tsalavoutas 
Author-X-Name-First: I. 
Author-X-Name-Last: Tsalavoutas 
Title: Value relevance of R&D in the UK after IFRS mandatory implementation 
Abstract:
  Following International Financial Reporting Standards (IFRS) mandatory
 adoption in 2005, the criteria determining the accounting treatment of
 Research and Development (R&D) expenditure have changed for UK listed
 companies that publish consolidated financial statements. Therefore,
 recent literature raises concerns about the value relevance of R&D assets
 and expenses in the UK, after 2005. Using very recent data, we respond to
 these calls for research. Adding to the absence of prior evidence
 regarding the pre-IFRS period, we find that the capitalized portion of R&D
 is significantly positively related to market values, suggesting that the
 market perceives these items as successful projects with future economic
 benefits. R&D expenses are significantly negatively related to market
 values under IFRS, supporting the proposition that they reflect no future
 economic benefits and thus they should be expensed. Also in contrast with
 evidence regarding the pre-IFRS period, R&D expenses are negatively value
 relevant only for large companies. Accordingly, we argue that transition
 to IFRS does have implications on the valuation of R&D expenditure in the
 UK. 
Journal: Applied Financial Economics 
Pages: 957-967 
Issue: 13 
Volume: 21 
Year: 2011 
Keywords: value relevance, R&D, IFRS, UK, 
X-DOI: 10.1080/09603107.2011.556588 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.556588
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:957-967




Template-Type: ReDIF-Article 1.0
Author-Name: Taoufik Bouraoui 
Author-X-Name-First: Taoufik 
Author-X-Name-Last: Bouraoui 
Title: The impact of stock spams on volatility 
Abstract:
  This article is dedicated to study the impact of stock spams through the
 analysis of the variations of volatility. Our sample contains 110 firms
 quoted on emerging market, namely the penny stock market. The results,
 based on event study methodology and Generalized Autoregressive
 Conditional Heteroscedastic (GARCH) modelling, show positive and
 significant changes in volatility; a widening of the variation (lowest
 price-highest price) was noticed following the consignment of messages by
 the spammers. The sending of stock spams affected the behaviour of
 investors, thus indicating that the spamming activity is a lucrative
 business. 
Journal: Applied Financial Economics 
Pages: 969-977 
Issue: 13 
Volume: 21 
Year: 2011 
Keywords: stock spam, event studies, GARCH, volatility, 
X-DOI: 10.1080/09603107.2011.562159 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562159
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:969-977




Template-Type: ReDIF-Article 1.0
Author-Name: Edward Lawrence 
Author-X-Name-First: Edward 
Author-X-Name-Last: Lawrence 
Author-Name: Gordon Karels 
Author-X-Name-First: Gordon 
Author-X-Name-Last: Karels 
Author-Name: Arun Prakash 
Author-X-Name-First: Arun 
Author-X-Name-Last: Prakash 
Author-Name: Siddharth Shankar 
Author-X-Name-First: Siddharth 
Author-X-Name-Last: Shankar 
Title: Effect of regulation FD on disclosures of information by firms 
Abstract:
  Critics of Regulation Fair Disclosure (FD) have argued that its enactment
 would result in not only a decrease in asymmetric information but a
 decrease in total amount of information disclosed by firms. We investigate
 this conjecture and find (1) no change in market risk premium, (2) an
 increase in risk premiums for size and (3) an increase in the distress
 risk premium in the post-FD period. These findings lead us to conclude
 that in the post-FD period there is a significant decrease in the
 dissemination of (1) overall information by small firms and (2)
 unfavourable information by firms in general. 
Journal: Applied Financial Economics 
Pages: 979-996 
Issue: 13 
Volume: 21 
Year: 2011 
Keywords: regulation FD, disclosure of information, Fama-French three-factor model, structural changes, 
X-DOI: 10.1080/09603107.2011.560107 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.560107
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:979-996




Template-Type: ReDIF-Article 1.0
Author-Name: Emawtee Bissoondoyal-Bheenick 
Author-X-Name-First: Emawtee 
Author-X-Name-Last: Bissoondoyal-Bheenick 
Author-Name: Robert Brooks 
Author-X-Name-First: Robert 
Author-X-Name-Last: Brooks 
Author-Name: Samantha Hum 
Author-X-Name-First: Samantha 
Author-X-Name-Last: Hum 
Author-Name: Sirimon Treepongkaruna 
Author-X-Name-First: Sirimon 
Author-X-Name-Last: Treepongkaruna 
Title: Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis 
Abstract:
  This article explores the impacts of sovereign rating changes by multiple
 rating agencies on foreign exchange rate volatility during the Asian
 crisis. We extend the existing literature to explore the impacts of
 multiple agency sovereign rating changes on the realized volatility of
 foreign exchange markets. Our findings show that the rating downgrades are
 associated with increases in foreign exchange volatility, and that
 multiple downgrades lead to a much higher increase in volatility as
 compared to single downgrades. Our results demonstrate that rating
 downgrades are part of the important news for the national markets
 consistent with the analysis of contagion analysis in Baur and Fry (2006,
 2009). 
Journal: Applied Financial Economics 
Pages: 997-1003 
Issue: 13 
Volume: 21 
Year: 2011 
Keywords: realized volatility, sovereign rating changes, foreign exchange market, 
X-DOI: 10.1080/09603107.2011.554367 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.554367
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:997-1003




Template-Type: ReDIF-Article 1.0
Author-Name: O. David Gulley 
Author-X-Name-First: O. David 
Author-X-Name-Last: Gulley 
Author-Name: Jahangir Sultan 
Author-X-Name-First: Jahangir 
Author-X-Name-Last: Sultan 
Title: Economics, politics and the federal funds markets: does the Fed play politics? 
Abstract:
  No, the Fed does not appear to play politics with respect to setting the
 federal funds rate. We examine the federal funds spot and futures rates to
 infer the Fed's response to political pressure from partisan politics
 during election and nonelection years. We find little evidence that
 political variables influence either market, suggesting that spot and
 futures traders act as if the Fed's behaviour is similar across election
 and nonelection years. Our evidence suggests that federal funds traders
 believe the Fed generally behaves in a politically neutral fashion. 
Journal: Applied Financial Economics 
Pages: 1005-1019 
Issue: 14 
Volume: 21 
Year: 2011 
Keywords: monetary policy, reaction functions, politics, 
X-DOI: 10.1080/09603107.2011.562163 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562163
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:14:p:1005-1019




Template-Type: ReDIF-Article 1.0
Author-Name: A. G. Zagorchev 
Author-X-Name-First: A. G. 
Author-X-Name-Last: Zagorchev 
Author-Name: G. Vasconcellos 
Author-X-Name-First: G. 
Author-X-Name-Last: Vasconcellos 
Author-Name: Y. Bae 
Author-X-Name-First: Y. 
Author-X-Name-Last: Bae 
Title: The long-run relation among financial development, technology and GDP: a panel cointegration study 
Abstract:
  There has been a considerable increase in the use of Information and
 Communications Technology (ICT) across the globe since 1991. This article
 examines the dynamic relationship among financial development, ICT and
 Gross Domestic Product (GDP) per capita in a panel cointegration framework
 using 86 sample countries. The long-run relationships are identified using
 panel unit root tests, cointegration analysis and Dynamic Ordinary Least
 Squares (DOLS). The ICT indicators are proxied by the number of personal
 computers, Internet users and mobile phone subscribers. Our first finding
 is that personal computers and GDP per capita increase the liquidity, size
 and activity of financial systems. Second, the Internet and GDP per capita
 improve the liquidity, size, stock trading and activity of financial
 markets. Third, mobile phones and GDP per capita stimulate financial
 market liquidity, financial market size and credit expansion. The results
 provide a clear support for an equilibrium relation among financial
 development, ICT and GDP per capita. 
Journal: Applied Financial Economics 
Pages: 1021-1034 
Issue: 14 
Volume: 21 
Year: 2011 
Keywords: financial development, financial markets, ICT, economic growth, panel cointegration, 
X-DOI: 10.1080/09603107.2011.562164 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562164
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:14:p:1021-1034




Template-Type: ReDIF-Article 1.0
Author-Name: Z. E. Badarudin 
Author-X-Name-First: Z. E. 
Author-X-Name-Last: Badarudin 
Author-Name: M. Ariff 
Author-X-Name-First: M. 
Author-X-Name-Last: Ariff 
Author-Name: A. M. Khalid 
Author-X-Name-First: A. M. 
Author-X-Name-Last: Khalid 
Title: Money supply endogeneity and bank stock returns 
Abstract:
  This article presents results of tests on two related hypotheses on money
 supply. The first relates to an unresolved issue of money endogeneity
 while the second centres on the yet-explored relationship between money
 supply and bank stock returns if money is found to be endogenous. Our
 results, using long-horizon data of Group of Seven (G-7) economies,
 supports causality in money supply as running from bank lending to bank
 deposits, a result that is predicted by the post-Keynesian money supply
 endogeneity (bank-credit-driven) theory. Thus, the result is not
 consistent with exogeneity proposition. A new evidence of positive
 relationship between endogenous money supply and aggregate bank stock
 return is statistically significant on this hitherto unexplored topic.
 These findings are consistent with the post-Keynesian money supply theory
 and the dividend valuation theory, which predicts money supply changes to
 induce changes in bank earnings, so bank share prices change. 
Journal: Applied Financial Economics 
Pages: 1035-1048 
Issue: 14 
Volume: 21 
Year: 2011 
Keywords: money supply endogeneity, bank stock returns, credit market, liquidity provision, post-Keynesian theory, dividend valuation theory, G-7 countries, 
X-DOI: 10.1080/09603107.2011.562162 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562162
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:14:p:1035-1048




Template-Type: ReDIF-Article 1.0
Author-Name: Ting-Huan Chang 
Author-X-Name-First: Ting-Huan 
Author-X-Name-Last: Chang 
Title: Risk preference and trading motivation measurement due to moneyness: evidence from the S&P 500 Index option market 
Abstract:
  This article examines the option investors' risk preferences and trading
 motivations that underlie option trading behaviours using adjusted
 moneyness when initial moneyness has been influenced by the
 time-to-maturity effect during the contract period. The statistics for the
 stationary time series of adjusted moneyness reveal that both call and put
 option investors essentially prefer to trade At-The-Money (ATM) options.
 The regression models for testing six hypotheses confirm that call and put
 option investors have significant risk aversion preferences and
 expectations of market reversion. Put option investors' trading motivation
 involves hedging their long and short futures positions by a way of
 portfolio management, such as the establishment of portfolio insurance or
 covered options. The motivation underlying the call option trading
 behaviour is still ambiguous, however. 
Journal: Applied Financial Economics 
Pages: 1049-1057 
Issue: 14 
Volume: 21 
Year: 2011 
Keywords: moneyness, risk preference, trading motivation, VIX, 
X-DOI: 10.1080/09603107.2011.562160 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562160
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:14:p:1049-1057




Template-Type: ReDIF-Article 1.0
Author-Name: Thibaut Moyaert 
Author-X-Name-First: Thibaut 
Author-X-Name-Last: Moyaert 
Author-Name: Mikael Petitjean 
Author-X-Name-First: Mikael 
Author-X-Name-Last: Petitjean 
Title: The performance of popular stochastic volatility option pricing models during the subprime crisis 
Abstract:
  Using daily options prices on the Eurostoxx 50 stock index over the whole
 year 2008, we compare the performance of three popular Stochastic
 Volatility (SV) models (Heston, 1993; Bates, 1996; Heston and Nandi,
 2000), in addition to the traditional Black-Scholes model and a
 proprietary trading desk model. We show that the most consistent in-sample
 and out-of-sample statistical performance is obtained for the internal
 model. However, the Bates model seems to be better suited to Short Term
 (ST, out-of-the-money) options while the Heston model seems to perform
 better for medium or Long Term (LT) options. In terms of hedging
 performance, the Heston and Nandi model exhibits the best average, albeit
 most volatile, result and the Heston model outperforms the Black-Scholes
 model in terms of hedging errors, mainly for option contracts that mature
 in-the-money. 
Journal: Applied Financial Economics 
Pages: 1059-1068 
Issue: 14 
Volume: 21 
Year: 2011 
Keywords: Heston, stochastic volatility, out-of-sample, delta hedge, forecasting, 
X-DOI: 10.1080/09603107.2011.562161 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562161
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:14:p:1059-1068




Template-Type: ReDIF-Article 1.0
Author-Name: K. Ben Nowman 
Author-X-Name-First: K. Ben 
Author-X-Name-Last: Nowman 
Title: Estimation of one-, two- and three-factor generalized Vasicek term structure models for Japanese interest rates using monthly panel data 
Abstract:
  In this article, we estimate one-, two- and three-factor generalized
 Vasicek interest rate models using Japanese yield curve panel data over
 the important period 2000 to 2010. The state space form of the model is
 presented and the Kalman filter applied. The empirical results provide
 support for the two and three factor models and simulations of the models
 over the period indicate that the two and three factor models performance
 tracks the Japanese yield curve. 
Journal: Applied Financial Economics 
Pages: 1069-1078 
Issue: 14 
Volume: 21 
Year: 2011 
Keywords: interest rates, Japan, Kalman filter, estimation, 
X-DOI: 10.1080/09603107.2011.562165 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562165
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:14:p:1069-1078




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Mark Wohar 
Author-X-Name-First: Mark 
Author-X-Name-Last: Wohar 
Title: Structural breaks in volatility: the case of UK sector returns 
Abstract:
  Evidence in favour of long memory has recently been questioned by tests
 that allow for structural breaks. This article tests for periodic breaks
 in the unconditional variance of stock return data on eight UK sectors, as
 well as the market index. Using the modified Iterative Cumulative Sum of
 Squares (ICSS) algorithm, we observe breaks in seven sectors and the index
 series. The breaks range from two or three for basic materials and
 industrials, to five and more for financials, technology and the telecoms
 sector. Hence, the more traditional stocks exhibit fewer breaks than the
 newer sectors. The implications of such breaks are numerous, in terms of
 volatility dynamics and forecasting and portfolio management. With respect
 to volatility dynamics, further analysis reveals that accounting for
 breaks substantially reduces the degree of persistence over a Generalized
 Autoregressive Conditional Heteroscedastic (GARCH) model that maintains a
 constant unconditional variance. Moreover, the mean to which volatility
 reverts is time varying; as such, failure to account for breaks will lead
 to severe forecast errors. Regarding portfolio management, there is
 substantial evidence of sector specific volatility breaks. Hence,
 estimation of a market model over the whole sample will lead to errors in
 both the riskiness of individual sectors and the ability to take advantage
 of possible above market returns. 
Journal: Applied Financial Economics 
Pages: 1079-1093 
Issue: 15 
Volume: 21 
Year: 2011 
Keywords: volatility, GARCH model, structural breaks, persistence, market model, 
X-DOI: 10.1080/09603107.2011.564131 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.564131
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:15:p:1079-1093




Template-Type: ReDIF-Article 1.0
Author-Name: Chi-Chen Wang 
Author-X-Name-First: Chi-Chen 
Author-X-Name-Last: Wang 
Author-Name: Yun-Sheng Hsu 
Author-X-Name-First: Yun-Sheng 
Author-X-Name-Last: Hsu 
Author-Name: Cheng-Hwai Liou 
Author-X-Name-First: Cheng-Hwai 
Author-X-Name-Last: Liou 
Title: A comparison of ARIMA forecasting and heuristic modelling 
Abstract:
  The study compares the application of the forecasting methods
 Autoregressive Integrated Moving Average (ARIMA) time series model and
 fuzzy time series by heuristic models on the amount of Taiwan export. When
 our model prolongs the sample period, the predicted error is smaller for
 the ARIMA model than for the heuristic model. Moreover, the predicted
 trajectory of the ARIMA model is much closer to the realistic trend than
 the heuristic model. Thus, the ARIMA model can forecast the export amount
 more accurately than the heuristic models. In the economic viewpoints, the
 amount of Taiwan exports is mainly attributable to external factors. In
 addition, the impact reduces with time and the export with lags 12 or 13
 do not affect current export amount anymore. If the sample period is
 shorter, the heuristic models outperform ARIMA models. A heuristic fuzzy
 time series model can be utilized to predict export values accurately,
 when only small set of data is available. 
Journal: Applied Financial Economics 
Pages: 1095-1102 
Issue: 15 
Volume: 21 
Year: 2011 
Keywords: ARIMA model, heuristic fuzzy time series, Taiwan export, 
X-DOI: 10.1080/09603107.2010.537629 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.537629
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:15:p:1095-1102




Template-Type: ReDIF-Article 1.0
Author-Name: Yingzhuo Yu 
Author-X-Name-First: Yingzhuo 
Author-X-Name-Last: Yu 
Author-Name: Cesar Escalante 
Author-X-Name-First: Cesar 
Author-X-Name-Last: Escalante 
Author-Name: Xiaohui Deng 
Author-X-Name-First: Xiaohui 
Author-X-Name-Last: Deng 
Author-Name: Jack Houston 
Author-X-Name-First: Jack 
Author-X-Name-Last: Houston 
Author-Name: Lewell Gunter 
Author-X-Name-First: Lewell 
Author-X-Name-Last: Gunter 
Title: Analysing scale and scope specialization efficiencies of US agricultural and nonagricultural banks using the Fourier flexible functional form 
Abstract:
  This study presents results of cost estimation and efficiency analyses of
 various size categories of agricultural and nonagricultural commercial
 banks using the Fourier Flexible (FF) function model. The traditional cost
 estimation model is expanded in this study with the inclusion of loan
 quality and financial risk indexes often ignored in empirical efficiency
 models. The FF model produced more intuitive scale efficiency results than
 the standard translog model owing to its greater global approximation
 capability. Scale efficiency measures provide evidence of increasing
 returns to scale for small and medium-size banks. Agricultural banks
 demonstrated a stronger tendency to maximize the potentials of increasing
 returns to scale as a result of output expansion. The translog cost model,
 however, remains a reliable tool in scope efficiency analyses that, in
 this study, produced results suggesting that agricultural banks are more
 likely to thrive more efficiently under specialized lending operations. 
Journal: Applied Financial Economics 
Pages: 1103-1116 
Issue: 15 
Volume: 21 
Year: 2011 
Keywords: expansion path sub-additivity, Fourier flexible functional form, ray scale economy, translog cost, 
X-DOI: 10.1080/09603107.2011.562166 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562166
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:15:p:1103-1116




Template-Type: ReDIF-Article 1.0
Author-Name: Matthew Serfling 
Author-X-Name-First: Matthew 
Author-X-Name-Last: Serfling 
Author-Name: Dragan Miljkovic 
Author-X-Name-First: Dragan 
Author-X-Name-Last: Miljkovic 
Title: Time series analysis of the relationships among (macro) economic variables, the dividend yield and the price level of the S&P 500 Index 
Abstract:
  In this article, the relationships among the dividend yield on the S&P
 500 Index, the yield on the 10 year Treasury note, the price level of the
 S&P 500 Index, the money supply, the level of the Industrial Production
 Index (IPI) and the level of the Consumer Price Index (CPI) are examined
 using monthly data from January 1959 to December 2009. We use a Vector
 Error Correction Model (VECM) to examine the possible simultaneous and
 cross short run relationships among the variables. The error correction
 portion of the model also allows us to examine long run relationships. We
 find evidence that there are simultaneous and significant interactions
 among the variables of interest. Specifically, all the variables exhibit
 endogeneity to some degree. Some of the discrepancies between our results
 and the results of others may lie in the sensitivity of the analysis to
 the time period of the sample. The two major implications of this study
 are to demonstrate that it would be a major folly of investors to consider
 only a direct cause and effect relationship among economic variables when
 selecting investments and to demonstrate that the endogeneity of
 macroeconomic and firm-specific variables needs to be taken into account
 when estimating econometric models. 
Journal: Applied Financial Economics 
Pages: 1117-1134 
Issue: 15 
Volume: 21 
Year: 2011 
Keywords: S&P Index, macroeconomic variables, time series analysis, dividend yield, 
X-DOI: 10.1080/09603107.2011.562167 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562167
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:15:p:1117-1134




Template-Type: ReDIF-Article 1.0
Author-Name: Wen-Hsin Hsu 
Author-X-Name-First: Wen-Hsin 
Author-X-Name-Last: Hsu 
Author-Name: Yao-Ling Chang 
Author-X-Name-First: Yao-Ling 
Author-X-Name-Last: Chang 
Title: Intellectual capital and analyst forecast: evidence from the high-tech industry in Taiwan 
Abstract:
  This article investigates the relation between the disclosure of
 intellectual capital and analysts' forecasts based on the Taiwanese
 high-tech industry. We hypothesize that corporate disclosures can be
 important means for management to communicate firm performance to outside
 investors and the firms that provide extensive coverage of intellectual
 capital can reduce the information risk in analysts' forecasting process.
 We find that firm-specific disclosures of intellectual capital relates
 negatively with analysts' forecast errors and dispersions. While many
 companies are concerned that the disclosure of intellectual capital can
 damage their competitive position in product markets, our results suggest
 that firms can reduce the information risk with voluntary disclosures on
 intellectual capital. 
Journal: Applied Financial Economics 
Pages: 1135-1143 
Issue: 15 
Volume: 21 
Year: 2011 
Keywords: intellectual capital, analyst forecast, information risk, high-tech industry, 
X-DOI: 10.1080/09603107.2011.564129 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.564129
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:15:p:1135-1143




Template-Type: ReDIF-Article 1.0
Author-Name: Hsiang-Tai Lee 
Author-X-Name-First: Hsiang-Tai 
Author-X-Name-Last: Lee 
Title: Regime switching fractional cointegration and futures hedging 
Abstract:
  The article applies a Regime Switching Fractionally Integrated Error
 Correction Generalized Orthogonal (RSFIEC-GO) Generalized Autoregressive
 Conditional Heteroscedasticity (GARCH) model for optimal futures hedging.
 RSFIEC-GO captures both the relationships of fractional cointegration and
 regime shifts between spot and futures returns. Empirical investigation in
 agricultural commodity markets reveals that RSFIEC-GO provides superior
 hedging effectiveness compared to its nested models in terms of variance
 reductions. Results of Diebold, Mariano and West (DMW) test with adjusted
 McCracken's critical values also show the statistical superiority of
 RSFIEC-GO. This illustrates the importance of simultaneously modelling the
 fractional cointegration and regime shifts for dynamic futures hedging. 
Journal: Applied Financial Economics 
Pages: 1145-1157 
Issue: 15 
Volume: 21 
Year: 2011 
Keywords: regime switching, futures hedging, fractionally cointegrated, GARCH, 
X-DOI: 10.1080/09603107.2011.564133 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.564133
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:15:p:1145-1157




Template-Type: ReDIF-Article 1.0
Author-Name: Carlos Henrique Rocha 
Author-X-Name-First: Carlos Henrique 
Author-X-Name-Last: Rocha 
Author-Name: Luiz Ricardo Cavalcante 
Author-X-Name-First: Luiz Ricardo 
Author-X-Name-Last: Cavalcante 
Author-Name: Luiz Guilherme Oliveira 
Author-X-Name-First: Luiz Guilherme 
Author-X-Name-Last: Oliveira 
Title: Estimating minimum and maximum fares of leased transport services 
Abstract:
  In this article we present a method of pricing maximum and minimum fares
 of leased public utilities. The theoretical ground of such method is the
 investment valuation theory, which allows us to price financial and real
 assets. The suggested method applies to leased public transport services
 worldwide. After some simple adjustments, the method can be used to price
 leased public services such as water, electricity and so forth. Summing
 up, the proposed method can be used to calculate maximum and minimum fares
 of leased public transport services, including port infrastructure. 
Journal: Applied Financial Economics 
Pages: 1159-1162 
Issue: 16 
Volume: 21 
Year: 2011 
Keywords: public services, rate of return regulation, minimum fare, maximum fare, investment valuation theory, 
X-DOI: 10.1080/09603107.2011.564134 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.564134
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:16:p:1159-1162




Template-Type: ReDIF-Article 1.0
Author-Name: O. Stotz 
Author-X-Name-First: O. 
Author-X-Name-Last: Stotz 
Title: Conditional strike prices of covered call and uncovered put strategies 
Abstract:
  This article investigates the Stochastic Dominance (SD) of investment
 strategies which combine a long position in a stock index with a short
 position in options written on that index. Two main issues are analysed
 here: First, exercise prices are analysed which are conditioned on proxies
 of expected returns. Second, next to the well-known covered call
 strategies, the SD of uncovered put strategies is also investigated.
 Empirical analysis of strategies on the Dow Jones EURO STOXX 50 Index
 shows that covered call strategies dominate an index investment at the
 second and third degrees, while uncovered put strategies fail to do so. It
 can be observed that strategies with conditional exercise prices are
 stochastically dominant to strategies with unconditional exercise prices. 
Journal: Applied Financial Economics 
Pages: 1163-1174 
Issue: 16 
Volume: 21 
Year: 2011 
Keywords: covered call strategies, uncovered put strategies, conditional strike prices, stochastic dominance, 
X-DOI: 10.1080/09603107.2011.566176 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.566176
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:16:p:1163-1174




Template-Type: ReDIF-Article 1.0
Author-Name: K. H. Al-Yahyaee 
Author-X-Name-First: K. H. 
Author-X-Name-Last: Al-Yahyaee 
Author-Name: T. M. Pham 
Author-X-Name-First: T. M. 
Author-X-Name-Last: Pham 
Author-Name: T. S. Walter 
Author-X-Name-First: T. S. 
Author-X-Name-Last: Walter 
Title: Dividend smoothing when firms distribute most of their earnings as dividends 
Abstract:
  Due to its distinctive institutional background, Oman offers a valuable
 opportunity to investigate the stability of the dividend policy. In Oman,
 (1) there are no taxes on dividends, (2) firms are highly levered mainly
 through bank loans, (3) there is a high concentration of stock ownership
 and (4) there is variability in cash dividend payments. These factors
 suggest a diminished role of dividend smoothing in Oman. Our results show
 that Omani financial firms have erratic dividend policies. These results
 are inconsistent with the predictions suggested by the relatively weak
 corporate governance, government ownership and dividend signalling. 
Journal: Applied Financial Economics 
Pages: 1175-1183 
Issue: 16 
Volume: 21 
Year: 2011 
Keywords: dividend smoothing, taxes, bank debt, government ownership, 
X-DOI: 10.1080/09603107.2011.566177 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.566177
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:16:p:1175-1183




Template-Type: ReDIF-Article 1.0
Author-Name: Chih-Chiang Wu 
Author-X-Name-First: Chih-Chiang 
Author-X-Name-Last: Wu 
Title: Measuring mutual fund asymmetric performance in changing market conditions: evidence from a Bayesian threshold model 
Abstract:
  We propose a Bayesian three-regime threshold four-factor model to compare
 the asymmetric risk adjustment between the transitions from neutral to
 downside markets and those from neutral to upside markets and investigate
 the performance of mutual funds in changing market conditions. We show
 that not only fund managers have asymmetric timing ability but
 three-regime models are more powerful and exhibit significant timing
 ability more often than two-regime models. In addition, we use panel data
 model to examine fund investors' behaviour and the relationships between
 fund performances and characteristics. Empirical results suggest that
 investor's behaviour is positively associated with past selectivity
 performances and fund sizes, while it is negatively correlated to past
 turnover, load charges and expenses. In addition, funds with large
 contemporaneous net cash flows will result in better upside market timing
 ability but worse downside market timing ability. 
Journal: Applied Financial Economics 
Pages: 1185-1204 
Issue: 16 
Volume: 21 
Year: 2011 
Keywords: Bayesian, market timing performance, selectivity performance, threshold model, 
X-DOI: 10.1080/09603107.2011.566178 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.566178
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:16:p:1185-1204




Template-Type: ReDIF-Article 1.0
Author-Name: Jose Brambila-Macias 
Author-X-Name-First: Jose 
Author-X-Name-Last: Brambila-Macias 
Author-Name: Isabella Massa 
Author-X-Name-First: Isabella 
Author-X-Name-Last: Massa 
Author-Name: Victor Murinde 
Author-X-Name-First: Victor 
Author-X-Name-Last: Murinde 
Title: Cross-border bank lending versus FDI in Africa's growth story 
Abstract:
  We investigate the relative long run growth impact of each of the two
 main types of Africa's private capital inflows, namely Foreign Direct
 Investment (FDI) and Cross-Border Bank Lending (CROSSBANK). In addition to
 controlling for some factors (e.g. financial reforms and trade openness),
 we isolate the outcomes for four groups: (1) all the African economies;
 (2) all the African economies except the SANE (South Africa, Algeria,
 Nigeria and Egypt), which are considered Africa's growth dynamos; (3)
 natural resource countries, which include some of the SANE and (4)
 countries without a sizeable hydrocarbon endowment. Our evidence suggests
 that both FDI and CROSSBANK exert a positive impact on African countries
 as a whole; an interesting comparison is that consistently, the former has
 a larger impact than the latter. Moreover, the effect of CROSSBANK becomes
 negative when the sample is restricted to oil countries. Also, financial
 reforms have a positive impact on economic growth in nonoil countries,
 while they have no growth effect on oil countries. The importance of trade
 openness as a driver of economic growth is confirmed for all African
 countries. 
Journal: Applied Financial Economics 
Pages: 1205-1213 
Issue: 16 
Volume: 21 
Year: 2011 
Keywords: FDI, cross-border bank lending, economic growth, Africa, 
X-DOI: 10.1080/09603107.2011.566179 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.566179
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:16:p:1205-1213




Template-Type: ReDIF-Article 1.0
Author-Name: Sami Attaoui 
Author-X-Name-First: Sami 
Author-X-Name-Last: Attaoui 
Title: Hedging performance of the Libor market model: the cap market case 
Abstract:
  This article investigates the hedging performance of the Libor Market
 Model (LMM) as well as the need to use models that explicitly incorporate
 Volatility Specific Factors (VSF) to better the hedging results. We
 compare the hedging performance of a standard LMM to that of a Constant
 Elasticity of Variance (CEV) LMM and find that, although the volatility
 risk is not completely removed by a hedge portfolio composed only of
 bonds, using a standard LMM is adequate to obtain high hedging performance
 in the cap market. 
Journal: Applied Financial Economics 
Pages: 1215-1223 
Issue: 16 
Volume: 21 
Year: 2011 
Keywords: interest rate caps, Libor market model, constant elasticity of variance, hedging, 
X-DOI: 10.1080/09603107.2011.568391 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.568391
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:16:p:1215-1223




Template-Type: ReDIF-Article 1.0
Author-Name: Veronique Bessiere 
Author-X-Name-First: Veronique 
Author-X-Name-Last: Bessiere 
Author-Name: Michael Kaestner 
Author-X-Name-First: Michael 
Author-X-Name-Last: Kaestner 
Author-Name: Anne-Laurence Lafont 
Author-X-Name-First: Anne-Laurence 
Author-X-Name-Last: Lafont 
Title: Hedge fund activism: insights from a French clinical study 
Abstract:
  Over the period from October 2006 to May 2008, Atos Origin, a French
 information technology company, was the target of two activist hedge
 funds, Centaurus and Pardus. This article investigates in detail how the
 activists initiated their actions, how the management organized its
 defence and how both were received by the market. The analysis reveals
 that, although Atos seemed to be an attractive opportunity, the funds
 failed in their primary objective, the sale of the target. In fact, the
 chairmen of Atos succeeded in discrediting the two hedge funds by getting
 support in the French context, not particularly prone to and sometimes
 even hostile towards shareholder's interests. Our findings show that the
 success/failure classification used in large-sample studies, and based
 very often on officially stated goals, bears a considerable risk of
 misinterpretation. The Atos case shows that empirical studies should more
 heavily rely on what really matters for hedge fund activism, i.e. the sale
 of the target, spin-offs or cash-outs. While governance related motives
 are often mentioned and easily enforced, they do not make activism
 profitable and cannot, by themselves, be considered as primary motives for
 hedge fund activism. As a consequence, the success of hedge fund activism
 should be assessed considering primary motives only. 
Journal: Applied Financial Economics 
Pages: 1225-1234 
Issue: 16 
Volume: 21 
Year: 2011 
Keywords: corporate governance, activism, hedge funds, corporate defenses, entrenchment, 
X-DOI: 10.1080/09603107.2011.568393 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.568393
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:16:p:1225-1234




Template-Type: ReDIF-Article 1.0
Author-Name: Amalia Morales-Zumaquero 
Author-X-Name-First: Amalia 
Author-X-Name-Last: Morales-Zumaquero 
Author-Name: Simon Sosvilla-Rivero 
Author-X-Name-First: Simon 
Author-X-Name-Last: Sosvilla-Rivero 
Title: The euro and the volatility of exchange rates 
Abstract:
  This article attempts to determine whether or not the introduction of the
 euro affected the volatility of major bilateral exchange rates. To this
 end, we examine the exchange rate behaviour for a set of Organization for
 Economic Co-operation and Development (OECD) and non-OECD countries during
 the period 1993 to 2010. We find evidence of structural breaks in
 volatility across investigated variables and, although there is a high
 heterogeneity regarding the located dates, our results suggest a reduction
 in volatility associated with European Economic and Monetary Union (EMU)
 and worldwide shocks and an increase in volatility following shocks
 originating outside EMU. The decomposition of total volatility into its
 components suggests that the permanent component tracks total volatility
 reflecting the evolution of fundamental factors, and the transitory
 component responds largely to market fluctuations, rising during the
 detected structural breaks. 
Journal: Applied Financial Economics 
Pages: 1235-1253 
Issue: 17 
Volume: 21 
Year: 2011 
Keywords: Euro, multiple structural breaks, volatility, permanent and transitory volatility, 
X-DOI: 10.1080/09603107.2011.568392 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.568392
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:17:p:1235-1253




Template-Type: ReDIF-Article 1.0
Author-Name: Ching-Ping Wang 
Author-X-Name-First: Ching-Ping 
Author-X-Name-Last: Wang 
Author-Name: Hung-Hsi Huang 
Author-X-Name-First: Hung-Hsi 
Author-X-Name-Last: Huang 
Author-Name: David Jou 
Author-X-Name-First: David 
Author-X-Name-Last: Jou 
Title: Dynamic portfolio frontier in a mean-variance framework 
Abstract:
  The dynamic portfolio frontier theory in a mean-variance framework
 previously developed by scholars suffers some limitations. Specifically,
 the theory assumes the use of the martingale approach, the assumption of a
 complete market and particular probability distribution of asset returns.
 Accordingly, under relaxing these limitations, this study develops a
 calculation process for explicitly deriving the dynamic portfolio frontier
 and the corresponding dynamic asset allocation. Finally, for comparison,
 this study provides a numerical example and then draws the dynamic and
 static portfolio frontiers on the same graph. 
Journal: Applied Financial Economics 
Pages: 1255-1261 
Issue: 17 
Volume: 21 
Year: 2011 
Keywords: portfolio choice, dynamic portfolio frontier, dynamic asset allocation, mean-variance frontier, 
X-DOI: 10.1080/09603107.2011.568394 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.568394
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:17:p:1255-1261




Template-Type: ReDIF-Article 1.0
Author-Name: B. Bhaskara Rao 
Author-X-Name-First: B. Bhaskara 
Author-X-Name-Last: Rao 
Author-Name: Saten Kumar 
Author-X-Name-First: Saten 
Author-X-Name-Last: Kumar 
Title: Is the US demand for money unstable? 
Abstract:
  The demand for money (M1) for the US is estimated with annual data from
 1960 to 2008 and its stability is analysed with the extended Gregory and
 Hansen (1996b) test. In addition to estimating the canonical
 specification, alternative specifications are estimated which include a
 trend and additional variables to proxy the cost of holding money. Results
 with our extended specification showed that there has been a structural
 change in 1998 and the constraint that income elasticity is unity could
 not be rejected by subsample estimates. Short run dynamic adjustment
 equations are estimated with the lagged residuals from the Fully Modified
 Ordinary Least Squares (FMOLS) estimates of cointegrating equation and
 also with the General to Specific (GETS) approach. 
Journal: Applied Financial Economics 
Pages: 1263-1272 
Issue: 17 
Volume: 21 
Year: 2011 
Keywords: demand for M1, US, structural breaks, income elasticity, cost of holding money, 
X-DOI: 10.1080/09603107.2011.568395 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.568395
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:17:p:1263-1272




Template-Type: ReDIF-Article 1.0
Author-Name: Benjamin Auer 
Author-X-Name-First: Benjamin 
Author-X-Name-Last: Auer 
Title: Can consumption-based asset pricing models explain the cross-section of investment funds returns? 
Abstract:
  Using the parametric Generalized Method of Moments (GMM) methodology of
 Hansen (1982) and the nonparametric approach of Hansen and Jagannathan
 (1991), this note investigates the ability of Consumption-based Asset
 Pricing Models (CCAPMs) to explain the cross-section of investment funds
 returns in the German market. The parametric analysis shows that both the
 classic power utility model of Hansen and Singleton (1982) and the habit
 formation extension of Campbell and Cochrane (1999) are not rejected, but
 require high risk-aversion to be consistent with the data. Furthermore,
 only the power utility model suffers from a risk-free rate puzzle. The
 nonparametric results are not accompanied by a risk-free rate puzzle for
 both models but the models still show high risk aversion. So using
 adequate test assets and evaluation methods, this note fully supports
 Cochrane (2006) saying that work explaining asset returns with
 consumption-based models should be dying out since there are preferences
 that can coherently describe the data with high risk-aversion. 
Journal: Applied Financial Economics 
Pages: 1273-1279 
Issue: 17 
Volume: 21 
Year: 2011 
Keywords: CCAPM, habit formation, stochastic discount factor, GMM, volatility bounds, investment funds returns, 
X-DOI: 10.1080/09603107.2011.568396 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.568396
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:17:p:1273-1279




Template-Type: ReDIF-Article 1.0
Author-Name: Bashar Al-Zu'bi 
Author-X-Name-First: Bashar 
Author-X-Name-Last: Al-Zu'bi 
Author-Name: Victor Murinde 
Author-X-Name-First: Victor 
Author-X-Name-Last: Murinde 
Title: Household portfolio behaviour: evidence from Middle East economies 
Abstract:
  This article studies household portfolio behaviour for a group of Middle
 East economies, namely Israel, Jordan and Turkey. Panel unit root and
 cointegration tests are used to investigate the convergence of household
 portfolio behaviour; and asset demand equations are estimated in a novel
 way of comparing the three countries using the Seemingly Unrelated
 Regression (SUR) model. We identify some common household portfolio
 behaviour for currency (cash), time deposits, company securities and bank
 loans, among the economies. However, household portfolio preferences do
 not respond to exchange rate changes in a uniform way across the three
 countries. 
Journal: Applied Financial Economics 
Pages: 1281-1289 
Issue: 17 
Volume: 21 
Year: 2011 
Keywords: flow of funds, household sector, portfolio management, panel data, 
X-DOI: 10.1080/09603107.2011.570710 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.570710
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:17:p:1281-1289




Template-Type: ReDIF-Article 1.0
Author-Name: Christiane Nickel 
Author-X-Name-First: Christiane 
Author-X-Name-Last: Nickel 
Author-Name: Philipp Rother 
Author-X-Name-First: Philipp 
Author-X-Name-Last: Rother 
Author-Name: Jan-Christoph Ruelke 
Author-X-Name-First: Jan-Christoph 
Author-X-Name-Last: Ruelke 
Title: Fiscal variables and bond spreads - evidence from Eastern European countries and Turkey 
Abstract:
  We investigate the impact of fiscal variables on bond yield spreads
 relative to US Treasury bonds in the Czech Republic, Hungary, Poland,
 Russia and Turkey from May 1998 to December 2007. To account for the
 importance of market expectations we use projected values for fiscal and
 macroeconomic variables generated from Consensus Economics Forecasts.
 Moreover, we compare results from panel regressions with those from
 country (seemingly unrelated regression) estimates. We find that, contrary
 to the evidence suggested by panel estimations, the role of the individual
 explanatory variables, including the importance of fiscal variables,
 varies significantly across countries when using the SUR specification. 
Journal: Applied Financial Economics 
Pages: 1291-1307 
Issue: 17 
Volume: 21 
Year: 2011 
Keywords: budget deficits, determination of interest rates, fiscal policy, Eastern European countries, 
X-DOI: 10.1080/09603107.2011.570711 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.570711
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:17:p:1291-1307




Template-Type: ReDIF-Article 1.0
Author-Name: A. A. Antzoulatos 
Author-X-Name-First: A. A. 
Author-X-Name-Last: Antzoulatos 
Author-Name: E. Panopoulou 
Author-X-Name-First: E. 
Author-X-Name-Last: Panopoulou 
Author-Name: C. Tsoumas 
Author-X-Name-First: C. 
Author-X-Name-Last: Tsoumas 
Title: The enigma of noninterest income convergence 
Abstract:
  Over the past quarter century, the great wave of financial
 liberalization, together with advances in information processing
 technology and finance theory, created severe competitive pressures on
 both the asset and liability sides of bank balance sheets and, on the
 positive side, allowed banks to offer more products and services.
 Responding strategically, banks shifted away from traditional
 intermediation activities to fee-earning and trading activities. Yet, as
 we document using the panel convergence methodology developed by Phillips
 and Sul (2007a), this shift exceeded what one could reasonably expect.
 Specifically, the share of Noninterest Income (NII) has been converging in
 the Organization for Economic Co-operation and Development (OECD)
 countries, providing a strong indication that the aforementioned common
 competitive pressures dominated the bank-specific and country-specific
 factors that affect the composition of bank income. Among the policy
 implications, the systemic risk on a global scale is likely to be greater
 than that indicated by bank-level and country-level analyses. 
Journal: Applied Financial Economics 
Pages: 1309-1316 
Issue: 17 
Volume: 21 
Year: 2011 
Keywords: noninterest income, banks, log t test, transition curves, 
X-DOI: 10.1080/09603107.2011.570712 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.570712
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:17:p:1309-1316




Template-Type: ReDIF-Article 1.0
Author-Name: Koji Ota 
Author-X-Name-First: Koji 
Author-X-Name-Last: Ota 
Title: Analysts' awareness of systematic bias in management earnings forecasts 
Abstract:
  The effectively mandatory provision of management forecasts of earnings
 is a unique feature of Japan's financial disclosure system. The first
 objective of this study is to identify the determinants of systematic bias
 in management forecasts using a sample of more than 36 000 one-year-ahead
 earnings forecasts announced by Japanese firms at the beginning of a
 fiscal year over the period 1979 to 2005. The examination of ex post
 management forecast errors shows that financial distress, firm growth,
 firm size and prior forecast errors are all associated with bias in
 management forecasts. The second objective of this study is to investigate
 whether analysts are aware of these factors that are found to be related
 to systematic bias in management earnings forecasts. The examination of
 analysts' forecasts issued subsequent to the announcement of management
 forecasts reveals that analysts take account of these factors when they
 issue their own earnings forecasts. The overall findings suggest that
 analysts are to some extent aware of the determinants of systematic bias
 in management forecasts. 
Journal: Applied Financial Economics 
Pages: 1317-1330 
Issue: 18 
Volume: 21 
Year: 2011 
Keywords: management earnings forecasts, analysts' earnings forecasts, determinants of forecast bias, forecast accuracy, 
X-DOI: 10.1080/09603107.2011.570713 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.570713
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:18:p:1317-1330




Template-Type: ReDIF-Article 1.0
Author-Name: Imad Moosa 
Author-X-Name-First: Imad 
Author-X-Name-Last: Moosa 
Author-Name: Larry Li 
Author-X-Name-First: Larry 
Author-X-Name-Last: Li 
Author-Name: Tony Naughton 
Author-X-Name-First: Tony 
Author-X-Name-Last: Naughton 
Title: Robust and fragile firm-specific determinants of the capital structure of Chinese firms 
Abstract:
  We demonstrate, using Extreme Bounds Analysis (EBA), that some of the
 firm-specific determinants of the capital structure of Chinese firms
 reported as important in previous studies may be fragile, in the sense
 that the sign and/or significance of the coefficients on these variables
 change depending on model specification (the variables included in or
 excluded from the model). For this purpose, data on 344 publicly listed
 shareholding companies are used, covering nine potential firm-specific
 determinants of capital structure. The robust variables, whose
 coefficients remain significant and of the same sign irrespective of model
 specification, turn out to be size, liquidity, profitability and growth
 opportunities. Although conventional cross-sectional analysis would lend
 support to the importance of tangibility and stock price performance,
 these two variables are indeed fragile. Other variables turn out to be
 insignificant. 
Journal: Applied Financial Economics 
Pages: 1331-1343 
Issue: 18 
Volume: 21 
Year: 2011 
Keywords: extreme bounds analysis, capital structure, trade-off theory, pecking order theory, 
X-DOI: 10.1080/09603107.2011.570714 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.570714
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:18:p:1331-1343




Template-Type: ReDIF-Article 1.0
Author-Name: David Black 
Author-X-Name-First: David 
Author-X-Name-Last: Black 
Author-Name: Michael Dowd 
Author-X-Name-First: Michael 
Author-X-Name-Last: Dowd 
Title: Risk aversion as a technology factor in the production function 
Abstract:
  We incorporate risk aversion into the technology component of the
 production function. In a traditional theoretic framework, we show that an
 increase in risk aversion increases unemployment and reduces potential
 output. Our out-of-sample forecasting experiments suggest that while
 interest rates impact the economy through the demand-side. However, an
 interest rate spread (TED) is used as a measure of risk aversion and is
 shown to impact output through the economy's supply-side. 
Journal: Applied Financial Economics 
Pages: 1345-1354 
Issue: 18 
Volume: 21 
Year: 2011 
Keywords: forecasting, gross domestic product, interest rates, risk aversion, technology, production function, time series, 
X-DOI: 10.1080/09603107.2011.572846 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.572846
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:18:p:1345-1354




Template-Type: ReDIF-Article 1.0
Author-Name: Pinar Evrim-Mandaci 
Author-X-Name-First: Pinar 
Author-X-Name-Last: Evrim-Mandaci 
Author-Name: Hakan Kahyaoglu 
Author-X-Name-First: Hakan 
Author-X-Name-Last: Kahyaoglu 
Author-Name: Efe Caglar Cagli 
Author-X-Name-First: Efe Caglar 
Author-X-Name-Last: Cagli 
Title: Stock and bond market interactions with two regime shifts: evidence from Turkey 
Abstract:
  This study aims to examine the relationship between the stock market and
 the government bond market in Turkey over a period from May 2001 to August
 2009 in order to find out whether specific asset allocation in these
 markets provides benefits. This article employs several cointegration
 techniques such as Engle and Granger (EG, 1987), Gregory and Hansen (GH,
 1996) and Hatemi-J (HJ, 2008). Furthermore, it applies the long run
 elasticities of Stock and Watson (1993) and parameter stability tests of
 Hansen (1992) and Andrews (1993). According to the results of EG and GH
 tests, the government bond index is not cointegrated with any other stock
 market indices. In contrast to the previous tests, we find a relationship
 which indicates low benefits of asset allocation between some stock
 indices and the government bond index when we employ the HJ method which
 takes two structural breaks into consideration. When we use the long run
 elasticities based on Ordinary Least Squares (OLS) and Dynamic OLS (DOLS)
 procedures, we find that the government bond index has a significant
 effect on some stock indices. In addition, employing the stability test of
 Hansen (1992), we find that the results of cointegration test with
 structural breaks (HJ) are consistent. Finally, we use Quandt-Andrews
 (Andrews, 1993) test and investigate possible break points in the
 relationship between price indices. 
Journal: Applied Financial Economics 
Pages: 1355-1368 
Issue: 18 
Volume: 21 
Year: 2011 
Keywords: cointegration, structural change, regime shift, asset allocation, 
X-DOI: 10.1080/09603107.2011.572847 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.572847
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:18:p:1355-1368




Template-Type: ReDIF-Article 1.0
Author-Name: Graham Bornholt 
Author-X-Name-First: Graham 
Author-X-Name-Last: Bornholt 
Author-Name: Mirela Malin 
Author-X-Name-First: Mirela 
Author-X-Name-Last: Malin 
Title: Is the 52-week high effect as strong as momentum? Evidence from developed and emerging market indices 
Abstract:
  Existing research shows that a strategy based on the 52-week high prices
 of individual stocks explains momentum and is able to forecast returns.
 Given that the momentum strategy based on international market indices is
 also known to be profitable, we investigate the profitability of the
 52-week high strategy for both developed and emerging market indices. In
 each case, we find that the momentum strategy is significantly more
 profitable than the corresponding 52-week high strategy. In general, our
 results indicate that the 52-week high effect is not as reliable or as
 robust as the momentum effect. 
Journal: Applied Financial Economics 
Pages: 1369-1379 
Issue: 18 
Volume: 21 
Year: 2011 
Keywords: 52-week high momentum, index returns, developed markets, emerging markets, 
X-DOI: 10.1080/09603107.2011.572848 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.572848
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:18:p:1369-1379




Template-Type: ReDIF-Article 1.0
Author-Name: J. Ernstberger 
Author-X-Name-First: J. 
Author-X-Name-Last: Ernstberger 
Author-Name: H. Haupt 
Author-X-Name-First: H. 
Author-X-Name-Last: Haupt 
Author-Name: O. Vogler 
Author-X-Name-First: O. 
Author-X-Name-Last: Vogler 
Title: The role of sorting portfolios in asset-pricing models 
Abstract:
  This article investigates the role of sorting portfolios in evaluating
 asset-pricing models. With the rising number of empirical studies about
 asset-pricing models, the comparability of these effects suffers from (1)
 different aggregational levels of firm returns, (2) different models, i.e.
 Capital Asset-Pricing Model (CAPM) versus the Fama and French model and
 (3) time-varying factor risk loadings. We find that &#x3b2;-sorting
 improves the performance of the CAPM, while portfolios built according to
 size and book-to-market equity (BE/ME) enhance the Fama and French model.
 However, the success of the three-factor model is not restricted to its
 factor-mimicking portfolios. For all analysed types of portfolios the Fama
 and French three-factor model turns out to be superior to the CAPM, both
 statistically and economically. Applying a quantile regression-based
 analysis, we also find support that the 'independent and identically
 distributed' (i.i.d.)-assumption empirically holds in these asset-pricing
 models, but the role of the unspecified part (&#x3b1;) changes when
 looking at the tails of the return distribution. The validity of our
 empirical results is supported by careful specification tests. 
Journal: Applied Financial Economics 
Pages: 1381-1396 
Issue: 18 
Volume: 21 
Year: 2011 
Keywords: sorting portfolios, asset pricing, Fama-French model, CAPM, 
X-DOI: 10.1080/09603107.2011.572849 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.572849
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:18:p:1381-1396




Template-Type: ReDIF-Article 1.0
Author-Name: J. Mukuddem-Petersen 
Author-X-Name-First: J. 
Author-X-Name-Last: Mukuddem-Petersen 
Author-Name: M. A. Petersen 
Author-X-Name-First: M. A. 
Author-X-Name-Last: Petersen 
Author-Name: T. Bosch 
Author-X-Name-First: T. 
Author-X-Name-Last: Bosch 
Author-Name: B. De Waal 
Author-X-Name-First: B. 
Author-X-Name-Last: De Waal 
Title: Speculative funding and its impact on subprime mortgage product pricing 
Abstract:
  We address the impact of speculative mortgage funding on the pricing of
 subprime residential mortgage loans (measured by risk premia) and
 securities backed by these mortgages (measured by ABX.HE indices). In this
 regard, we make use of techniques involving multivariate Vector
 Autoregressive (VAR) models and Generalized Impulse Response Functions
 (GIRFs) in order to study the shocks related to this type of funding. More
 specifically, the VAR model utilized in this article estimates individual
 regressions within a system where all mortgage variables are endogenously
 determined. Furthermore, the aforementioned response functions provide a
 means of determining the impact of shocks within a given horizon. Our main
 conclusions are that mortgage price is most significantly affected by
 shocks from mortgage rates, while, for ABX price, shocks to speculative
 mortgage funding, ABX price, mortgagor risk characteristics and prepayment
 rate elicit significant responses. In addition, our findings indicate that
 speculative mortgage funding has driven up mortgage and ABX price and
 contributes to increased volatility in related markets. 
Journal: Applied Financial Economics 
Pages: 1397-1408 
Issue: 19 
Volume: 21 
Year: 2011 
Keywords: subprime mortgage crisis, residential mortgage loans, mortgage securitization, ABX.HE indices, vector autoregressive model, generalized impulse response function, 
X-DOI: 10.1080/09603107.2011.572850 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.572850
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:19:p:1397-1408




Template-Type: ReDIF-Article 1.0
Author-Name: Doo-Yull Choi 
Author-X-Name-First: Doo-Yull 
Author-X-Name-Last: Choi 
Author-Name: Bong-Han Kim 
Author-X-Name-First: Bong-Han 
Author-X-Name-Last: Kim 
Author-Name: See-Won Kim 
Author-X-Name-First: See-Won 
Author-X-Name-Last: Kim 
Title: Nonlinear mean-reversion in Southeast Asian real exchange rates 
Abstract:
  We find nonlinear mean reverting tendencies in Southeast Asian currencies
 by applying the newly developed nonlinear unit-root test by Park and
 Shintani (2005). First, with the US dollar as the numeraire currency, we
 find that 63% of the real exchange rates of Southeast Asian currencies
 turn out to be stationary. However, with the Japanese yen as the numeraire
 currency, we find no evidence in favour of Purchasing Power Parity (PPP)
 for most currencies in Southeast Asia, except for the Korean won and
 Taiwanese dollar. These findings imply that Southeast Asian currencies may
 not form a yen-dominated Asian exchange rate system. Second, when the
 dollar-based real exchange rates of Southeast Asian countries are
 nonlinear mean reverting, we find that the mean-reverting process could be
 well described by the Exponential Smooth Transition Autoregressive (ESTAR)
 model, rather than the Double Threshold Autoregressive (DTAR) or Double
 Logistic Smooth Transition Autoregressive (DLSTAR) model. Our results are
 reinforced by impulse response function and forecasting analysis. 
Journal: Applied Financial Economics 
Pages: 1409-1421 
Issue: 19 
Volume: 21 
Year: 2011 
Keywords: purchasing power parity, nonlinear unit root test, Asian real exchange rates, dollar and yen, 
X-DOI: 10.1080/09603107.2011.572851 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.572851
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:19:p:1409-1421




Template-Type: ReDIF-Article 1.0
Author-Name: George Filis 
Author-X-Name-First: George 
Author-X-Name-Last: Filis 
Author-Name: Christos Floros 
Author-X-Name-First: Christos 
Author-X-Name-Last: Floros 
Author-Name: Bruno Eeckels 
Author-X-Name-First: Bruno 
Author-X-Name-Last: Eeckels 
Title: Option listing, returns and volatility: evidence from Greece 
Abstract:
  This study examines the effect of the first introduction of Greek stock
 options (Greek Telecommunication Organisation, Intracom, National Bank of
 Greece and Alpha Bank) on stock prices and volatility for the period 1999
 to 2002. We examine the asymmetric information hypothesis using a standard
 event study methodology and asymmetric Generalized Autoregressive
 Conditional Heteroscedasticity (GARCH) type models. Event study results
 indicate that abnormal returns existed in the prelisting period, but tend
 to disappear in the post listing period. Asymmetric component Threshold
 Generalized Autoregressive Conditional Heteroscedasticity (TGARCH) models
 with Generalized Error Distribution (GED) show that the introduction of
 stock options has led to increased volatility (positive effect) for Greek
 Telecommunication Organisation, Intracom and National Bank of Greece only
 (Alpha Bank shows a positive but insignificant effect). We argue that our
 results provide support to the asymmetric information hypothesis,
 suggesting that the Greek market has become more efficient after the
 introduction of stock options. 
Journal: Applied Financial Economics 
Pages: 1423-1435 
Issue: 19 
Volume: 21 
Year: 2011 
Keywords: stock options, returns, volatility, asymmetric component GARCH, Greece, 
X-DOI: 10.1080/09603107.2011.577005 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.577005
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:19:p:1423-1435




Template-Type: ReDIF-Article 1.0
Author-Name: Zhuo Qiao 
Author-X-Name-First: Zhuo 
Author-X-Name-Last: Qiao 
Author-Name: Keith Lam 
Author-X-Name-First: Keith 
Author-X-Name-Last: Lam 
Title: Granger causal relations among Greater China stock markets: a nonlinear perspective 
Abstract:
  This article uses linear and nonlinear Granger causality tests to study
 Granger causal relations among the stock markets of Greater China. In
 sharp contrast to the results disclosed by its linear counterpart, a
 nonlinear causality test provides evidence of isolated bi-directional
 causal relations between two Chinese stock markets and between the HKSE
 and the TWSE in the earlier period of 1992 to 1999. The nonlinear
 causality test further shows that, in the later period of 2000 to 2008,
 Granger causal relations have been strengthened and that Chinese stock
 markets are well connected with their neighbour markets, the HKSE and the
 TWSE, and they are playing a most influential role among the stock markets
 of Greater China. 
Journal: Applied Financial Economics 
Pages: 1437-1450 
Issue: 19 
Volume: 21 
Year: 2011 
Keywords: Granger causality, nonlinearity, Greater China, stock market, 
X-DOI: 10.1080/09603107.2011.577007 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.577007
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:19:p:1437-1450




Template-Type: ReDIF-Article 1.0
Author-Name: Ohannes George Paskelian 
Author-X-Name-First: Ohannes George 
Author-X-Name-Last: Paskelian 
Author-Name: M. Kabir Hassan 
Author-X-Name-First: M. Kabir 
Author-X-Name-Last: Hassan 
Author-Name: Kathryn Whittaker Huff 
Author-X-Name-First: Kathryn Whittaker 
Author-X-Name-Last: Huff 
Title: Are there bubbles in the REITs market? New evidence using regime-switching approach 
Abstract:
  This study looks for the presence of rational speculative bubbles in Real
 Estate Investment Trusts (REITs) using unit-root, variance ratio, duration
 dependence and regime switching regression tests. The regime switching
 method provides weak evidence of speculative bubble behaviour in both the
 mortgage and hybrid REITs sectors even though traditional econometric
 bubble tests do not provide evidence of rational speculative bubbles in
 all REIT markets. Findings suggest that price movement in mortgage and
 hybrid REITs may be induced by bubble-like behaviour of investors. This
 behaviour may be traced to the real estate market bubble. Our results
 provide evidence that the real estate bubble that started in early 2000
 was transmitted into securitized real estate markets. A regime switching
 model also provides a clear metric that signals the probability of a
 collapsing bubble. This is something with the potential to be appreciably
 helpful to portfolio managers. 
Journal: Applied Financial Economics 
Pages: 1451-1461 
Issue: 19 
Volume: 21 
Year: 2011 
Keywords: rational speculative bubbles, REITs; regime-switching tests, duration dependence tests, 
X-DOI: 10.1080/09603107.2011.577009 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.577009
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:19:p:1451-1461




Template-Type: ReDIF-Article 1.0
Author-Name: Azamat Abdymomunov 
Author-X-Name-First: Azamat 
Author-X-Name-Last: Abdymomunov 
Author-Name: James Morley 
Author-X-Name-First: James 
Author-X-Name-Last: Morley 
Title: Time variation of CAPM betas across market volatility regimes 
Abstract:
  We investigate time variation in Captial Asset Pricing Model (CAPM) betas
 for Book-to-Market (B/M) and momentum portfolios across stock market
 volatility regimes. For our analysis, we jointly model market and
 portfolio returns using a two-state Markov-switching process, with beta
 and the market risk premium allowed to vary between 'low' and 'high'
 volatility regimes. Our empirical findings suggest strong evidence of time
 variation in betas across volatility regimes in almost all the cases for
 which the unconditional CAPM can be rejected. Although the
 regime-switching conditional CAPM can still be rejected in many cases, the
 time-varying betas help explain portfolio returns much better than the
 unconditional CAPM, especially when market volatility is high. 
Journal: Applied Financial Economics 
Pages: 1463-1478 
Issue: 19 
Volume: 21 
Year: 2011 
Keywords: conditional CAPM, Markov-switching model, book-to-market, momentum, 
X-DOI: 10.1080/09603107.2011.577010 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.577010
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:19:p:1463-1478




Template-Type: ReDIF-Article 1.0
Author-Name: Luca Vincenzo Ballestra 
Author-X-Name-First: Luca Vincenzo 
Author-X-Name-Last: Ballestra 
Author-Name: Graziella Pacelli 
Author-X-Name-First: Graziella 
Author-X-Name-Last: Pacelli 
Title: The constant elasticity of variance model: calibration, test and evidence from the Italian equity market 
Abstract:
  We present a robust and reliable methodology to calibrate and test the
 Constant Elasticity of Variance (CEV) model. Precisely, the parameters of
 the model are estimated by maximum likelihood, and an efficient numerical
 method to maximize the likelihood function is developed. Furthermore, a
 consistent and effective goodness-of-fit test of the CEV model is obtained
 using the Rosenblatt probability transformation and the &#x3c7;2 analysis.
 The novel procedure is employed to investigate the performances of the
 model on the Italian market. This analysis reveals that the CEV model does
 not offer a correct description of equity prices. 
Journal: Applied Financial Economics 
Pages: 1479-1487 
Issue: 20 
Volume: 21 
Year: 2011 
Keywords: CEV model, maximum likelihood, goodness-of-fit test, stock prices, 
X-DOI: 10.1080/09603107.2011.579058 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.579058
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:20:p:1479-1487




Template-Type: ReDIF-Article 1.0
Author-Name: Tom Berglund 
Author-X-Name-First: Tom 
Author-X-Name-Last: Berglund 
Title: The elusive marginal q 
Abstract:
  This article discusses problems with proposed methods to estimate firm
 specific marginal q-ratios, where marginal q measures the value impact of
 new investment. The article concludes that suggested methods are likely to
 produce biased estimates since they fail to separate fluctuations in the
 value of assets in place, from the ex-post value increase specifically
 caused by the undertaken new investment. The usefulness of attempts to
 separate efficiency of new investments from efficiency of managing the
 firm's assets in place is questioned. 
Journal: Applied Financial Economics 
Pages: 1489-1493 
Issue: 20 
Volume: 21 
Year: 2011 
Keywords: Tobin's q, performance measurement, new investment, assets in place, 
X-DOI: 10.1080/09603107.2011.579059 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.579059
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:20:p:1489-1493




Template-Type: ReDIF-Article 1.0
Author-Name: Ioanna Konstantakopoulou 
Author-X-Name-First: Ioanna 
Author-X-Name-Last: Konstantakopoulou 
Author-Name: Efthymios Tsionas 
Author-X-Name-First: Efthymios 
Author-X-Name-Last: Tsionas 
Title: The business cycle in Eurozone economies (1960 to 2009) 
Abstract:
  This article investigates the business cycles of Eurozone economies. We
 detect static and dynamic relationships between cyclical components of
 output, arising through the use of different filtering methods. This is
 achieved using for the first, correlations, and for the second, the
 Autoregressive Distributed Lag (ARDL) model proposed by Pesaran
 et&#xa0;al. (Pesaran-Shin-Smith, PSS, 2001). The evidence indicates that
 there is a core group of countries, comprising Germany, France, Belgium,
 the Netherlands and Austria, which are the most synchronized. These
 countries appear to form a common European cycle after the institutional
 changes in Europe, while countries such as Greece, Portugal, Luxembourg
 and Finland present no synchronization with the rest. In addition, the
 long run estimated coefficients confirm the positive relationships between
 the business cycles of countries such as Germany with those of the
 Netherlands, Austria, Belgium, Greece and Ireland. Furthermore, the French
 cycle with the Dutch, Luxembourgian, Belgian and Spanish cycles; the
 Belgian cycle with the cycles of all examined countries; the Portuguese
 cycle with the Greek cycle and finally the Spanish cycle with the Irish
 cycle. The cycles of most countries converge in the long run equilibrium
 path, while the speed of convergence is higher in France, Netherlands,
 Germany and Austria. 
Journal: Applied Financial Economics 
Pages: 1495-1513 
Issue: 20 
Volume: 21 
Year: 2011 
Keywords: business cycles, dynamic relationships, cross-correlations, euro area economies, 
X-DOI: 10.1080/09603107.2011.579060 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.579060
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:20:p:1495-1513




Template-Type: ReDIF-Article 1.0
Author-Name: P. S. Sanju 
Author-X-Name-First: P. S. 
Author-X-Name-Last: Sanju 
Author-Name: P. S. Nirmala 
Author-X-Name-First: P. S. 
Author-X-Name-Last: Nirmala 
Author-Name: M. Ramachandran 
Author-X-Name-First: M. 
Author-X-Name-Last: Ramachandran 
Title: Are dividend and investment decisions separable? 
Abstract:
  In this study, we address an econometric issue which has so far been
 neglected by the empirical studies on separation principle. The earlier
 studies largely applied Granger causality test by differencing the data if
 they are integrated time series. Such an approach produces specification
 bias if integrated variables in level are cointegrated and thus, ignoring
 the long run dynamics among the variables. To circumvent this problem, we
 test for cointegration between investments and dividends and estimate a
 dynamic panel vector error correction model. Annual time series data over
 the period 1995 to 2008 for various sectors chosen on the basis of the
 available sectoral indices of National Stock Exchange are considered for
 empirical analysis. The empirical evidence derived from group mean and
 lambda-Pearson tests seem to indicate that there is long run causal link
 between investments and dividends and therefore, firms' decisions
 regarding dividend payout and investments are inseparable. 
Journal: Applied Financial Economics 
Pages: 1515-1524 
Issue: 20 
Volume: 21 
Year: 2011 
Keywords: separation principle, panel unit root, panel cointegration, FMOLS method, 
X-DOI: 10.1080/09603107.2011.581207 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.581207
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:20:p:1515-1524




Template-Type: ReDIF-Article 1.0
Author-Name: Seth Armitage 
Author-X-Name-First: Seth 
Author-X-Name-Last: Armitage 
Author-Name: Janusz Brzeszczynski 
Author-X-Name-First: Janusz 
Author-X-Name-Last: Brzeszczynski 
Title: Heteroscedasticity and interval effects in estimating beta: UK evidence 
Abstract:
  The article compares beta estimates obtained from Ordinary Least Squares
 (OLS) regression with estimates corrected for heteroscedasticity of the
 error term using Autoregressive Conditional Heteroscedasticity (ARCH)
 models, for 145 UK shares. The differences are mainly less than 0.10, for
 betas calculated using daily returns, but even such small differences can
 matter in practice. OLS tends to overestimate the beta coefficients
 compared with ARCH models, and selecting an ARCH type estimate makes the
 most difference for large cap shares. Regarding the measurement interval,
 the downward bias in betas from daily returns is associated with not only
 thin trading but also the volatility of the share's daily returns. We
 infer that the idiosyncratic component in daily returns, as well as lack
 of trading, is responsible for low daily betas. 
Journal: Applied Financial Economics 
Pages: 1525-1538 
Issue: 20 
Volume: 21 
Year: 2011 
Keywords: beta estimation, heteroscedasticity, ARCH models, interval effect, 
X-DOI: 10.1080/09603107.2011.581208 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.581208
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:20:p:1525-1538




Template-Type: ReDIF-Article 1.0
Author-Name: Huseyin Kaya 
Author-X-Name-First: Huseyin 
Author-X-Name-Last: Kaya 
Author-Name: M. Ege Yazgan 
Author-X-Name-First: M. Ege 
Author-X-Name-Last: Yazgan 
Title: Has 'inflation targeting' increased the predictive power of term structure about future inflation: evidence from Turkish experience? 
Abstract:
  This article contributes to the vast literature on the predictive power
 of term structure on future inflation by focusing on an emerging market
 case: Turkey. The most important result emerging in our article is the
 following: Monetary policy change is an important determinant of the
 relationship between term structure and inflation to the extent that even
 the existence of the relationship critically depends on the nature of the
 monetary policy regime. In our case, the change in monetary policy is
 associated with the beginning of the implementation of an Inflation
 Targeting (IT) regime. While, before IT, the information in term structure
 does not provide any predictive power for future inflation; this
 phenomenon seems to be completely reversed after IT. Since the
 implementation of IT, the term structures of interest rates seem to have
 gained considerable forecasting power for future inflation. 
Journal: Applied Financial Economics 
Pages: 1539-1547 
Issue: 20 
Volume: 21 
Year: 2011 
Keywords: term structure of interest rate, structural break, inflation, monetary policy, inflation targeting, 
X-DOI: 10.1080/09603107.2011.581209 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.581209
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:20:p:1539-1547




Template-Type: ReDIF-Article 1.0
Author-Name: Ali Akyol 
Author-X-Name-First: Ali 
Author-X-Name-Last: Akyol 
Title: Stock returns around nontrading periods: evidence from an emerging market 
Abstract:
  I examine intraday stock returns in the Istanbul Stock Exchange (ISE)
 around nontrading periods - weekends and holidays - by utilizing the
 exchange's structure of two trading sessions. I find that returns are
 generally more positive in the last session on Fridays and more negative
 in the first session on Mondays. The results also indicate that the
 weekend effect has disappeared in the ISE in recent years. I further find
 some evidence that there is a relationship between the length of a holiday
 nontrading period and returns around it. The longer a nontrading period
 is, the more positive the returns are in the morning session before the
 holiday and the less positive the returns are in the morning session after
 the holiday. My findings indicate the importance of the uncertainty
 imposed on stock returns by the length of a nontrading period. 
Journal: Applied Financial Economics 
Pages: 1549-1560 
Issue: 20 
Volume: 21 
Year: 2011 
Keywords: day of the week effect, holiday effect, calendar anomalies, market efficiency, nontrading period, session returns, 
X-DOI: 10.1080/09603107.2011.583214 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.583214
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:20:p:1549-1560




Template-Type: ReDIF-Article 1.0
Author-Name: Norbert Michel 
Author-X-Name-First: Norbert 
Author-X-Name-Last: Michel 
Author-Name: John Lajaunie 
Author-X-Name-First: John 
Author-X-Name-Last: Lajaunie 
Author-Name: Shari Lawrence 
Author-X-Name-First: Shari 
Author-X-Name-Last: Lawrence 
Title: The empirical relationship between home equity borrowing and durable goods purchases 
Abstract:
  The current financial crisis has drawn attention to consumers' use of the
 Home Equity Line of Credit (HELOC) to finance consumption. Although many
 economists have repeatedly noted that such borrowing fueled additional
 consumption, attempts to quantify the boost to consumer spending have been
 relatively few. Similarly, attempts to classify the types of goods
 consumers purchased with their HELOC facilities have been sparse. The
 present article remedies both situations. The article shows that, in the
 aggregate, for every one percentage increase in HELOC lending, durable
 goods consumption increased by between 17% and 25% (on average, from 1991
 to 2008). The article uses aggregate consumption data compiled from the
 Consumer Expenditure Survey, and HELOC data taken from banks' reported
 financial statements as filed with the Federal Financial Institution
 Examination Council (FFIEC). A regional-level panel of aggregate
 consumption and lending is constructed for the years 1991 to 2008. We
 examine several different measures of durable and nondurable goods, and we
 find that the durable goods most sensitive to changes in HELOC borrowing
 are classified as follows: household furniture, equipment and appliances,
 entertainment goods (including TV, radio, and sound equipment) and
 transportation (including new and used vehicles). 
Journal: Applied Financial Economics 
Pages: 1561-1570 
Issue: 21 
Volume: 21 
Year: 2011 
Keywords: HELOC, home, equity, lending, 
X-DOI: 10.1080/09603107.2011.581210 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.581210
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:21:p:1561-1570




Template-Type: ReDIF-Article 1.0
Author-Name: Roland Fuss 
Author-X-Name-First: Roland 
Author-X-Name-Last: Fuss 
Author-Name: Ferdinand Mager 
Author-X-Name-First: Ferdinand 
Author-X-Name-Last: Mager 
Author-Name: Holger Wohlenberg 
Author-X-Name-First: Holger 
Author-X-Name-Last: Wohlenberg 
Author-Name: Lu Zhao 
Author-X-Name-First: Lu 
Author-X-Name-Last: Zhao 
Title: The impact of macroeconomic announcements on implied volatility 
Abstract:
  While many studies analyse the impact of scheduled macroeconomic
 announcements on equity market volatility, few focus on the impact on
 option implied volatilities. In this study, we examine the link between
 German and US macroeconomic events and the implied volatility indices DAX
 Volatility Index (VDAX) and Chicago Board Options Exchange, CBOE
 Volatility Index (VIX). We find that both indices fall on announcement
 days, with the strongest reactions occurring during the financial crisis
 from 2008 to 2009. Further, we identify a volatility spillover effect and
 significant covariance clustering between VDAX and VIX. 
Journal: Applied Financial Economics 
Pages: 1571-1580 
Issue: 21 
Volume: 21 
Year: 2011 
Keywords: implied volatility, VIX and VDAX indices, bivariate VECH GARCH model, macroeconomic announcements, 
X-DOI: 10.1080/09603107.2011.583216 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.583216
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:21:p:1571-1580




Template-Type: ReDIF-Article 1.0
Author-Name: Saziye Gazio&#x11f;lu 
Author-X-Name-First: Saziye 
Author-X-Name-Last: Gazio&#x11f;lu 
Author-Name: Nilifer Cal&#x131;skan 
Author-X-Name-First: Nilifer 
Author-X-Name-Last: Cal&#x131;skan 
Title: Cumulative prospect theory challenges traditional expected utility theory 
Abstract:
  The Cumulative Prospect Theory (CPT) uses piecewise value functions
 instead of consumer utility and provides alternative assumptions for
 investment behaviour approximated by power value function. In this study,
 our aim to find a generalized value function that will make the value
 function introduced by Kahneman-Tversky (1992) a special case. This
 functional form of the value function determine the appropriate parameter
 of the values function. We believe that if one can approximate the
 original CPT value function by other types of functions, the optimization
 problem and the many other implications can be compared to choose the best
 model depending on the focus of the problems. This, eventually, could
 result in improving the theory in both theoretical and empirical points of
 views. 
Journal: Applied Financial Economics 
Pages: 1581-1586 
Issue: 21 
Volume: 21 
Year: 2011 
Keywords: utility theory; prospect theory; expected utility; portfolio optimization, 
X-DOI: 10.1080/09603107.2011.583393 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.583393
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:21:p:1581-1586




Template-Type: ReDIF-Article 1.0
Author-Name: Carluccio Bianchi 
Author-X-Name-First: Carluccio 
Author-X-Name-Last: Bianchi 
Author-Name: Maria Elena De Giuli 
Author-X-Name-First: Maria Elena 
Author-X-Name-Last: De Giuli 
Author-Name: Dean Fantazzini 
Author-X-Name-First: Dean 
Author-X-Name-Last: Fantazzini 
Author-Name: Mario Maggi 
Author-X-Name-First: Mario 
Author-X-Name-Last: Maggi 
Title: Small sample properties of copula-GARCH modelling: a Monte Carlo study 
Abstract:
  Copula-GARCH models have been recently proposed in the financial
 literature as a statistical tool to deal with flexible multivariate
 distributions. Our extensive simulation studies investigate the small
 sample properties of these models and examine how misspecification in the
 marginals may affect the estimation of the dependence function represented
 by the copula. We show that the use of Normal marginals when the true Data
 Generating Process (DGP) is leptokurtic or asymmetric, produces negatively
 biased estimates of the Normal copula correlations. A striking result is
 that these biases reach their highest value when correlations are strongly
 negative, and viceversa. This result remains unchanged with both
 positively skewed and negatively skewed data, while no biases are found if
 the variables are uncorrelated. Besides, the effect of marginals asymmetry
 on correlations is smaller than that of leptokurtosis. We finally analyse
 the performance of these models in terms of numerical convergence and
 positive definiteness of the estimated copula correlation matrix. 
Journal: Applied Financial Economics 
Pages: 1587-1597 
Issue: 21 
Volume: 21 
Year: 2011 
Keywords: copulas, copula-GARCH models, maximum likelihood, simulation, small sample properties, 
X-DOI: 10.1080/09603107.2011.587770 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.587770
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:21:p:1587-1597




Template-Type: ReDIF-Article 1.0
Author-Name: Chao Wei 
Author-X-Name-First: Chao 
Author-X-Name-Last: Wei 
Author-Name: Fred Joutz 
Author-X-Name-First: Fred 
Author-X-Name-Last: Joutz 
Title: Inflation illusion or no illusion: what did pre- and post-war data say? 
Abstract:
  Campbell and Vuolteenaho (CV, 2004) empirically decompose the S&P 500's
 dividend yield from 1927 to 2002 to derive a measure of residual
 mispricing attributed to inflation illusion. They argue that the strong
 positive correlation between the mispricing component and inflation is
 strong evidence for the inflation illusion hypothesis. We find evidence
 for structural instability in their prediction equation for the excess
 return. We apply the same decomposition approach to the data before and
 after 1952, and find that the correlation between inflation and the
 mispricing component is close to zero in the post-war period, when
 inflation and the dividend yield are strongly positively correlated. The
 post-war data do not support the inflation illusion hypothesis as the
 explanation for the positive correlation between inflation and dividend
 yields. 
Journal: Applied Financial Economics 
Pages: 1599-1603 
Issue: 21 
Volume: 21 
Year: 2011 
Keywords: inflation illusion, mispricing, structural instability, decomposition approach, 
X-DOI: 10.1080/09603107.2011.587771 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.587771
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:21:p:1599-1603




Template-Type: ReDIF-Article 1.0
Author-Name: Olaf Stotz 
Author-X-Name-First: Olaf 
Author-X-Name-Last: Stotz 
Title: The influence of geography on the success of private equity: investments in listed equity 
Abstract:
  This article analyses short-term and long-term wealth effects of private
 equity investments in target companies which are already listed on a stock
 exchange. It also examines the importance of geography on both stock
 returns and accounting returns. In general, risk-adjusted short-term and
 long-term stock returns of target companies are positive. Also, changes in
 accounting returns are greater for target companies than for companies of
 the same industry. With respect to geography it is found that almost all
 of the positive returns result from private equity investments in target
 companies from the same country. 
Journal: Applied Financial Economics 
Pages: 1605-1615 
Issue: 21 
Volume: 21 
Year: 2011 
Keywords: private equity, accounting returns, stock returns, event study, 
X-DOI: 10.1080/09603107.2011.587772 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.587772
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:21:p:1605-1615




Template-Type: ReDIF-Article 1.0
Author-Name: Ivelina Pavlova 
Author-X-Name-First: Ivelina 
Author-X-Name-Last: Pavlova 
Author-Name: A. M. Parhizgari 
Author-X-Name-First: A. M. 
Author-X-Name-Last: Parhizgari 
Title: In search of momentum profits: are they illusory? 
Abstract:
  We test whether a Genetic Algorithm (GA) can find profitable investment
 strategies based on prior stock returns and earnings surprises. We add to
 the argument whether momentum investing profits are a statistical
 illusion. The performance of the optimized momentum portfolios is
 evaluated before and after trading costs, during different time periods,
 over two market states, and after adjusting for risk. The GA optimization
 improves the annual returns of the momentum strategies by 2% to 6%. After
 considering transaction costs, both price and earnings momentum portfolios
 do not appear to generate abnormal returns. Positive risk-adjusted returns
 net of trading costs are documented solely in the 'up' markets for a
 portfolio long in prior winners only. 
Journal: Applied Financial Economics 
Pages: 1617-1639 
Issue: 21 
Volume: 21 
Year: 2011 
Keywords: investment strategies, genetic algorithm, 
X-DOI: 10.1080/09603107.2011.589804 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.589804
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:21:p:1617-1639




Template-Type: ReDIF-Article 1.0
Author-Name: Christian Andres 
Author-X-Name-First: Christian 
Author-X-Name-Last: Andres 
Title: Family ownership, financing constraints and investment decisions 
Abstract:
  This article provides an empirical answer to the question of how the
 unique incentives of founding families influence investment decisions.
 Contrary to theoretical considerations, the results indicate that family
 firms are not more susceptible to external financing constraints. When
 compared to companies of similar size and dividend payout ratio, the
 investment outlays of family firms are consistently less sensitive to
 internal cash flows. Family businesses are more responsive to their
 investment opportunities and seem to invest irrespective of cash flow
 availability. The findings suggest that founding family ownership is
 associated with lower agency costs and can help to diminish information
 asymmetries with external suppliers of finance. 
Journal: Applied Financial Economics 
Pages: 1641-1659 
Issue: 22 
Volume: 21 
Year: 2011 
Keywords: family firms, ownership structure, investment policy, corporate governance, 
X-DOI: 10.1080/09603107.2011.589805 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.589805
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1641-1659




Template-Type: ReDIF-Article 1.0
Author-Name: Ben David Nissim 
Author-X-Name-First: Ben David 
Author-X-Name-Last: Nissim 
Author-Name: Tavor Tchahi 
Author-X-Name-First: Tavor 
Author-X-Name-Last: Tchahi 
Title: An empirical test of 'put call parity' 
Abstract:
  In this article, we examined the validity of 'Put Call Parity' (PCP) in
 the Israeli stock market. Estimating the parameters for the PCP equation,
 we reject the validity of PCP with a 100% confidence level. The estimated
 PCP equation includes a significant intercept that points to the
 possibility of having arbitrage opportunities. Measuring the profit rate
 for portfolios that include options with various exercise prices, we find
 a potential profit of about 3%-3.4% in all cases. 
Journal: Applied Financial Economics 
Pages: 1661-1664 
Issue: 22 
Volume: 21 
Year: 2011 
Keywords: put call parity, arbitrage, 
X-DOI: 10.1080/09603107.2011.589806 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.589806
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1661-1664




Template-Type: ReDIF-Article 1.0
Author-Name: Warren Dean 
Author-X-Name-First: Warren 
Author-X-Name-Last: Dean 
Author-Name: Robert Faff 
Author-X-Name-First: Robert 
Author-X-Name-Last: Faff 
Title: Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets 
Abstract:
  In this article we develop a 'behavioural' Intertemporal Capital Asset
 Pricing Model (ICAPM) in which the behavioural impetus comes from the
 feedback trading implications for the autocorrelation of returns. We apply
 the model in a setting of paired equity and bond investments, employing a
 bivariate diagonal Berndt-Engle-Kraft-Kroner (BEKK) framework. Our
 empirics rely on daily equity and bond index returns across six major
 economies, over the period 1 January 1990 to 30 June 2005. We find
 evidence supporting the theory that the observed dynamics of serial
 correlation can be a function of both volatility and conditional
 covariance (between equity and bonds). Moreover, our behavioural ICAPM
 shows empirical promise as a useful model of asset pricing in markets that
 display the feedback trading phenomenon. 
Journal: Applied Financial Economics 
Pages: 1665-1678 
Issue: 22 
Volume: 21 
Year: 2011 
Keywords: feedback trading, autocorrelated returns, behavioural ICAPM, GARCH-M, equity and bond markets, international evidence, 
X-DOI: 10.1080/09603107.2011.591728 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.591728
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1665-1678




Template-Type: ReDIF-Article 1.0
Author-Name: Ghulam Sorwar 
Author-X-Name-First: Ghulam 
Author-X-Name-Last: Sorwar 
Title: Estimating single factor jump diffusion interest rate models 
Abstract:
  Empirical studies have demonstrated that behaviour of interest rate
 processes can be better explained if standard diffusion processes are
 augmented with jumps in the interest rate process. In this article we
 examine the performance of both linear and nonlinear one-factor
 Chan-Karolyi-Longstaff-Sanders (CKLS) model in the presence of jumps. We
 conclude that empirical features of interest rate not captured by standard
 diffusion processes are captured by models with jumps and that the linear
 CKLS model provides sufficient explanation of the data. 
Journal: Applied Financial Economics 
Pages: 1679-1689 
Issue: 22 
Volume: 21 
Year: 2011 
Keywords: Markov Chain Monte Carlo simulation, interest rates, diffusion, jumps, 
X-DOI: 10.1080/09603107.2011.591729 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.591729
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1679-1689




Template-Type: ReDIF-Article 1.0
Author-Name: B. Cao 
Author-X-Name-First: B. 
Author-X-Name-Last: Cao 
Author-Name: S. A. Jayasuriya 
Author-X-Name-First: S. A. 
Author-X-Name-Last: Jayasuriya 
Title: Market volatility and hedge fund returns in emerging markets 
Abstract:
  In this article, we estimate several augmented Treynor and Mazuy (1966)
 models to examine the performance of hedge fund index returns in four
 different emerging market regions. In our estimations we match the fund
 returns with the regional emerging market equity and bond index data,
 which is a research approach that is pioneered by Fung et&#xa0;al. (2002).
 Whether market volatility affects the hedge fund returns or not is one of
 the main questions that we ask in the article. Our results reveal that
 stock and bond market volatility do not have a significant impact on fund
 returns for the most part, which is a result that is robust to various
 measures of volatility. Among the four regions we examine, only the
 emerging market hedge funds in the Global market yield statistically
 significant positive alphas that is robust and sizable. We also find no
 evidence for market timing skills in these emerging market hedge fund
 returns. 
Journal: Applied Financial Economics 
Pages: 1691-1701 
Issue: 22 
Volume: 21 
Year: 2011 
Keywords: hedge funds, emerging markets, volatility, stocks and bonds, alpha, market timing, 
X-DOI: 10.1080/09603107.2011.591730 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.591730
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1691-1701




Template-Type: ReDIF-Article 1.0
Author-Name: Vasudeva Murthy 
Author-X-Name-First: Vasudeva 
Author-X-Name-Last: Murthy 
Author-Name: Kenneth Washer 
Author-X-Name-First: Kenneth 
Author-X-Name-Last: Washer 
Author-Name: John Wingender 
Author-X-Name-First: John 
Author-X-Name-Last: Wingender 
Title: Are stock prices in the US nonstationary? Evidence from contemporary unit root tests 
Abstract:
  This article extends the empirical literature on the efficiency of stock
 markets in the US by applying a battery of unit root tests to empirically
 ascertain whether stock prices are mean reverting. This article, unlike
 previous studies, employs a disaggregated approach using the daily closing
 values of the Dow Jones industrial average, NASDAQ composite and S&P 500
 index covering the period 5 February 1971 to 31 December 2009 to
 investigate the integration properties of the US stock market. The
 empirical findings reveal that the three major stock price series are
 nonstationary, indicating that they do not follow a trend path. The
 primary implication is that trading strategies that simply rely on mean
 reversion of stock prices are valueless. 
Journal: Applied Financial Economics 
Pages: 1703-1709 
Issue: 22 
Volume: 21 
Year: 2011 
Keywords: random walk, efficient market, unit root, 
X-DOI: 10.1080/09603107.2011.591731 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.591731
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1703-1709




Template-Type: ReDIF-Article 1.0
Author-Name: Yufeng Han 
Author-X-Name-First: Yufeng 
Author-X-Name-Last: Han 
Title: On the relation between the market risk premium and market volatility 
Abstract:
  The Capital Asset Pricing Model (CAPM) suggests that the market risk
 premium should be positively related to the market systematic risk as
 measured by the market variance. However, the empirical evidence is
 conflicting. While some studies find a significantly positive relation,
 others find an insignificant or a significantly negative relation. This
 article attempts to resolve the market risk and return relation puzzle by
 recognizing that the market volatility is stochastic and should be treated
 as an important source of systematic risk - volatility risk. Investors
 demand a risk premium for bearing the market volatility risk in addition
 to the market systematic risk. As a result, the market risk premium
 consists of two components, both related to the market volatility. After
 taking into account the volatility risk premium, we find strong evidence
 of a significantly positive relation between the market risk premium and
 the market systematic risk. We also find that the volatility risk premium
 is negative and significant, which distorts the positive market risk and
 return relation. 
Journal: Applied Financial Economics 
Pages: 1711-1723 
Issue: 22 
Volume: 21 
Year: 2011 
Keywords: market risk premium, market risk-return tradeoff, volatility risk premium, stochastic volatility, EMM, 
X-DOI: 10.1080/09603107.2011.593497 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.593497
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1711-1723




Template-Type: ReDIF-Article 1.0
Author-Name: Claudia Girardone 
Author-X-Name-First: Claudia 
Author-X-Name-Last: Girardone 
Author-Name: Stuart Snaith 
Author-X-Name-First: Stuart 
Author-X-Name-Last: Snaith 
Title: Project finance loan spreads and disaggregated political risk 
Abstract:
  This article provides novel evidence on project finance loan pricing
 using economic and disaggregated political risk determinants. As expected,
 our findings suggest that the presence of loan guarantees and lower levels
 of aggregate political risk results in cheaper project finance loans. The
 evidence in support of disaggregated political risk as a pricing
 determinant is negligible for developed countries, but significant for
 developing countries. For the latter we find that loan spreads are
 negatively related to the effectiveness, quality and strength of a
 country's legal and institutional systems whilst lower levels of
 government stability and democratic accountability are associated with
 lower loan spreads. Our results are consistent with a risk allocation
 approach to project finance deals. 
Journal: Applied Financial Economics 
Pages: 1725-1734 
Issue: 23 
Volume: 21 
Year: 2011 
Keywords: project finance, banking, loan pricing, political risk, 
X-DOI: 10.1080/09603107.2011.577006 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.577006
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1725-1734




Template-Type: ReDIF-Article 1.0
Author-Name: Tryphon Kollintzas 
Author-X-Name-First: Tryphon 
Author-X-Name-Last: Kollintzas 
Author-Name: Ioanna Konstantakopoulou 
Author-X-Name-First: Ioanna 
Author-X-Name-Last: Konstantakopoulou 
Author-Name: Efthymios Tsionas 
Author-X-Name-First: Efthymios 
Author-X-Name-Last: Tsionas 
Title: Stylized facts of money and credit over the business cycles 
Abstract:
  This article investigates the stylized facts of money and credit over the
 business cycles in nine Organization for Economic Cooperation and
 Development (OECD) countries using quarterly data from 1960 to 2006,
 through the application of two main detrending methods. Our findings
 confirm the existence of substantive cyclical regularities across
 countries. In particular, money supply is procyclical and tends to move in
 advance of real output; velocity of money is procyclical; domestic credit
 and credit are procyclical and lag the cycle; deposits are procyclical and
 tend to lead the cycle; nominal interest rates are procyclical and
 short-term interest rates lag the cycle, while long-term interest rates
 lead the cycles, in the majority of countries; term spread is
 countercyclical and lags the cycle; prices are countercyclical; inflation
 is procyclical and lags the cycle and liquidity effect is confirmed in all
 countries. 
Journal: Applied Financial Economics 
Pages: 1735-1755 
Issue: 23 
Volume: 21 
Year: 2011 
Keywords: business cycles, stylized facts, detrending methods, money and credit, 
X-DOI: 10.1080/09603107.2011.583215 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.583215
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1735-1755




Template-Type: ReDIF-Article 1.0
Author-Name: Guglielmo Maria Caporale 
Author-X-Name-First: Guglielmo Maria 
Author-X-Name-Last: Caporale 
Author-Name: Luis Gil-Alana 
Author-X-Name-First: Luis 
Author-X-Name-Last: Gil-Alana 
Title: The weekly structure of US stock prices 
Abstract:
  In this article, we use fractional integration techniques to examine the
 degree of integration of four US stock market indices, namely the Standard
 and Poor (S&P), Dow Jones, Nasdaq and New York Stock Exchange (NYSE), at a
 daily frequency from January 2005 till December 2009. We analyse the
 weekly structure of the series and investigate their characteristics
 depending on the specific day of the week. The results indicate that the
 four series are highly persistent; a small degree of mean reversion (i.e.
 orders of integration strictly smaller than 1) is found in some cases for
 S&P and the Dow Jones indices. The most interesting findings are the
 differences in the degree of dependence for different days of the week.
 Specifically, lower orders of integration are systematically observed for
 Mondays and Fridays, consistently with the 'day of the week' effect
 frequently found in financial data. 
Journal: Applied Financial Economics 
Pages: 1757-1764 
Issue: 23 
Volume: 21 
Year: 2011 
Keywords: fractional integration, weekly structure, stock prices, 
X-DOI: 10.1080/09603107.2011.562168 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.562168
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1757-1764




Template-Type: ReDIF-Article 1.0
Author-Name: Gawon Yoon 
Author-X-Name-First: Gawon 
Author-X-Name-Last: Yoon 
Title: An empirical demonstration of classical comparative cost theory: a correction to Balassa (1963) 
Abstract:
  In this study, I provide corrections to the estimation results reported
 by Balassa (1963) on testing the implications of the Ricardian model of
 international trade. While all of his estimation results have changed, his
 main conclusions still pertain. I conjecture that the errors are most
 likely due to computing errors. 
Journal: Applied Financial Economics 
Pages: 1765-1767 
Issue: 23 
Volume: 21 
Year: 2011 
Keywords: comparative advantage, international trade, Balassa, replication, 
X-DOI: 10.1080/09603107.2011.564130 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.564130
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1765-1767




Template-Type: ReDIF-Article 1.0
Author-Name: P. W. Jansen 
Author-X-Name-First: P. W. 
Author-X-Name-Last: Jansen 
Title: Net national savings and the Japanese long-term interest rate 
Abstract:
  This article discusses why the interest rate on Japanese government bonds
 is so low in comparison with other industrialized countries with a better
 credit rating, after correcting for inflation differences. We find that
 the net savings surplus has kept the long-term interest rate low. Japanese
 interest rate movements are much better explained by the current account
 balance in comparison with other industrialized countries. For most
 industrialized countries the results are statistically insignificant. For
 a country integrated in international financial markets, the
 savings-investment balance should theoretically not have a significant
 impact on domestic long-term interest rate formation. Institutional
 factors have contributed to this higher level of significance for Japan in
 comparison with other countries. Monetary policy and institutionalized
 purchases of government bonds by semi-government agencies have kept demand
 for bonds high and the interest rate low. 
Journal: Applied Financial Economics 
Pages: 1769-1778 
Issue: 23 
Volume: 21 
Year: 2011 
Keywords: long-term interest rate, current account balance, Japan, monetary policy, 
X-DOI: 10.1080/09603107.2011.564132 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.564132
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1769-1778




Template-Type: ReDIF-Article 1.0
Author-Name: Jean Jinghan Chen 
Author-X-Name-First: Jean Jinghan 
Author-X-Name-Last: Chen 
Author-Name: Haitao Zhang 
Author-X-Name-First: Haitao 
Author-X-Name-Last: Zhang 
Author-Name: Xinrong Xiao 
Author-X-Name-First: Xinrong 
Author-X-Name-Last: Xiao 
Author-Name: Weian Li 
Author-X-Name-First: Weian 
Author-X-Name-Last: Li 
Title: Financial crisis and executive remuneration in banking industry - an analysis of five British banks 
Abstract:
  The recent financial crisis has accelerated the debate of executive
 remuneration. Theoretically, there are divergences between the design of
 executive remuneration suggested by agency theory and reality. In this
 study, we contribute to this debate by re-visiting the theories underlying
 the design of executive remuneration and providing empirical evidence from
 the recently banking failures in the UK. Empirically, we find that
 ineffective executive remuneration could contribute significantly to
 business failure. The lavish executive remuneration packages of the five
 troubled British banks do not reflect the companies' performances and
 provide little reward to the shareholders. Theoretically, we find that the
 executive remuneration design derived from a single agency perspective is
 insufficient to provide convincing explanation to the real business world
 during the financial crisis. Prospect theory, real option theory and the
 managerial power approach all together would complement agency theory to
 bring the theory of executive remuneration closer to reality. Our extended
 theoretical framework sheds some lights on the factors that undermine the
 executive remuneration that a single agency theory does not take into
 account, and thus have valuable policy implications for improving
 executive remuneration design in the future. 
Journal: Applied Financial Economics 
Pages: 1779-1791 
Issue: 23 
Volume: 21 
Year: 2011 
Keywords: agency theory, bank, executive remuneration, financial crisis, 
X-DOI: 10.1080/09603107.2011.587769 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.587769
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1779-1791




Template-Type: ReDIF-Article 1.0
Author-Name: Christian   L. Dunis 
Author-X-Name-First: Christian   L. 
Author-X-Name-Last: Dunis 
Author-Name: Jason Laws 
Author-X-Name-First: Jason 
Author-X-Name-Last: Laws 
Author-Name: Andreas Karathanassopoulos 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Karathanassopoulos 
Title: Modelling and trading the Greek stock market with mixed neural network models 
Abstract:
  In this article, a mixed methodology that combines both the
 Autoregressive Moving Average Model (ARMA) and Neural Network Regression
 (NNR) models is proposed to take advantage of the unique strength of ARMA
 and NNR models in linear and nonlinear modelling. Experimental results
 with real data sets indicate that the combined model can be an effective
 way to improve forecasting accuracy achieved by either of the models used
 separately. The purpose for this article is to investigate the use of
 alternative novel neural network architectures when applied to the task of
 forecasting and trading the Athens Stock Exchange (ASE) 20 Greek Index
 using only autoregressive terms as inputs. This is done by benchmarking
 the forecasting performance of six different neural network designs
 representing a Higher Order Neural Network (HONN), a Recurrent Neural
 Network (RNN), a classic Multilayer Perceptron (MLP), a mixed-HONN, a
 mixed-RNN and a mixed-MP neural network with some traditional techniques,
 either statistical such as a an ARMA, or technical such as a Moving
 Average Convergence/Divergence (MACD) model, plus a na&#xEF;ve trading
 strategy. More specifically, the trading performance of all models is
 investigated in a forecast and trading simulation on ASE 20 time series
 over the period 2001 to 2008 using the last one and a half year for
 out-of-sample testing. We use the ASE 20 daily series as many financial
 institutions are ready to trade at this level and it is therefore possible
 to leave orders with a bank for business to be transacted on that basis.
 As it turns out, the mixed-HONNs do remarkably well and outperform all
 other models in a simple trading simulation exercise. However, when more
 sophisticated trading strategies using confirmation filters and leverage
 are applied, the mixed-MLP network produces better results and outperforms
 all other neural network and traditional statistical models in terms of
 annualized return. On the other hand, the Hybrid-HONNs shows a superiority
 after all sophisticated strategies, as filters and leverage, have been
 used in terms of annualized return as Dunis <italic>et&#xA0;al</italic>.
 (2010) mention in a recent paper. 
Journal: Applied Financial Economics 
Pages: 1793-1808 
Issue: 23 
Volume: 21 
Year: 2011 
Month: 12 
X-DOI: 10.1080/09603107.2011.577008 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.577008 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1793-1808




Template-Type: ReDIF-Article 1.0
Author-Name: Minoru Hayashida 
Author-X-Name-First: Minoru 
Author-X-Name-Last: Hayashida 
Author-Name: Hiroyuki Ono 
Author-X-Name-First: Hiroyuki 
Author-X-Name-Last: Ono 
Title: Turnover tax, transaction cost and stock trading volume revisited: investigation of the Japanese case 
Abstract:
  Global financial turmoil in recent years has resulted in renewed interest
 in Stock Transaction Taxes (STT). Given that the existing literature on
 the <italic>quantitative</italic> impact of STT on turnover is limited
 and/or outdated, this article reinvestigates the issue, taking up the
 Japanese market reforms during the 1990s as an example. The analysis using
 an ordinary, fixed parameter model and Bayesian, variable parameter model
 finds that STT and, more generally, increased transaction cost
 significantly reduced trading volume. It is also found that the elasticity
 of turnover somewhat increased as the reforms were implemented. Finally,
 it is found that even in 2003 the elasticity was considerably smaller in
 the Japanese market than in European markets many years before. 
Journal: Applied Financial Economics 
Pages: 1809-1817 
Issue: 24 
Volume: 21 
Year: 2011 
Month: 12 
X-DOI: 10.1080/09603107.2011.589802 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.589802 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:24:p:1809-1817




Template-Type: ReDIF-Article 1.0
Author-Name: Y. C. Su 
Author-X-Name-First: Y. C. 
Author-X-Name-Last: Su 
Author-Name: H. C. Huang 
Author-X-Name-First: H. C. 
Author-X-Name-Last: Huang 
Author-Name: Y. J. Lin 
Author-X-Name-First: Y. J. 
Author-X-Name-Last: Lin 
Title: GJR-GARCH model in value-at-risk of financial holdings 
Abstract:
  In this study, we introduce an asymmetric Generalized Autoregressive
 Conditional Heteroscedastic (GARCH) model, Glosten, Jagannathan and
 Runkle-GARCH (GJR-GARCH), in Value-at-Risk (VaR) to examine whether or not
 GJR-GARCH is a good method to evaluate the market risk of financial
 holdings. Because of lacking the actual daily Profit and Loss (P&L) data,
 portfolios A and B, representing FuBon and Cathay financial holdings are
 simulated. We take 400 observations as sample group to do the backward
 test and use the rest of the observations to forecast the change of VaR.
 We find GJR-GARCH works very well in VaR forecasting. Nonetheless, it also
 performs very well under the symmetric GARCH-in-Mean (GARCH-M) model,
 suggesting no leverage effect exists. Further, a 5-day moving window is
 opened to update parameter estimates. Comparing the results under
 different models, we find that the model is more accurate by updating
 parameter estimates. It is a trade-off between violations and capital
 charges. 
Journal: Applied Financial Economics 
Pages: 1819-1829 
Issue: 24 
Volume: 21 
Year: 2011 
Month: 12 
X-DOI: 10.1080/09603107.2011.595677 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.595677 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:24:p:1819-1829




Template-Type: ReDIF-Article 1.0
Author-Name: Zhuo Qiao 
Author-X-Name-First: Zhuo 
Author-X-Name-Last: Qiao 
Author-Name: Yuming Li 
Author-X-Name-First: Yuming 
Author-X-Name-Last: Li 
Author-Name: Wing-Keung Wong 
Author-X-Name-First: Wing-Keung 
Author-X-Name-Last: Wong 
Title: Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach 
Abstract:
  Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997) and a
 recently developed regime-dependent impulse response analysis technique
 (Ehrmann <italic>et&#xA0;al</italic>., 2003), this article investigates
 the dynamic relationships among the stock markets of the US, Australia and
 New Zealand. Our results reveal the existence of two different regimes in
 the three stock markets. We find that the correlations among the three
 markets are significantly higher in a bear regime than in a bull regime.
 In addition, the responses of each of the three markets to shocks in the
 other two markets are stronger and more persistent in the bear regime than
 in the bull regime. Finally, our findings imply that for the New Zealand
 stock market, the Australian stock market is more influential than the US
 stock market, and for the Australian stock market, the US stock market is
 more influential than the New Zealand stock market. 
Journal: Applied Financial Economics 
Pages: 1831-1841 
Issue: 24 
Volume: 21 
Year: 2011 
Month: 12 
X-DOI: 10.1080/09603107.2011.595678 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.595678 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:24:p:1831-1841




Template-Type: ReDIF-Article 1.0
Author-Name: Roger   J. Bowden 
Author-X-Name-First: Roger   J. 
Author-X-Name-Last: Bowden 
Author-Name: Peter   N. Posch 
Author-X-Name-First: Peter   N. 
Author-X-Name-Last: Posch 
Title: The bonus pool, mark to market and free cash flow: producer surplus and its vesting in the financial markets 
Abstract:
  Regulatory proposals that seek to limit or govern finance industry
 bonuses in the interests of systemic stability need to be grounded in the
 financial economics of producer surplus and its distribution. In this
 respect, existing treatments of economic agency in justifying large bonus
 awards are content to accept accounting Profit and Loss (P&L) numbers as a
 basis for the managerial bonus pool. We argue that managerial bonuses and
 shareholder dividends should be treated more symmetrically, and
 constrained by free cash flow criteria that capture producer surplus
 created by genuine managerial ability. Priority rules should apply, such
 that fair market value is a compensation for shareholder risk bearing and
 not a source of managerial surplus. The use of free cash flow conversion
 ratios neutralises the free option problem that has become a social
 irritant in public bailouts. 
Journal: Applied Financial Economics 
Pages: 1843-1857 
Issue: 24 
Volume: 21 
Year: 2011 
Month: 12 
X-DOI: 10.1080/09603107.2011.595679 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.595679 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:24:p:1843-1857




Template-Type: ReDIF-Article 1.0
Author-Name: Surendranath   R. Jory 
Author-X-Name-First: Surendranath   R. 
Author-X-Name-Last: Jory 
Author-Name: Thanh   N. Ngo 
Author-X-Name-First: Thanh   N. 
Author-X-Name-Last: Ngo 
Title: The wealth effects of acquiring foreign government-owned corporations: evidence from US-listed acquirers in cross-border mergers and acquisitions 
Abstract:
  We study the short- and long-term effects of acquiring targets that are
 government owned, which we refer to as Government-Owned Corporations
 (GOCs). Our sample of acquirers consists of US-listed public corporations,
 while the targets are GOCs based outside the US. In comparison to
 acquisitions of non-GOCs, we find that the wealth effects of acquiring
 GOCs are more favourable. We also find that GOC targets located in
 countries with poorer governance characteristics positively impact the
 shareholders&#x2019; wealth of the acquirer. Our evidence suggests that
 acquirers of foreign GOCs exploit target country governance imperfections
 to their advantage. 
Journal: Applied Financial Economics 
Pages: 1859-1872 
Issue: 24 
Volume: 21 
Year: 2011 
Month: 12 
X-DOI: 10.1080/09603107.2011.595680 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.595680 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:24:p:1859-1872




Template-Type: ReDIF-Article 1.0
Author-Name: B. Xu 
Author-X-Name-First: B. 
Author-X-Name-Last: Xu 
Author-Name: J. Ouenniche 
Author-X-Name-First: J. 
Author-X-Name-Last: Ouenniche 
Title: A multidimensional framework for performance evaluation of forecasting models: context-dependent DEA 
Abstract:
  The performance evaluation of competing forecasting models is generally
 restricted to their ranking by criterion, which generally leads to several
 inconsistent rankings for different criteria. The purpose of this article
 is to propose a multidimensional framework; namely, Data Envelopment
 Analysis (DEA), to overcome this problem by determining a single ranking
 that takes account of multiple criteria. In order to operationalize this
 framework, we survey the literature on forecasting criteria and measures,
 propose a new classification of criteria, and discuss how one might
 measure them. We use forecasting models of crude oil prices to illustrate
 the use of the proposed multidimensional performance evaluation framework.
 Our empirical results suggest that both the best and the worst forecasting
 models with respect to most performance criteria and their measures tend
 to maintain their unidimensional ranking positions when assessed in a
 multidimensional setting; however, the multidimensional ranking of some
 models could be substantially different from their unidimensional
 rankings, which highlights the importance of the proposed performance
 evaluation tool. 
Journal: Applied Financial Economics 
Pages: 1873-1890 
Issue: 24 
Volume: 21 
Year: 2011 
Month: 12 
X-DOI: 10.1080/09603107.2011.597722 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.597722 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:21:y:2011:i:24:p:1873-1890




Template-Type: ReDIF-Article 1.0
Author-Name: Manuel Ammann 
Author-X-Name-First: Manuel 
Author-X-Name-Last: Ammann 
Author-Name: Alexander Ising 
Author-X-Name-First: Alexander 
Author-X-Name-Last: Ising 
Author-Name: Stephan Kessler 
Author-X-Name-First: Stephan 
Author-X-Name-Last: Kessler 
Title: Disposition effect and mutual fund performance 
Abstract:
  This article finds strong evidence for the presence of the disposition
 effect among US mutual fund managers. The analysis can establish a link
 between the disposition effect and mutual fund characteristics as well as
 changes in the macroeconomic environment. Managers with a lower
 disposition effect are found to invest in larger equities with a higher
 trade volume, a higher past performance, lower idiosyncratic risk, and a
 higher risk-adjusted performance. However, fund characteristics and the
 economic environment can only explain a limited amount of the variation in
 the disposition effect across mutual funds. Using a new methodology to
 reduce the disposition effect exhibited by mutual fund investments, we
 find no increase in their profitability. Although statistically
 significant, the disposition effect has only a minor economic effect on
 fund performance. 
Journal: Applied Financial Economics 
Pages: 1-19 
Issue: 1 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.595676 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.595676 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:1:p:1-19




Template-Type: ReDIF-Article 1.0
Author-Name: Jesus   Gustavo Garza-Garcia 
Author-X-Name-First: Jesus   Gustavo 
Author-X-Name-Last: Garza-Garcia 
Title: Does market power influence bank profits in Mexico? A study on market power and efficiency 
Abstract:
  The Mexican banking sector has experienced a process of consolidation
 which has caused concerns of possible collusion effects. This article
 analyses the determinants of bank performance in the Mexican banking
 sector for the period 2001--2009. Two market power hypotheses,
 Structure-Conduct-Performance (SCP) and Relative-Market-Power (RMP)
 alongside two variants of the Efficient-Structure (ES) hypotheses are
 tested in order to find out whether bank performance has been driven by
 market structural effects or by greater efficiency. The results state that
 bank profits have been determined by greater market share, confirming the
 RMP hypothesis. At the same time, the findings show that profits persist
 over time and adjust slowly to their natural (average) level, suggesting
 that the banking sector is not very competitive. Moreover, there is no
 evidence of a positive relationship between greater efficiency and bank
 profits. Finally, while capitalization levels increase bank profits,
 liquidity risk decreases them. 
Journal: Applied Financial Economics 
Pages: 21-32 
Issue: 1 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.595681 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.595681 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:1:p:21-32




Template-Type: ReDIF-Article 1.0
Author-Name: Yacine Belghitar 
Author-X-Name-First: Yacine 
Author-X-Name-Last: Belghitar 
Author-Name: Rob Dixon 
Author-X-Name-First: Rob 
Author-X-Name-Last: Dixon 
Title: Do venture capitalists reduce underpricing and underperformance of IPOs? 
Abstract:
  The purpose of this article is to assess the effect of venture
 capitalists at Initial Public Offerings (IPOs). In so doing, a sample of
 Venture Capital (VC)-backed firms was compared with a sample of
 non-VC-backed firms. Consistent with the prevailing belief that venture
 capitalists reduce uncertainty at the offering, VC-backed IPOs are found
 to be less underpriced than non-VC-backed IPOs. Moreover, in multivariate
 analyses, venture capitalists affect negatively the degree of
 underpricing. Unlike previous studies, we control for the new listing and
 rebalancing biases in the analysis of the long term performance by
 comparing the IPO returns to carefully constructed size matched
 portfolios. Based on the calendar time and the event time approaches, the
 results show that both samples are underperforming the carefully
 constructed reference portfolios in the long term. The analysis also shows
 that the VC-backed IPOs do not outperform the non-VC-backed IPOs. The
 overall difference between both sets of IPOs is also not statistically
 significant. 
Journal: Applied Financial Economics 
Pages: 33-44 
Issue: 1 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.597720 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.597720 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:1:p:33-44




Template-Type: ReDIF-Article 1.0
Author-Name: Thomas Dimpfl 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Dimpfl 
Author-Name: Robert   C. Jung 
Author-X-Name-First: Robert   C. 
Author-X-Name-Last: Jung 
Title: Financial market spillovers around the globe 
Abstract:
  This article investigates the transmission of return and volatility
 spillovers around the globe. It draws on index futures of three
 representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500
 and the Nikkei 225. Devolatized returns and realized volatilities are
 modelled separately using a Structural Vector Autoregressive (SVAR) model,
 thereby accounting for the particular sequential time structure of the
 trading venues. Within this framework, we test hypotheses in the spirit of
 Granger causality tests, investigate the short-run dynamics in the three
 markets using Impulse Response (IR) functions, and identify leadership
 effects through variance decomposition. Our key results are as follows. We
 find weak and short-lived return spillovers, in particular from the USA to
 Japan. Volatility spillovers are more pronounced and persistent. The
 information from the home market is most important for both returns and
 volatilities; the contribution from foreign markets is less pronounced in
 the case of returns than in the case of volatility. Possible gains in
 terms of forecasting precision when applying our modelling strategy are
 illustrated by a forecast evaluation. 
Journal: Applied Financial Economics 
Pages: 45-57 
Issue: 1 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.597721 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.597721 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:1:p:45-57




Template-Type: ReDIF-Article 1.0
Author-Name: Sun-Joong Yoon 
Author-X-Name-First: Sun-Joong 
Author-X-Name-Last: Yoon 
Author-Name: Suk   Joon Byun 
Author-X-Name-First: Suk   Joon 
Author-X-Name-Last: Byun 
Title: Implied risk aversion and volatility risk premiums 
Abstract:
  Since investor risk aversion determines the premium required for bearing
 risk, a comparison thereof provides evidence of the different structure of
 risk premium across markets. This article estimates and compares the
 degree of risk aversion of three actively traded options markets: the S&P
 500, Nikkei 225 and KOSPI 200 options markets. The estimated risk
 aversions is found to follow S&P 500, Nikkei 225 and KOSPI 200 options in
 descending order, implying that S&P 500 investors require more
 compensation than other investors for bearing the same risk. To prove this
 empirically, we examine the effect of risk aversion on volatility risk
 premium, using delta-hedged gains. Since more risk-averse investors are
 willing to pay higher premiums for bearing volatility risk, greater risk
 averseness can result in a severe negative volatility risk premium, which
 is usually understood as hedging demands against the underlying asset's
 downward movement. Our findings support the argument that S&P 500
 investors with higher risk aversion pay more premiums for hedging
 volatility risk. 
Journal: Applied Financial Economics 
Pages: 59-70 
Issue: 1 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.597723 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.597723 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:1:p:59-70




Template-Type: ReDIF-Article 1.0
Author-Name: Patrick   A. Lach 
Author-X-Name-First: Patrick   A. 
Author-X-Name-Last: Lach 
Author-Name: Michael   J. Highfield 
Author-X-Name-First: Michael   J. 
Author-X-Name-Last: Highfield 
Author-Name: Stephen   D. Treanor 
Author-X-Name-First: Stephen   D. 
Author-X-Name-Last: Treanor 
Title: The quiet period has something to say 
Abstract:
  Recent studies suggest that analyst ratings have become less biased
 following the Global Settlement and National Association of Securities
 Dealers (NASD) and New York Stock Exchange (NYSE) Rules implemented in
 2002. Assuming analyst ratings are more reliable due to the decline in
 positive bias, we investigate the existence of excess returns for various
 holding periods based on the strength of ratings issued around the
 expiration of the Initial Public Offering (IPO) quiet period. We also
 control for the impact of analyst affiliation and sanctions against
 investment banks on returns up to 1 year after quiet period expiration.
 Overall, we find that the strength of analyst coverage can indeed predict
 future returns, and several factors impact these returns. In addition, we
 find that only firms which receive positive coverage from a bank
 sanctioned in the Global Settlement earn positive risk-adjusted returns. 
Journal: Applied Financial Economics 
Pages: 71-86 
Issue: 1 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.599785 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.599785 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:1:p:71-86




Template-Type: ReDIF-Article 1.0
Author-Name: Ram Mudambi 
Author-X-Name-First: Ram 
Author-X-Name-Last: Mudambi 
Author-Name: Susan   M. Mudambi 
Author-X-Name-First: Susan   M. 
Author-X-Name-Last: Mudambi 
Author-Name: Arif Khurshed 
Author-X-Name-First: Arif 
Author-X-Name-Last: Khurshed 
Author-Name: Marc Goergen 
Author-X-Name-First: Marc 
Author-X-Name-Last: Goergen 
Title: Multinationality and the performance of IPOs 
Abstract:
  Does multinationality affect the Initial Public Offering (IPO)
 performance of entrepreneurial firms? Theoretical arguments can be made
 for a positive effect of multinationality as well as for a negative
 effect. We examine this question empirically by analysing IPO data for 240
 UK firms. We find that multinationality has significant and positive
 effects on long-run IPO performance. This suggests that the market
 perceives entrepreneurial firms with multinational activities as
 possessing unique intangible assets that are indicative of future
 financial success. Factors affecting the IPO performance also differ
 systematically between firms with multinational operations and those
 without multinational operations. Stocks of intangible assets and the
 quality of the network significantly affect the performance of
 entrepreneurial IPO firms that &#x2018;go global&#x2019;. In contrast,
 domestic IPO firm performance is affected by offer size and
 underwriters&#x2019; perception of firm quality. The findings have
 important implications for entrepreneurial firms who are making decisions
 on &#x2018;going global&#x2019; and &#x2018;going public&#x2019;. 
Journal: Applied Financial Economics 
Pages: 763-776 
Issue: 10 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.626396 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.626396 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:10:p:763-776




Template-Type: ReDIF-Article 1.0
Author-Name: Zaur Rzakhanov 
Author-X-Name-First: Zaur 
Author-X-Name-Last: Rzakhanov 
Title: Multistage investment, systematic risk premium and CAPM beta: empirical evidence from product development 
Abstract:
  Recent theoretical literature suggests that the magnitude of the
 systematic risk premium for a multistage investment project is subject to
 various forces that may cause the premium to change across stages. To test
 this hypothesis, I investigate whether Capital Asset Pricing Model (CAPM)
 beta differs by product development stage in the biotechnology industry.
 To this end I estimate CAPM beta for various stages of drug development
 using Full-Information Beta (FIB) technique. Findings indicate that early
 stage drug development projects have higher CAPM beta than drugs in later
 stages of development or in production and marketing. The beta appears to
 decrease monotonically as a project approaches completion. 
Journal: Applied Financial Economics 
Pages: 777-790 
Issue: 10 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.627209 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.627209 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:10:p:777-790




Template-Type: ReDIF-Article 1.0
Author-Name: Thorben   Manfred Lubnau 
Author-X-Name-First: Thorben   Manfred 
Author-X-Name-Last: Lubnau 
Author-Name: Neda Todorova 
Author-X-Name-First: Neda 
Author-X-Name-Last: Todorova 
Title: Technical trading with open interest: evidence from the German market 
Abstract:
  This article investigates whether options' open interest can be
 incorporated successfully into technical trading strategies. A set of 2040
 trading rules is applied to the German index DAX 30 and to the 10 German
 stocks with the highest market capitalization. The results show that open
 interest rules, when combined with information from the spot market, can
 improve the predictive power of technical trading rules. Both put and call
 open interest appear to contain information regarding future equity prices
 while the open interest differential performs very poorly. Best results
 are achieved for the DAX index, showing economically significant profits
 even when transaction costs are taken into account whereas the results are
 more mixed for individual options. Across all assets, out-of-the-money
 (OTM) calls and in-the-money (ITM) puts exhibit the strongest forecasting
 power for the utilized rules. 
Journal: Applied Financial Economics 
Pages: 791-809 
Issue: 10 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.627210 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.627210 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:10:p:791-809




Template-Type: ReDIF-Article 1.0
Author-Name: Sean   P. Salter 
Author-X-Name-First: Sean   P. 
Author-X-Name-Last: Salter 
Author-Name: Franklin   G. Mixon 
Author-X-Name-First: Franklin   G. 
Author-X-Name-Last: Mixon 
Author-Name: Ernest   W. King 
Author-X-Name-First: Ernest   W. 
Author-X-Name-Last: King 
Title: Broker beauty and boon: a study of physical attractiveness and its effect on real estate brokers&#x2019; income and productivity 
Abstract:
  This study examines beauty and its effect on real estate agents&#x2019;
 wages. We develop a model of beauty and real estate agent wages,
 performing empirical tests of the theory. We apply Two-Stage Least Squares
 (2SLS) methodology to a combined data set that includes multiple listing
 service data and a unique survey designed to measure individual
 agents&#x2019; beauty or attractiveness; the analysis takes two forms:
 transaction-level analysis and agent-level analysis. Results suggest that
 beauty augments more attractive agents&#x2019; wages and that more
 attractive agents use beauty to supplement classic production-related
 characteristics such as effort, intelligence and organizational skills. 
Journal: Applied Financial Economics 
Pages: 811-825 
Issue: 10 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.627211 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.627211 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:10:p:811-825




Template-Type: ReDIF-Article 1.0
Author-Name: I-Chun Tsai 
Author-X-Name-First: I-Chun 
Author-X-Name-Last: Tsai 
Author-Name: Tien   Foo Sing 
Author-X-Name-First: Tien   Foo 
Author-X-Name-Last: Sing 
Author-Name: Ming-Chi Chen 
Author-X-Name-First: Ming-Chi 
Author-X-Name-Last: Chen 
Author-Name: Tai Ma 
Author-X-Name-First: Tai 
Author-X-Name-Last: Ma 
Title: The structure of REIT-beta 
Abstract:
  Recent studies have documented an asymmetry in the market-beta of equity
 Real Estate Investment Trusts (REITs) based on high and low Gross Domestic
 Product (GDP) growth states, as well as in bull and bear stock markets.
 The asymmetry has been deemed a puzzle (Chatrath
 <italic>et&#xA0;al</italic>., 2000; Chiang <italic>et&#xA0;al</italic>.,
 2004); some previous studies explained it by describing the structural
 changes in REITs market and others included more variables to reduce the
 effect of asymmetry. What seems to be lacking, however, is a general
 theoretical explanation. This article provides a theoretical model in
 which the daily and monthly price series of REITs are separately described
 to explain the structure of REIT-beta and to solve this puzzle. We find
 there are four factors and the interaction of those determining the value
 of estimated beta. The results of previous studies might only be able to
 observe a few pieces of the nature of REIT-beta. 
Journal: Applied Financial Economics 
Pages: 827-836 
Issue: 10 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.628291 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.628291 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:10:p:827-836




Template-Type: ReDIF-Article 1.0
Author-Name: A. Maghyereh 
Author-X-Name-First: A. 
Author-X-Name-Last: Maghyereh 
Author-Name: B. Awartani 
Author-X-Name-First: B. 
Author-X-Name-Last: Awartani 
Title: Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE 
Abstract:
  This article investigates return and volatility spillover effects between
 Dubai Financial Market (DFM) and Abu Dhabi Stock Exchange (ADSE) using two
 methodologies: A simple asymmetric Vector Autoregressive-Baba, Engle,
 Kraft, Kroner (VAR-BEKK) framework introduced by Kroner and Ng (1998), and
 an asymmetric version of the Dynamic Conditional Correlation (DCC) model
 proposed by Engle (2002). We find that return and volatility transmission
 mechanisms between DFM and ADSE in the UAE are asymmetric. In particular,
 there are significant spillover effects in both returns and volatility
 from DFM to ADSE. The DFM is playing the dominant role, and the feedback
 effect from ADSE to DFM is relatively weak, albeit significant. These
 results are consistent with an exchange market in which information is
 first incorporated into the DFM before being impounded into the ADSE. 
Journal: Applied Financial Economics 
Pages: 837-848 
Issue: 10 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.628292 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.628292 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:10:p:837-848




Template-Type: ReDIF-Article 1.0
Author-Name: Yuki Toyoshima 
Author-X-Name-First: Yuki 
Author-X-Name-Last: Toyoshima 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach 
Abstract:
  This article analyses volatility transmission across the swap markets of
 the US, Japan and the UK. The two-step procedure developed by Cheung and
 Ng (1996) is used to examine causality-in-mean and causality-in-variance
 among the three countries. The empirical findings indicate the existence
 of more causality-in-variance patterns during the time of financial crisis
 than in the normal period that preceded it. 
Journal: Applied Financial Economics 
Pages: 849-862 
Issue: 11 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.628293 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.628293 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:849-862




Template-Type: ReDIF-Article 1.0
Author-Name: Georgios Skoulakis 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Skoulakis 
Title: On the quality of Taylor approximations to expected utility 
Abstract:
  This article presents evidence on the quality of Taylor series
 approximations to expected utility. To provide a transparent assessment in
 a broader setting, we assume that log portfolio returns follow a
 Gram--Charlier distribution that incorporates skewness and excess kurtosis
 and consider an investor with Constant Relative Risk Aversion (CRRA)
 preferences. In this framework, we obtain closed-form approximations to
 expected utility based on Taylor expansions with respect to gross and log
 portfolio return. We illustrate the quality of the two approximations
 across a wide range of scenarios in terms of distribution parameters and
 levels of risk aversion. The Taylor expansion with respect to log
 portfolio return is shown to produce reliable approximations. 
Journal: Applied Financial Economics 
Pages: 863-876 
Issue: 11 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.628294 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.628294 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:863-876




Template-Type: ReDIF-Article 1.0
Author-Name: Rajeev   K. Goel 
Author-X-Name-First: Rajeev   K. 
Author-X-Name-Last: Goel 
Author-Name: Aaron   N. Mehrotra 
Author-X-Name-First: Aaron   N. 
Author-X-Name-Last: Mehrotra 
Title: Financial payment instruments and corruption 
Abstract:
  Using recent pooled data from a number of developed nations, this
 research uniquely examines whether the composition of payment instruments
 has a bearing on the prevalence of corruption in a country. Our results
 suggest that the choice of instruments matters. Paper credit transfer
 transactions consistently add to corrupt activities, while credit card
 transactions check such endeavours. Cheques mostly increase corruption,
 the results with respect to nonpaper credit transfers are mixed, while
 direct debits fail to show significant effects on corruption. These
 findings hold using alternate corruption measures and when allowance is
 made for endogeneity of payment instruments. 
Journal: Applied Financial Economics 
Pages: 877-886 
Issue: 11 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.628295 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.628295 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:877-886




Template-Type: ReDIF-Article 1.0
Author-Name: Su-Lien Lu 
Author-X-Name-First: Su-Lien 
Author-X-Name-Last: Lu 
Author-Name: Kuo-Jung Lee 
Author-X-Name-First: Kuo-Jung 
Author-X-Name-Last: Lee 
Author-Name: Ming-Lun Zou 
Author-X-Name-First: Ming-Lun 
Author-X-Name-Last: Zou 
Title: How to gauge credit risk: an investigation based on data envelopment analysis and the Markov chain model 
Abstract:
  Credit risk management is one of the most important issues in the
 financial services industry. This article proposes a formal methodology
 based on Data Envelopment Analysis (DEA) and the Markov chain model to
 assess the credit risk of major enterprises in Taiwan. The first step of
 this method involves the application of factor analysis to filter
 financial data according to dimensions and ratios. Second, we derive the
 credibility scores of domestic corporations with DEA. Third, regression
 analysis and discriminant analysis validate the results of DEA credibility
 scores. At this stage, we find that most firms in Taiwan need to improve
 their respective financial credibility. Fourth, we apply DEA credibility
 scores to the Markov chain model. Finally, we construct transition
 matrices to observe the transition process of the financial efficiency of
 the firms. The advantage of the proposed method is that it is simple to
 follow and implement, and its empirical results can enable banks and
 financial institutions to monitor their credit risk quite closely. By
 using this method, banks and other financial institutions will be able to
 make more efficient lending decisions and face the Basel Capital Accord in
 the future. 
Journal: Applied Financial Economics 
Pages: 887-897 
Issue: 11 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.628298 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.628298 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:887-897




Template-Type: ReDIF-Article 1.0
Author-Name: Ghulam Sarwar 
Author-X-Name-First: Ghulam 
Author-X-Name-Last: Sarwar 
Title: Intertemporal relations between the market volatility index and stock index returns 
Abstract:
  We examine the intertemporal relationships between Chicago Board Options
 Exchange (CBOE) market volatility index (VIX) and returns of the S&P 100,
 500 and 600 indexes among three subperiods during 1992--2011 to account
 for structural shifts in VIX and to investigate if the role of VIX as an
 investor fear gauge and indicator of portfolio insurance price has
 strengthened in periods of high market anxiety and turbulence. We find a
 strong negative contemporaneous relation between daily changes
 (innovations) in VIX and S&P 100, 500 and 600 returns. Our results suggest
 that the strength of contemporaneous VIX-returns relation depends on the
 mean and volatility regime of VIX, and that this relation is much stronger
 when VIX is both high and more volatile. In fact, during 2004--2011, the
 negative contemporaneous VIX-returns relation was the most dominating and
 the only significant relation. Our results also indicate a strong
 asymmetric relation between daily stock market returns and innovations in
 VIX, suggesting that VIX is more of a gauge of investor fear and portfolio
 insurance price than investor positive sentiment. The response of VIX to
 negative changes in market returns was the highest during 2004--2011 when
 VIX was most volatile. This result is consistent with rising portfolio
 insurance premiums in periods of high market anxiety and turbulence. 
Journal: Applied Financial Economics 
Pages: 899-909 
Issue: 11 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.629980 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.629980 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:899-909




Template-Type: ReDIF-Article 1.0
Author-Name: Tamir Levy 
Author-X-Name-First: Tamir 
Author-X-Name-Last: Levy 
Author-Name: Joseph Yagil 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Yagil 
Title: Noise trader risk: the case of Jewish Colonial Trust and Bank Leumi Stocks 
Abstract:
  Jewish Colonial Trust (JCT) and Bank Leumi Le-Israel (BLL), called here
 the sub-company and the main company, are two companies whose stocks are
 traded on the Tel Aviv Stock Exchange (TASE). We demonstrate that although
 the assets of the sub company consist solely of the stocks of the main
 company (accounting for 5% of that company's total shares), and that most
 of the sub company's shares are held by only a few major stockholders, a
 Noise Trader Risk (NTR) exists. The NTR causes the market value of the sub
 company to deviate from its theoretical value and the prices of the two
 stocks not to move together. The NTR, however, decreases as the awareness
 of the investors regarding the sub company's theoretical value increases,
 and as the return horizon becomes longer. 
Journal: Applied Financial Economics 
Pages: 911-922 
Issue: 11 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.629981 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.629981 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:911-922




Template-Type: ReDIF-Article 1.0
Author-Name: Sean Joss Gossel 
Author-X-Name-First: Sean Joss 
Author-X-Name-Last: Gossel 
Author-Name: Nicholas Biekpe 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Biekpe 
Title: The effects of capital inflows on South Africa's economy 
Abstract:
  This article investigates the effects of capital inflows on South
 Africa's macroeconomy and on the transmission mechanisms of credit
 extension, asset prices and household consumption expenditure. We find
 that the capital inflows have varied macroeconomic effects. Furthermore,
 we establish that the central bank uses a strategy of ongoing
 sterilisation for portfolio inflows and Foreign Direct Investment (FDI),
 but does not sterilise other inflows. With regard to the impacts of the
 capital inflows on the transmission mechanisms, the results indicate that
 only portfolio inflows have a positive impact on private sector credit
 extension, mortgage extensions and credit card expenditure. In addition,
 the results confirm that portfolio and other inflows have more of a
 positive impact on asset prices than FDI. Finally, we establish that FDI
 and portfolio inflows lead to increased household consumption expenditure
 on durables while other inflows have a negative effect on all forms of
 household consumption. 
Journal: Applied Financial Economics 
Pages: 923-938 
Issue: 11 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.629982 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.629982 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:923-938




Template-Type: ReDIF-Article 1.0
Author-Name: Yongseung Han 
Author-X-Name-First: Yongseung 
Author-X-Name-Last: Han 
Author-Name: Myeong   Hwan Kim 
Author-X-Name-First: Myeong   Hwan 
Author-X-Name-Last: Kim 
Author-Name: Won-Joong Kim 
Author-X-Name-First: Won-Joong 
Author-X-Name-Last: Kim 
Title: Determinants of profit efficiency: evidence from Korean savings banks 
Abstract:
  This article shows the profit efficiency and its determinants in Korean
 savings banks in the period 2002--2008 using a three-step estimation
 procedure: profit efficiency, computed in the second step after the first
 step Generalized Method of Moments (GMM) estimation, is regressed on the
 environmental variables in the third step. We found that industry-average
 profit efficiency dropped in 2004--2005 and quickly rebound in the
 subsequent years. We also found that unit banks and small banks are more
 efficient than affiliated banks and large banks. This article then
 analyses determinants of profit efficiency and presents three findings:
 (1) interest rate is the most important factor, with a 1% point increase
 in interest rate leading to a 20% point increase in profit efficiency; (2)
 profit efficiency declines as bank assets increase, implying that the
 expansionary strategy is not profit-enhancing unless current technology
 for financial intermediation changes; and (3) an increase in noncollateral
 loans lowers profit efficiency, implying that a policy drive for an
 increase in noncollateral loans requires <italic>a priori</italic>
 appropriate credit rating system and transparent accounting practices. 
Journal: Applied Financial Economics 
Pages: 1003-1016 
Issue: 12 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.636019 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.636019 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:12:p:1003-1016




Template-Type: ReDIF-Article 1.0
Author-Name: Wen-Chang Lin 
Author-X-Name-First: Wen-Chang 
Author-X-Name-Last: Lin 
Author-Name: Yi-Hsun Lai 
Author-X-Name-First: Yi-Hsun 
Author-X-Name-Last: Lai 
Title: Evaluating catastrophe reinsurance contracts: an option pricing approach with extreme risk 
Abstract:
  This study evaluates a government-sponsored Excess-Of-Loss (XOL)
 Catastrophe (CAT) reinsurance contract using the financial option approach
 with extreme risk. We show that the Generalized Pareto Distribution (GPD),
 a Peak-Over-Threshold (POT) model, can properly depict the extreme losses
 from natural disasters in Taiwan, and thus can produce the most moderate
 premium estimates compared to other tail distributions. We contend that
 the risk neutral pricing is applicable even if CAT is a systematic risk
 and the reinsurance market is incomplete. Lastly, the impact of choosing
 thresholds on premium estimates is also examined. 
Journal: Applied Financial Economics 
Pages: 1017-1028 
Issue: 12 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.636020 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.636020 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:12:p:1017-1028




Template-Type: ReDIF-Article 1.0
Author-Name: Florian Ielpo 
Author-X-Name-First: Florian 
Author-X-Name-Last: Ielpo 
Title: Equity, credit and the business cycle 
Abstract:
  Both domestic economies and financial markets are affected by cycles that
 are often represented through multi-state models such as Markov Switching
 (MS) models. This article discusses the performances associated to the
 government bond, the equity and the credit cases along the business cycle,
 using both an European and a US dataset over the 1987 to 2010 period.
 Periods of noninflationary growth have been strongly supportive to the
 credit universe, whereas inflationary growth has led to a strong
 performance of the equity asset class. On the contrary, recession periods
 are characterized by strong performances from government and investment
 grade bonds. These statements hold both in the US and in the European
 cases. 
Journal: Applied Financial Economics 
Pages: 939-954 
Issue: 12 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.631891 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.631891 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:12:p:939-954




Template-Type: ReDIF-Article 1.0
Author-Name: Yi-Chein Chiang 
Author-X-Name-First: Yi-Chein 
Author-X-Name-Last: Chiang 
Author-Name: Mei-Chu Ke 
Author-X-Name-First: Mei-Chu 
Author-X-Name-Last: Ke 
Author-Name: Tung   Liang Liao 
Author-X-Name-First: Tung   Liang 
Author-X-Name-Last: Liao 
Author-Name: Cin-Dian Wang 
Author-X-Name-First: Cin-Dian 
Author-X-Name-Last: Wang 
Title: Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market 
Abstract:
  This study is the first to use stochastic dominance theory to compare the
 performance of passive and active trading strategies for the Taiwan Stock
 Index Futures. In total, we test nine common trading strategies, including
 buy-and-hold (passive) and eight technical trading strategies (active).
 The results show that the Relative Strength Index (RSI) oscillator and
 parabolic strategies outperform the other technical trading strategies,
 and all of the eight technical trading strategies beat the buy-and-hold
 strategy both before and after transaction costs. In addition, investing a
 portion of investors&#x2019; money in risky assets and a portion in
 risk-free assets can help distinguish performance among the trading
 strategies. This implies that the stochastic dominance theory can help
 investors determine an optimal asset allocation. 
Journal: Applied Financial Economics 
Pages: 955-965 
Issue: 12 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.631893 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.631893 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:12:p:955-965




Template-Type: ReDIF-Article 1.0
Author-Name: Chung-Wei Kao 
Author-X-Name-First: Chung-Wei 
Author-X-Name-Last: Kao 
Author-Name: Jer-Yuh Wan 
Author-X-Name-First: Jer-Yuh 
Author-X-Name-Last: Wan 
Title: Heterogeneous behaviours and the effectiveness of central bank intervention in the yen/dollar exchange market 
Abstract:
  A nonlinear heterogeneous agent model is applied to the yen/dollar
 exchange rate market to discuss the channels of an effective central bank
 intervention. The existence of two hypothetical channels proposed by Hung
 (1997) and Taylor (2004, 2005) are tested and confirmed. Evidence shows
 heterogeneous agents are active in the yen/dollar market where the
 stabilizing force from the fundamentalists declines in large
 misalignments. Central bank intervention is effective in arousing the
 trend-reversing sentiment among chartists to prevent market from
 explosion. The intervention is also effective in strengthening
 fundamentalists&#x2019; confidence that the market will move toward its
 theoretical equilibrium. The intervention has significant effects on
 fundamentalists&#x2019; confidence, regardless of whether the forecasting
 method relies on Purchasing Power Parity (PPP) only or on a PPP plus
 Uncovered Interest rate Parity (UIP) condition. The interest rate
 differential can affect the exchange rate changes through influencing
 demand orders of the short-run fundamentalists. 
Journal: Applied Financial Economics 
Pages: 967-975 
Issue: 12 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.633887 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.633887 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:12:p:967-975




Template-Type: ReDIF-Article 1.0
Author-Name: Yan-Shing Chen 
Author-X-Name-First: Yan-Shing 
Author-X-Name-Last: Chen 
Author-Name: Po-Hsin Ho 
Author-X-Name-First: Po-Hsin 
Author-X-Name-Last: Ho 
Author-Name: Chih-Yung Lin 
Author-X-Name-First: Chih-Yung 
Author-X-Name-Last: Lin 
Author-Name: Wei-Che Tsai 
Author-X-Name-First: Wei-Che 
Author-X-Name-Last: Tsai 
Title: Applying recurrent event analysis to understand the causes of changes in firm credit ratings 
Abstract:
  This study applies recurrent event analysis to examine the determinants
 of changes in firm credit ratings. This study uses two extended Cox
 proportional hazard models to examine upgrade and downgrade data
 separately. Explanatory variables are taken from financial ratios in
 Z-score (Altman, 1968) and AR-score (Altman and Rijken, 2004) models. The
 empirical results first suggest that sales to asset ratio and market
 equity to book debt ratio are the key explanatory variables for the sample
 comprising credit rating upgrade firms examined using Z-scores
 specification. Next, the sample of credit rating upgrade firms examined
 using AR-score variables reveals that the first rating of young firms is
 generally underestimated. Additionally, analysis of sample comprising
 credit downgrade firms examined using Z-score specification identifies
 working capital to asset ratio and market equity to book debt ratio as the
 key explicative variables. Furthermore, analysis of sample of credit
 downgrade firms examined using AR-score model reveals that larger firms
 are not easily downgraded, and old firms are more likely to be downgraded
 because of their ratings typically having initially been overestimated.
 Finally, high <italic>q</italic> firms with high retained earnings may
 suffer from underinvestment problem. Consequently, credit agencies may be
 reluctant to upgrade such firms. 
Journal: Applied Financial Economics 
Pages: 977-988 
Issue: 12 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.633888 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.633888 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:12:p:977-988




Template-Type: ReDIF-Article 1.0
Author-Name: Ke Cheng 
Author-X-Name-First: Ke 
Author-X-Name-Last: Cheng 
Author-Name: Fengbin Lu 
Author-X-Name-First: Fengbin 
Author-X-Name-Last: Lu 
Author-Name: Xiaoguang Yang 
Author-X-Name-First: Xiaoguang 
Author-X-Name-Last: Yang 
Title: Copula contagion index and its efficiency 
Abstract:
  A Copula Contagion Index (CCI) is established to measure financial
 contagion, based on the time-varying copula function. Empirical studies
 performed on the crisis spillover of US Subprime Mortgage Crisis
 demonstrate the efficiency of CCI. The empirical results from event study,
 change-point analysis, logitistic/probit regressions and the detection of
 the lead--lag relations by Baba, Engle, Kraft and Kroner (BEKK)-Vector
 Autoregressive (VAR)-Generalized Autoregressive Conditional
 Heteroscedastic (GARCH) model show that, the index is efficient in
 detecting the financial contagions. Sensitivity analysis indicates that
 the index is robust. Besides, empirical results indicate that the
 developed markets rather than the emerging markets suffered more severely
 and quickly from the US subprime mortgage crisis. 
Journal: Applied Financial Economics 
Pages: 989-1002 
Issue: 12 
Volume: 22 
Year: 2012 
Month: 6 
X-DOI: 10.1080/09603107.2011.633889 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.633889 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:12:p:989-1002




Template-Type: ReDIF-Article 1.0
Author-Name: Gazi   Mainul Hassan 
Author-X-Name-First: Gazi   Mainul 
Author-X-Name-Last: Hassan 
Author-Name: Hisham   M. Al refai 
Author-X-Name-First: Hisham   M. 
Author-X-Name-Last: Al refai 
Title: Can macroeconomic factors explain equity returns in the long run? The case of Jordan 
Abstract:
  There is a growing literature on how macroeconomic variables can have
 effects on equity returns in both developed and emerging stock markets. We
 test for the long run relationship between some key macroeconomic
 indicators and equity returns in Jordan. Using both General-to-Specific
 (GETS) methodology and the Autoregressive Distributed Lag (ARDL) approach
 to cointegration, we find that the trade surplus, foreign exchange
 reserves, the money supply and oil prices are important macroeconomic
 variables which have long run effects on the Jordanian stock market. The
 results are broadly consistent with similar studies carried out for other
 emerging economies. 
Journal: Applied Financial Economics 
Pages: 1029-1041 
Issue: 13 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.637892 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.637892 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:13:p:1029-1041




Template-Type: ReDIF-Article 1.0
Author-Name: Peter Brusov 
Author-X-Name-First: Peter 
Author-X-Name-Last: Brusov 
Author-Name: Tatiana Filatova 
Author-X-Name-First: Tatiana 
Author-X-Name-Last: Filatova 
Author-Name: Mukhadin Eskindarov 
Author-X-Name-First: Mukhadin 
Author-X-Name-Last: Eskindarov 
Author-Name: Pavel Brusov 
Author-X-Name-First: Pavel 
Author-X-Name-Last: Brusov 
Author-Name: Natali Orehova 
Author-X-Name-First: Natali 
Author-X-Name-Last: Orehova 
Author-Name: Anastasia Brusova 
Author-X-Name-First: Anastasia 
Author-X-Name-Last: Brusova 
Title: Influence of debt financing on the effectiveness of the finite duration investment project 
Abstract:
  The problem of the influence of debt financing on the effectiveness of
 the arbitrary duration investment project is studied and quantitative
 results are obtained for the first time. The effectiveness of the
 investment project is considered from two perspectives: the owners of
 equity and debt and equity holders only. It was shown, that
 <italic>NPV</italic> practically always decreases with leverage in case of
 a constant value of equity, and the maximum leverage level, at which the
 project is still effective (<italic>NPV</italic>&#x2009;>&#x2009;0), was
 found. In case of a constant value of the total invested capital it is
 possible an increase of <italic>NPV</italic> with leverage as well as its
 decrease, depending on the relation between the parameters of the project. 
Journal: Applied Financial Economics 
Pages: 1043-1052 
Issue: 13 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.637893 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.637893 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:13:p:1043-1052




Template-Type: ReDIF-Article 1.0
Author-Name: Ant&#xF3;nio Afonso 
Author-X-Name-First: Ant&#xF3;nio 
Author-X-Name-Last: Afonso 
Author-Name: Jo&#xE3;o   Tovar Jalles 
Author-X-Name-First: Jo&#xE3;o   Tovar 
Author-X-Name-Last: Jalles 
Title: Measuring the success of fiscal consolidations 
Abstract:
  We measure the success of fiscal consolidation, with alternative
 definitions, based on <italic>ad-hoc</italic> quantitative approaches and
 on a policy-action approach. The cyclically adjusted primary balance, and
 the duration of the consolidation contribute for its success, and the
 opposite applies for revenue-based consolidations. 
Journal: Applied Financial Economics 
Pages: 1053-1061 
Issue: 13 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.637894 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.637894 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:13:p:1053-1061




Template-Type: ReDIF-Article 1.0
Author-Name: Lisa   A. C. Frank 
Author-X-Name-First: Lisa   A. C. 
Author-X-Name-Last: Frank 
Author-Name: Chinmoy Ghosh 
Author-X-Name-First: Chinmoy 
Author-X-Name-Last: Ghosh 
Title: Does firm governance affect institutional investment? Evidence from real estate investment trusts 
Abstract:
  Institutional investors typically hold large blocks of assets and are
 thus thought capable of realizing the benefits of monitoring
 managers&#x2019; activities. Yet, the Real Estate Investment Trust (REIT)
 environment is characterized by high free-rider costs and low incentives
 to monitor. Given this environment, institutions may choose to invest in
 firms with beneficial governance mechanisms in place. This study examines
 the impact of board composition and Chief Executive Officer (CEO)
 influence on the level of institutional investment and asks whether the
 existence of beneficial governance mechanisms is important in determining
 which REITs attract investment. After conducting Ordinary Least Squares
 (OLS) regressions, a quasi-maximum likelihood model is estimated to
 resolve the problems associated with linear estimation of a fractional
 dependent variable. Robustness checks include re-estimating the models
 with the sample split into three size panels, and employing instrumental
 variables to control for potential endogeneity effects. The results are
 consistent with a preference for greater liquidity, increased free cash
 flow, less debt and lower dividend yield. Institutional investment is
 greater when boards of directors are busier and less tenured, which
 supports a preference for well connected yet less entrenched directors.
 Institutions prefer less equity ownership by the CEO, indicative of a
 preference for reduced CEO influence and increased governance. 
Journal: Applied Financial Economics 
Pages: 1063-1078 
Issue: 13 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.639733 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.639733 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:13:p:1063-1078




Template-Type: ReDIF-Article 1.0
Author-Name: Theophano Patra 
Author-X-Name-First: Theophano 
Author-X-Name-Last: Patra 
Author-Name: Sunil Poshakwale 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Poshakwale 
Author-Name: Kean Ow-Yong 
Author-X-Name-First: Kean 
Author-X-Name-Last: Ow-Yong 
Title: Determinants of corporate dividend policy in Greece 
Abstract:
  This article examines the determinants of corporate dividend policy of
 listed firms in Greece as a case study of an emerging market country. The
 analysis is based on 945 firm year observations of 63 nonfinancial firms
 which paid dividends annually from 1993 to 2007. The study uses the
 Generalized Method of Moments (GMM) to estimate the firm level factors
 that may determine why firms distribute dividends. We find that size,
 profitability and liquidity factors increase the probability to pay
 dividends. However, investment opportunities, financial leverage and
 business risk decrease the likelihood to pay dividends. On the whole, the
 findings lend support for the information asymmetry and agency cost
 theories. In addition, the factors that influence dividend policy in
 developed markets also appear to apply for this emerging market country. 
Journal: Applied Financial Economics 
Pages: 1079-1087 
Issue: 13 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.639734 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.639734 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:13:p:1079-1087




Template-Type: ReDIF-Article 1.0
Author-Name: James Chong 
Author-X-Name-First: James 
Author-X-Name-Last: Chong 
Author-Name: Alexandra Krystalogianni 
Author-X-Name-First: Alexandra 
Author-X-Name-Last: Krystalogianni 
Author-Name: Simon Stevenson 
Author-X-Name-First: Simon 
Author-X-Name-Last: Stevenson 
Title: Dynamic correlations between REIT sub-sectors and the implications for diversification 
Abstract:
  The issue of whether Real Estate Investment Trusts (REITs) should pursue
 a focused or diversified investment strategy remains an ongoing debate
 within both the academic and industry communities. This article considers
 the relationship between REITs focused on different property sectors in a
 Generalized Autoregressive Conditional Heteroscedasticity-Dynamic Control
 Correlation (GARCH-DCC) framework. The daily conditional correlations
 reveal that since 1990 there has been a marked upward trend in the
 coefficients between US REIT sub-sectors. The findings imply that REITs
 are behaving in a far more homogeneous manner than in the past.
 Furthermore, the argument that REITs should be focused in order that
 investors can make the diversification decision is reduced. 
Journal: Applied Financial Economics 
Pages: 1089-1109 
Issue: 13 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.639735 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.639735 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:13:p:1089-1109




Template-Type: ReDIF-Article 1.0
Author-Name: Heng-Chih Chou 
Author-X-Name-First: Heng-Chih 
Author-X-Name-Last: Chou 
Title: Using the autoregressive conditional duration model to analyse the process of default contagion 
Abstract:
  Credit events are not independent, and the contagion effect is very
 common. The seriousness of the contagion effect depends on the change in
 the default contagion duration before and after credit events. This study
 uses the Autoregressive Conditional Duration (ACD) model to capture the
 durations of a series of credit events and to study the characteristics of
 a default duration series. The empirical samples are listed and
 Over-The-Counter (OTC) companies in Taiwan. The Moving Block Bootstrap
 (MBB) in Liu and Singh (1992) is employed to copy the sample data. The
 sample period is from October 1982 to December 2007. The results show
 that, in the entire sample and subsamples of the electronic information
 industry and construction industry, the default duration series
 demonstrates the conditional autocorrelation and cluster effect. The ACD
 model helps capture the contagion effect of credit events. 
Journal: Applied Financial Economics 
Pages: 1111-1120 
Issue: 13 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.641927 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.641927 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:13:p:1111-1120




Template-Type: ReDIF-Article 1.0
Author-Name: Rim Khemiri 
Author-X-Name-First: Rim 
Author-X-Name-Last: Khemiri 
Title: Volume and volatility in foreign exchange market microstructure: a Markov switching approach 
Abstract:
  This article has two aims. First, I revisit Khemiri (2009) and I find
 support to Lyons (1995) seminal dealer level specification with a still
 richer picture of the conditional volatility dynamics. For this reason, I
 develop an estimation procedure for a variety of Generalized
 Autoregressive Conditional Heteroscedasticity (GARCH) and Markov Switching
 Exponential GARCH (MSGARCH) models which provide a richer modelling of
 volatility dynamics and I find that the Markov Switching Exponential GARCH
 (MSEGARCH) model fits the intraday data better. In addition, the second
 aim of this article is to study the relationship between trading volume
 and volatility in the Foreign Exchange (FX) market microstructure by using
 a Markov switching approach that captures asymmetry and regime shifts in
 the Lyons (1995) dataset. In this context, the empirical results support
 the Mixture of Distribution Hypothesis (MDH) where I find a new result
 showing that that there is a positive correlation between volume and
 volatility of the Deutsche Mark (DM)/$ prices as well as a positive effect
 of order flow on returns. This confirms the role of <italic>order
 flow</italic> as a mean of transmission of information in the new
 microexchange rate economics. 
Journal: Applied Financial Economics 
Pages: 1121-1133 
Issue: 14 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.629979 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.629979 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1121-1133




Template-Type: ReDIF-Article 1.0
Author-Name: Fran&#xE7;ois-&#xC9;ric Racicot 
Author-X-Name-First: Fran&#xE7;ois-&#xC9;ric 
Author-X-Name-Last: Racicot 
Author-Name: Raymond Th�oret 
Author-X-Name-First: Raymond 
Author-X-Name-Last: Th�oret 
Title: Optimally weighting higher-moment instruments to deal with measurement errors in financial return models 
Abstract:
  Factor loadings are often measured with errors in financial return
 models. However, these models find applications in many fields of
 economics and finance. We present a new procedure to optimally weight two
 well-known cumulant (higher moments) estimators originally designed to
 deal with errors-in-variables. We develop a new version of the Hausman
 test which relies on these new instruments in order to build an indicator
 of measurement errors providing information about the extent of the bias
 for an estimated coefficient. We apply our new methodology to a well-known
 financial return model, i.e. the Fama and French (1997) model, over a
 sample of Hedge Fund Research (HFR) returns, whose distribution is
 strongly asymmetric and leptokurtic. Our experiments suggest that the
 market beta is biased by measurement errors, especially at the level of
 hedge fund strategies. Nevertheless, the alpha puzzle remains robust to
 our cumulant instruments. 
Journal: Applied Financial Economics 
Pages: 1135-1146 
Issue: 14 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.629983 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.629983 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1135-1146




Template-Type: ReDIF-Article 1.0
Author-Name: Qian Chen 
Author-X-Name-First: Qian 
Author-X-Name-Last: Chen 
Author-Name: David   E. Giles 
Author-X-Name-First: David   E. 
Author-X-Name-Last: Giles 
Author-Name: Hui Feng 
Author-X-Name-First: Hui 
Author-X-Name-Last: Feng 
Title: The extreme-value dependence between the Chinese and other international stock markets 
Abstract:
  Extreme Value Theory (EVT) measures the behaviour of extreme observations
 on a random variable. EVT in risk management, an approach to modelling and
 measuring risks under rare events, has taken on a prominent role in recent
 years. This article contributes to the literature in two respects by
 analysing an interesting international financial data set. First, we apply
 conditional EVT to examine the Value at Risk (VaR) and the Expected
 Shortfall (ES) for the Chinese and several representative international
 stock market indices: Hang Seng (Hong Kong), TSEC (Taiwan), Nikkei 225
 (Japan), Kospi (Korea), BSE (India), STI (Singapore), S&P 500 (US), SPTSE
 (Canada), IPC (Mexico), CAC 40 (France), DAX 30 (Germany), FTSE100 (UK)
 index. We find that China has the highest VaR and ES for negative daily
 stock returns. Second, we examine the extreme dependence between these
 stock markets, and we find that the Chinese market is asymptotically
 independent of the other stock markets considered. 
Journal: Applied Financial Economics 
Pages: 1147-1160 
Issue: 14 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.631890 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.631890 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1147-1160




Template-Type: ReDIF-Article 1.0
Author-Name: Yen-Sheng Lee 
Author-X-Name-First: Yen-Sheng 
Author-X-Name-Last: Lee 
Title: The determinants of cross-sectional liquidity in the IPO aftermarket 
Abstract:
  This article examines the determinants of cross-sectional liquidity in
 the Initial Public Offering (IPO) aftermarket. Previous literature
 suggests that liquidity trading, information asymmetry, the extent of
 estimation uncertainty and heterogeneity of opinion are related to share
 turnover of seasoned stocks, whereas very few papers examine the factors
 of liquidity of newly listed firms. Because IPO stocks typically
 experience a volatile trading period following the IPO issuance date, I
 draw on the literature on trading activities and IPO firms and explore the
 sources, if any, of IPO liquidity during the period of 1995 through 2005.
 I also examine IPO attributes, such as the presence of venture capital and
 the number of underwriters in a syndicate. The results of random effects
 models suggest that liquidity trading, the mass of informed agents and
 certain IPO attributes play a role in explaining IPO trading activity. In
 contrast to previous studies on the trading activity of seasoned stocks, I
 find that differences of opinion and estimation uncertainty about an IPO
 firm have little effect on IPO liquidity. My findings contribute to the
 understanding of determinants of IPO liquidity. 
Journal: Applied Financial Economics 
Pages: 1161-1173 
Issue: 14 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.633890 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.633890 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1161-1173




Template-Type: ReDIF-Article 1.0
Author-Name: Joseph Simonian 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Simonian 
Title: A formal methodology for aggregating multiple market views 
Abstract:
  We describe a formal aggregation procedure that allows investors to
 combine disparate market views, including the reasons that support them,
 to produce a single collective view. The methodology uses a many-valued
 logic to represent individual chains of reasoning and the sum absolute
 difference as a way of measuring disagreement between individuals. Group
 level views are derived by selecting the individual views that have the
 lowest sum absolute difference from the other views. In cases where more
 than one individual view possesses the minimum sum absolute difference, a
 variant of the game-theoretic solution concept known as the Shapley value
 is employed as a way to generate a compromise between the candidate views.
 In this way a single group-level market view can always be derived that is
 both formally consistent and a genuine balance between individual
 judgements. 
Journal: Applied Financial Economics 
Pages: 1175-1179 
Issue: 14 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.636018 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.636018 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1175-1179




Template-Type: ReDIF-Article 1.0
Author-Name: Alfred   V. Guender 
Author-X-Name-First: Alfred   V. 
Author-X-Name-Last: Guender 
Author-Name: Allan   G. J. Wu 
Author-X-Name-First: Allan   G. J. 
Author-X-Name-Last: Wu 
Title: Operating procedures and the expectations theory of the term structure of interest rates: the New Zealand experience from 1989 to 2008 
Abstract:
  The operating procedure of a central bank influences in no small measure
 whether the behaviour of interest rates is consistent with the
 Expectations Hypothesis (EH). In New Zealand, the predictive content of
 the term spread improves markedly in the wake of the switch from a
 quantity-based to a price-based operating procedure in March 1999. The
 Official Cash Rate (OCR) system has made it easier for market participants
 to understand the day-to-day conduct of monetary policy. As a result,
 market interest rates have become more predictable, thereby contributing
 to the success of the EH in explaining the behaviour of yields on
 short-dated financial instruments. 
Journal: Applied Financial Economics 
Pages: 1181-1192 
Issue: 14 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.641925 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.641925 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1181-1192




Template-Type: ReDIF-Article 1.0
Author-Name: Yi-Mien Lin 
Author-X-Name-First: Yi-Mien 
Author-X-Name-Last: Lin 
Author-Name: Yen-Yu Liu 
Author-X-Name-First: Yen-Yu 
Author-X-Name-Last: Liu 
Author-Name: Shwu-Jen You 
Author-X-Name-First: Shwu-Jen 
Author-X-Name-Last: You 
Author-Name: Jung-Yuan Shiu 
Author-X-Name-First: Jung-Yuan 
Author-X-Name-Last: Shiu 
Title: Board composition, corporate ownership and market performance: evidence from Taiwan 
Abstract:
  This article examines the effects of ultimate controlling
 shareholders&#x2019; ownership and board involvement on market liquidity
 and volatility using data from the Taiwan's market. We find that when a
 firm's ultimate controlling shareholder holds more control rights and is
 more involved on the board, and when there is a larger divergence between
 ultimate control and ownership as well as a larger divergence between
 controlling shareholders&#x2019; cash-flow rights and their board
 representation, the governance function would be less effective, leading
 to lower stock liquidity and higher idiosyncratic volatility. We also find
 that firms controlled by business groups have poor performance of the two
 market metrics. Furthermore, outside independent directors do not have
 significant effects on market liquidity and volatility, probably due to
 too small representation on the board to have effective monitoring. 
Journal: Applied Financial Economics 
Pages: 1193-1206 
Issue: 14 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.641926 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.641926 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1193-1206




Template-Type: ReDIF-Article 1.0
Author-Name: C.-S. Hsieh 
Author-X-Name-First: C.-S. 
Author-X-Name-Last: Hsieh 
Author-Name: C.-T. Chen 
Author-X-Name-First: C.-T. 
Author-X-Name-Last: Chen 
Title: Using stochastic dominance criterion to examine the day-of-the-week effect 
Abstract:
  We used stochastic dominance theory which is distribution-free, with and
 without risk-free asset to examine whether the day-of-the-week effect
 exists in the Taiwan Interbank Call Loan Market (TICLM). The empirical
 evidence from TICLM presented here suggests that Mondays are associated
 with higher return than all the other trading days of the week in the all
 various maturities except overnight. Tuesday is associated with higher
 returns in the overnight maturity. These results imply that financial
 institution getting the right asset allocation and to have a better funds
 management. 
Journal: Applied Financial Economics 
Pages: 1207-1213 
Issue: 14 
Volume: 22 
Year: 2012 
Month: 7 
X-DOI: 10.1080/09603107.2011.646061 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.646061 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1207-1213




Template-Type: ReDIF-Article 1.0
Author-Name: Stefan Eichler 
Author-X-Name-First: Stefan 
Author-X-Name-Last: Eichler 
Title: The impact of banking and sovereign debt crisis risk in the eurozone on the euro/US dollar exchange rate 
Abstract:
  I study the impact of financial crisis risk in the eurozone on the
 euro/US dollar exchange rate. Using daily data from 3 July 2006 to 30
 September 2010, I find that the euro depreciates against the US dollar
 when banking or sovereign debt crisis risk increases in the eurozone.
 While the external value of the euro is more sensitive to changes in
 sovereign debt crisis risk in vulnerable member countries than in stable
 member countries, the impact of banking crisis risk is similar for both
 country blocs. Moreover, rising default risk of medium and large eurozone
 banks leads to a depreciation of the euro while small banks&#x2019;
 default risk has no significant impact, showing the relevance of
 systemically important banks with regards to the exchange rate. 
Journal: Applied Financial Economics 
Pages: 1215-1232 
Issue: 15 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2011.646064 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.646064 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:15:p:1215-1232




Template-Type: ReDIF-Article 1.0
Author-Name: Jan   Willem van den End 
Author-X-Name-First: Jan   Willem 
Author-X-Name-Last: van den End 
Title: Liquidity stress-tester: do Basel III and unconventional monetary policy work? 
Abstract:
  This article presents a macro stress-testing model for liquidity risks of
 banks, incorporating the proposed Basel III liquidity regulation,
 unconventional monetary policy and credit supply effects. First and second
 round (feedback) effects of shocks are simulated by a Monte Carlo
 approach. Banks react according to the Basel III standards, endogenizing
 liquidity risk. The model shows how banks&#x2019; reactions interact with
 extended refinancing operations and asset purchases by the central bank.
 The results indicate that Basel III limits liquidity tail risk, in
 particular if it leads to a higher quality of liquid asset holdings. The
 flip side of increased bond holdings is that monetary policy conducted
 through asset purchases gets more influence on banks relative to
 refinancing operations. 
Journal: Applied Financial Economics 
Pages: 1233-1257 
Issue: 15 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2011.646065 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.646065 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:15:p:1233-1257




Template-Type: ReDIF-Article 1.0
Author-Name: Umar   Bida Ndako 
Author-X-Name-First: Umar   Bida 
Author-X-Name-Last: Ndako 
Title: Financial liberalization, structural breaks and stock market volatility: evidence from South Africa 
Abstract:
  This article examines the effect of financial liberalization on South
 African equity markets using Exponential Generalized Autoregressive
 Conditional Heteroscedastic (EGARCH) models. It utilises daily data and
 specifically, it analyses whether volatility persistence increased
 following financial liberalization. To achieve this objective, the study
 starts with endogenous structural break tests using Bai and Perron (2003)
 Ordinary Least Square (OLS)&#x2010;type test and the Cumulative Sum
 (CUSUM)&#x2010;type test of Inclan and Tiao (1994) and Sanso
 <italic>et&#xA0;al</italic>. (2004) respectively. These breaks are
 performed both in the stock returns and in the conditional variance over
 pre&#x2010; and post&#x2010;liberalization periods. The significant break
 points identified through algorithm are incorporated into EGARCH models
 and to obtain the effect of financial liberalization, the study further
 adds liberalization dummy using official liberalization dates. The
 findings show that none of the estimated break dates coincide with the
 official liberalization dates. The analysis further shows that after
 taking structural breaks into account volatility declines following
 financial liberalization. Also using official liberalization dates, the
 results indicate that the effect of financial liberalization on the stock
 markets is negative and statistically significant. 
Journal: Applied Financial Economics 
Pages: 1259-1273 
Issue: 15 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2012.654911 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.654911 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:15:p:1259-1273




Template-Type: ReDIF-Article 1.0
Author-Name: Nico Dewaelheyns 
Author-X-Name-First: Nico 
Author-X-Name-Last: Dewaelheyns 
Author-Name: Cynthia Van Hulle 
Author-X-Name-First: Cynthia 
Author-X-Name-Last: Van Hulle 
Title: Capital structure adjustments in private business group companies 
Abstract:
  The literature on capital structure dynamics assumes that companies
 trade-off the advantages of a leverage adjustment and its costs. In
 general, private companies are assumed to face relatively large adjustment
 costs, and should have lower financing flexibility. However, we argue that
 an important class of private companies -- business group affiliates --
 may face relatively low adjustment costs because of their access to both
 internal and external capital markets and the beneficial reputation
 effects of belonging to a group. Our empirical results show significant
 differences in the composition of the capital structure and the leverage
 adjustment process between affiliates of private Belgian business groups
 and comparable stand&#x2010;alone companies. Group affiliates have higher
 levels of leverage, and adjust their capital structure more frequently
 than stand&#x2010;alones. Our evidence suggests that the flexibility in
 group companies&#x2019; capital structure is not solely driven by the use
 of internal leverage: group affiliates more frequently adjust their
 external leverage as well, unless the group is in poor financial health,
 in which case the affiliates&#x2019; probability of attracting external
 leverage is severely reduced. 
Journal: Applied Financial Economics 
Pages: 1275-1288 
Issue: 15 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2012.654912 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.654912 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:15:p:1275-1288




Template-Type: ReDIF-Article 1.0
Author-Name: Adrian   C. H. Lei 
Author-X-Name-First: Adrian   C. H. 
Author-X-Name-Last: Lei 
Author-Name: Frank   M. Song 
Author-X-Name-First: Frank   M. 
Author-X-Name-Last: Song 
Title: Board structure, corporate governance and firm value: evidence from Hong Kong 
Abstract:
  This article investigates the effects of board structure and internal
 Corporate-Governance (CG) mechanisms on firm value in an emerging market
 with concentrated ownership and family involvement. Using a unique Hong
 Kong (HK) panel dataset from 2001 to 2009, we create a board-structure
 index that captures board independence, balance of power and conflicts of
 interest. We also construct other major CG mechanisms to correctly specify
 our model. We combine the 13 CG attributes, which consist of binary and
 continuous variables, with four CG mechanisms, using Principal Component
 Analysis (PCA). In contrast with prior evidence from developed markets,
 our results indicate that firms with independent board structure are
 associated with higher firm value and are both statistically and
 economically significant. The results also suggest that board structure is
 the most important among the major internal CG mechanisms. 
Journal: Applied Financial Economics 
Pages: 1289-1303 
Issue: 15 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2011.650329 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.650329 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:15:p:1289-1303




Template-Type: ReDIF-Article 1.0
Author-Name: Matthias Scherer 
Author-X-Name-First: Matthias 
Author-X-Name-Last: Scherer 
Author-Name: Svetlozar   T. Rachev 
Author-X-Name-First: Svetlozar   T. 
Author-X-Name-Last: Rachev 
Author-Name: Young   Shin Kim 
Author-X-Name-First: Young   Shin 
Author-X-Name-Last: Kim 
Author-Name: Frank   J. Fabozzi 
Author-X-Name-First: Frank   J. 
Author-X-Name-Last: Fabozzi 
Title: Approximation of skewed and leptokurtic return distributions 
Abstract:
  There is considerable empirical evidence that financial returns exhibit
 leptokurtosis and nonzero skewness. As a result, alternative distributions
 for modelling a time series of the financial returns have been proposed. A
 family of distributions that has shown considerable promise for modelling
 financial returns is the tempered stable and tempered infinitely divisible
 distributions. Two representative distributions are the classical tempered
 stable and the Rapidly Decreasing Tempered Stable (RDTS). In this article,
 we explain the practical implementation of these two distributions by (1)
 presenting how the density functions can be computed efficiently by
 applying the Fast Fourier Transform (FFT) and (2) how standardization
 helps to drive efficiency and effectiveness of maximum likelihood
 inference. 
Journal: Applied Financial Economics 
Pages: 1305-1316 
Issue: 16 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2012.659342 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.659342 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:16:p:1305-1316




Template-Type: ReDIF-Article 1.0
Author-Name: Farrokh Nourzad 
Author-X-Name-First: Farrokh 
Author-X-Name-Last: Nourzad 
Author-Name: James Calhoun 
Author-X-Name-First: James 
Author-X-Name-Last: Calhoun 
Author-Name: Adam Kurkiewicz 
Author-X-Name-First: Adam 
Author-X-Name-Last: Kurkiewicz 
Title: Federal funds futures, risk premium and monetary policy actions 
Abstract:
  This article attempts to determine whether controlling for the
 time-varying risk premium would improve the ability of the federal funds
 futures to predict the Federal Open Market Committee's (FOMC) decision
 regarding the direction and magnitude of changes in the federal funds
 target rate at different forecast horizons. This is done using an
 appropriate categorical dependent variable model, which is estimated using
 real-time monthly data covering the period from January 1994 through
 September 2008. Following Piazzesi and Swanson (2008), control is made for
 the risk premium using a number of business-cycle indicators including
 nonfarm payrolls, the industrial production index, the help wanted index,
 and a measure of the Treasury yield spread. The results indicate that
 accounting for the risk premium modestly improves the predictive
 performance of the futures rate for the longer forecast horizons.
 Moreover, such a control appears to alleviate the over-prediction of
 changes in the target rate by the futures rate that has been documented in
 the literature. 
Journal: Applied Financial Economics 
Pages: 1317-1330 
Issue: 16 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2012.659341 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.659341 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:16:p:1317-1330




Template-Type: ReDIF-Article 1.0
Author-Name: Hsiang-Hsi Liu 
Author-X-Name-First: Hsiang-Hsi 
Author-X-Name-Last: Liu 
Author-Name: Chun-Chou Wu 
Author-X-Name-First: Chun-Chou 
Author-X-Name-Last: Wu 
Author-Name: Yi Kai Su 
Author-X-Name-First: Yi Kai 
Author-X-Name-Last: Su 
Title: The influence of direct cross-straits shipping on the smooth transition dynamics of stock volatilities of shipping companies 
Abstract:
  This article use the smooth transition Generalized Autoregressive
 Conditional Heteroscedastic (GARCH) model to examine the impacts of direct
 cross-strait shipping on the dynamic structure of the stocks of shipping
 companies in Taiwan. We inferred the fact that the structural changes
 affect the volatility process for all stocks of shipping companies. In
 addition, we obtain the transition function for all related stock
 volatilities of shipping companies and find that their structural
 adjustment processes launch prior to the introduction of direct
 cross-strait shipping. Meanwhile, the estimated transition functions show
 that the stock return volatilities of shipping companies have U-shaped
 patterns of structural changes. This article also caught the corresponding
 calendar dates of structural change about volatility pattern. 
Journal: Applied Financial Economics 
Pages: 1331-1342 
Issue: 16 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2012.659343 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.659343 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:16:p:1331-1342




Template-Type: ReDIF-Article 1.0
Author-Name: Wade   D. Pfau 
Author-X-Name-First: Wade   D. 
Author-X-Name-Last: Pfau 
Title: Long-term investors and valuation-based asset allocation 
Abstract:
  Valuation-based market timing demonstrates strong potential to improve
 risk-adjusted returns for conservative long-term investors. Such timing
 strategies based on the cyclically-adjusted price-earnings ratio provide
 comparable returns as a 100% stocks buy-and-hold strategy but with
 substantially less risk. Meanwhile, market timing provides comparable
 risks and the same average asset allocation as a 50/50 fixed allocation
 strategy, but with much higher returns. Also, it is important to consider
 less extreme timing strategies as well, as defining market timing as
 either all stocks or all cash does not provide a hedge against the
 possibility that valuations may depart from their historical averages for
 extended periods. Finally, comparing the strategies over shorter rolling
 sub-periods reveals that a valuation-based market timing approach fairly
 consistently provides risk-adjusted returns superior to a fixed asset
 allocation strategy. 
Journal: Applied Financial Economics 
Pages: 1343-1353 
Issue: 16 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2011.648317 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.648317 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:16:p:1343-1353




Template-Type: ReDIF-Article 1.0
Author-Name: Giovanni Verga 
Author-X-Name-First: Giovanni 
Author-X-Name-Last: Verga 
Author-Name: Maria-Gaia Soana 
Author-X-Name-First: Maria-Gaia 
Author-X-Name-Last: Soana 
Title: Supply and demand in the European credit market during the recent crisis 
Abstract:
  The recent financial crisis in Europe has been followed by a significant
 decrease in credit flows to nonfinancial enterprises. This article
 investigates demand and supply of loans using data from surveys. Our
 econometric analysis suggests that recent <italic>European Central
 Bank</italic> (ECB) policy has favoured the credit market. Although bank
 credit standards are tighter than usual, the present low&#x2010;credit
 growth is more the consequence of a weak demand for loans than a reduced
 supply from the banking system. 
Journal: Applied Financial Economics 
Pages: 1355-1366 
Issue: 16 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2012.654910 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.654910 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:16:p:1355-1366




Template-Type: ReDIF-Article 1.0
Author-Name: Wolfgang Drobetz 
Author-X-Name-First: Wolfgang 
Author-X-Name-Last: Drobetz 
Author-Name: Tim Richter 
Author-X-Name-First: Tim 
Author-X-Name-Last: Richter 
Author-Name: Martin Wambach 
Author-X-Name-First: Martin 
Author-X-Name-Last: Wambach 
Title: Dynamics of time-varying volatility in the dry bulk and tanker freight markets 
Abstract:
  This study examines whether shocks from macroeconomic variables or
 asymmetric effects are more suitable for explaining the time-varying
 volatility in the dry bulk and tanker freight markets or whether both
 effects should be incorporated simultaneously. Using Baltic Exchange
 indices during the sample period from March 1999 to October 2011 on a
 daily basis, we separately analyse the impact of macroeconomic shocks and
 asymmetric effects on the conditional volatility of freight rates by using
 a GARCH-X model and an EGARCH model, respectively. Furthermore, we
 simultaneously investigate both effects by specifying an EGARCH-X model.
 Assuming not only a normal distribution but also a
 <italic>t</italic>-distribution in order to better capture the fat tails
 of error terms, three important conclusions emerge for modelling the
 conditional volatility of freight rates: (i) The assumption of a
 <italic>t</italic>-distribution is better suited than a normal
 distribution is. (ii) Macroeconomic factors should be incorporated into
 the conditional variance equation rather than into the conditional mean
 equation. In addition, the number of macroeconomic factors that exhibit
 explanatory power decreases under a <italic>t</italic>-distribution. (iii)
 While there seem to be no asymmetric effects in the dry bulk freight
 market, these effects are strongly pronounced in the tanker freight
 market. Our empirical findings have important implications for freight
 rate risk management. 
Journal: Applied Financial Economics 
Pages: 1367-1384 
Issue: 16 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2012.657349 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.657349 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:16:p:1367-1384




Template-Type: ReDIF-Article 1.0
Author-Name: Jin-Ying Wang 
Author-X-Name-First: Jin-Ying 
Author-X-Name-Last: Wang 
Title: Investment behaviours and IPO returns: evidence from Taiwan 
Abstract:
  This article uses Buy-Sell Imbalance (BSI) as an indicator of investment
 behaviour to analyse the correlation between investor trading behaviours
 and returns of Initial Public Offerings (IPOs). After controlling for
 variables, such as market excess return, the size factor, and the
 book-to-market factor and momentum factor, this article finds that if IPOs
 are more popular to individual investors when issuing, the short-term
 returns are higher. In contrast, there is little sign that institutional
 investors exhibit such effect. In Taiwan's stock market where individual
 investors are the dominant players, the investment behaviours of
 individual investors exhibit certain influences on IPO share prices. This
 article also divides the IPO samples into two groups, one group favoured
 by investors and the other not at the time of issue. The result shows that
 IPOs favoured by individual investors have significantly lower long-term
 returns after 1 year of their listings, while IPOs favoured by
 institutional investors have different results. The two groups show no
 significant differences in average operational performances; therefore,
 this article suggests that the price correction of overly optimistic
 individual investors is the reason for the poorer long-term returns of
 IPOs favoured by individual investors. 
Journal: Applied Financial Economics 
Pages: 1385-1394 
Issue: 16 
Volume: 22 
Year: 2012 
Month: 8 
X-DOI: 10.1080/09603107.2012.657350 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.657350 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:16:p:1385-1394




Template-Type: ReDIF-Article 1.0
Author-Name: J. Hobbs 
Author-X-Name-First: J. 
Author-X-Name-Last: Hobbs 
Author-Name: M. I. Schneller 
Author-X-Name-First: M. I. 
Author-X-Name-Last: Schneller 
Title: Dividend signalling and sustainability 
Abstract:
  We examine the &#x2018;disappearing dividends&#x2019; era documented by
 Fama and French (2001) with respect to the traditional theory of
 signalling, wherein the positive signal is one of high future cash flows
 and continued payments. We report several new findings. First, during the
 disappearing dividends era, dividends vanished not only because they were
 less frequently initiated -- the oft-cited reason -- but also because,
 once initiated, they were less likely to be sustained. Second, we find
 that although future performance does increase with dividend
 sustainability, performance is merely average for permanent payers and
 poor for temporary payers. Third, we find that the market responded
 favourably to initiations but did not distinguish <italic>ex-ante</italic>
 between short-run and long-run payers. Fourth, we find that despite the
 market's similar treatment of shorter- and longer-term payers, dividend
 sustainability was in fact predictable out of sample, using information
 strictly available to investors at the time of the announcement. Fifth, we
 find that performance is predictable through sustainability; the firms we
 predict to become permanent payers significantly outperform their
 counterparts in subsequent years. Overall, our findings run counter to the
 traditional signalling theory of dividends in terms of both overall firm
 performance and the market's reaction to initiations. 
Journal: Applied Financial Economics 
Pages: 1395-1408 
Issue: 17 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.654909 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.654909 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:17:p:1395-1408




Template-Type: ReDIF-Article 1.0
Author-Name: Elyas Elyasiani 
Author-X-Name-First: Elyas 
Author-X-Name-Last: Elyasiani 
Author-Name: Yong Wang 
Author-X-Name-First: Yong 
Author-X-Name-Last: Wang 
Title: Bank holding company diversification and production efficiency 
Abstract:
  Bank Holding Companies (BHCs) have been diversifying their businesses
 increasingly among banking, securities and insurance activities in the
 recent decades through establishment of Section 20 subsidiaries in earlier
 years and through formation of financial holding companies after the
 Gramm--Leach--Bliley Act (GLBA, 1999). This study examines whether BHC
 diversification is associated with improvement or detriment in its
 production efficiency. We apply the Data Envelopment Analysis (DEA) to
 calculate the Malmquist index of productivity, and the total factor
 productivity change for a sample of BHCs over the period 1997--2007. Two
 main results are obtained. First, technical efficiency is negatively
 associated with activity diversification and the effect is primarily
 driven by BHCs that did not experience diversification through Section 20
 subsidiaries. Second, the degree of change in diversification over time is
 not associated with total factor productivity change but it is negatively
 associated with technical efficiency change. This latter relationship is
 also primarily exhibited for BHCs that did not establish Section 20
 subsidiaries. It can be concluded that diversification is, on average,
 associated with lower production efficiency of BHCs, especially for those
 BHCs without first-mover advantage obtained through Section 20
 subsidiaries. This is consistent with findings on diversification discount
 in the finance literature. 
Journal: Applied Financial Economics 
Pages: 1409-1428 
Issue: 17 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.657351 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.657351 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:17:p:1409-1428




Template-Type: ReDIF-Article 1.0
Author-Name: Yin-Feng Gau 
Author-X-Name-First: Yin-Feng 
Author-X-Name-Last: Gau 
Author-Name: Wen-Ju Liao 
Author-X-Name-First: Wen-Ju 
Author-X-Name-Last: Liao 
Title: The predictability of excess returns in the emerging bond markets 
Abstract:
  This study examines the relationships that exist between excess bond
 returns and global and country-specific factors, focusing on a sample of
 12 developing countries. Our results show a significantly negative
 autocorrelation with regard to the excess returns of bonds in the emerging
 markets; with growth in the size of the local bond market, there is a
 corresponding increase in the excess bond returns. For most of the
 developing economies, with an increase in emerging market bond returns,
 there are discernible reductions in the level of domestic interest rate
 and increases in the volatility of bond returns. A higher sovereign bond
 spread predicts higher excess returns for emerging market bonds. Overall,
 we find that world factors have relatively less predictive power in the
 emerging market bonds. 
Journal: Applied Financial Economics 
Pages: 1429-1451 
Issue: 17 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.659340 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.659340 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:17:p:1429-1451




Template-Type: ReDIF-Article 1.0
Author-Name: Sim&#xF3;n Sosvilla-Rivero 
Author-X-Name-First: Sim&#xF3;n 
Author-X-Name-Last: Sosvilla-Rivero 
Author-Name: Amalia Morales-Zumaquero 
Author-X-Name-First: Amalia 
Author-X-Name-Last: Morales-Zumaquero 
Title: Volatility in EMU sovereign bond yields: permanent and transitory components 
Abstract:
  This article explores the evolving relationship in the volatility of
 sovereign yields in the European Economic and Monetary Union (EMU). To
 that end, we examine the behaviour of daily yields for 11 EMU countries
 (EMU-11), during the period 2001--2010. In a first step, we decompose
 volatility in permanent and transitory components using Engel and Lee's
 (1999) Component-Generalized Autoregressive Conditional Heteroscedasticity
 (C-GARCH) model. Results suggest that transitory shifts in debt market
 sentiment tend to be less important determinants of bond-yield volatility
 than shocks to the underlying fundamentals. In a second step, we develop a
 correlation and causality analysis that indicates the existence of two
 different groups of countries closely linked: core EMU countries and
 peripheral EMU countries. Finally, in a third step, we make a cluster
 analysis that further supports our results regarding the existence of two
 different groups of countries, with different positions regarding the
 stability of public finance. 
Journal: Applied Financial Economics 
Pages: 1453-1464 
Issue: 17 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.661397 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.661397 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:17:p:1453-1464




Template-Type: ReDIF-Article 1.0
Author-Name: Tiantian Zhang 
Author-X-Name-First: Tiantian 
Author-X-Name-Last: Zhang 
Author-Name: Kent Matthews 
Author-X-Name-First: Kent 
Author-X-Name-Last: Matthews 
Title: Efficiency convergence properties of Indonesian banks 1992--2007 
Abstract:
  This article examines the convergence properties of cost efficiency for
 Indonesian banks for the period 1992--2007. It employs the Simar and
 Wilson's (2007) two stage semi-parametric double bootstrap Data
 Envelopment Analysis (DEA) procedure to estimate cost efficiency. Using
 panel data estimation, the article examines &#x3B2;-convergence and
 &#x3C3;-convergence, to test the speed at which Indonesian banks are
 converging, towards the best practice and country average. We find
 evidence that in general the post-crisis structural reform process
 improved the average level of efficiency and improved the distribution of
 efficiency across banks significantly. The Asian financial crisis and the
 structural reform had the effect of slowing the adjustment speed of bank
 efficiency. 
Journal: Applied Financial Economics 
Pages: 1465-1478 
Issue: 17 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.663468 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.663468 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:17:p:1465-1478




Template-Type: ReDIF-Article 1.0
Author-Name: A. Hoffmann 
Author-X-Name-First: A. 
Author-X-Name-Last: Hoffmann 
Title: Determinants of carry trades in Central and Eastern Europe 
Abstract:
  The article shows that carry trades to Central and Eastern Europe (CEE)
 were lucrative during the boom period 2004--2006 when interest rate
 spreads between the funding and investment currencies were high. In
 contrast, when liquidity risk and exchange rate volatility increased after
 2007, carry trades were unprofitable. The analysis further suggests that
 there is a link between the exchange rate regime and carry trade returns.
 Overall, exchange rate stabilization, particularly via managed floats,
 seems to go along with the highest profit opportunities. 
Journal: Applied Financial Economics 
Pages: 1479-1490 
Issue: 18 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.663470 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.663470 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:18:p:1479-1490




Template-Type: ReDIF-Article 1.0
Author-Name: David   A. Volkman 
Author-X-Name-First: David   A. 
Author-X-Name-Last: Volkman 
Author-Name: Olivier   J.P. Maisondieu Laforge 
Author-X-Name-First: Olivier   J.P. Maisondieu 
Author-X-Name-Last: Laforge 
Author-Name: Mark Wohar 
Author-X-Name-First: Mark 
Author-X-Name-Last: Wohar 
Title: Interactive effect of changes in the shape of the yield curve and conditional term spread on expected equity returns 
Abstract:
  Recent research has noted that the change in the shape of the yield curve
 can serve as a proxy for economic activity and contains economic
 information not present in other explanatory variables. This article
 extends previous research by examining the combined effect of changes in
 the shape of the yield curve (yield pattern) and term spread on <italic>ex
 ante</italic> equity returns. We find specific yield patterns do affect
 future equity returns, that changes in the expected long rate is a
 significant factor, and that, when conditioned on the change in yield
 curve, the term spread is time variant and significant in specific yield
 pattern environments and insignificant in others. Specifically, we find
 that average <italic>ex ante</italic> equity returns are significant and
 positive when the yield pattern shows signs of the expected long rate
 declining. In addition, we find the efficacy of the conditional term
 spread to predict future equity returns increased after 1980. Our results
 are consistent with the <italic>Expectation Theory</italic> of interest
 rates and robust across capitalization and industry classification. 
Journal: Applied Financial Economics 
Pages: 1491-1500 
Issue: 18 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.663471 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.663471 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:18:p:1491-1500




Template-Type: ReDIF-Article 1.0
Author-Name: Ivo Arnold 
Author-X-Name-First: Ivo 
Author-X-Name-Last: Arnold 
Author-Name: Evert Vrugt 
Author-X-Name-First: Evert 
Author-X-Name-Last: Vrugt 
Title: Forecasting with the Taylor rule 
Abstract:
  This article uses the Survey of Professional Forecasters (SPF) to
 investigate the added value of the Taylor rule in interest rate
 forecasting. We interpret the Taylor rule as a set of macroeconomic
 restrictions that can be imposed on each individual professional
 forecaster's predictions of interest rates, inflation and economic
 activity. We study whether conforming to these restrictions improves
 forecast accuracy. We find that using the Taylor rule improves forecasts
 four quarters ahead and conclude that the Taylor rule is a useful tool in
 forming expectations about future monetary policy. 
Journal: Applied Financial Economics 
Pages: 1501-1510 
Issue: 18 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.665592 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.665592 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:18:p:1501-1510




Template-Type: ReDIF-Article 1.0
Author-Name: Shunsuke Managi 
Author-X-Name-First: Shunsuke 
Author-X-Name-Last: Managi 
Author-Name: Tatsuyoshi Okimoto 
Author-X-Name-First: Tatsuyoshi 
Author-X-Name-Last: Okimoto 
Author-Name: Akimi Matsuda 
Author-X-Name-First: Akimi 
Author-X-Name-Last: Matsuda 
Title: Do socially responsible investment indexes outperform conventional indexes? 
Abstract:
  The question of whether more Socially Responsible (SR) firms outperform
 or underperform other conventional firms has been debated in the economic
 literature. In this study, using the Socially Responsible Investment (SRI)
 indexes and conventional stock indexes in the US, the UK and Japan, first
 and second moments of firm performance distributions are estimated based
 on the Markov Switching (MS) model. We find two distinct regimes (bear and
 bull) in the SRI markets as well as the stock markets for all the three
 countries. These regimes occur with the same timing in both types of
 market. No statistical difference in means and volatilities generated from
 the SRI indexes and conventional indexes in either region was found.
 Furthermore, we find strong comovements between the two indexes in both
 the regimes. 
Journal: Applied Financial Economics 
Pages: 1511-1527 
Issue: 18 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.665593 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.665593 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:18:p:1511-1527




Template-Type: ReDIF-Article 1.0
Author-Name: Paul   B. McGuinness 
Author-X-Name-First: Paul   B. 
Author-X-Name-Last: McGuinness 
Title: The role of &#x2018;cornerstone&#x2019; investors and the Chinese state in the relative underpricing of state- and privately controlled IPO firms 
Abstract:
  In recent years, China has partially privatized some of its most
 important state-owned enterprise companies. Hong Kong has been host to the
 largest of these issues and during the five-year period, 2005--2009, more
 initial public offering (IPO) funds were generated through this market
 than any other. A key development in this market has been the emergence of
 &#x2018;cornerstone&#x2019; investor agreements, which earmark stock
 allocations to privileged investor parties in the immediate run-up to
 prospectus release. This study offers a number of important contributions.
 First, after assessing the characteristics of such agreements,
 multivariate results point to some evidence of a positive association
 between the presence of such agreements and initial IPO returns. Second,
 the Perotti (1995) model contention of increased initial returns in
 state-controlled entities fails to garner support. Third, as an extension
 of work on the &#x2018;political connections&#x2019; of Chinese A-share
 issuers (Fan <italic>et&#xA0;al</italic>., 2007; Francis
 <italic>et&#xA0;al</italic>. 2009), the political importance of issuers in
 the Hong Kong market-place is assessed. This study finds little evidence
 to support the notion that China's most politically important (strategic)
 issuers face lower underpricing levels than other issuers. Fourth, IPOs
 pitched between the incipient phase of the Global Credit Crunch (November
 2007) and the Lehman Brothers&#x2019; Collapse (September 2008) generated
 significantly weaker initial returns than issues in other periods. Fifth,
 IPO clustering, underpricing rates on concurrently positioned offerings
 and an issuer's price-to-earnings ratio also function to explain initial
 returns. This last area supports the contention that offer prices fail to
 fully impound publicly available information (Bradley and Jordan, 2002;
 Loughran and Ritter, 2002). 
Journal: Applied Financial Economics 
Pages: 1529-1551 
Issue: 18 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.665595 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.665595 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:18:p:1529-1551




Template-Type: ReDIF-Article 1.0
Author-Name: S�verine Plunus 
Author-X-Name-First: S�verine 
Author-X-Name-Last: Plunus 
Author-Name: Georges H&#xFC;bner 
Author-X-Name-First: Georges 
Author-X-Name-Last: H&#xFC;bner 
Author-Name: Jean-Philippe Peters 
Author-X-Name-First: Jean-Philippe 
Author-X-Name-Last: Peters 
Title: Measuring operational risk in financial institutions 
Abstract:
  The scarcity of internal loss databases tends to hinder the use of the
 advanced approaches for operational risk measurement (Advanced Measurement
 Approaches (AMA)) in financial institutions. As there is a greater variety
 in credit risk modelling, this article explores the applicability of a
 modified version of CreditRisk+ to operational loss data. Our adapted
 model, OpRisk+, works out very satisfying Values-at-Risk (VaR) at 95%
 level as compared with estimates drawn from sophisticated AMA models.
 OpRisk+ proves to be especially worthy in the case of small samples, where
 more complex methods cannot be applied. OpRisk+ could therefore be used to
 fit the body of the distribution of operational losses up to the
 95%-percentile, while Extreme Value Theory (EVT), external databases or
 scenario analysis should be used beyond this quantile. 
Journal: Applied Financial Economics 
Pages: 1553-1569 
Issue: 18 
Volume: 22 
Year: 2012 
Month: 9 
X-DOI: 10.1080/09603107.2012.667546 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.667546 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:18:p:1553-1569




Template-Type: ReDIF-Article 1.0
Author-Name: Achilleas Zapranis 
Author-X-Name-First: Achilleas 
Author-X-Name-Last: Zapranis 
Author-Name: Prodromos   E. Tsinaslanidis 
Author-X-Name-First: Prodromos   E. 
Author-X-Name-Last: Tsinaslanidis 
Title: Identifying and evaluating horizontal support and resistance levels: an empirical study on US stock markets 
Abstract:
  We propose a novel rule-based mechanism that identifies Horizontal
 Support And Resistance (HSAR) levels. The novelty of this system resides
 in the manner it encloses principles, found in well known technical
 manuals, used for the identification via visual assessment. The drawing of
 these levels derives from historical locals, rather than denoting support
 (resistance) levels from the lowest (highest) price levels of precedent
 constant time intervals. We further proceed in evaluating whether these
 levels are efficient trend-reversal predictors, and if they can generate
 systematic abnormal returns. The dataset used includes adjusted for
 dividends and splits, daily closing prices of stocks listed on National
 Association of Securities Dealers Automated Quotation (NASDAQ) and New
 York Stock Exchange (NYSE) for the last 2 decades. Our results are aligned
 with the efficient market hypothesis. More concretely, support levels
 outperform resistance ones in predicting trend interruptions but they fail
 to generate excess returns when they are compared with simple buy-and-hold
 strategies. 
Journal: Applied Financial Economics 
Pages: 1571-1585 
Issue: 19 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.663469 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.663469 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:19:p:1571-1585




Template-Type: ReDIF-Article 1.0
Author-Name: Patricia   Lorraine Chelley-Steeley 
Author-X-Name-First: Patricia   Lorraine 
Author-X-Name-Last: Chelley-Steeley 
Author-Name: James   M. Steeley 
Author-X-Name-First: James   M. 
Author-X-Name-Last: Steeley 
Title: Price discovery for Chinese shares cross-listed in multiple markets 
Abstract:
  In this article we study the relationship between security returns
 cross-listed on the A share market of China and the H share market at the
 Stock Exchange of Hong Kong (SEHK). Most of these securities are also
 cross-listed on other markets. An important feature of this article is
 that we focus on the multilateral relationships between all cross-listed
 markets rather than concentrating only on the bi-lateral relationship
 between A and Hong Kong H shares. Using the impulse response functions and
 the variance decompositions from a Vector Autoregressive (VAR) process we
 show that the returns to the A share market are almost exclusively
 determined by domestic factors. In contrast, we find that the H share
 market is influenced by both the A share market within China and foreign
 stock markets elsewhere in the world. Impulse response functions suggest
 that innovations to the A share market and the Hong Kong H share market
 are partly transmitted to each other and to stock markets outside China.
 We show that liquidity has an important role to play in determining the
 impact that the home market has on cross-listed variance decompositions. 
Journal: Applied Financial Economics 
Pages: 1587-1601 
Issue: 19 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.667548 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.667548 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:19:p:1587-1601




Template-Type: ReDIF-Article 1.0
Author-Name: Po-Kai Huang 
Author-X-Name-First: Po-Kai 
Author-X-Name-Last: Huang 
Title: Volatility transmission across stock index futures when there are structural changes in return variance 
Abstract:
  This article investigates volatility transmission process between the US,
 the UK and Japanese stock index futures markets. Most importantly, we
 examine that whether structural changes have effect on volatility
 transmission process. We use Iterated Cumulative Sums of Squares (ICSS)
 algorithm proposed by Inclan and Tiao (1994) to identify time points of
 structural changes exiting in the financial time series. Our results show
 that there is no common structural change in variances for three futures
 returns. This implies that diversification across stock index futures
 markets is possible. We find that volatility in three stock index futures
 markets are directly affected by its own lagged volatility. There are
 asymmetric volatility transmission effects between Japan and the UK and
 Japan and the US. In addition, there are bidirectional cross market
 volatility transmission between the UK and the US. However, this relation
 does not hold after controlling for structural changes in the bivariate
 Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model.
 We find that the measure of volatility transmission differs in intensity
 from that otherwise estimated. These findings support that structural
 changes in variance and GARCH model misspecification influence information
 flow and hence the scheme of transmission. 
Journal: Applied Financial Economics 
Pages: 1603-1613 
Issue: 19 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.669459 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.669459 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:19:p:1603-1613




Template-Type: ReDIF-Article 1.0
Author-Name: David   G. McMillan 
Author-X-Name-First: David   G. 
Author-X-Name-Last: McMillan 
Author-Name: Mark   E. Wohar 
Author-X-Name-First: Mark   E. 
Author-X-Name-Last: Wohar 
Title: Output and stock prices: an examination of the relationship over 200 years 
Abstract:
  Using data spanning 200 years we examine the nature of the long-run
 cointegrating behaviour between real output and real stock prices. A
 standard cointegration framework demonstrates that such a long-run
 relationship exists with both variables exhibiting significant equilibrium
 reversion, albeit quicker for stock prices. To further examine the nature
 of the equilibrium we consider two exercises. First, we consider possible
 time-variation in the cointegrating vector, for which we find evidence.
 Second, we separate the fundamental and bubble components within stock
 prices. Our results indicate that failure to account for these two issues
 can lead to errors in determining the nature of any disequilibrium between
 the two series, including the size and sign of the disequilibrium.
 Furthermore, our results reveal that the bubble component has a
 significant impact on future values of output growth. An out-of-sample
 forecasting exercise for returns shows that the time-varying model
 performs best and may beat the market. These results have implications for
 policy-makers and market practitioners alike. For the former, they are
 interested in the impact of stock market behaviour of the real economy,
 while the latter group are interested in any possible information about
 future stock prices. 
Journal: Applied Financial Economics 
Pages: 1615-1629 
Issue: 19 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.669461 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.669461 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:19:p:1615-1629




Template-Type: ReDIF-Article 1.0
Author-Name: Spyros Spyrou 
Author-X-Name-First: Spyros 
Author-X-Name-Last: Spyrou 
Title: Sentiment changes, stock returns and volatility: evidence from NYSE, AMEX and NASDAQ stocks 
Abstract:
  Using US stock portfolios that are formed on book-to-market equity (B/M),
 long term reversals, momentum, and size, a long sample period
 (1965--2007), and the comprehensive sentiment index of Baker and Wurgler
 (2006), this article shows that contemporaneous returns of extreme
 portfolios are significantly related to monthly sentiment changes and tend
 to be higher during periods of negative sentiment. Stock returns, however,
 seem to Granger-cause sentiment changes and are more important in
 predicting sentiment changes than vice versa. In addition, conditional
 return volatility is significantly affected by lagged volatility rather
 than sentiment changes. 
Journal: Applied Financial Economics 
Pages: 1631-1646 
Issue: 19 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.671921 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.671921 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:19:p:1631-1646




Template-Type: ReDIF-Article 1.0
Author-Name: Neelesh Gounder 
Author-X-Name-First: Neelesh 
Author-X-Name-Last: Gounder 
Author-Name: Parmendra Sharma 
Author-X-Name-First: Parmendra 
Author-X-Name-Last: Sharma 
Title: Determinants of bank net interest margins in Fiji, a small island developing state 
Abstract:
  This article investigates the determinants of Net Interest Margins (NIM)
 of banks in Fiji, a Small Island Developing State (SIDS) in the South
 Pacific, over the period 2000--2010. Based mainly on the Ho and
 Saunders&#x2019; (1981) dealership model and extensions thereto, this
 study uses a number of panel data estimation techniques to control for
 possible heterogeneity across banks and various assumptions about errors.
 Consistent with the theoretical model, NIM has a positive association with
 implicit interest payment, operating cost, market power and credit risk,
 and a negative association with the quality of management and liquidity
 risk. However, the association with bank capital and opportunity cost of
 required reserves do not conform to expectations. Policy implications are
 discussed. 
Journal: Applied Financial Economics 
Pages: 1647-1654 
Issue: 19 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.674202 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.674202 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:19:p:1647-1654




Template-Type: ReDIF-Article 1.0
Author-Name: Brandon Chen 
Author-X-Name-First: Brandon 
Author-X-Name-Last: Chen 
Author-Name: Jonathan   J. Reeves 
Author-X-Name-First: Jonathan   J. 
Author-X-Name-Last: Reeves 
Title: Dynamic asset beta measurement 
Abstract:
  The recent advent of high-frequency data and advances in financial
 econometrics allow market participants to evaluate the accuracy of
 different beta (systematic risk) measurements. Benchmarking against the
 monthly realized beta formed by 30-minute data, we compare the popular
 Fama--MacBeth betas, the monthly realized betas formed by daily returns
 and our Hodrick--Prescott filtered betas, with the smoothing parameter,
 &#x3BB;, set to 100. We find our filtered betas reduce the measurement
 error substantially relative to other beta measures. These results enable
 market participants to measure betas with greater precision and efficiency
 even with only daily returns in hand. 
Journal: Applied Financial Economics 
Pages: 1655-1664 
Issue: 19 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.674203 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.674203 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:19:p:1655-1664




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Zhou 
Author-X-Name-First: Jian 
Author-X-Name-Last: Zhou 
Title: Extreme risk measures for REITs: a comparison among alternative methods 
Abstract:
  Real Estate Investment Trusts (REITs), traditionally known as an asset of
 low volatility, have been undergoing a period of unprecedentedly high
 volatility due to the current financial crisis. This has increased the
 need to search for appropriate methods to cope with extreme risks. This
 study aims to meet this need by comparing the performances of several
 commonly used methods in predicting the conditional Value at Risk (VaR)
 and Expected Shortfall (ES) for REITs. Our competing methods cover all
 three broad categories (i.e. nonparametric, parametric and semiparametric)
 classified by Manganelli and Engle (2004) and display a varying degree of
 complexity. Overall, our results show that the trio of EGARCH skewed
 <italic>t</italic> (EGARCH, Exponential Generalized Autoregressive
 Conditional Heteroscedacity), GARCH <italic>t</italic>, and GARCH EVT
 (EVT, Extreme Value Theory) provide the most reliable forecasts among all
 methods considered. Their good performance, with only a few exceptions,
 holds up for a variety of quantiles and is robust to the size of the
 moving window used to make the forecasts. We also find that GARCH normal
 and RiskMetrics of J.P. Morgan are the worst performers. Filtered
 Historical Simulation (FHS) models fall somewhere in between. 
Journal: Applied Financial Economics 
Pages: 113-126 
Issue: 2 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.605752 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.605752 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:113-126




Template-Type: ReDIF-Article 1.0
Author-Name: Ben   David Nissim 
Author-X-Name-First: Ben   David 
Author-X-Name-Last: Nissim 
Author-Name: Levkovitch Liran 
Author-X-Name-First: Levkovitch 
Author-X-Name-Last: Liran 
Author-Name: Skalka Eshel 
Author-X-Name-First: Skalka 
Author-X-Name-Last: Eshel 
Title: Do natural phenomena affect stocks&#x2019; yield in Israel? 
Abstract:
  This article examines the connection between elements of nature, such as
 wind velocity, temperature, moon phases, earthquakes and hours of
 daylight, and the yield of the major index in the Israeli stock exchange.
 We find that felt earthquakes do not have an affect on yield, while rainy
 days have a negative affect while wind speed and temperature have a mixed
 affect. 
Journal: Applied Financial Economics 
Pages: 127-133 
Issue: 2 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.605753 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.605753 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:127-133




Template-Type: ReDIF-Article 1.0
Author-Name: Deborah   A. Ford 
Author-X-Name-First: Deborah   A. 
Author-X-Name-Last: Ford 
Author-Name: Hoang   H. Nguyen 
Author-X-Name-First: Hoang   H. 
Author-X-Name-Last: Nguyen 
Author-Name: Van   T. Nguyen 
Author-X-Name-First: Van   T. 
Author-X-Name-Last: Nguyen 
Title: Analyst coverage and market reaction around stock split announcements 
Abstract:
  This study examines the influence of the number of financial analysts
 following a firm on market reaction around the announcement of stock
 splits. Results show that the raw as well as abnormal returns at the
 announcement of stock splits are negatively related to the level of
 analyst coverage. The negative relation prevails even after controlling
 for size, book-to-market, momentum, split factors and post-split target
 price. Moreover, the impact of analyst coverage on market reaction is
 stronger for a sample of small size stocks than a sample of large stocks.
 The findings of this article suggest that information asymmetry is an
 important factor influencing market reaction to stock split announcements. 
Journal: Applied Financial Economics 
Pages: 135-145 
Issue: 2 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.605755 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.605755 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:135-145




Template-Type: ReDIF-Article 1.0
Author-Name: Darshana   D. Palkar 
Author-X-Name-First: Darshana   D. 
Author-X-Name-Last: Palkar 
Author-Name: Stephen   J. Larson 
Author-X-Name-First: Stephen   J. 
Author-X-Name-Last: Larson 
Author-Name: Robert   B. Larson 
Author-X-Name-First: Robert   B. 
Author-X-Name-Last: Larson 
Title: The valuation effects of military contract awards surrounding 11th September 
Abstract:
  This article examines the stock market's response to military contract
 award announcements for the 10-year period surrounding 11 September 2001.
 The abnormal returns of successful grantees are examined over the short
 run (days &#x2212;1 to +1) and long run (days &#x2212;1 to +60) to
 determine whether these contracts were apparently overfunded. Consistent
 with previous studies, we find positive abnormal returns on the
 announcement day for both pre and post 11 September 2001 contracts. Using
 cross-sectional regression analysis, we do not find a statistically
 significant difference between the pre and post 11 September 2001
 contracts in the short run. Surprisingly though, military contracts
 granted after 11 September 2001 were apparently underfunded when
 considering abnormal returns over the long run. The results are robust to
 the inclusion of industry effects, the use of different regression
 specifications and the application of alternative estimation and testing
 intervals. 
Journal: Applied Financial Economics 
Pages: 147-164 
Issue: 2 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.607126 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.607126 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:147-164




Template-Type: ReDIF-Article 1.0
Author-Name: Medhi Mili 
Author-X-Name-First: Medhi 
Author-X-Name-Last: Mili 
Author-Name: Jean-Michel Sahut 
Author-X-Name-First: Jean-Michel 
Author-X-Name-Last: Sahut 
Author-Name: Fred�ric Teulon 
Author-X-Name-First: Fred�ric 
Author-X-Name-Last: Teulon 
Title: New evidence of the expectation hypothesis of interest rates: a flexible nonlinear approach 
Abstract:
  Conventional approaches to examining the Expectation Hypothesis (EH)
 assume a parametric linear specification among variables. In contrast,
 this article tests the hypothesis using a flexible nonlinear inference
 approach proposed by Hamilton (2001). We examine the impact of the
 nonlinearity of interest rates to explain the variability of risk premia
 on market rates. It is assumed that the term structure of interest rates
 can be identified by two factors, the risk-free rate and its volatility.
 The results of the linearity test against nonlinear alternatives suggest
 that there is clear evidence of nonlinearity. Our empirical application
 shows that correctly accounting for the nonlinearity of the term structure
 of interest rates may explain the variability of risk premia and the
 specific characteristics of interest rate dynamics on the US market. 
Journal: Applied Financial Economics 
Pages: 165-176 
Issue: 2 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.607127 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.607127 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:165-176




Template-Type: ReDIF-Article 1.0
Author-Name: J. Crook 
Author-X-Name-First: J. 
Author-X-Name-Last: Crook 
Author-Name: T. Bellotti 
Author-X-Name-First: T. 
Author-X-Name-Last: Bellotti 
Title: Asset correlations for credit card defaults 
Abstract:
  The capital requirements formula within the Basel II Accord is based on a
 Merton one-factor model and in the case of credit cards an asset
 correlation of 4% is assumed. In this article we estimate the asset
 correlation for two datasets assuming the one-factor model. We find that
 the asset correlations assumed by Basel II are much higher than those
 observed in the datasets we analyse. We show the reduction in capital
 requirements that a typical lender would have if the values we estimated
 were implemented in the Basel Accord in place of the current values. 
Journal: Applied Financial Economics 
Pages: 87-95 
Issue: 2 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.603689 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.603689 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:87-95




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitrios   I. Vortelinos 
Author-X-Name-First: Dimitrios   I. 
Author-X-Name-Last: Vortelinos 
Author-Name: Dimitrios   D. Thomakos 
Author-X-Name-First: Dimitrios   D. 
Author-X-Name-Last: Thomakos 
Title: Realized volatility and jumps in the Athens Stock Exchange 
Abstract:
  We test for and model the volatility jumps for three major indices of the
 Athens Stock Exchange (ASE). Using intra-day data we first construct
 several, state-of-the-art realized volatility estimators. We use these
 estimators to construct the jump components of volatility and perform
 various tests on their properties. Then we use the class of Heterogeneous
 Autoregressive (HAR) models for assessing the relevant effects of jumps on
 volatility. Our results expand and complement the previous literature on
 the ASE market and, in particular, this is the first time, to the best of
 our knowledge, that volatility jumps are examined and modelled for the
 Greek market, using a variety of realized volatility estimators. Finally,
 we compare the economic value of these volatility estimators and examine
 their differences in the context of a two-asset portfolio and volatility
 timing. 
Journal: Applied Financial Economics 
Pages: 97-112 
Issue: 2 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2011.605751 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.605751 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:97-112




Template-Type: ReDIF-Article 1.0
Author-Name: Rima   Turk Ariss 
Author-X-Name-First: Rima   Turk 
Author-X-Name-Last: Ariss 
Author-Name: Rasoul Rezvanian 
Author-X-Name-First: Rasoul 
Author-X-Name-Last: Rezvanian 
Author-Name: Seyed   M. Mehdian 
Author-X-Name-First: Seyed   M. 
Author-X-Name-Last: Mehdian 
Title: WTO membership, ownership deregulation, and market efficiency: evidence from China 
Abstract:
  We assess the impact of accession to the World Trade Organization (WTO)
 and stock ownership deregulation on the presence of anomalies in stock
 returns in China. We partition our data into sub-periods that mirror WTO
 accession and Investor-Base Expansion (IBE) in all share markets. Unlike
 prior research, we consider all mainland and Hong Kong exchanges from
 market inception to 2008, and find that Chinese stock markets may have
 become increasingly more efficient. However, we also document a positive
 Friday and turn-of-the-year effects that we attribute to greater
 integration with world stock markets. The daily and monthly anomalies
 documented here may well guide global investors and portfolio managers to
 strategically time the market, take suitable short and long positions, and
 shuffle assets to possibly outperform the market. 
Journal: Applied Financial Economics 
Pages: 177-195 
Issue: 3 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.607128 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.607128 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:177-195




Template-Type: ReDIF-Article 1.0
Author-Name: Takafumi Ichinose 
Author-X-Name-First: Takafumi 
Author-X-Name-Last: Ichinose 
Author-Name: Shigeki Hirobayashi 
Author-X-Name-First: Shigeki 
Author-X-Name-Last: Hirobayashi 
Author-Name: Tadanobu Misawa 
Author-X-Name-First: Tadanobu 
Author-X-Name-Last: Misawa 
Author-Name: Toshio Yoshizawa 
Author-X-Name-First: Toshio 
Author-X-Name-Last: Yoshizawa 
Title: Forecast of stock market based on nonharmonic analysis used on NASDAQ since 1985 
Abstract:
  Although research involving economic time series forecasting based on
 virtual market models is frequently conducted, long-term forecasting is
 difficult due to many factors that affect actual markets. However, as
 exemplified by the business cycle and Elliot Wave theories in economics,
 it is assumed that fluctuations in economic time series forecasting have
 various periodicities, ranging from short-term to long-term. Accordingly,
 we used a new high-resolution frequency analysis (Non-Harmonic Analysis
 (NHA)) method, which we have recently developed, to conduct analysis of
 the periodicity of economic time series forecasting. We also attempted a
 long-term economic time series forecast by combining multiple periodic
 signals. In the verification experiment, we analysed the National
 Association of Securities Dealers Automated Quotations (NASDAQ) closing
 price data for a time period of approximately 20 years using nonharmonic
 analysis with an analysis window of the previous 2 years, and forecasted
 price fluctuations for the following 2 years. 
Journal: Applied Financial Economics 
Pages: 197-208 
Issue: 3 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.607129 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.607129 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:197-208




Template-Type: ReDIF-Article 1.0
Author-Name: Wafaa   M. Sbeti 
Author-X-Name-First: Wafaa   M. 
Author-X-Name-Last: Sbeti 
Author-Name: Imad Moosa 
Author-X-Name-First: Imad 
Author-X-Name-Last: Moosa 
Title: Firm-specific factors as determinants of capital structure in the absence of taxes 
Abstract:
  Extreme Bounds Analysis (EBA) is used to identify the determinants of
 capital structure in a tax-free environment, using data on Kuwaiti
 shareholding companies. The results which are more supportive of the
 pecking order theory than the trade-off theory, show some evidence for the
 importance of growth opportunities and profitability. Judged by
 robustness, the number of determining variables is smaller than what is
 typically found in the literature. 
Journal: Applied Financial Economics 
Pages: 209-213 
Issue: 3 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.610738 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.610738 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:209-213




Template-Type: ReDIF-Article 1.0
Author-Name: Neda Todorova 
Author-X-Name-First: Neda 
Author-X-Name-Last: Todorova 
Title: Volatility estimators based on daily price ranges versus the realized range 
Abstract:
  This study investigates the relative performance of alternative
 extreme-value volatility estimators based on daily and intraday ranges of
 the German index DAX 30. As a benchmark, the two-scales realized
 volatility is used. Intraday data from 6 years and 4 months are divided
 into two periods of different liquidity and volatility levels. The
 empirical results show that all range-based estimators are superior
 compared to the classical estimator but are negatively biased due to the
 discreteness of the price process. The estimation accuracy of all
 volatility proxies depends on the drift of the price process. The
 performance of the estimators based on daily price ranges is furthermore
 very sensitive to the level of volatility. The realized range, an
 estimator obtained from intraday ranges is more efficient and less biased
 than the daily ranges. The main determinant of its properties appears to
 be the liquidity level. The adjustments according to Christensen and
 Podolskij (2007) and Martens and van Dijk (2007) perform significantly
 better than the Parkinson estimator and thus provide conclusive support
 for the relative advantage of the realized range for measuring equity
 index volatility. 
Journal: Applied Financial Economics 
Pages: 215-229 
Issue: 3 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.610739 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.610739 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:215-229




Template-Type: ReDIF-Article 1.0
Author-Name: J�r&#xF4;me Vandenbussche 
Author-X-Name-First: J�r&#xF4;me 
Author-X-Name-Last: Vandenbussche 
Author-Name: Szabolcs Blazsek 
Author-X-Name-First: Szabolcs 
Author-X-Name-Last: Blazsek 
Author-Name: Stanley Watt 
Author-X-Name-First: Stanley 
Author-X-Name-Last: Watt 
Title: The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan 
Abstract:
  This article uses data from Jordan to show the importance of accounting
 for the level of Effective Excess Reserves (EER) when analysing the
 overnight interbank rate in emerging markets. Our econometric model
 quantifies the classic liquidity effect, uncovers a liquidity distribution
 effect on both sides of the market and shows that the magnitude of the
 three effects is a decreasing and convex function of the level of EER. The
 results provide evidence that the volatility of daily rate changes depends
 much more on the reserve surplus accumulated within a maintenance period
 than on the level of EER. The series of the central bank's daily forecast
 errors is used to identify the liquidity effect. 
Journal: Applied Financial Economics 
Pages: 231-242 
Issue: 3 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.610740 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.610740 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:231-242




Template-Type: ReDIF-Article 1.0
Author-Name: Camilo Sarmiento 
Author-X-Name-First: Camilo 
Author-X-Name-Last: Sarmiento 
Title: The role of the economic environment on mortgage defaults during the Great Recession 
Abstract:
  This article shows that the rise in unemployment played a very
 significant factor in the rise of mortgage delinquencies during the Great
 Recession. Estimation results, moreover, show that changes in the
 Unemployment Rate (UR; from loan origination) as opposed to the level of
 the UR explain mortgage default. Mortgage default is found to be
 significantly less responsive to declines than to increases in the UR. 
Journal: Applied Financial Economics 
Pages: 243-250 
Issue: 3 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.613753 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613753 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:243-250




Template-Type: ReDIF-Article 1.0
Author-Name: Massimiliano Barbi 
Author-X-Name-First: Massimiliano 
Author-X-Name-Last: Barbi 
Title: On the risk-neutral value of debt tax shields 
Abstract:
  The recent interest in the valuation of the benefits from debt financing
 arises from the disagreement in the financial literature about the meaning
 of &#x2018;value of tax shields&#x2019;. Although it is accepted that the
 tax deductibility of interest increases the value of the firm, the correct
 valuation of this extra-value is controversial. We adopt a risk-neutral
 approach to derive a general formula for the value of tax shields. This
 framework clearly shows that this value equals the summation of the
 discounted future tax savings. Once we specify a leverage policy and a
 cash flow dynamics, some well-known formulas are obtained. 
Journal: Applied Financial Economics 
Pages: 251-258 
Issue: 3 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.613754 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613754 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:251-258




Template-Type: ReDIF-Article 1.0
Author-Name: Patricia Chelley-Steeley 
Author-X-Name-First: Patricia 
Author-X-Name-Last: Chelley-Steeley 
Author-Name: Keebong Park 
Author-X-Name-First: Keebong 
Author-X-Name-Last: Park 
Title: Evaluating spread models with a basket security 
Abstract:
  In this article we evaluate the most widely used spread decomposition
 models using Exchange Traded Funds (ETFs). These funds are an example of a
 basket security and allow the diversification of private information
 causing these securities to have lower adverse selection costs than
 individual securities. We use this feature as a criterion for evaluating
 spread decomposition models. Comparisons of adverse selection costs for
 ETF's and control securities obtained from spread decomposition models
 show that only the Glosten--Harris (1988) and the
 Madhavan--Richardson--Roomans (1997) models provide estimates of the
 spread that are consistent with the diversification of private information
 in a basket security. Our results are robust even after controlling for
 the stock exchange. 
Journal: Applied Financial Economics 
Pages: 259-283 
Issue: 4 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.589803 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.589803 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:4:p:259-283




Template-Type: ReDIF-Article 1.0
Author-Name: Marc   W. Simpson 
Author-X-Name-First: Marc   W. 
Author-X-Name-Last: Simpson 
Author-Name: Sanjay Ramchander 
Author-X-Name-First: Sanjay 
Author-X-Name-Last: Ramchander 
Title: Asymmetric and cross-sectional effects of inflation on stock returns under varying monetary conditions 
Abstract:
  This study examines the relationship between returns on portfolios,
 comprised of stocks of various size and book values, and changes in
 inflation. The relationship is evaluated in the context of positive and
 negative changes in expected and unexpected inflation, and expansionary
 and contractionary monetary policy conditions. Results from the panel
 estimation procedure show that inflation has a strong asymmetric impact on
 stock returns, and this may explain why simply summing up inflation
 shocks, as in previous studies, could lead to misleading conclusions. This
 article concludes that the nature of this asymmetric relationship is
 complex and contingent on several factors including the state of the
 monetary policy, whether one is examining expected or unexpected inflation
 shocks, and the size and book values of the stocks. In general, a positive
 shock to expected and unexpected inflation has a favourable impact on
 stock returns during monetary expansion, but not during monetary
 tightening. 
Journal: Applied Financial Economics 
Pages: 285-298 
Issue: 4 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.610741 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.610741 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:4:p:285-298




Template-Type: ReDIF-Article 1.0
Author-Name: Emrah   &#x130;. &#xC7;evik 
Author-X-Name-First: Emrah   &#x130;. 
Author-X-Name-Last: &#xC7;evik 
Author-Name: Turhan Korkmaz 
Author-X-Name-First: Turhan 
Author-X-Name-Last: Korkmaz 
Author-Name: Erdal Atukeren 
Author-X-Name-First: Erdal 
Author-X-Name-Last: Atukeren 
Title: Business confidence and stock returns in the USA: a time-varying Markov regime-switching model 
Abstract:
  This article presents evidence in favour of time-varying Markov
 regime-Switching (MS) properties in all shares stock returns in the USA.
 The model specifications include the US Institute for Supply Management's
 (ISM) manufacturing and Nonmanufacturing Business Activity Index (NMBAI)
 in the transition equations. We find that the developments in the ISM
 manufacturing index affect the regime-switching probabilities in both bull
 and bear stock market periods. The business activity in nonmanufacturing
 sectors, on the other hand, has a bearing only on bull market periods. We
 also test for the possibility of a common factor influencing both stock
 returns and business confidence in the manufacturing sector by estimating
 a time-varying MS model with the US industrial production in the
 transition equation. We find that the null hypothesis of a fixed
 transition probability MS model cannot be rejected when the US industrial
 production index is included in the transition equation of a time-varying
 MS model. We conclude that the information content in the ISM
 manufacturing confidence index, such as expectational shifts, has a
 separate influence on the stock market regimes over and above that of
 actual developments in industrial production. 
Journal: Applied Financial Economics 
Pages: 299-312 
Issue: 4 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.610742 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.610742 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:4:p:299-312




Template-Type: ReDIF-Article 1.0
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Thanh   N. Ngo 
Author-X-Name-First: Thanh   N. 
Author-X-Name-Last: Ngo 
Title: Withdrawals of mergers involving private targets 
Abstract:
  We find that the announced withdrawal of mergers involving private
 targets produces negative and significant valuation effects on the
 bidder's stock on average. This result is distinctly different from the
 valuation effects for merger withdrawals involving public targets. These
 unique results hold even when we control for the medium of payment and for
 other factors with multivariate models. The adverse effects of the
 withdrawal announcement are more pronounced when the merger proposal
 announcement was more favourable. This implies that the effect of
 withdrawn merger of a private target reflects a partial correction of the
 benefits that were previously anticipated when the merger was initially
 announced. 
Journal: Applied Financial Economics 
Pages: 313-320 
Issue: 4 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.613755 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613755 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:4:p:313-320




Template-Type: ReDIF-Article 1.0
Author-Name: Nicholas Apergis 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Apergis 
Author-Name: George Artikis 
Author-X-Name-First: George 
Author-X-Name-Last: Artikis 
Author-Name: Sofia Eleftheriou 
Author-X-Name-First: Sofia 
Author-X-Name-Last: Eleftheriou 
Author-Name: John Sorros 
Author-X-Name-First: John 
Author-X-Name-Last: Sorros 
Title: Accounting information and excess stock returns: the role of the cost of capital -- new evidence from US firm-level data 
Abstract:
  The goal of this article is to investigate the impact of accounting
 information on the cost of capital as well as how the latter influences
 excess returns. The analysis has certain novelties: first, it extends
 prior works by investigating how certain components of accounting
 information affect stock returns through its direct effect on the cost of
 capital by incorporating influential components of accounting information;
 second, it makes use of a sample of 330 US manufacturing firms spanning
 the period 1990Q1 to 2009Q2, while it makes use, for the first time in
 this literature, of the methodology of panel cointegration. The empirical
 findings display that accounting information affects directly the firm's
 cost of capital. This, in turn, tends to exert a negative effect on the
 firm's excess stock returns, an empirical documentation not captured in
 case researchers attempt to directly link the cost of capital and excess
 stock returns. 
Journal: Applied Financial Economics 
Pages: 321-329 
Issue: 4 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.613756 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613756 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:4:p:321-329




Template-Type: ReDIF-Article 1.0
Author-Name: Yuki Toyoshima 
Author-X-Name-First: Yuki 
Author-X-Name-Last: Toyoshima 
Title: Determinants of interest rate swap spreads in the US: bounds testing approach to cointegration 
Abstract:
  This article empirically analyses the determinants of US interest rate
 swap spreads, and makes two key contributions. First, it considers the
 nonstationarity of time series, which previous studies have not done, and
 conducts a cointegration test using the bounds testing approach. The
 empirical results reveal that there exists a cointegration relationship
 between interest rate swap spreads and four determinants: the corporate
 bond spread, the slope of the yield curve, the T bill and Eurodollar (TED)
 spread and yield volatility. Second, it analyses the determinants of swap
 spreads using the Dynamic Ordinary Least Squares (DOLS). Considering the
 cointegration relationship, all explanatory variables were significant
 within the 5% level. 
Journal: Applied Financial Economics 
Pages: 331-338 
Issue: 4 
Volume: 22 
Year: 2012 
Month: 2 
X-DOI: 10.1080/09603107.2011.613757 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613757 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:4:p:331-338




Template-Type: ReDIF-Article 1.0
Author-Name: Mikael Bask 
Author-X-Name-First: Mikael 
Author-X-Name-Last: Bask 
Author-Name: Anna Widerberg 
Author-X-Name-First: Anna 
Author-X-Name-Last: Widerberg 
Title: Actual and potential market risks during the stock market turmoil 2007--2008 
Abstract:
  The aim of this article is to demonstrate how the change in actual and
 potential market risks in the Dow Jones Industrial Average (DJIA) during
 the 2-year period 2007 to 2008 can be analysed with the help of
 (<italic>&#x3BB;</italic>,&#x2009;<italic>&#x3C3;</italic>
 -super-2)-analysis. In the empirical analysis, the average of the Lyapunov
 exponents for the dynamic system generating DJIA returns is used as the
 stability measure, <italic>&#x3BB;</italic>, whereas the squared DJIA
 return is used as the variability measure, <italic>&#x3C3;</italic>
 -super-2. The main findings are as follows: (i) the potential market risk
 in the DJIA did not fluctuate that much during 2007, with the exceptions
 of early fall and near the end of the year; (ii) the potential market risk
 fluctuated a lot during 2008, especially in early August and in the middle
 of September; and (iii) the actual market risk in the DJIA was
 considerably higher near the end of 2008, especially in October, compared
 with the rest of the period. 
Journal: Applied Financial Economics 
Pages: 339-349 
Issue: 5 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.613758 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613758 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:5:p:339-349




Template-Type: ReDIF-Article 1.0
Author-Name: Alvaro Montenegro 
Author-X-Name-First: Alvaro 
Author-X-Name-Last: Montenegro 
Title: Information as an explanatory variable 
Abstract:
  This article explores the use of information-theoretic explanatory
 variables in stock price forecasting regressions. Stock price changes, as
 the dependent variable, is run against traditional explanatory variables
 such as lags of price changes and lags of the squares of the price
 changes. The addition of lags of a variable related to the information
 content of the price changes is shown to significantly improve the
 explanatory power. This exercise should encourage the use of information
 related variables in forecasting financial markets. 
Journal: Applied Financial Economics 
Pages: 351-356 
Issue: 5 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.613759 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613759 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:5:p:351-356




Template-Type: ReDIF-Article 1.0
Author-Name: Tseng-Chan Tseng 
Author-X-Name-First: Tseng-Chan 
Author-X-Name-Last: Tseng 
Author-Name: Hung-Cheng Lai 
Author-X-Name-First: Hung-Cheng 
Author-X-Name-Last: Lai 
Author-Name: Cha-Fei Lin 
Author-X-Name-First: Cha-Fei 
Author-X-Name-Last: Lin 
Title: The impact of overnight returns on realized volatility 
Abstract:
  We obtain intraday data on three stock indices listed on the Taiwan Stock
 Exchange (TWSE), and then analyse the data by incorporating an overnight
 returns indicator into the &#x2018;Heterogeneous Auto-Regressive&#x2019;
 (HAR) model of realized volatility. Our overall aim is to enhance the
 forecasting of future volatility. Our findings demonstrate that the
 modified model significantly improves the forecasting performance of
 future realized volatility, with our results also being found to continue
 to hold for both in sample and out of sample forecasts. 
Journal: Applied Financial Economics 
Pages: 357-364 
Issue: 5 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.613760 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613760 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:5:p:357-364




Template-Type: ReDIF-Article 1.0
Author-Name: Mikio Ito 
Author-X-Name-First: Mikio 
Author-X-Name-Last: Ito 
Author-Name: Akihiko Noda 
Author-X-Name-First: Akihiko 
Author-X-Name-Last: Noda 
Title: The GEL estimates resolve the risk-free rate puzzle in Japan 
Abstract:
  We show the nonexistence of the well-known risk-free rate puzzle in the
 Japanese financial markets. This result crucially depends on the accurate
 estimates of the two basic parameters: the subjective discount factor and
 the degree of risk aversion, appearing in the standard Consumption-based
 Capital Asset Pricing Model (CCAPM). We estimate these parameters by the
 recently developed method, Generalized Empirical Likelihood (GEL)
 estimation; we also confirm our results by comparing Mean Squared Errors
 (MSEs) based on higher order biases and first order asymptotic variances
 of the estimates. 
Journal: Applied Financial Economics 
Pages: 365-374 
Issue: 5 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.613761 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613761 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:5:p:365-374




Template-Type: ReDIF-Article 1.0
Author-Name: Mark   Anthony Johnson 
Author-X-Name-First: Mark   Anthony 
Author-X-Name-Last: Johnson 
Author-Name: Abdullah Mamun 
Author-X-Name-First: Abdullah 
Author-X-Name-Last: Mamun 
Title: The failure of Lehman Brothers and its impact on other financial institutions 
Abstract:
  The failure of Lehman Brothers in 2008 was the largest bankruptcy in US
 history. Financial markets did not respond well to the news of this
 bankruptcy filing as the Dow Jones Industrial Average (DJIA) declined by
 more than 500 points by the end of the trading session that day. We
 identify key dates surrounding the final months of Lehman Brothers&#x2019;
 existence and study the wealth effects experienced by shareholders of
 other financial institutions&#x2019; stocks. At one of the first signs of
 trouble for the 158 year old investment bank, we find that when Lehman
 Brothers announced their first quarterly loss, the stocks of depository
 institutions and primary dealers declined. Ultimately, on 15 September
 2008 when Lehman Brothers filed for bankruptcy, the stocks of banks and
 primary dealers declined by &#x2212;2.90% and &#x2212;6.00%, respectively,
 and were the biggest losers that day. We also study how the size of the
 depository institutions may have played a role in the adverse effects they
 experienced surrounding Lehman's troubles. We present evidence that it was
 primarily large banks, savings and loans and brokerage firms who were
 impacted the most. 
Journal: Applied Financial Economics 
Pages: 375-385 
Issue: 5 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.613762 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613762 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:5:p:375-385




Template-Type: ReDIF-Article 1.0
Author-Name: James   P. Gander 
Author-X-Name-First: James   P. 
Author-X-Name-Last: Gander 
Title: Firm debt structure, firm size and risk volatility in US industrial firms 
Abstract:
  US industrial-firm panel data on short-term and long-term borrowing (term
 debt structure) for annual and quarterly time periods over the years 1995
 to 2008 are used to test an insulation hypothesis and a related volatility
 hypothesis. The former test uses a regression model relating the log of
 the ratio of accounts payable in trade to Long-Term Debt (LTD) to firm
 size and other variables. The focus is on the firm's response to the US
 Federal Reserve (FED)'s monetary policy, where the response is a micro
 perspective on the earlier macro debate over the existence of bank lending
 channels. The latter hypothesis uses the panel heteroscedastic variances
 from the first regression procedure to test for a quadratic-form risk
 function (either U-shaped or inverted U-shaped) using sigma squared and
 the Coefficient of Variation (CV) as risk indexes and firm size as a
 determinant. The findings suggest that there is some evidence that US
 industrial firms in their borrowing behaviour do insulate themselves from
 the effects of monetary policy and that retained earnings have a
 significant role in the insulation effect. The evidence also suggests that
 the risk index, the net variances of the debt ratio, is related to firm
 size by a U-shaped quadratic function with most of the actual observations
 on the downward sloping part of the function. As firm size increases, not
 only does the term-structure ratio fall, but also the volatility falls and
 at a falling rate of change, approaching zero for a sufficiently large
 firm. 
Journal: Applied Financial Economics 
Pages: 387-393 
Issue: 5 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.613763 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613763 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:5:p:387-393




Template-Type: ReDIF-Article 1.0
Author-Name: Takeshi Inoue 
Author-X-Name-First: Takeshi 
Author-X-Name-Last: Inoue 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: How has financial deepening affected poverty reduction in India? Empirical analysis using state-level panel data 
Abstract:
  This article examines, empirically, whether financial deepening has
 contributed to poverty reduction in India. Using unbalanced panel data for
 28 Indian states and union territories covering seven time periods (1973,
 1977, 1983, 1987, 1993, 1999 and 2004), we empirically analyse whether
 financial deepening has any effect on poverty. Empirical results clearly
 indicate that financial deepening significantly decreases poverty,
 controlling for international openness, inflation rate and economic
 growth. These results are robust to changes in the poverty ratios in rural
 areas, urban areas and the whole economy. 
Journal: Applied Financial Economics 
Pages: 395-408 
Issue: 5 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.613764 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613764 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:5:p:395-408




Template-Type: ReDIF-Article 1.0
Author-Name: Riccardo De Bonis 
Author-X-Name-First: Riccardo 
Author-X-Name-Last: De Bonis 
Author-Name: Andrea Silvestrini 
Author-X-Name-First: Andrea 
Author-X-Name-Last: Silvestrini 
Title: The effects of financial and real wealth on consumption: new evidence from OECD countries 
Abstract:
  In this article we present new estimates of the effect of household
 financial and real wealth on consumption. The analysis refers to 11
 Organization for Economic Co-operation and Developoment (OECD) countries
 and takes into account quarterly data from 1997 to 2008. Unlike most of
 the previous literature on European countries, we measure financial wealth
 using quarterly harmonized data on household financial assets and
 liabilities, which have been gathered from the flow of funds. For
 comparison, we also employ as a proxy for financial wealth national share
 price indices. We rely on standard static panel and single-country level
 autoregressive distributed lag estimations. Furthermore, we implement a
 recent econometric approach that allows for more flexible assumptions in
 the nonstationary panel framework under consideration. Our results show
 that both net financial wealth and real wealth have a positive effect on
 consumption. Overall, the influence of net financial assets is stronger
 than that of real assets. 
Journal: Applied Financial Economics 
Pages: 409-425 
Issue: 5 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.613773 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.613773 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:5:p:409-425




Template-Type: ReDIF-Article 1.0
Author-Name: Shehu Usman   Rano Aliyu 
Author-X-Name-First: Shehu Usman   Rano 
Author-X-Name-Last: Aliyu 
Title: Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana 
Abstract:
  This study seeks to apply the Generalized Autoregressive Conditional
 Heteroscedasticity (GARCH) model to assess the impact of inflation on
 stock market returns and volatility using monthly time series data from
 two West African countries, that is, Nigeria and Ghana. In addition, the
 impact of asymmetric shocks was investigated using the quadratic GARCH
 model developed by Sentana (1995), in both countries. Results for Nigeria
 show weak support for the hypothesis which states that bad news exert more
 adverse effect on stock market volatility than good news of the same
 magnitude; while a strong opposite case holds for Ghana. Furthermore,
 inflation rate and its 3-month average were found to have significant
 effect on stock market volatility in the two countries. Measures employed
 towards restraining inflation in the two countries, therefore, would
 certainly reduce stock market volatility, improve stock market returns and
 boost investor confidence. 
Journal: Applied Financial Economics 
Pages: 427-435 
Issue: 6 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.617691 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.617691 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:427-435




Template-Type: ReDIF-Article 1.0
Author-Name: Demissew   Diro Ejara 
Author-X-Name-First: Demissew   Diro 
Author-X-Name-Last: Ejara 
Author-Name: Raja Nag 
Author-X-Name-First: Raja 
Author-X-Name-Last: Nag 
Author-Name: Kamal   P. Upadhyaya 
Author-X-Name-First: Kamal   P. 
Author-X-Name-Last: Upadhyaya 
Title: Opinion polls and the stock market: evidence from the 2008 US presidential election 
Abstract:
  This article analyses stock market reactions to election polls. Stock
 markets anticipate the impact of events on future cash flows. Current
 values depend on future cash flows and risk prospects. We posit that
 election polls are indications of the political platforms that are
 expected to win elections. Given the traditional philosophical differences
 between the Republican and the Democratic Parties, and the specific
 campaign promises of the US presidential candidates in the 2008 election,
 we hypothesize that stock market reacts negatively to the prospect of
 Barack Obama winning the election. We test this hypothesis by relating
 daily stock index returns to a lag value of differences in election polls
 that show Obama's advantage over John McCain. The results consistently
 show that stock market reacts negatively (positively) when Obama (McCain)
 has poll advantage over McCain (Obama). We conclude that there are
 differences in perception between Main Street and Wall Street. 
Journal: Applied Financial Economics 
Pages: 437-443 
Issue: 6 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.617692 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.617692 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:437-443




Template-Type: ReDIF-Article 1.0
Author-Name: Kunihiro Hanabusa 
Author-X-Name-First: Kunihiro 
Author-X-Name-Last: Hanabusa 
Title: The effect of Bank of Japan's commitment and the expectation form 
Abstract:
  This article uses a Lag Augmented Vector Autoregressive (LA-VAR) method
 to examine whether Bank of Japan's (BOJ) clarification of the commitment
 under the Quantitative Easing Policy (QEP) affects the relationship
 between macroeconomic variables. We compare the results with those
 obtained when a standard VAR approach is used. These empirical results are
 as follows. First, the exchange rate does not contain information on
 future economic performance from 2001 to 2006. Second, the bi-directional
 causality between the yield spread and stock price is observed in the
 period before the clarification of the commitment. However, there is no
 evidence of the causal relationship in the period after the clarification
 of the commitment. 
Journal: Applied Financial Economics 
Pages: 445-460 
Issue: 6 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.617693 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.617693 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:445-460




Template-Type: ReDIF-Article 1.0
Author-Name: Manabu Asai 
Author-X-Name-First: Manabu 
Author-X-Name-Last: Asai 
Author-Name: Iv&#xE1;n Brugal 
Author-X-Name-First: Iv&#xE1;n 
Author-X-Name-Last: Brugal 
Title: Forecasting volatility using range data: analysis for emerging equity markets in Latin America 
Abstract:
  The article suggests a simple but effective approach for estimating
 value-at-risk thresholds using range data, working with the filtered
 historical simulation. For this purpose, we consider asymmetric
 heterogeneous Autoregressive Moving Average (ARMA) model for log-range,
 which captures the leverage effects and the effects from daily, weekly and
 monthly horizons. The empirical analysis on stock market indices on the
 US, Mexico, Brazil and Argentina shows that 1% and 5% Value at Risk (VaR)
 thresholds based on one-step-ahead forecasts of log-range are satisfactory
 for the period includes the global financial crisis. 
Journal: Applied Financial Economics 
Pages: 461-470 
Issue: 6 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.617694 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.617694 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:461-470




Template-Type: ReDIF-Article 1.0
Author-Name: Mukesh Chaudhry 
Author-X-Name-First: Mukesh 
Author-X-Name-Last: Chaudhry 
Author-Name: Robert   J. Boldin 
Author-X-Name-First: Robert   J. 
Author-X-Name-Last: Boldin 
Title: GCC equity market indices integration 
Abstract:
  Integration linkages between the five financial equity market indices
 located in the Gulf Cooperation Council (GCC) countries are empirically
 analysed. Using methodologies that account for idiosyncratic factors in
 the data, evidence of linkages between the GCC countries are found. The
 findings have implications for hedging or diversification strategies,
 particularly in the long-run. For example, the presence of cointegration
 between the GCC countries provides opportunities for investor
 cross-hedging, especially if markets differ in liquidity. 
Journal: Applied Financial Economics 
Pages: 471-478 
Issue: 6 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.619490 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.619490 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:471-478




Template-Type: ReDIF-Article 1.0
Author-Name: Her-Jiun Sheu 
Author-X-Name-First: Her-Jiun 
Author-X-Name-Last: Sheu 
Author-Name: Hsiang-Tai Lee 
Author-X-Name-First: Hsiang-Tai 
Author-X-Name-Last: Lee 
Title: A full jump switching level GARCH model for short-term interest rate 
Abstract:
  This article proposes a Full Jump Switching Level Generalized
 Autoregressive Conditional Heteroscedasticity (GARCH) (i.e. FJSLG) model
 for short-term interest rate which is an extension of Lee's jump switching
 filter with a state-dependent time-varying jump dynamic. FJSLG is applied
 to the rates of US and Singapore Treasury bills with 3 months to maturity.
 Results of Diebold, Mariano and West (DMW) test with adjusted McCracken's
 critical value show the predictive superiority of FJSLG over its nested
 model, illustrating the importance of modelling simultaneously the effects
 of level, GARCH, regime switching and time-varying conditional jump for
 the short-rate dynamic. 
Journal: Applied Financial Economics 
Pages: 479-489 
Issue: 6 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.619491 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.619491 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:479-489




Template-Type: ReDIF-Article 1.0
Author-Name: Numan &#xDC;lk&#xFC; 
Author-X-Name-First: Numan 
Author-X-Name-Last: &#xDC;lk&#xFC; 
Title: Big players&#x2019; aggregated trading and market returns in Istanbul Stock Exchange 
Abstract:
  This study uses a special data set, derived from member brokers&#x2019;
 transactions, as a proxy for big players&#x2019; trading. Big players as
 represented by this variable include institutional, big individual and
 foreign traders, and these groups are not mutually exclusive. The
 interaction between big players&#x2019; trading and market returns is
 analysed using a structural Vector Autoregressive (VAR) model. Big trader
 flows are strongly positively associated with contemporaneous returns,
 exhibit persistence (possibly indicative of herding), positive feedback
 trading and little forecast ability. The tendency to herd is stronger than
 to positive feedback trade. Big players&#x2019; trading is correlated with
 information, and the apparent positive feedback trading seems to result
 from delayed response to information rather than naively following past
 returns. Asymmetric price impact of buys versus sells is driven by the
 underlying market conditions. 
Journal: Applied Financial Economics 
Pages: 491-508 
Issue: 6 
Volume: 22 
Year: 2012 
Month: 3 
X-DOI: 10.1080/09603107.2011.619492 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.619492 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:491-508




Template-Type: ReDIF-Article 1.0
Author-Name: Markus Leippold 
Author-X-Name-First: Markus 
Author-X-Name-Last: Leippold 
Author-Name: Harald Lohre 
Author-X-Name-First: Harald 
Author-X-Name-Last: Lohre 
Title: Data snooping and the global accrual anomaly 
Abstract:
  Na&#xEF;vely testing for accruals mispricing in 26 equity markets -- one
 market at a time -- we find statistical evidence of anomalous returns in
 some countries. However, some of these findings might well be spurious
 because of data snooping biases that arise when simultaneously testing
 several hypotheses. While the accrual anomaly is not deemed to be robust
 in some countries when properly accounting for multiple testing, we find
 the international momentum effect to by and large pass the battery of
 multiple testing procedures. Moreover, we find the few robust accrual
 anomalies vanishing in recent times, indicating that investors have been
 exploiting the mispricing. 
Journal: Applied Financial Economics 
Pages: 509-535 
Issue: 7 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.631892 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.631892 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:509-535




Template-Type: ReDIF-Article 1.0
Author-Name: Antonios Siganos 
Author-X-Name-First: Antonios 
Author-X-Name-Last: Siganos 
Title: Can retail investors exploit stock market anomalies? 
Abstract:
  This article investigates the extent to which small investors can exploit
 a range of stock market anomalies. The study uses a small number of
 companies to define both long and short portfolios, and investigates the
 post-cost profitability of the following strategies: earnings/price,
 return/assets, price, asset growth, size, dividend/price and overreaction.
 Transaction cost is estimated when buying underlying shares and when
 selling short shares with Contracts For Difference (CFDs). Findings show
 that only the earnings/price strategy can enjoy net gains for small
 investors showing some evidence against stock market efficiency. 
Journal: Applied Financial Economics 
Pages: 537-547 
Issue: 7 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.619493 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.619493 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:537-547




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitrios Gounopoulos 
Author-X-Name-First: Dimitrios 
Author-X-Name-Last: Gounopoulos 
Author-Name: Andreas   G. Merikas 
Author-X-Name-First: Andreas   G. 
Author-X-Name-Last: Merikas 
Author-Name: Anna   A. Merika 
Author-X-Name-First: Anna   A. 
Author-X-Name-Last: Merika 
Author-Name: Anna Triantafyllou 
Author-X-Name-First: Anna 
Author-X-Name-Last: Triantafyllou 
Title: Explaining house price changes in Greece 
Abstract:
  This article develops an equilibrium model for the Greek housing market
 that incorporates both macroeconomic and country-specific variables that
 affect demand for and supply of houses. In the overall upward phase of the
 26-year period examined (1985Q1--2010Q4), our investigation of short-term
 fluctuations in real house prices and stock prices confirms the inverse
 relationship between movements in the housing price index and the stock
 exchange general index, identifies the direction of causality as running
 from the financial sector to the real sector and finds that, following an
 exogenous shock, reversion to the long-run equilibrium is a rather slow
 process. Furthermore, we identify a fundamental shift in the behaviour of
 Greek homeowners, who appear to be moving away from the treatment of
 housing as consumption good, towards treating house purchases as
 investment. 
Journal: Applied Financial Economics 
Pages: 549-561 
Issue: 7 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.619494 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.619494 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:549-561




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Jacobs 
Author-X-Name-First: Michael 
Author-X-Name-Last: Jacobs 
Title: An empirical study of the returns on defaulted debt 
Abstract:
  This study empirically analyses the historical performance of defaulted
 debt from Moody's Ultimate Recovery Database (1987--2010). Motivated by a
 stylized structural model of credit risk with systematic recovery risk, we
 argue and find evidence that returns on defaulted debt co-vary with
 determinants of the market risk premium, firm specific and structural
 factors. Defaulted debt returns in our sample are observed to be
 increasing in collateral quality or debt cushion of the issue. Returns are
 also increasing for issuers having superior ratings at origination, more
 leverage at default, higher cumulative abnormal returns on equity prior to
 default, or greater market implied loss severity at default. Considering
 systematic factors, returns on defaulted debt are positively related to
 equity market indices and industry default rates. On the other hand,
 defaulted debt returns decrease with short-term interest rates. In a
 rolling out-of-time and out-of-sample re-sampling experiment we show that
 our leading model exhibits superior performance. We also document the
 economic significance of these results through excess abnormal returns,
 implementing a hypothetical trading strategy, of around 5%--6% (2%--3%)
 assuming zero (1&#x2009;bp per month) round-trip transaction costs. These
 results are of practical relevance to investors and risk managers in this
 segment of the fixed income market. 
Journal: Applied Financial Economics 
Pages: 563-579 
Issue: 7 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.619495 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.619495 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:563-579




Template-Type: ReDIF-Article 1.0
Author-Name: Riza Emekter 
Author-X-Name-First: Riza 
Author-X-Name-Last: Emekter 
Author-Name: Benjamas Jirasakuldech 
Author-X-Name-First: Benjamas 
Author-X-Name-Last: Jirasakuldech 
Author-Name: Peter Went 
Author-X-Name-First: Peter 
Author-X-Name-Last: Went 
Title: Rational speculative bubbles and commodities markets: application of duration dependence test 
Abstract:
  The presence of rational speculative bubbles in 28 commodities is
 investigated using the duration dependence test on the stochastic
 interest-adjusted basis. Eleven of 28 commodities experienced some
 episodes of rational speculative bubble. These commodities are West Texas
 Intermediate (WTI) crude oil, coffee, corn, soya bean No. 2, soya bean
 meal and oil, wheat No. 2 soft red and hard winter wheat, lean hogs, gold
 and platinum. Additionally, natural gas, propane, live cattle, and pork
 bellies exhibit mean-reversion in the interest-adjusted basis. 
Journal: Applied Financial Economics 
Pages: 581-596 
Issue: 7 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.619496 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.619496 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:581-596




Template-Type: ReDIF-Article 1.0
Author-Name: Maria   Elena Bontempi 
Author-X-Name-First: Maria   Elena 
Author-X-Name-Last: Bontempi 
Author-Name: Caterina Lucarelli 
Author-X-Name-First: Caterina 
Author-X-Name-Last: Lucarelli 
Title: Pre-trade transparency and trade size 
Abstract:
  We analyse how Pre-Trade Transparency (PTT) affects the behaviour of
 different stock traders. To do so, we exploit a natural experiment, that
 is the PTT change in the equity segment of Italian Stock Exchange (ISE)
 which occurred in July 2007, with the aim of reducing information
 asymmetries between individuals and intermediaries/institutional
 investors. We specify a dynamic empirical model for trade size and
 estimate it on a large panel of tick-by-tick data. Results suggest that
 increased transparency affects the dynamic trade pattern emerging from
 interacting strategic decisions of different traders. In addition, the
 contribution of the order flow disclosure both in reducing the adverse
 selection component of the bid--ask spread, and in weakening the
 sensitiveness to risk of the trade size also emerges. Overall, PTT
 enhancement should reduce the informative disequilibrium among market
 participants and improve the quality of the market. 
Journal: Applied Financial Economics 
Pages: 597-609 
Issue: 8 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.619497 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.619497 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:597-609




Template-Type: ReDIF-Article 1.0
Author-Name: Lee-Young Cheng 
Author-X-Name-First: Lee-Young 
Author-X-Name-Last: Cheng 
Author-Name: Yu-En Lin 
Author-X-Name-First: Yu-En 
Author-X-Name-Last: Lin 
Title: Institutional investment horizons and open-market stock repurchases: evidence from the Taiwan stock market 
Abstract:
  This article investigates how the investment horizon of a firm's
 institutional shareholders affects the outcome of stock repurchase. Our
 results show that repurchasing firms with long-term institutional
 investors experience significantly positive abnormal returns around the
 repurchasing announcements, actually buy back more shares during the
 execution period, and perform better over a subsequent 3-year period than
 repurchasing firms with short-term institutional investors. These findings
 suggest that repurchasing firms held by long-term institutional investors
 can acquire certification- and monitoring-related benefits, thus providing
 more credible signals about the true value of firms. 
Journal: Applied Financial Economics 
Pages: 611-623 
Issue: 8 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.621878 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.621878 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:611-623




Template-Type: ReDIF-Article 1.0
Author-Name: Wael Louhichi 
Author-X-Name-First: Wael 
Author-X-Name-Last: Louhichi 
Title: Does trading activity contain information to predict stock returns? Evidence from Euronext Paris 
Abstract:
  This article aims to examine the causal and dynamic relationship between
 trading activity and stock returns, using detailed intraday data from
 Euronext Paris. We distinguish between two measures of trading activity:
 the raw volume metric (the nondirectional volume) and the directional
 volume. In line with the existing literature, we find a unidirectional
 causality running from stock returns to nondirectional volume.
 Furthermore, we highlight a strong bidirectional relation between stock
 returns and directional volume. This result is interesting and has several
 implications. First, it provides evidence that the directional volume is
 more informative than the nondirectional volume. Second, it shows that the
 directional volume helps predict stock returns. Third, it provides an
 empirical test for the Mixture Distribution Hypothesis (MDH) and the
 sequential arrival hypothesis, which posit that the information content of
 the trading activity affects future returns. 
Journal: Applied Financial Economics 
Pages: 625-632 
Issue: 8 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.621879 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.621879 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:625-632




Template-Type: ReDIF-Article 1.0
Author-Name: Kevin (Min) Zhao 
Author-X-Name-First: Kevin 
Author-X-Name-Last: (Min) Zhao 
Title: The uptick rule and stock returns: an analysis of Regulation SHO on the NYSE 
Abstract:
  This article investigates the impact of short sale constraints on stock
 returns in a powerful setting in which the uptick rule on the New York
 Stock Exchange (NYSE) was suspended for a given set of stocks (pilot
 stocks) by the Securities and Exchange Commission (SEC) in 2005. Comparing
 future stock returns for pilot stocks and control stocks, I show that the
 suspension of the uptick rule on average mitigates stock overvaluation by
 3.5% of the stock value during a 1-year time period. This effect is
 profound in stocks with no options, small stocks, and value stocks.
 Findings in this article are consistent with Miller's (1977) overpricing
 hypothesis and suggest that removing the uptick rule help improve market
 efficiency by bringing stock prices closer to their fundamental values. 
Journal: Applied Financial Economics 
Pages: 633-649 
Issue: 8 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.621880 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.621880 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:633-649




Template-Type: ReDIF-Article 1.0
Author-Name: Chiara Peroni 
Author-X-Name-First: Chiara 
Author-X-Name-Last: Peroni 
Title: Testing linearity in term structures 
Abstract:
  This article uses robust nonparametric techniques to investigate both
 crosssectional and dynamic properties of affine models, a popular
 framework to analyse Term Structures (TSs) of interest rates. The analysis
 shows the strong nonlinearity in the relationship of yields to the US and
 UK short rate. The nonlinear pattern is concave in the state variable, and
 increasing with respect to the maturity, for both countries. Linear and
 nonlinear specifications are then compared by means of a formal
 statistical criterion, the Generalized Likelihood-Ratio (GLR) test
 statistics, which confirms evidence against the linear specification. 
Journal: Applied Financial Economics 
Pages: 651-666 
Issue: 8 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.621882 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.621882 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:651-666




Template-Type: ReDIF-Article 1.0
Author-Name: Arianna Agosto 
Author-X-Name-First: Arianna 
Author-X-Name-Last: Agosto 
Author-Name: Enrico Moretto 
Author-X-Name-First: Enrico 
Author-X-Name-Last: Moretto 
Title: Exploiting default probabilities in a structural model with nonconstant barrier 
Abstract:
  Structural models have been developed and used in financial literature to
 assess the probability of default of corporations. This article aims at
 reversing this approach, using this probability as an input and
 investigating if the default barrier can be considered flat, as done in
 similar analysis, or should more appropriately be time-varying. 
Journal: Applied Financial Economics 
Pages: 667-679 
Issue: 8 
Volume: 22 
Year: 2012 
Month: 4 
X-DOI: 10.1080/09603107.2011.621883 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.621883 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:8:p:667-679




Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Hearn 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Hearn 
Title: Size and liquidity effects in African frontier equity markets 
Abstract:
  This study contrasts the effectiveness of the Capital Asset Pricing Model
 (CAPM) against more recent augmented variants including size and
 book-to-market factors (Fama and French, 1993), liquidity (Liu, 2006) as
 well as both size and liquidity factors of Martinez
 <italic>et&#xA0;al</italic>. (2005) in explaining average returns in
 industry portfolios across Sub Saharan Africa (SSA) excluding South
 Africa. This draws on a unique sample set of stocks from main board of
 Mauritius, local Namibian market, Botswana, Kenya, Nigeria, Ghana and Cote
 d&#x2019;Ivoire's BRVM. The evidence suggests that both size and liquidity
 factors are important in explaining average returns which is supported by
 extending the analysis using time varying coefficient Kalman filter
 techniques that reveal liquidity effects in all SSA markets while
 substantial size effects are present in Namibia and Zambia. 
Journal: Applied Financial Economics 
Pages: 681-707 
Issue: 9 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.621881 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.621881 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:9:p:681-707




Template-Type: ReDIF-Article 1.0
Author-Name: Richard   J. Curcio 
Author-X-Name-First: Richard   J. 
Author-X-Name-Last: Curcio 
Author-Name: Randy   I. Anderson 
Author-X-Name-First: Randy   I. 
Author-X-Name-Last: Anderson 
Author-Name: Hany Guirguis 
Author-X-Name-First: Hany 
Author-X-Name-Last: Guirguis 
Author-Name: Vaneesha Boney 
Author-X-Name-First: Vaneesha 
Author-X-Name-Last: Boney 
Title: Have leveraged and traditional ETFs impacted the volatility of real estate stock prices? 
Abstract:
  Exchange Traded Funds (ETFs), including the innovative leveraged (long
 and inverse) types, and the ever more creative traditional versions, are
 accelerating in popularity as preferred investment and trading vehicles.
 Real estate, a major investment sector, has been made more accessible
 through these tools. This study investigates if the introduction of real
 estate ETFs is impacting the volatility of their underlying real estate
 stocks. Tests conclude that the introduction of leveraged (long and
 inverse) and traditional real estate and real estate related ETFs, linked
 to the Dow Jones US Real Estate and Financial Indices and the leveraged
 (long and inverse) ETFs, benchmarked to the Russell 1000 Financial
 Services Index, significantly increased the volatility in their component
 real estate stock prices. The leveraged ETFs tied to the Dow Jones US Real
 Estate and Financial Indices caused the highest volatility, approximately
 tripling the volatility in the underlying real estate securities.
 Traditional ETFs were second, causing slightly more than a 70% increase in
 volatility, while the leveraged ETFs linked to the Russell 1000 Financial
 Services Index, having induced a 50% increase in volatility, were third.
 The increased volatility could not be attributed to any other external
 event. 
Journal: Applied Financial Economics 
Pages: 709-722 
Issue: 9 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.624080 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.624080 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:9:p:709-722




Template-Type: ReDIF-Article 1.0
Author-Name: A. Goncu 
Author-X-Name-First: A. 
Author-X-Name-Last: Goncu 
Author-Name: A.   Karaman Akgul 
Author-X-Name-First: A.   Karaman 
Author-X-Name-Last: Akgul 
Author-Name: O. Imamo&#x11F;lu 
Author-X-Name-First: O. 
Author-X-Name-Last: Imamo&#x11F;lu 
Author-Name: M. Tiryakio&#x11F;lu 
Author-X-Name-First: M. 
Author-X-Name-Last: Tiryakio&#x11F;lu 
Author-Name: M. Tiryakio&#x11F;lu 
Author-X-Name-First: M. 
Author-X-Name-Last: Tiryakio&#x11F;lu 
Title: An analysis of the extreme returns distribution: the case of the Istanbul Stock Exchange 
Abstract:
  The assumption of normality of asset returns is widely used in financial
 modelling, financial regulation on risks and capital and Value-at-Risk
 (VaR) modelling. As observed during times of stock market crashes or
 financial stress, extreme returns cannot be adequately modelled using the
 Gaussian distribution. In this study, we use the Extreme Value Theory
 (EVT) to model the extreme return behaviour of the Istanbul Stock Exchange
 (ISE), Turkey. Three different distributions are used, namely Gumbel,
 Fr�chet and Weibull, for modelling extreme returns over different
 investment horizons. The goodness-of-fit for these distributions is
 verified by the Anderson--Darling goodness-of-fit test. VaR is computed
 with the proposed distributions and backtesting results indicate that the
 EVT provides superior risk management in all the sub-intervals considered
 compared to the VaR estimation under the assumption of a normal
 distribution. 
Journal: Applied Financial Economics 
Pages: 723-732 
Issue: 9 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.624081 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.624081 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:9:p:723-732




Template-Type: ReDIF-Article 1.0
Author-Name: Alessandro Cardinali 
Author-X-Name-First: Alessandro 
Author-X-Name-Last: Cardinali 
Title: Estimating volatility from ATM options with lognormal stochastic variance and long memory 
Abstract:
  In this article we propose a nonlinear state space representation to
 model At-The-Money (ATM) implied volatilities and to estimate the
 unobserved Stochastic Volatility (SVOL) for the underlying asset. We
 derive a polynomial measurement model relating fractionally cointegrated
 implied and spot volatilities. We then use our state space representation
 to obtain Maximum Likelihood (ML) estimates of the short-memory model
 parameters, and for filtering the fractional spot volatility. We are also
 able to estimate the average volatility risk premia. We applied our
 methodology to implied volatilities on eurodollar options, from which we
 filter the unobserved spot local variance. These data arise from Over The
 Counter (OTC) transactions that account for high liquidity. For these
 data, we estimated a positive average volatility risk premia, which is
 consistent with the Intertemporal Capital Asset Pricing Model (ICAPM)
 setup of Merton (1973). We also had evidence of highly nonlinear relation
 between eurodollar spot and implied volatilities. From a methodological
 and computational point of view, the likelihood function, and all the
 iterative procedures associated with it, converged uniformly in the
 parameter space at very little computational expense. We illustrated the
 effectiveness of our approach by evaluating the approximated Information
 matrix, the Hotelling's <italic>T</italic> -super-2 test along with other
 diagnostic procedures. 
Journal: Applied Financial Economics 
Pages: 733-748 
Issue: 9 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.624082 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.624082 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:9:p:733-748




Template-Type: ReDIF-Article 1.0
Author-Name: Roisin O'sullivan 
Author-X-Name-First: Roisin 
Author-X-Name-Last: O'sullivan 
Author-Name: Marc Tomljanovich 
Author-X-Name-First: Marc 
Author-X-Name-Last: Tomljanovich 
Title: Inflation targeting and financial market volatility 
Abstract:
  We construct an inflation-targeting index for a group of seven
 Organization for Economic Co-operation and Development (OECD) countries
 that ranks countries according to the key features of formal inflation
 targeting regimes. The relationship between this index and bond markets is
 empirically examined to investigate whether inflation targeting reduces
 the mean of the conditional volatility of the difference between actual
 yields and those predicted by the expectations hypothesis. We find that
 the adoption of a more stringent inflation-targeting regime is generally
 associated with a statistically significant drop in conditional
 volatility, suggesting that inflation targeting reduces noise in bond
 markets. 
Journal: Applied Financial Economics 
Pages: 749-762 
Issue: 9 
Volume: 22 
Year: 2012 
Month: 5 
X-DOI: 10.1080/09603107.2011.625643 
File-URL: http://hdl.handle.net/10.1080/09603107.2011.625643 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:9:p:749-762




Template-Type: ReDIF-Article 1.0
Author-Name: Ann   Ling-Ching Chan 
Author-X-Name-First: Ann   Ling-Ching 
Author-X-Name-Last: Chan 
Title: Innovation activity and corporate financing: evidence from a developing economy 
Abstract:
  The present study investigates the extent to which technology-related
 asymmetric information between corporate managers and outside investors
 has an adverse effect on the external financing activities of
 innovation-intensive firms. The results indicate that innovation-intensive
 firms are more likely to engage in equity financing when their valuation
 multiples are higher than those of their industry peers. This finding is
 more pronounced among firms with low institutional shareholdings and fewer
 brokers following them. The empirical evidence supports the misvaluation
 explanation, as well as the timing and type of security issuance if the
 agency problem is severe. The findings provide insights into the timing of
 company financing choices in a highly innovative developing economy. 
Journal: Applied Financial Economics 
Pages: 1665-1678 
Issue: 20 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.667547 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.667547 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:20:p:1665-1678




Template-Type: ReDIF-Article 1.0
Author-Name: Agnieszka Bielinska-Kwapisz 
Author-X-Name-First: Agnieszka 
Author-X-Name-Last: Bielinska-Kwapisz 
Title: Published, not perished, but has anybody read it? Citation success of finance research articles 
Abstract:
  Citation counts are widely used in academia in hiring, tenure, promotion,
 salary increases, merit pay as well as to rank departments, journals and
 authors. However, no previous study examined the factors that influence
 citations in finance journals. This article examines how the number of
 citations is affected by authors&#x2019; collaboration, advertising and
 &#x2018;salesmanship&#x2019; efforts, journals rank, article placement in
 the journal, and authors&#x2019; experience. We employ 16 years of data
 and use the Tobit model to study the number of citations. Also, we use the
 hazard model to estimate the probability of an article being cited for the
 first time. The empirical results show significant relation between the
 number of citations and the ranking of authors&#x2019; university,
 placement of an article in a journal, the length of an article, and the
 number of references included but no significant effect of collaboration,
 grant support, and the number of presentations and acknowledgments.
 Additionally, we conclude that it is important to use a long time series
 data to analyse citations in finance. 
Journal: Applied Financial Economics 
Pages: 1679-1695 
Issue: 20 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.667549 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.667549 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:20:p:1679-1695




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Vesper 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Vesper 
Title: A time dynamic pair copula construction: with financial applications 
Abstract:
  A recent technology in the statistics and econometrics literature is the
 Pair-Copula Construction (PCC), an extremely flexible modelling technique
 for capturing complex, but static, multivariate dependency. There are
 several available tools for time-varying bivariate copulas, but none for
 time-varying multivariate copulas in more than two dimensions. We use a
 Bayesian framework to extend the PCC to account for time dynamic
 dependence structures, introducing time dynamics to the multivariate
 copula through its PCC decomposition. In particular, we model the time
 series of a transformation of select parameters of the PCC as a first
 order autoregressive model (AR(1)) and conduct inference using a Markov
 Chain Monte Carlo (MCMC) algorithm. The Bayesian approach proves to be a
 powerful tool for estimating parameters, despite some additional
 computational effort. We use financial data to illustrate empirical
 evidence for the existence of time dynamic dependence structures, to show
 improved out-of-sample forecasts for our time dynamic PCC relative to the
 current time static PCC models, and to compare the relative performance of
 dynamic and static PCC models for Value at Risk (VaR) measures. 
Journal: Applied Financial Economics 
Pages: 1697-1711 
Issue: 20 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.671922 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.671922 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:20:p:1697-1711




Template-Type: ReDIF-Article 1.0
Author-Name: Astrid Ayala 
Author-X-Name-First: Astrid 
Author-X-Name-Last: Ayala 
Author-Name: Juncal Cu&#xF1;ado 
Author-X-Name-First: Juncal 
Author-X-Name-Last: Cu&#xF1;ado 
Author-Name: Luis   Alb�riko Gil-Alana 
Author-X-Name-First: Luis   Alb�riko 
Author-X-Name-Last: Gil-Alana 
Title: Real convergence in Latin America: a fractionally integrated approach 
Abstract:
  This letter investigates the real convergence of 17 Latin American
 countries to the US economy for the period 1950 to 2008. We examine the
 order of integration of real Gross Domestic Product (GDP) per capita
 differences between the US and each Latin American country. We allow for
 fractional degrees of differentiation. This approach provides a test for
 stochastic convergence, which is a necessary condition for real
 convergence. The results show no evidence of stochastic convergence with
 respect to the US economy in any of the countries under study. 
Journal: Applied Financial Economics 
Pages: 1713-1717 
Issue: 20 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.674204 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.674204 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:20:p:1713-1717




Template-Type: ReDIF-Article 1.0
Author-Name: Laurent Cavenaile 
Author-X-Name-First: Laurent 
Author-X-Name-Last: Cavenaile 
Author-Name: Danielle Sougn� 
Author-X-Name-First: Danielle 
Author-X-Name-Last: Sougn� 
Title: Financial development and economic growth: an empirical investigation of the role of banks and institutional investors 
Abstract:
  This article gives a new light on the finance-growth nexus through the
 investigation of the role of institutional investors as providers of risk
 diversification in the process of economic growth. We make use of panel
 cointegration techniques to study the potential long-run relationship
 between economic growth, banking development and institutional investors
 in six Organization for Economic Co-operation and Development (OECD)
 countries. Our results highlight some heterogeneity in the long-run
 relationship between financial development and growth. Institutional
 investors are shown to support long-run economic growth in only two
 countries. We also report a negative long-run relationship between both
 indicators of financial development. 
Journal: Applied Financial Economics 
Pages: 1719-1725 
Issue: 20 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.676731 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.676731 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:20:p:1719-1725




Template-Type: ReDIF-Article 1.0
Author-Name: E. C. Charalambakis 
Author-X-Name-First: E. C. 
Author-X-Name-Last: Charalambakis 
Author-Name: D. Psychoyios 
Author-X-Name-First: D. 
Author-X-Name-Last: Psychoyios 
Title: What do we know about capital structure? Revisiting the impact of debt ratios on some firm-specific factors 
Abstract:
  We revisit the evidence on the effect of size, tangibility, profitability
 and growth opportunities on debt ratios using a large sample of the US and
 the UK firms and applying advanced estimation methods that are perfectly
 aligned with the panel data. We employ a double-censored Tobit estimator,
 a Fixed-Effect (FE) estimator, a model that accounts for cross-sectional
 and time-series dependence and a Fama--Macbeth regression, we find that
 the signs of size, tangibility, profitability and growth opportunities for
 the US firms are consistent with previous studies. As with the US evidence
 we show that size and tangibility are positively associated with leverage
 whereas profitability and growth opportunities are negatively associated
 with leverage for the UK firms. However, the impact of growth
 opportunities on leverage for UK firms is inconclusive. We conclude that
 size, tangibility, profitability and growth opportunities cannot explain
 the theoretical aspects of capital structure. 
Journal: Applied Financial Economics 
Pages: 1727-1742 
Issue: 20 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.676733 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.676733 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:20:p:1727-1742




Template-Type: ReDIF-Article 1.0
Author-Name: F. Pizzutilo 
Author-X-Name-First: F. 
Author-X-Name-Last: Pizzutilo 
Title: The behaviour of the distributions of stock returns: an analysis of the European market using the Pearson system of continuous probability distributions 
Abstract:
  We employ the Pearson system of frequency curves to analyse the behaviour
 of unconditional daily return distributions for all the shares that
 constitute the STOXX Europe 600 index. Our results show that over finite
 time periods of analysis the distributions are adequately described as
 type IV. The occasional exceptions are linked strictly to extraordinary
 events that result in abnormal returns. They are more frequent if short
 time intervals are examined. When an infinite time of analysis is assumed,
 the results do not reject the hypothesis that the behaviour of stock
 returns is symmetrical and that it is of type VII, which is a special case
 of type IV that subsumes the Student's <italic>t</italic> and the Cauchy
 distributions and is easier to deal with in practice. 
Journal: Applied Financial Economics 
Pages: 1743-1752 
Issue: 20 
Volume: 22 
Year: 2012 
Month: 10 
X-DOI: 10.1080/09603107.2012.678979 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.678979 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:20:p:1743-1752




Template-Type: ReDIF-Article 1.0
Author-Name: Bilei Zhou 
Author-X-Name-First: Bilei 
Author-X-Name-Last: Zhou 
Author-Name: Jie   Michael Guo 
Author-X-Name-First: Jie   Michael 
Author-X-Name-Last: Guo 
Author-Name: Xiaohong Chen 
Author-X-Name-First: Xiaohong 
Author-X-Name-Last: Chen 
Author-Name: Tian Yang 
Author-X-Name-First: Tian 
Author-X-Name-Last: Yang 
Title: Market timing of corporate debt issuance: prediction or reaction? 
Abstract:
  This article examines whether managers can successfully time the debt
 market when firms issue debt. The question arises from the debate about
 whether the empirical evidence that corporate debt issues are correlated
 to the debt market condition factors reveals the underlying market timing
 ability. The existence of a causal link between market condition
 variations and debt issuance is examined by distinguishing the predictions
 of future market variation from the reactions to past information. It is
 found that, in the sense of predicting the future market fluctuations,
 firms are generally unsuccessful. In contrast, their debt issue decisions
 are heavily driven by the reactions to prior information. 
Journal: Applied Financial Economics 
Pages: 1753-1769 
Issue: 21 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.669460 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.669460 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1753-1769




Template-Type: ReDIF-Article 1.0
Author-Name: Naiwei Chen 
Author-X-Name-First: Naiwei 
Author-X-Name-Last: Chen 
Author-Name: Wan-Ting Wang 
Author-X-Name-First: Wan-Ting 
Author-X-Name-Last: Wang 
Title: Kyoto Protocol and capital structure: a comparative study of developed and developing countries 
Abstract:
  This study examines the impact of the ratification of the Kyoto Protocol
 on the capital structure of nonfinancial firms in 45 countries from 2002
 to 2007. Results show that in general, the Protocol ratification has a
 negative impact on the leverage of firms. Such negative impact is apparent
 in developed than in developing countries. Furthermore, this negative
 impact is reinforced by a market-based, as opposed to bank-based,
 financial system. Lastly, results suggest that the Protocol ratification
 has reduced agency costs for firms in developed as opposed to developing
 countries. Results provide policy implications. In general, firms in
 ratifying countries should reduce leverage in response to stricter
 climate-related regulations as they undergo transition toward becoming
 environment friendly. Such leverage reduction should be more pronounced in
 developed than in developing countries. Firms in ratifying countries with
 market-based financial system should reduce leverage more than those in
 ratifying countries with bank-based financial system should. Finally,
 results suggest that it is beneficial for developed countries to commit to
 becoming environmentally liable by joining the global effort to combat
 climate change because the Protocol ratification appears to mitigate
 agency problems for firms in developed countries. 
Journal: Applied Financial Economics 
Pages: 1771-1786 
Issue: 21 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.676732 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.676732 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1771-1786




Template-Type: ReDIF-Article 1.0
Author-Name: Allen Huang 
Author-X-Name-First: Allen 
Author-X-Name-Last: Huang 
Author-Name: Benjamin Liu 
Author-X-Name-First: Benjamin 
Author-X-Name-Last: Liu 
Title: The impact of the GST on mortgage yield spreads of Australian banks 
Abstract:
  Australia has experienced significant rises in mortgage costs and sharp
 declines in housing affordability in the past decade, which corresponds
 with the introduction of the Goods and Services Tax (GST) in the nation in
 July 2000. To what extent the GST has impacted mortgage costs is our
 research question. Using the mortgage loan data of all banks operating in
 Australia, this study investigates and measures the changes of mortgage
 yield spreads in the pre- and post-GST periods. Results show the bank
 lenders significantly increased their mortgage charges in the post-GST
 periods and the rise in mortgage charges was not a one-off impact. The
 findings have important financial, economic and policy implications. 
Journal: Applied Financial Economics 
Pages: 1787-1797 
Issue: 21 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.678980 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.678980 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1787-1797




Template-Type: ReDIF-Article 1.0
Author-Name: Yu Cong 
Author-X-Name-First: Yu 
Author-X-Name-Last: Cong 
Author-Name: Murugappa Krishnan 
Author-X-Name-First: Murugappa 
Author-X-Name-Last: Krishnan 
Title: Measuring firm-specific informational efficiency without conditioning on a public announcement 
Abstract:
  We exploit the availability of active single-stock futures on India's
 National Stock Exchange (NSE) to provide estimates of overall
 informational efficiency, without conditioning on a public announcement.
 The key is the estimation of the primitive parameters of an asset pricing
 model with private information and noise. The variance--covariance
 parameters governing futures prices and terminal values can be inverted to
 obtain the Maximum Likelihood Estimators (MLEs) of the precision of
 private information and the variance of liquidity motivated trades. The
 Signal-to Signal-plus-Noise (SSN) ratio -- our measure of overall
 informational efficiency -- is a function of these primitive parameters.
 Our primary findings show that there is considerable variation across
 firms in these parameters despite only large active firms being available
 for futures trading. We also examine the cross-sectional relationship of
 this measure of informational efficiency and corporate governance. Overall
 informational efficiency increases in promoters&#x2019; and foreign
 institutional investors&#x2019; shareholding, and if the board of
 directors has a majority that is independent, and decreases if the
 chairman of the board is also the CEO, and if overall trading activity is
 fragmented across domestic and international markets. The NIFTY index
 shows a higher SSN ratio than for any of the firms. This is consistent
 with the idea that less manipulability is associated with greater
 informational efficiency. 
Journal: Applied Financial Economics 
Pages: 1799-1809 
Issue: 21 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.681023 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.681023 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1799-1809




Template-Type: ReDIF-Article 1.0
Author-Name: Hyginus Leon 
Author-X-Name-First: Hyginus 
Author-X-Name-Last: Leon 
Author-Name: Oral   H. Williams 
Author-X-Name-First: Oral   H. 
Author-X-Name-Last: Williams 
Title: Effectiveness of intervention in a small emerging market: an event study approach 
Abstract:
  This article addresses the effectiveness of intervention using daily data
 from a small open economy for which intervention constituted an integral
 part of policy making. A matched-sample test of equality of means before
 and after intervention events, shows that the sterilized interventions by
 the central bank were effective for both purchases and sales of US
 dollars, but with associated fiscal costs. These results, which are robust
 to alternative event-window definitions and to alternative criteria for
 measuring &#x2018;success&#x2019;, suggest that the authorities were
 successful in keeping the exchange rate within a &#x2018;target&#x2019;
 corridor. With many small emerging market economies seeking to balance the
 twin objectives of maintaining competitiveness while containing imported
 inflation, these results present an interesting case study which suggests
 that intervention can be an appropriate policy tool in some small open and
 emerging market economies. 
Journal: Applied Financial Economics 
Pages: 1811-1820 
Issue: 21 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.681024 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.681024 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1811-1820




Template-Type: ReDIF-Article 1.0
Author-Name: Yoshiyuki Nakazono 
Author-X-Name-First: Yoshiyuki 
Author-X-Name-Last: Nakazono 
Title: Heterogeneity and anchoring in financial markets 
Abstract:
  The motivation behind this article is to verify the efficient market
 hypothesis as found in traditional financial theories. Participants in
 Japanese stock markets tend to be heterogeneous; the types of firms to
 which survey respondents belong can affect the formation of expectations.
 Furthermore, the majority of market participants -- even institutional
 investors who are financial market professionals -- place significant
 weight on past forecast values, and the strength of the anchoring effects
 depends on the types of firms to which the respondents belong, as well as
 the stock market conditions. 
Journal: Applied Financial Economics 
Pages: 1821-1826 
Issue: 21 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.681025 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.681025 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1821-1826




Template-Type: ReDIF-Article 1.0
Author-Name: Pernille Jessen 
Author-X-Name-First: Pernille 
Author-X-Name-Last: Jessen 
Title: Optimal responsible investment 
Abstract:
  The article examines responsible investment portfolio allocation. The
 analysis defines an investor-specific measure of portfolio responsibility
 and incorporates this measure into two different conventional investment
 approaches. First, investor utility theory describes preferences for
 portfolio responsibility. The utility setup is intuitive; however, any
 implementation would require information on investor trade-offs between
 portfolio risk, expected return and responsibility. Second, mean-variance
 analysis captures portfolio responsibility with an additional restriction
 on the investment problem. This approach yields analytical solutions for
 the optimal responsible investment problem and provides a sensitivity
 analysis of the required portfolio responsibility. An example concerning
 index investment corroborates the results. 
Journal: Applied Financial Economics 
Pages: 1827-1840 
Issue: 21 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.684786 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.684786 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1827-1840




Template-Type: ReDIF-Article 1.0
Author-Name: Syed   Zulfiqar Ali Shah 
Author-X-Name-First: Syed   Zulfiqar Ali 
Author-X-Name-Last: Shah 
Author-Name: Jam-e-Kausar  
Author-X-Name-First: Jam-e-Kausar 
Author-X-Name-Last:  
Title: Determinants of capital structure of leasing companies in Pakistan 
Abstract:
  This study investigates the determinants of capital structure of leasing
 firms in Pakistan for the period 2003 to 2008. Size, profitability,
 growth, net investment in lease finance, liquidity and tax paid are used
 as determinants of capital structure. Using a balanced panel sample, we
 find that size has a positive relationship, whereas profitability,
 liquidity and tax have a negative relationship with leverage of the sample
 firms. 
Journal: Applied Financial Economics 
Pages: 1841-1853 
Issue: 22 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.678978 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.678978 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:22:p:1841-1853




Template-Type: ReDIF-Article 1.0
Author-Name: John Elder 
Author-X-Name-First: John 
Author-X-Name-Last: Elder 
Author-Name: Sriram Villupuram 
Author-X-Name-First: Sriram 
Author-X-Name-Last: Villupuram 
Title: Persistence in the return and volatility of home price indices 
Abstract:
  We examine the return and volatility of the Standard &
 Poor's/Case--Shiller (S&P/CS) real estate indices for evidence of long
 memory in the form of fractional differencing. Examining the long memory
 properties of these indices is relevant, in part, because effectively
 hedging real estate price risk through the construction of minimum
 variance dynamic hedge ratios requires proper modelling of long memory
 dynamics, and evidence of long memory would imply a violation of weak form
 efficiency. We find evidence of very persistent long memory in both the
 return and volatility of real estate indices. For real estate index
 returns, the evidence of persistent long memory contrasts sharply with
 other asset classes such as stocks, bonds and commodities. The evidence of
 long memory in real estate return volatility is in accordance with the
 volatility dynamics in other asset classes, although the degree of
 persistence is greater. We also find that some evidence of greater
 persistence may be due to nonlinearities in the underlying data generating
 process. 
Journal: Applied Financial Economics 
Pages: 1855-1868 
Issue: 22 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.687095 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.687095 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:22:p:1855-1868




Template-Type: ReDIF-Article 1.0
Author-Name: Kui-Wai Li 
Author-X-Name-First: Kui-Wai 
Author-X-Name-Last: Li 
Title: A study on the volatility forecast of the US housing market in the 2008 crisis 
Abstract:
  This article provides the in-sample estimation and evaluates the
 out-of-sample conditional mean and volatility forecast performance of the
 conventional Generalized Autoregressive Conditional Heteroscedasticity
 (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity
 (APARCH) and the benchmark RiskMetrics model on the US real estate finance
 data for the pre-crisis and post-crisis periods in 2008. The empirical
 results show that the RiskMetrics model performed satisfactorily in the
 in-sample estimation but poorly in the out-of-sample forecast. For the
 post-crisis out-of-sample forecasts, all models naturally performed poorly
 in conditional mean and volatility forecast. 
Journal: Applied Financial Economics 
Pages: 1869-1880 
Issue: 22 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.687096 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.687096 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:22:p:1869-1880




Template-Type: ReDIF-Article 1.0
Author-Name: Sukriye Tuysuz 
Author-X-Name-First: Sukriye 
Author-X-Name-Last: Tuysuz 
Title: How have the Turkish post-2001 stabilization reforms impacted on the conditional correlation between the Turkish and the main foreign stock markets? 
Abstract:
  This article investigates the impact of the Turkish post-2001
 stabilization reforms on the conditional correlation between the Turkish
 stock index (ISE 100) and the four major stock indices (S&P 500, FTSE 100,
 DAX 30, NIKKEI 225). We evaluate these correlations for the period ranging
 from January 1997 to April 2011 with Dynamic Conditional Correlation (DCC)
 models. The results obtained with the Asymmetric Generalized DCC (AGDCC)
 model lead to two substantial conclusions. First, the conditional
 correlation between the ISE 100 and the four other stock indices has
 strengthened permanently since late 2003, when the reforms started to
 produce the expected results in the Turkish economic and financial
 situations. Second, during most of the financial crises that occurred over
 the retained period, the correlation between the ISE 100 and the other
 indices increased for a short period. These increases could be explained
 by the &#x2018;flight to quality&#x2019; and &#x2018;flight to
 liquidity&#x2019;. By contrast, during the Turkish crisis (2000--2001) the
 correlation between the ISE 100 and the other stock indices decreased due
 to the outflow of capital. 
Journal: Applied Financial Economics 
Pages: 1881-1898 
Issue: 22 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.684788 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.684788 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:22:p:1881-1898




Template-Type: ReDIF-Article 1.0
Author-Name: Richard   E. Ericson 
Author-X-Name-First: Richard   E. 
Author-X-Name-Last: Ericson 
Author-Name: Xuan Liu 
Author-X-Name-First: Xuan 
Author-X-Name-Last: Liu 
Title: Welfare effect of interest rate shocks and policy implications 
Abstract:
  This article studies the welfare effect of exogenous country spread
 shocks and policy implications. First, country spread shocks are
 welfare-improving, a finding holding for three widely used preference
 representations over a wide range of structural parameter values, both in
 a two-period model with fixed endowments and in a workhorse Dynamic
 Stochastic General Equilibrium (DSGE) model of a small open economy.
 Second, it is always optimal to have procyclical policy unless (i)
 financial frictions are strong, (ii) policy responds to country spread
 gaps, and (iii) the subjective discount factor is endogenous. 
Journal: Applied Financial Economics 
Pages: 1899-1917 
Issue: 22 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.688939 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.688939 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:22:p:1899-1917




Template-Type: ReDIF-Article 1.0
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Maryna Murdock 
Author-X-Name-First: Maryna 
Author-X-Name-Last: Murdock 
Title: How and why corporate divestitures affect risk 
Abstract:
  We find that in general, parents experience an increase in risk following
 divestitures, although the specific increase is conditioned on the form of
 divestiture and the type of proxy used to measure risk. The increase in
 risk following divestitures is generally higher for carve-outs than for
 asset sell-offs. The increase in risk in response to all forms of
 divestitures is more pronounced when parents eliminate related assets than
 when they eliminate unrelated assets, and when parents increase their
 financial leverage. Overall, our findings suggest that the shift in parent
 risk is associated with the remaining asset and liability structure of the
 parent. This implies that the parents have much control over the degree to
 which the divestiture will change their risk, based on the types of assets
 divested (whether related to parent's remaining assets), and the liability
 structure of units divested (the amount of debt that the parent transfers
 to the unit). 
Journal: Applied Financial Economics 
Pages: 1919-1929 
Issue: 22 
Volume: 22 
Year: 2012 
Month: 11 
X-DOI: 10.1080/09603107.2012.688937 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.688937 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:22:p:1919-1929




Template-Type: ReDIF-Article 1.0
Author-Name: Susan   Sunila Sharma 
Author-X-Name-First: Susan   Sunila 
Author-X-Name-Last: Sharma 
Author-Name: Paresh   Kumar Narayan 
Author-X-Name-First: Paresh   Kumar 
Author-X-Name-Last: Narayan 
Title: Firm heterogeneity and calendar anomalies 
Abstract:
  While the calendar anomalies and financial market relationship is one of
 the oldest relationships in financial economics, we treat this
 relationship differently by addressing two unknown issues: (a) Do calendar
 anomalies have a heterogeneous effect on firm returns and firm volatility
 depending on the sectoral location of firms? and (b) Do calendar anomalies
 affect firm returns and firm volatility differently depending on firm
 size? Unlike the assumption in this literature that firms are homogeneous,
 we show that they are in fact heterogeneous. Using 560 firms listed on the
 New York Stock Exchange (NYSE) over the period 5 January 2000 to 31
 December 2008, we find fresh results, previously undocumented in this
 literature. We find evidence of calendar anomalies affecting returns and
 return volatility of firms differently depending on their sectoral
 locations and size. 
Journal: Applied Financial Economics 
Pages: 1931-1949 
Issue: 23 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.692870 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.692870 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:23:p:1931-1949




Template-Type: ReDIF-Article 1.0
Author-Name: Rajeev   K. Goel 
Author-X-Name-First: Rajeev   K. 
Author-X-Name-Last: Goel 
Author-Name: Michael   A. Nelson 
Author-X-Name-First: Michael   A. 
Author-X-Name-Last: Nelson 
Title: Shadow economy and international software piracy 
Abstract:
  This article uses pooled data over the period 2004--2007 on about 100
 nations to examine the impact of the shadow economy on the piracy of
 computer software. Results support the main hypothesis that a larger
 shadow economy leads to higher rates of software piracy. This claim is
 supported by various robustness checks. A 10% increase in the shadow
 sector increases software piracy about 1.4%. In other findings, greater
 economic prosperity and greater internet diffusion check piracy, while
 some legal institutional measures have statistically insignificant
 effects. Policy implications are discussed. 
Journal: Applied Financial Economics 
Pages: 1951-1959 
Issue: 23 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.690848 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.690848 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:23:p:1951-1959




Template-Type: ReDIF-Article 1.0
Author-Name: Sandy Suardi 
Author-X-Name-First: Sandy 
Author-X-Name-Last: Suardi 
Title: When the US sneezes the world catches cold: are worldwide stock markets stable? 
Abstract:
  There is a widespread belief that the US subprime mortgage crisis has
 escalated into a full-blown current global financial crisis and that many
 economies throughout the world have been hit by it. Using a test of
 financial market stability, this article shows the varying degree of
 impact system-wide shocks during the US subprime crisis had on developed
 and emerging market stock indices. There is evidence that some developed
 and stable markets display signs of financial fragility with systematic
 shocks being propagated differently during extreme and normal market
 conditions. In addition, the crisis increases the response of emerging
 market returns to systematic shocks during both tranquil and volatile
 regimes, albeit that the effects are more pronounced in Latin America than
 in Asian markets. 
Journal: Applied Financial Economics 
Pages: 1961-1978 
Issue: 23 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.690847 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.690847 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:23:p:1961-1978




Template-Type: ReDIF-Article 1.0
Author-Name: Mauri Larikka 
Author-X-Name-First: Mauri 
Author-X-Name-Last: Larikka 
Author-Name: Juho Kanniainen 
Author-X-Name-First: Juho 
Author-X-Name-Last: Kanniainen 
Title: Calibration strategies of stochastic volatility models for option pricing 
Abstract:
  This study examines how calibrated stochastic volatility models maintain
 their option pricing performance over subsequent days. Specifically, using
 a number of sets of single and multi-day data, different loss functions,
 and regularization techniques, we examine the dynamics of the pricing
 errors of two well-recognized stochastic volatility models. We find that,
 depending on the loss function, the use of multi-day data in calibration
 can slow down the increase in the pricing error for long-maturity options.
 On the other hand, the calibration with 1 day of data tends to give the
 smallest in-sample error diminishing the benefit of larger multi-day
 datasets. Differences between different sizes of datasets are more
 noticeable with the discrete-time volatility model than a continuous time
 one but in both cases 1 day of data would be the optimal choice and in
 most cases daily calibration is needed. 
Journal: Applied Financial Economics 
Pages: 1979-1992 
Issue: 23 
Volume: 22 
Year: 2012 
Month: 1 
X-DOI: 10.1080/09603107.2012.681026 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.681026 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:23:p:1979-1992




Template-Type: ReDIF-Article 1.0
Author-Name: Rachael Carroll 
Author-X-Name-First: Rachael 
Author-X-Name-Last: Carroll 
Author-Name: Colm Kearney 
Author-X-Name-First: Colm 
Author-X-Name-Last: Kearney 
Title: Do trading volumes explain the persistence of GARCH effects? 
Abstract:
  We examine the role of trading volumes in Generalized Autoregressive
 Conditional Heteroscedasticity (GARCH)-based tests of the Mixture of
 Distributions Hypothesis (MDH) on firm-level data for the 20 largest
 Fortune 500 stocks. In doing so, we provide a set of increasingly
 generalized nested models within which to examine the role of trading
 volumes, beginning with the AR(1)-GARCH(1,1) model with no trading
 volumes, progressing to the univariate AR(1)-GARCH(1,1)-X, the
 AR(1)-GARCH(1,1)-M and the AR(1)-GARCH(1,1)-M-X models, the constant
 correlation bivariate AR(1)-GARCH(1,1)-M-X model, and culminating with the
 Dynamic Equicorrelation-GARCH (DECO-GARCH) model. Amongst our main
 findings, the trading volumes are robustly significant and positively
 signed in the volatility of returns equations for most firms, acting to
 reduce the persistence and to eliminate the need for GARCH terms. As we
 progress from the AR(1)-GARCH(1,1) to the AR(1)-GARCH(1,1)-X,
 AR(1)-GARCH(1,1)-M-X and the bivariate AR(1)-GARCH(1,1)-M-X models, the
 persistence parameters decline from an average of 0.987 to 0.143, 0.206
 and 0.141 respectively. Our results are robust and consistent with the MDH
 in most cases. 
Journal: Applied Financial Economics 
Pages: 1993-2008 
Issue: 23 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.692871 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.692871 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:23:p:1993-2008




Template-Type: ReDIF-Article 1.0
Author-Name: Chun-I Lee 
Author-X-Name-First: Chun-I 
Author-X-Name-Last: Lee 
Author-Name: Robin   K. Chou 
Author-X-Name-First: Robin   K. 
Author-X-Name-Last: Chou 
Author-Name: Edward   S. Hsieh 
Author-X-Name-First: Edward   S. 
Author-X-Name-Last: Hsieh 
Author-Name: Kimberly Gleason 
Author-X-Name-First: Kimberly 
Author-X-Name-Last: Gleason 
Title: The role of institutions in price correction: evidence from intraday noise trading in Taiwan 
Abstract:
  This article investigates the role of institutional investors in the
 Taiwanese equity markets in the resolution of noise trading, which we
 define as the deviation of a stock's price from its fundamental value
 within a trading day. We use a sample of stocks traded on the Taiwan Stock
 Exchange (TWSE) that experience extreme price movements characterized by
 price limit hits between March 2003 and March 2007, and assess the noise
 trading component of the price movements. Specifically, we examine whether
 overreaction occurs in the Taiwanese equity markets, and whether noise
 trading disrupts the price discovery process. We shed light on whether the
 unique features of the retail trading segment of the market slows the
 speed of correction following an overreaction, and relate these findings
 to those from studies of the US market. Our results show that noise
 trading in the Taiwanese equity markets is prevalent, and that a
 protracted correction process takes place. Further, we document a
 disruptive role of institutional investors, namely, that in contrast to
 the US equity markets, they appear to move the market away from
 equilibrium, and slow the speed of correction following an overreaction. 
Journal: Applied Financial Economics 
Pages: 2009-2025 
Issue: 24 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.690846 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.690846 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:24:p:2009-2025




Template-Type: ReDIF-Article 1.0
Author-Name: Yii   Siing Wong 
Author-X-Name-First: Yii   Siing 
Author-X-Name-Last: Wong 
Author-Name: Chong   Mun Ho 
Author-X-Name-First: Chong   Mun 
Author-X-Name-Last: Ho 
Author-Name: Brian Dollery 
Author-X-Name-First: Brian 
Author-X-Name-Last: Dollery 
Title: Impact of exchange rate volatility on import flows: the case of Malaysia and the United States 
Abstract:
  This article investigates empirically both linear and nonlinear
 relationships between exchange rate volatility and import flows for the
 United States and Malaysia. Previous empirical work has neglected
 nonlinear relationships, focusing instead on linear causal relationships
 between exchange rate volatility and import flows, which may have
 generated misleading conclusions. Using annual American and Malaysian data
 for the periods 1975/2009 and 1980/2009, this article differs from earlier
 studies by adding a Brock--Dechert--Scheinkman (BDS) test to investigate
 the independent and identically distributed (i.i.d.) residual and then
 employing nonlinear causality tests to investigate the existence of
 nonlinear causal relationships. Two major findings emerge. First, the BDS
 test shows the residual of the linear model is not i.i.d. Second, the
 nonlinear causality test shows both Malaysia and the US have nonlinear
 causal relationships between exchange rate volatility and import flows. 
Journal: Applied Financial Economics 
Pages: 2027-2034 
Issue: 24 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.697120 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.697120 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:24:p:2027-2034




Template-Type: ReDIF-Article 1.0
Author-Name: Yaseen   S. Alhaj-Yaseen 
Author-X-Name-First: Yaseen   S. 
Author-X-Name-Last: Alhaj-Yaseen 
Author-Name: Eddery Lam 
Author-X-Name-First: Eddery 
Author-X-Name-Last: Lam 
Author-Name: John   T. Barkoulas 
Author-X-Name-First: John   T. 
Author-X-Name-Last: Barkoulas 
Title: Going public abroad: the dynamics of return spillovers in an atypical international cross listing case 
Abstract:
  In this study we investigate the dynamics of the return transmission
 mechanism across markets (spillover effects) in the atypical international
 cross listing case where the stock has gone public abroad and then cross
 listed in the home market. Previous studies have examined such dynamic
 return interactions in the typical case, where a company goes public in
 the domestic capital market and subsequently cross lists its stock in a
 foreign stock exchange. Our sample consists of Israeli stocks that went
 public in the US and then cross listed in the home market. The empirical
 evidence suggests that return spillovers are significantly positive in
 both directions but home-to-US return spillovers are stronger than those
 of US-to-home. The magnitude of the return dependencies across the home
 and the US markets is weaker among firms facing greater risk of
 information asymmetry. There is a tendency for reversal of the US market
 returns associated with high-volume shocks in the home market but a
 tendency for continuation in the opposite direction. The greater the
 information asymmetry facing firms the greater the tendency for
 continuation and the weaker the tendency for reversal. 
Journal: Applied Financial Economics 
Pages: 2035-2046 
Issue: 24 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.688938 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.688938 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:24:p:2035-2046




Template-Type: ReDIF-Article 1.0
Author-Name: Rajarshi Aroskar 
Author-X-Name-First: Rajarshi 
Author-X-Name-Last: Aroskar 
Author-Name: Willaim   A. Ogden 
Author-X-Name-First: Willaim   A. 
Author-X-Name-Last: Ogden 
Title: An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values 
Abstract:
  This study employs five commonly used methods to estimate tracking errors
 between iPath Exchange Traded Notes (ETNs) and their respective indexes.
 Commodity ETNs perform well in tracking their respective indexes. This
 performance is not dependent on whether the ETN tracks a single commodity
 index, a sector or a composite index. Currency and emerging market ETNs do
 not track their underlying indexes nearly as well. 
Journal: Applied Financial Economics 
Pages: 2047-2062 
Issue: 24 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.684787 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.684787 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:24:p:2047-2062




Template-Type: ReDIF-Article 1.0
Author-Name: Hong-Ghi Min 
Author-X-Name-First: Hong-Ghi 
Author-X-Name-Last: Min 
Author-Name: Young-Soon Hwang 
Author-X-Name-First: Young-Soon 
Author-X-Name-Last: Hwang 
Title: Dynamic correlation analysis of US financial crisis and contagion: evidence from four OECD countries 
Abstract:
  By analysing the Dynamic Conditional Correlations (DCC) of the daily
 stock returns of four OECD countries with that of the US for the period
 2006--2010, we could find a process of increasing correlations (contagion)
 in the first phase of the US financial crisis and an additional increase
 of correlations (herding) during the second phase of the US financial
 crisis for the UK, Australia and Switzerland. However, the impact of the
 US financial crisis on Japan was limited to the increase in correlation
 volatilities in the first phase. We also propose a new approach (DCC
 Multivariate Generalized Autoregressive Conditional Heteroscedastic model
 with Exogenous variables (DCCX-MGARCH)) that allows simultaneous
 estimation of the DCC and their determinants, which can be used to
 identify channels of contagion. It is shown that an increase in VIX stock
 market index increases conditional correlations but an increase in the TED
 spread and relative stock market capitalization decrease conditional
 correlations of stock returns between four OECD countries and the US. 
Journal: Applied Financial Economics 
Pages: 2063-2074 
Issue: 24 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.698161 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.698161 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:24:p:2063-2074




Template-Type: ReDIF-Article 1.0
Author-Name: Mar�a Guti�rrez 
Author-X-Name-First: Mar�a 
Author-X-Name-Last: Guti�rrez 
Author-Name: Josep   A. Trib&#xF3; 
Author-X-Name-First: Josep   A. 
Author-X-Name-Last: Trib&#xF3; 
Author-Name: Beatriz Mariano 
Author-X-Name-First: Beatriz 
Author-X-Name-Last: Mariano 
Title: Ownership structure and minority expropriation: the case for multiple blockholders 
Abstract:
  This article investigates minority expropriation in closely-held firms.
 Using a sample of Spanish firms for the period from 1996 to 2006, we find
 that firms that are more vulnerable to minority expropriation have
 blockholders controlling groups with aggregate equity stakes that are far
 removed from 50%, which is the point that maximizes the chances of
 expropriation. Moreover, performance improves when the controlling group's
 stake moves away from the region where expropriation is more likely -- the
 <italic>alignment effect</italic> -- and, if within this region, when the
 number of group members increases -- the <italic>bargaining
 effect</italic>. 
Journal: Applied Financial Economics 
Pages: 2075-2083 
Issue: 24 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.697119 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.697119 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:24:p:2075-2083




Template-Type: ReDIF-Article 1.0
Author-Name: Emma   M. Iglesias 
Author-X-Name-First: Emma   M. 
Author-X-Name-Last: Iglesias 
Author-Name: Mar�a   Dolores Lagoa Varela 
Author-X-Name-First: Mar�a   Dolores 
Author-X-Name-Last: Lagoa Varela 
Title: Extreme movements of the main stocks traded in the Eurozone: an analysis by sectors in the 2000's decade 
Abstract:
  We have analysed extreme movements of the main stocks traded in the
 Eurozone by sectors in the 2000's decade. We find several patterns.
 <italic>First</italic>, we can classify firms by sector according to their
 different estimated Value-at-Risk (VaR) values but we cannot find
 differences according to their geographical situation.
 <italic>Second</italic>, we find sectors where companies have very high
 (telecommunications and banking) and very low (petroleum, utilities,
 energy and consumption) estimated VaR values. Other sectors such as
 industry are very heterogeneous. <italic>Third</italic>, we get
 differences when we analyse the correlation between average return and VaR
 estimates: higher average return is found in firms with smaller risk in
 extreme events in the banking and consumption subsectors; however, higher
 return with higher estimated VaR values occurs in the utilities
 (electricity and gas) subsector, being less attractive for very
 risk-averse investors. <italic>Finally</italic>, our results show that
 very risk-averse investors that are looking for high average return and
 low estimated VaR should choose the following firms classified by sector:
 Danone and Sanofi-Aventis (consumption), Bbva (financial services), Eni
 Spa and Iberdrola (petroleum and energy) and Telefonica (technology and
 telecommunications). 
Journal: Applied Financial Economics 
Pages: 2085-2100 
Issue: 24 
Volume: 22 
Year: 2012 
Month: 12 
X-DOI: 10.1080/09603107.2012.697121 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.697121 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:22:y:2012:i:24:p:2085-2100




Template-Type: ReDIF-Article 1.0
Author-Name: Wen-Chung Guo 
Author-X-Name-First: Wen-Chung 
Author-X-Name-Last: Guo 
Author-Name: Chih-Ching Yang 
Author-X-Name-First: Chih-Ching 
Author-X-Name-Last: Yang 
Title: Are bank mergers procyclical or countercyclical? Theory and evidence from Taiwan 
Abstract:
  This work develops a theory of countercyclical bank mergers and finds
 supported empirical evidence in Taiwan. Procyclical (countercyclical)
 mergers tend to involve higher (lower) measures of merger activities
 during economic booms than downturns. Several previous studies suggest
 that bank mergers are procyclical in developed countries, possibly driven
 by the higher capital liquidity that accompanies an economic expansion.
 Alternatively, this work emphasizes the role of economic situation and the
 government in bank mergers. Our results suggest that the depressed
 industrial situation, which leads to severe competitive market and
 impoverished revenue basis, drives banks to increase their market share
 for reducing competition through merger with the merger cost as low as
 possible by utilizing government's offering and the beneficial condition
 of stock market. Merger activities may be explained by the motivation of
 generating higher profit and able to survive, whereas the banks with
 insufficient competitiveness are more likely to suffer serious loss and
 thus forced to be merged. 
Journal: Applied Financial Economics 
Pages: 1-14 
Issue: 1 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.699183 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.699183 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:1-14




Template-Type: ReDIF-Article 1.0
Author-Name: George Milunovich 
Author-X-Name-First: George 
Author-X-Name-Last: Milunovich 
Author-Name: Antony Tan 
Author-X-Name-First: Antony 
Author-X-Name-Last: Tan 
Title: Testing for contagion in US industry portfolios -- a four-factor pricing approach 
Abstract:
  We conduct an empirical investigation into the financial contagion
 hypothesis in the context of 12 US industry portfolios. Using a
 four-factor asset pricing model we measure contagion as the excess
 co-movement between idiosyncratic portfolio shocks, and test for an
 increase in the frequency of contagion during the 2007--2009 crisis
 sub-sample. We find evidence of 22 instances of financial contagion during
 the noncrisis sample period, and 21 such occurrences during the 2007--2009
 crisis period, at the 5% level. It appears that the frequency of contagion
 remained steady or declined during the crisis for the industries that had
 a relatively high frequency of contagion prior to the crisis, but
 increased for those industries that had relatively few such incidences.
 Interestingly, the financial sector exhibited the least number of
 contagion instances across both crisis and noncrisis periods. 
Journal: Applied Financial Economics 
Pages: 15-26 
Issue: 1 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.699185 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.699185 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:15-26




Template-Type: ReDIF-Article 1.0
Author-Name: Takashi Miyazaki 
Author-X-Name-First: Takashi 
Author-X-Name-Last: Miyazaki 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: Testing for causality between the gold return and stock market performance: evidence for &#x2018;gold investment in case of emergency&#x2019; 
Abstract:
  This article investigates the causal relationships between gold and stock
 market performance or uncertainty by employing nonuniform weighting
 cross-correlations. In our sample period covering the last decade, we
 detect a unidirectional causality in mean from stock to gold, but find no
 causality in variance between the two. For subsample periods divided into
 pre- and post-current financial crisis, although we detect bidirectional
 causality in mean for the first sample period, there exists only a
 unilateral causality in mean and variance from stock to gold for the
 second sample period. These findings imply that flight-to-quality has
 occurred during the recent financial turmoil. 
Journal: Applied Financial Economics 
Pages: 27-40 
Issue: 1 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.699184 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.699184 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:27-40




Template-Type: ReDIF-Article 1.0
Author-Name: Makoto Nakano 
Author-X-Name-First: Makoto 
Author-X-Name-Last: Nakano 
Author-Name: Pascal Nguyen 
Author-X-Name-First: Pascal 
Author-X-Name-Last: Nguyen 
Title: Foreign ownership and firm performance: evidence from Japan's electronics industry 
Abstract:
  Foreign investors have in recent years increased their ownership of
 Japanese firms. Has this greater involvement contributed to improve firm
 performance? We show that the answer depends on the assumptions regarding
 the unobservable firm effects. If the latter are assumed to be time
 invariant, as in most existing studies, the influence of foreign investors
 appears to be positive. However, unobserved firm characteristics are
 unlikely to be constant in the case of electronics firms. Using dynamic
 panel data estimation, we show that the effect of foreign ownership on
 operating profits has been initially insignificant, but is starting to
 show up strongly in the more recent period. On the other hand, the
 immediate impact has been to raise expectations about future firm
 performance. 
Journal: Applied Financial Economics 
Pages: 41-50 
Issue: 1 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.705425 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.705425 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:41-50




Template-Type: ReDIF-Article 1.0
Author-Name: Y. Hammami 
Author-X-Name-First: Y. 
Author-X-Name-Last: Hammami 
Title: Momentum investing across economic states: evidence of market inefficiency in good times 
Abstract:
  Hammami (2011) contends that excessive optimism and overconfidence arise
 naturally in good times when the economy is strong. This implies that
 market inefficiency might occur principally in good times. To examine this
 hypothesis, we investigate the momentum strategy (buying recent winners
 and selling recent losers) across economic states. We find that the
 profitability of the momentum strategy in the US stock market appears only
 in periods in which the expected market risk premium is low (good times).
 Traditional explanations based on seasonal effects or systematic risk do
 not account for the abnormal returns generated by momentum investing in
 good times. Alternatively, we discover that the profitability of the
 momentum strategy disappears in the post-1993 sample (following the
 discovery of momentum), which is consistent with the view that if momentum
 is an anomaly, then it will not appear in future data. These findings are
 viewed as evidence that the momentum anomaly is a market inefficiency,
 which has appeared especially in good times. 
Journal: Applied Financial Economics 
Pages: 51-56 
Issue: 1 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.705426 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.705426 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:51-56




Template-Type: ReDIF-Article 1.0
Author-Name: Linlan Xiao 
Author-X-Name-First: Linlan 
Author-X-Name-Last: Xiao 
Title: Realized volatility forecasting: empirical evidence from stock market indices and exchange rates 
Abstract:
  This study evaluates the performance of four models for predicting daily
 realized volatility of S&P 500 index (SPX), Dow Jones Industry Average
 (DJIA), Canadian dollar (CAD/USD) and British Pound (USD/GBP) exchange
 rates. The competing models include a Simple Regression Model (SRM),
 Stochastic Volatility model with Lagged inter-temporal dependence (SVL),
 Stochastic Volatility model with Contemporaneous dependence (SVC), and a
 Heterogeneous Autoregressive (HAR) model. The main purpose is to examine
 whether allowing asymmetric relationships between return and volatility
 and leptokurtosis, or modelling the long-memory behaviour of volatility,
 would result in an improvement in forecast accuracy. Different approaches
 are considered when constructing daily realized volatility. Employing
 realized volatility in the in-sample estimation, the procedure is
 straightforward. The famous Diebold and Mariano's (1995) robust tests are
 applied to investigate whether the competing models provide equally
 accurate forecasts. Four different measures are used to evaluate the
 forecasting accuracy. The results suggest that allowing asymmetric
 behaviour and leptokurtosis do not seem to improve point forecasts,
 whereas modelling long-memory behaviour seems to. 
Journal: Applied Financial Economics 
Pages: 57-69 
Issue: 1 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.707769 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.707769 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:57-69




Template-Type: ReDIF-Article 1.0
Author-Name: Miwa Nakai 
Author-X-Name-First: Miwa 
Author-X-Name-Last: Nakai 
Author-Name: Keiko Yamaguchi 
Author-X-Name-First: Keiko 
Author-X-Name-Last: Yamaguchi 
Author-Name: Kenji Takeuchi 
Author-X-Name-First: Kenji 
Author-X-Name-Last: Takeuchi 
Title: Sustainability membership and stock price: an empirical study using the Morningstar-SRI Index 
Abstract:
  This article investigates how investors evaluate a membership of
 sustainability index. By using the data on the Morningstar Socially
 Responsible Investment Index from 2003 to 2010, we estimate the impact of
 inclusion on and exclusion from the Index on the stock price. Result shows
 that the inclusion on the index was evaluated significantly positively,
 while the removal from the index did not lead to a significant drop in
 share prices. We also found that the average cumulative abnormal returns
 were negative in the earlier years but positive in later years. This could
 be due to change in appreciation of the concept of corporate social
 responsibility by investors throughout the years. 
Journal: Applied Financial Economics 
Pages: 71-77 
Issue: 1 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.709602 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.709602 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:71-77




Template-Type: ReDIF-Article 1.0
Author-Name: Marie Steen 
Author-X-Name-First: Marie 
Author-X-Name-Last: Steen 
Author-Name: Ole Gjolberg 
Author-X-Name-First: Ole 
Author-X-Name-Last: Gjolberg 
Title: Are commodity markets characterized by herd behaviour? 
Abstract:
  Twenty years ago, Pindyck and Rotemberg concluded that commodity prices
 exhibited excessive co-movements and that commodity markets were
 characterized by herd behaviour. The herding hypothesis has recently
 experienced a revival. A number of studies have concluded that commodities
 have become &#x2018;financialized&#x2019; and contaminated by the stock
 market because of the large influx of hedge funds, index trackers and
 financial investors. Analysing monthly prices of 20 commodities for the
 period 1986--2010, we find that there has been a tendency toward increased
 co-movements across commodities and between commodities and the stock
 market after 2004. However, this result is mainly driven by the extreme
 price movements after 2008. There is no strong evidence of
 financialization or contamination from the market activities of financial
 investors prior to 2008. 
Journal: Applied Financial Economics 
Pages: 79-90 
Issue: 1 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.707770 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.707770 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:79-90




Template-Type: ReDIF-Article 1.0
Author-Name: Qing Xu 
Author-X-Name-First: Qing 
Author-X-Name-Last: Xu 
Author-Name: Terry Childs 
Author-X-Name-First: Terry 
Author-X-Name-Last: Childs 
Title: Evaluating forecast performances of the quantile autoregression models in the present global crisis in international equity markets 
Abstract:
  In this research, we compare the one-step-ahead out-of-sample forecast
 performances of the linear Quantile Autoregression (QAR) model as well as
 the latest sophisticated nonlinear copula-based QAR models for four daily
 equity index returns during the current financial tumultuous period. In
 addition, two Conditional Autoregressive Value-at-Risk (CAViaR) models
 proposed by Engle and Manganelli (2004) are also considered. In order to
 obtain the robust evaluation results, we estimate the time-varying
 parameters via two forecasting schemes (recursive and rolling) and examine
 the accuracy of the Value-at-Risk (VaR) forecast by three different test
 procedures. Our main findings are that the CAViaR models provide good
 forecast performance in most cases and they are superior to both linear
 and nonlinear copula-based QAR models. 
Journal: Applied Financial Economics 
Pages: 105-117 
Issue: 2 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.709601 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.709601 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:105-117




Template-Type: ReDIF-Article 1.0
Author-Name: David Moreno 
Author-X-Name-First: David 
Author-X-Name-Last: Moreno 
Author-Name: Rosa Rodr�guez 
Author-X-Name-First: Rosa 
Author-X-Name-Last: Rodr�guez 
Title: Optimal diversification across mutual funds 
Abstract:
  We evaluate a strategy that minimizes the specific risk of investing in a
 reasonable number of mutual funds. Our results are consistent with the
 previous studies, which suggest that actively managed mutual funds are not
 totally diversified. Our strategy behaves well in terms of
 diversification, not only in-sample but also out-of-sample. Using
 different benchmarks, minimizing idiosyncratic risk is also the best
 strategy for investors seeking alpha. 
Journal: Applied Financial Economics 
Pages: 119-122 
Issue: 2 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.711939 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.711939 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:119-122




Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Hearn 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Hearn 
Author-Name: Jenifer Piesse 
Author-X-Name-First: Jenifer 
Author-X-Name-Last: Piesse 
Title: A reassessment of stock market integration in SADC: the determinants of liquidity and price discovery in Namibia 
Abstract:
  The New Economic Partnership for Africa's Development (NEPAD) focuses on
 the benefits of integrating many smaller African markets with South Africa
 as the central hub, motivated by a wish to attract foreign investment and
 increase the liquidity. However, little attention has been paid to issues
 regarding the migration of liquidity and the loss of the price discovery
 mechanism in an integrated union where one market dominates. This article
 reviews this policy using the example of Namibia, which is the first
 market to be fully integrated with South Africa. Several established
 liquidity constructs are compared to determine their ability to explain
 the bid--ask spread plus a newly introduced measure of the proportion of
 daily zero returns, which captures the dynamics of the price discovery
 process and traders&#x2019; ability to trade on informational grounds that
 is found to be more appropriate in highly illiquid frontier markets, such
 as Namibia. Finally, there is evidence that liquidity (and illiquidity) is
 closely linked to the rule of law and institutional quality measures of
 the control of corruption, while the price-discovery process (and hence
 trader participation in markets) is highly sensitive to the control of
 corruption, political stability and regulatory quality. 
Journal: Applied Financial Economics 
Pages: 123-138 
Issue: 2 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.711938 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.711938 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:123-138




Template-Type: ReDIF-Article 1.0
Author-Name: Antonio Paradiso 
Author-X-Name-First: Antonio 
Author-X-Name-Last: Paradiso 
Title: What caused the equity withdrawal mechanism? An investigation using threshold cointegration and error correction 
Abstract:
  This work investigates the mortgage equity withdrawal mechanism in the US
 economy from an empirical perspective. Using the threshold cointegration
 test of Enders and Siklos (2001), which allows for asymmetric adjustment,
 we find a cointegrating relationship among mortgage equity withdrawal,
 house prices and interest rates. In particular, we find that the speed of
 adjustment towards equilibrium is highly persistent above the appropriate
 estimated threshold, namely in the presence of favourable news. This
 finding is consistent with the theory of habit formation (Duesenberry,
 1949) and conspicuous consumption (Veblen, 1899). Furthermore, this result
 helps to understand the complex issue of the consumption boom of the late
 1990s. 
Journal: Applied Financial Economics 
Pages: 139-148 
Issue: 2 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.711937 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.711937 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:139-148




Template-Type: ReDIF-Article 1.0
Author-Name: Enrica Bolognesi 
Author-X-Name-First: Enrica 
Author-X-Name-Last: Bolognesi 
Author-Name: Angela Gallo 
Author-X-Name-First: Angela 
Author-X-Name-Last: Gallo 
Title: The ex-date effect of rights issues: evidence from the Italian stock market 
Abstract:
  We investigate the effects on stock prices around the Ex-rights Dates
 (EDs) of rights offerings by firms listed on the Italian Stock Exchange.
 We focus on the period from January 2007 to April 2011, whereby several
 operations have been highly dilutive. Highly dilutive rights offerings
 show high subscription price discount of the new equities issued with
 respect to the prevailing stock market price. The anomalous behaviour of
 the prices attracted the attention of the Italian Authority for the
 Financial Markets (CONSOB). Our results demonstrate a significant average
 abnormal return of 5.85% on the ex-rights date, which is mostly driven by
 highly dilutive operations. In particular, we try to explain abnormal
 returns considering several variables related to the issue and to the
 issuer. We also control for differences across sectors. We find that the
 price-adjustment coefficient <italic>K</italic> explains most of the
 abnormal returns. We highlight that the stock price adjustment at the ED
 is so relevant in the case of highly dilutive operations to be similar to
 a stock splits and could have puzzled investors about the stock's fair
 price. Furthermore, we examine the consequences on the option rights
 market, the trading volume and the Italian derivative market. 
Journal: Applied Financial Economics 
Pages: 149-164 
Issue: 2 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.711936 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.711936 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:149-164




Template-Type: ReDIF-Article 1.0
Author-Name: N. Beneda 
Author-X-Name-First: N. 
Author-X-Name-Last: Beneda 
Title: The impact of hedging with derivative instruments on reported earnings volatility 
Abstract:
  This study uses a regression model and seeks to find an association
 between lower earnings volatility (dependent variable) and the use of
 hedging with derivatives (independent variable). Prior to the Statement of
 Financial Accounting Standard (SFAS) No. 133, <italic>Accounting for
 Derivative Instruments and Hedging Activities, </italic>issued in 1998 and
 implemented in 2002, there was no way to examine the impact of hedging,
 with derivative instruments, on reported earnings volatility without
 observing footnote disclosures. The results of the study indicate a strong
 association between the low reported earnings volatility and the firm use
 of derivative instruments for hedging. This study also indicates that the
 effectiveness in smoothing reported earnings by using cash flow hedging
 and the associated hedge accounting increases over the 8-year study
 period, after the implementation of SFAS No. 133, perhaps suggesting a
 learning curve for firm use. 
Journal: Applied Financial Economics 
Pages: 165-179 
Issue: 2 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.709599 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.709599 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:165-179




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Zhou 
Author-X-Name-First: Jian 
Author-X-Name-Last: Zhou 
Title: Extreme risk spillover among international REIT markets 
Abstract:
  This article studies extreme risk spillovers among international Real
 Estate Investment Trust (REIT) markets. We apply the procedure of Granger
 causality in risk to six major markets. Our full-sample (1991--2010)
 results suggest that strong risk spillovers, which could be unidirectional
 or bidirectional, are not universal across markets. Moreover, downside
 spillovers are found generally more common and stronger than upside
 spillovers. Further analyses based on three subsamples indicate that risk
 spillover has become more frequent and stronger over time. This adds onto
 the evidence of increasing financial integration. Taken together, our
 findings have important implications for international portfolio
 diversification and risk management. 
Journal: Applied Financial Economics 
Pages: 91-103 
Issue: 2 
Volume: 23 
Year: 2013 
Month: 1 
X-DOI: 10.1080/09603107.2012.709600 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.709600 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:91-103




Template-Type: ReDIF-Article 1.0
Author-Name: Kinga Niemczak 
Author-X-Name-First: Kinga 
Author-X-Name-Last: Niemczak 
Author-Name: Graham Smith 
Author-X-Name-First: Graham 
Author-X-Name-Last: Smith 
Title: Middle Eastern stock markets: absolute, evolving and relative efficiency 
Abstract:
  The martingale hypothesis is tested for 11 Middle Eastern stock markets
 using three finite sample variance ratio tests. For comparative purposes,
 the same tests are applied to data obtained for the US. The tests are
 carried out with both observed returns and returns corrected for thin
 trading, so the effect of the thin trading correction is evident. A
 rolling window is used to track the changes in efficiency through time and
 rank markets by the relative efficiency. Overall, most markets experience
 successive periods of efficiency and inefficiency, which is consistent
 with the adaptive markets hypothesis. Predictability varies widely: the
 least predictable stock markets are those located in Turkey, Egypt and
 Israel; the most predictable are in Jordan, Lebanon and Saudi Arabia. When
 returns are corrected for thin trading, there is much less variation in
 relative efficiency. 
Journal: Applied Financial Economics 
Pages: 181-198 
Issue: 3 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.714068 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.714068 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:3:p:181-198




Template-Type: ReDIF-Article 1.0
Author-Name: Stanley Peterburgsky 
Author-X-Name-First: Stanley 
Author-X-Name-Last: Peterburgsky 
Author-Name: Yini Yang 
Author-X-Name-First: Yini 
Author-X-Name-Last: Yang 
Title: Diversification potential of ADRs, country funds and underlying stocks across economic conditions 
Abstract:
  We study the relative diversification potential of American Depository
 Receipts (ADRs) as compared to the underlying shares as well as the
 relative diversification potential of closed-end country funds as compared
 to the foreign market indexes across various economic conditions. We find
 that, based on daily return correlations, direct access to foreign stocks
 is most advantageous in bad times. Specifically, we construct several
 measures of the US stock market's and the US economy's effect on the
 benefits of including ADRs and country funds in equity portfolios. For all
 measures, we find that the underlying shares are more useful for
 diversification purposes than ADRs and country funds when the US stock
 market returns are low and when the US economy is underperforming.
 However, there is no evidence of differential benefits of relative
 diversification when we examine measures based on monthly Sharpe ratios.
 We discuss potential reasons for the discrepancies between our
 correlation-based and Sharpe ratio-based results, and conclude that the
 direct access to foreign markets is most valuable in periods of greatest
 need. 
Journal: Applied Financial Economics 
Pages: 199-219 
Issue: 3 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.714069 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.714069 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:3:p:199-219




Template-Type: ReDIF-Article 1.0
Author-Name: Dmitri Boreiko 
Author-X-Name-First: Dmitri 
Author-X-Name-Last: Boreiko 
Author-Name: Stefano Lombardo 
Author-X-Name-First: Stefano 
Author-X-Name-Last: Lombardo 
Title: Lockup clauses in Italian IPOs 
Abstract:
  Virtually all Initial Public Offering (IPO) prospectuses feature lockup
 provisions that limit pre-IPO shareholders&#x2019; share sale for some
 period of time after negotiations start. The aim of this article is to
 analyse voluntary lockups in Italy. We show that lockups are considerably
 longer and heterogeneous compared to the US or European evidences, and
 their duration and size serve primarily as a commitment device to
 alleviate the moral hazard problem faced by incumbent shareholders. We
 document considerable differences in lockup clauses among main shareholder
 classes, with venture capitalists and outside investors having
 considerably lower percentages of owned shares restricted for sale and
 with significantly shorter lockup durations. We also show that abnormal
 returns around the lockup expiration dates are associated solely with
 Venture-Capital (VC)-backed IPOs. 
Journal: Applied Financial Economics 
Pages: 221-232 
Issue: 3 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.714067 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.714067 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:3:p:221-232




Template-Type: ReDIF-Article 1.0
Author-Name: Marco Realdon 
Author-X-Name-First: Marco 
Author-X-Name-Last: Realdon 
Title: Revisiting the pricing of commodity futures and forwards 
Abstract:
  This article presents a collection of results and formulae for pricing
 commodity futures, futures options and forward contracts. These results
 extend previous work by Schwartz (1997). Unlike in Hilliard and Reis
 (1998), the model in this article predicts that jumps in the spot price
 affect futures and forward prices. Regime changes in the mean reversion
 level and in the volatility of spot prices also affect futures and forward
 prices. The discrete time setting, as the continuous time one, provides
 tractable pricing formulae, but it seems preferable to the continuous time
 setting for econometric estimation. In discrete time the market price of
 risk that affects futures and forwards can be more freely specified. 
Journal: Applied Financial Economics 
Pages: 233-240 
Issue: 3 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.665594 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.665594 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:3:p:233-240




Template-Type: ReDIF-Article 1.0
Author-Name: Rodrigo Zeidan 
Author-X-Name-First: Rodrigo 
Author-X-Name-Last: Zeidan 
Author-Name: Bruno Rodrigues 
Author-X-Name-First: Bruno 
Author-X-Name-Last: Rodrigues 
Title: The failure of risk management for nonfinancial companies in the context of the financial crisis: lessons from Aracruz Celulose and hedging with derivatives 
Abstract:
  The main contribution of this article is to present hard evidence on
 hedging strategies and relate it to behavioural and agency problems
 resulting from speculation with derivatives. We focus on the case of
 Aracruz Celulose. We show how the real hedge position of Aracruz -- that
 lost US2.1 billion in currency derivatives -- deviated from its optimal
 hedge as the result of speculation with Over-the-Counter (OTC)
 derivatives. 
Journal: Applied Financial Economics 
Pages: 241-250 
Issue: 3 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.714070 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.714070 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:3:p:241-250




Template-Type: ReDIF-Article 1.0
Author-Name: Dave Berger 
Author-X-Name-First: Dave 
Author-X-Name-Last: Berger 
Title: Financial turbulence and beta estimation 
Abstract:
  This study identifies periods of turbulence within financial markets.
 Capital Asset Pricing Model (CAPM) betas estimated during tranquil periods
 exhibit little relation between estimated risk and average returns, and
 further, a majority of considered portfolios exhibit significant abnormal
 performance, given the tranquil or full-sample beta estimate. However,
 betas estimated from turbulent subperiods exhibit a strong relation
 between risk and return. Further, given turbulent betas, the observed
 performance is frequently consistent with the CAPM. Market betas for small
 and value portfolios increase during turbulent periods, indicating that
 the risk of these portfolios is greater than those indicated by standard
 betas. 
Journal: Applied Financial Economics 
Pages: 251-263 
Issue: 3 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.718065 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.718065 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:3:p:251-263




Template-Type: ReDIF-Article 1.0
Author-Name: Francesco Guidi 
Author-X-Name-First: Francesco 
Author-X-Name-Last: Guidi 
Author-Name: Rakesh Gupta 
Author-X-Name-First: Rakesh 
Author-X-Name-Last: Gupta 
Title: Market efficiency in the ASEAN region: evidence from multivariate and cointegration tests 
Abstract:
  The aim of this article is to investigate the Efficient Market Hypothesis
 (EMH) for the Association of Southeast Asian Nations&#x2019; (ASEAN) stock
 markets for the period January 2000 to April 2011. We test whether these
 markets are efficient individually and collectively using a number of
 statistical tests. We reject the EMH for the stock markets of Indonesia,
 Malaysia, the Philippines and Vietnam. We find stock markets in Singapore
 and Thailand are weak-form efficient. We also find that collectively these
 markets do not follow the same trend; this means that prices from one
 market are not predictable in terms of information in another. 
Journal: Applied Financial Economics 
Pages: 265-274 
Issue: 4 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.718064 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.718064 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:265-274




Template-Type: ReDIF-Article 1.0
Author-Name: Issouf Soumar� 
Author-X-Name-First: Issouf 
Author-X-Name-Last: Soumar� 
Author-Name: Edoh Kossi Am�nounv� 
Author-X-Name-First: Edoh Kossi 
Author-X-Name-Last: Am�nounv� 
Author-Name: Ousmane Diop 
Author-X-Name-First: Ousmane 
Author-X-Name-Last: Diop 
Author-Name: Dramane M�it� 
Author-X-Name-First: Dramane 
Author-X-Name-Last: M�it� 
Author-Name: Yao   Djifa N'sougan 
Author-X-Name-First: Yao   Djifa 
Author-X-Name-Last: N'sougan 
Title: Applying the CAPM and the Fama--French models to the BRVM stock market 
Abstract:
  This article applies and compares two asset-pricing models -- the Capital
 Asset Pricing Model (CAPM) and the Fama--French three-factor pricing model
 -- on the stocks of 28 companies listed on the Bourse R�gionale des
 Valeurs Mobili&#xE8;res (BRVM) for the period July 2001--December 2008. We
 find that 11 stocks satisfy the CAPM, and the market risk factor explains
 an average of only 11.32% of the excess stock return variations. When we
 apply the Fama--French model, we find that 10 of the 28 stocks satisfy the
 model's hypotheses and equations: for most of these securities, a
 CAPM-type model specification is rejected. When we add the size and
 book-to-market explanatory factors, the average adjusted
 <italic>R</italic> -super-2 increases to 20.40%. Both models, however,
 failed to explain the variations in returns of at least 60% of the stocks
 listed on this market. 
Journal: Applied Financial Economics 
Pages: 275-285 
Issue: 4 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.718062 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.718062 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:275-285




Template-Type: ReDIF-Article 1.0
Author-Name: Mahalia Jackman 
Author-X-Name-First: Mahalia 
Author-X-Name-Last: Jackman 
Author-Name: Roland Craigwell 
Author-X-Name-First: Roland 
Author-X-Name-Last: Craigwell 
Author-Name: Michelle Doyle-Lowe 
Author-X-Name-First: Michelle 
Author-X-Name-Last: Doyle-Lowe 
Title: Nonlinearity in the reaction of the foreign exchange market to interest rate differentials: evidence from a small open economy with a long-term peg 
Abstract:
  This article incorporates the Castle and Hendry (2010) portmanteau test
 into an Exponential Generalized Autoregressive Conditional
 Hetroscedasticity in Mean (EGARCH-M) model to investigate nonlinearities
 in the reaction of daily foreign exchange activity to the interest rate
 differential between the US and Barbados -- a small open economy which has
 been pegged to the US dollar for over 35 years. The results suggest that
 changes in the interest differential have a significant and nonlinear
 effect on the Barbadian foreign exchange market. The linear spread term is
 positive, and so is in line with a theory of uncovered interest parity for
 an economy with a fixed exchange rate. But, all other spread coefficients
 have a negative sign, implying that asymmetry is present. Thus, it is
 possible that there is a threshold at which foreign currencies no longer
 conform to the uncovered interest parity condition, but rather are
 negatively correlated with interest spreads. Finally, these findings were
 consistent in the pre-financial crisis analysis. 
Journal: Applied Financial Economics 
Pages: 287-296 
Issue: 4 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.718063 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.718063 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:287-296




Template-Type: ReDIF-Article 1.0
Author-Name: Mercedes Alda 
Author-X-Name-First: Mercedes 
Author-X-Name-Last: Alda 
Author-Name: Luis Ferruz 
Author-X-Name-First: Luis 
Author-X-Name-Last: Ferruz 
Author-Name: Liam   A. Gallagher 
Author-X-Name-First: Liam   A. 
Author-X-Name-Last: Gallagher 
Title: Performance of Spanish pension funds: robust evidence from alternative models 
Abstract:
  This article investigates the performance of Spanish pension funds using
 a range of linear and nonlinear performance models. As the sample presents
 characteristics of higher-order moments, traditional performance measures
 are distorted. We generate alternative performance models which include
 higher-order risk factors that model skewness and kurtosis; factors that
 capture nonlinearity inherent in some of the underlying assets used in
 pension funds. The results suggest that Spanish pension funds exhibit
 positive market timing and selectivity ability. Moreover, this positive
 performance is robust to the model used to adjust performance for risk,
 including the higher-order risk factors. The stronger performing pension
 funds have a higher exposure to size and book-to-market risk. Also,
 small-sized funds and funds with less volatility exhibit stronger
 <inline-formula id="ILM0001"> <inline-graphic
 xmlns:xlink="http://www.w3.org/1999/xlink"
 xlink:href="rafe_a_720011_o_ilm0001.gif"/> </inline-formula> performance. 
Journal: Applied Financial Economics 
Pages: 297-314 
Issue: 4 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.720011 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.720011 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:297-314




Template-Type: ReDIF-Article 1.0
Author-Name: Yujia Huang 
Author-X-Name-First: Yujia 
Author-X-Name-Last: Huang 
Author-Name: Jiawen Yang 
Author-X-Name-First: Jiawen 
Author-X-Name-Last: Yang 
Author-Name: Yongji Zhang 
Author-X-Name-First: Yongji 
Author-X-Name-Last: Zhang 
Title: Value premium in the Chinese stock market: free lunch or paid lunch? 
Abstract:
  In this article we find that value premium exist throughout our sample
 period 1998--2008. However, the predictability of Book-to-Market (B/M)
 ratio appears to be unrelated with financial distress risk. In fact, value
 stocks are less risky than growth stocks in terms of return volatility and
 estimated financial distress risk. Further, our results suggest that the
 factor Value Minus Growth (VMG), which is directly related to value
 premium, is not a pervasive risk measure compared to the market factor and
 Small Minus Big (SMB) factor. While the size effect seems to be closely
 related to distress risk, both size and B/M factors do not appear to be
 driven by financial distress risk. 
Journal: Applied Financial Economics 
Pages: 315-324 
Issue: 4 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.720010 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.720010 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:315-324




Template-Type: ReDIF-Article 1.0
Author-Name: Chi   Ming Ho 
Author-X-Name-First: Chi   Ming 
Author-X-Name-Last: Ho 
Title: Private information, overconfidence and intraday trading behaviour: empirical study of the Taiwan stock market 
Abstract:
  This study discusses the interaction between private information,
 overconfidence and intraday trading behaviour. Six thousand items
 consisting of 5-minute intervals of microstructure data in Taiwan market
 were collected and analysed during the period from September 2010 to the
 end of February 2011. Several important conclusions are obtained after
 Vector Autoregressive (VAR), Analysis of Variance (ANOVA) and Granger
 causality analyses of these data. First, when there is more private
 information in the market, the degree of overconfidence among investors is
 higher. Second, when private information and turnover rate are considered,
 the trading volume and return volatility show either a leading or a
 lagging relationship. Third, the appearance of private information is
 highest during opening and closing and has a mutual causal relationship
 with the trading volume. Fourth, the variation of private information
 reaches its maximum during opening, which is the primary factor that
 affects return volatility. Fifth, the January effect does not affect the
 sequence of trading volume and return volatility. Furthermore, return
 volatility is greatly influenced by the turnover rate; a high
 overconfidence among investors unfavourably impacts the stable development
 of the stock market. 
Journal: Applied Financial Economics 
Pages: 325-345 
Issue: 4 
Volume: 23 
Year: 2013 
Month: 2 
X-DOI: 10.1080/09603107.2012.720012 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.720012 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:325-345




Template-Type: ReDIF-Article 1.0
Author-Name: Muhamed Zulkhibri 
Author-X-Name-First: Muhamed 
Author-X-Name-Last: Zulkhibri 
Title: Bank-characteristics, lending channel and monetary policy in emerging markets: bank-level evidence from Malaysia 
Abstract:
  This article analyses the effects of bank-specific characteristics, bank
 specialization and portfolio concentrations on the transmission of
 monetary policy via the bank-lending channel in Malaysia, a fairly
 well-developed financial system, using the dynamic panel regression
 estimation. The results provide evidence in favour of the bank-lending
 channel theory that the bank-lending channel operating via small- and
 low-liquidity banking entities. Furthermore, the evidence suggests that
 the dividing lines between different categories of financial institutions
 distinguished by differences in both market and regulatory structures,
 influence the way the financial institutions react to a monetary policy
 shock, of which finance companies react stronger than commercial banks.
 The results also suggest that banks with a higher level of corporate loan
 concentration experience greater financial constraint and limited access
 to other source finance. 
Journal: Applied Financial Economics 
Pages: 347-362 
Issue: 5 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.725927 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.725927 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:5:p:347-362




Template-Type: ReDIF-Article 1.0
Author-Name: Stephen Norman 
Author-X-Name-First: Stephen 
Author-X-Name-Last: Norman 
Author-Name: Kerk Phillips 
Author-X-Name-First: Kerk 
Author-X-Name-Last: Phillips 
Title: What is the shape of real exchange rate nonlinearity? 
Abstract:
  Evidence that real exchange rate dynamics can be described using models
 which exhibit nonlinear mean reversion has been mounting over the past
 decade. This article attempts to better understand the shape of real
 exchange rate nonlinearity through the use of the Smooth Transition
 Autoregressive (STAR) model and the newly proposed skewed generalized
 error transition function. The advantage of this transition function it
 that it nests popularly used transition functions through simple parameter
 constraints. This allows the use of nested model selection tests. It is
 shown that more flexible transition functions are preferred in many cases
 over the commonly used exponential transition function. The results
 suggest that most of the real exchange rates studied in this article are
 better described by discrete threshold models rather than STAR models. 
Journal: Applied Financial Economics 
Pages: 363-375 
Issue: 5 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.718066 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.718066 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:5:p:363-375




Template-Type: ReDIF-Article 1.0
Author-Name: Shujie Yao 
Author-X-Name-First: Shujie 
Author-X-Name-Last: Yao 
Author-Name: Dan Luo 
Author-X-Name-First: Dan 
Author-X-Name-Last: Luo 
Author-Name: Lixia Loh 
Author-X-Name-First: Lixia 
Author-X-Name-Last: Loh 
Title: On China's monetary policy and asset prices 
Abstract:
  This article investigates the dynamic and long-run relationships between
 the monetary policy and asset prices in China using monthly data from June
 2005 to February 2012. Johansen's cointegration approach based on the
 Vector Autoregression (VAR) and the Granger causality test are used to
 identify the long-run relationships and directions of causality between
 asset prices and monetary variables. Empirical results show that monetary
 policies have little immediate effect on asset prices, suggesting that
 Chinese investors may be &#x2018;irrational&#x2019; and
 &#x2018;speculative&#x2019;. Instead of running away from the market,
 investors rush to buy houses or shares whenever tightening monetary
 actions are taken. Such seemingly irrational and speculative behaviour can
 be explained by various social and economic factors, including the lack of
 investment channels, market imperfections, cultural traditions,
 urbanization and demographic changes. The results have two important
 policy implications. First, China's central bank has not used and should
 not use interest rate alone to maintain macro-economic stability. Second,
 both monetary and nonmonetary policies should be deployed when asset
 bubbles loom large to avoid devastating consequences when they burst. 
Journal: Applied Financial Economics 
Pages: 377-392 
Issue: 5 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.725929 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.725929 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:5:p:377-392




Template-Type: ReDIF-Article 1.0
Author-Name: C. Liu 
Author-X-Name-First: C. 
Author-X-Name-Last: Liu 
Author-Name: C. Y. Chung 
Author-X-Name-First: C. Y. 
Author-X-Name-Last: Chung 
Title: SEO underpricing in China's stock market: a stochastic frontier approach 
Abstract:
  This article studies a sample of 225 Chinese A-share Seasoned Equity
 Offerings (SEOs) from 1999 to 2007. We compare a novel underpricing
 measure with a Stochastic Frontier Approach (SFA) as in Koop and Li (2001)
 to the conventional measure based on the difference between primary market
 price and secondary market price. We find that SEO underpricing exists in
 China's stock market, but there is a vast discrepancy between the
 magnitudes under the two different measures. Also, our empirical results
 show that the main determinants of the underpricing are associated with
 high asymmetric information among underwriters, issuers and investors,
 which is unsurprisingly pronounced in emerging markets such as that of
 China. 
Journal: Applied Financial Economics 
Pages: 393-402 
Issue: 5 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.707771 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.707771 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:5:p:393-402




Template-Type: ReDIF-Article 1.0
Author-Name: Juho Kanniainen 
Author-X-Name-First: Juho 
Author-X-Name-Last: Kanniainen 
Author-Name: Tero Halme 
Author-X-Name-First: Tero 
Author-X-Name-Last: Halme 
Title: Calibrated GARCH models and exotic options 
Abstract:
  This article examines the differences between various Generalized
 Autoregressive Conditional Heteroscedastics (GARCH) models in pricing
 exotic options, given that the models have been calibrated on the same
 data sets using information on both returns and plain vanilla options. We
 focused on four widely recognized specifications: the
 <italic>Heston--Nandi</italic> (HN), <italic>Leverage</italic>,
 <italic>News</italic> and <italic>Power</italic> models, of which the
 first is an affine model, and the others represent the family of nonaffine
 models. First, we found that when the models were calibrated using option
 data, the previously reported superiority of nonaffine models over the
 <italic>HN</italic> in option pricing may not be generally true. On the
 other hand, the <italic>HN</italic>, <italic>Leverage</italic> and
 <italic>News</italic> models priced various exotic options quite
 similarly; but contrary to the others, the <italic>Power</italic> model
 yielded somewhat abnormal prices, especially for barrier options. Using
 the Maximum Likelihood Estimation (MLE) approach with return data,
 however, yielded different conclusions. Especially with long in-sample
 periods on stock returns, the nonaffine characterizations may outperform
 the <italic>HN</italic> model in terms of both the likelihood value and
 the European option pricing error, and in this case, the nonaffine models
 also price exotics differently than the <italic>HN</italic> model. We also
 demonstrated that different estimation approaches can affect exotic prices
 substantially. 
Journal: Applied Financial Economics 
Pages: 403-414 
Issue: 5 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.725928 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.725928 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:5:p:403-414




Template-Type: ReDIF-Article 1.0
Author-Name: Oluwarotimi Owolabi 
Author-X-Name-First: Oluwarotimi 
Author-X-Name-Last: Owolabi 
Author-Name: Sarmistha Pal 
Author-X-Name-First: Sarmistha 
Author-X-Name-Last: Pal 
Title: Does business networking boost firms&#x2019; external financing opportunities? Evidence from Central and Eastern Europe 
Abstract:
  This article argues that networked firms are likely to have an advantage
 in securing bank finance in countries with weak legal and judicial
 institutions since it helps banks and other financial institutions to
 minimize the underlying agency costs of lending. An analysis of recent
 Business Environment and Enterprise Performance Survey (BEEPS) data from
 15 Central and Eastern European (CEE) countries lends some support to this
 hypothesis. Even after controlling for other factors, firms affiliated to
 Business Associations (BA) are more likely to secure bank finance.
 Further, the importance of business networking is particularly evident
 among firms who borrow from private domestic banks, as these new banks
 attempt to minimize costs of adverse selection. There is also some
 confirmation that the significance of networking disappears with
 improvement in institutional quality. 
Journal: Applied Financial Economics 
Pages: 415-432 
Issue: 5 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.725930 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.725930 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:5:p:415-432




Template-Type: ReDIF-Article 1.0
Author-Name: F. Arizala 
Author-X-Name-First: F. 
Author-X-Name-Last: Arizala 
Author-Name: E. Cavallo 
Author-X-Name-First: E. 
Author-X-Name-Last: Cavallo 
Author-Name: A. Galindo 
Author-X-Name-First: A. 
Author-X-Name-Last: Galindo 
Title: Financial development and TFP growth: cross-country and industry-level evidence 
Abstract:
  This article estimates the impact of financial development on
 industry-level Total Factor Productivity (TFP) growth using a largely
 unexploited panel of 77 countries with data for 26 manufacturing
 industries for the years 1965 to 2003. A significant relationship is found
 between financial development and industry-level TFP growth when
 controlling for country-time and industry-time fixed effects. The results
 are both statistically and economically significant. TFP growth can
 accelerate up to 0.6% per year, depending on the external finance
 requirement of industries, following a one SD increase in financial
 development. The results are robust to different samples and
 specifications. 
Journal: Applied Financial Economics 
Pages: 433-448 
Issue: 6 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.725931 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.725931 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:6:p:433-448




Template-Type: ReDIF-Article 1.0
Author-Name: Hsu-Huei Huang 
Author-X-Name-First: Hsu-Huei 
Author-X-Name-Last: Huang 
Author-Name: Min-Lee Chan 
Author-X-Name-First: Min-Lee 
Author-X-Name-Last: Chan 
Title: Long-term stock returns after a substantial increase in the debt ratio 
Abstract:
  Prior studies consistently indicate that the announcement of an increase
 in the debt ratio will be accompanied by a rise in the stock price. In
 attempting to examine the long-term stock returns following a substantial
 increase in debt, this study shows that the stock price could negatively
 react to the increase in debt in some cases, and that only firms with less
 financial risk will experience positive long-term stock returns. In
 addition, firms with independent directors, with a CEO concurrently
 serving as the chairman of the board, that are controlled by a family or
 with low growth opportunities are more likely to experience a better
 long-term stock performance after an increase in debt, suggesting that
 board composition and growth opportunities play central roles in
 determining the long-term stock returns following an increase in the debt
 ratio. 
Journal: Applied Financial Economics 
Pages: 449-460 
Issue: 6 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.727971 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.727971 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:6:p:449-460




Template-Type: ReDIF-Article 1.0
Author-Name: Eric   A. Powers 
Author-X-Name-First: Eric   A. 
Author-X-Name-Last: Powers 
Author-Name: Sudipto Sarkar 
Author-X-Name-First: Sudipto 
Author-X-Name-Last: Sarkar 
Title: Setting the optimal make-whole call premium 
Abstract:
  With a make-whole call, the call price is calculated as the maximum of
 the par value and the present value of the bond's remaining payments
 discounted at the prevailing risk-free rate plus a pre-specified spread
 known as the make-whole premium. The commonly accepted thumb rule in the
 investment banking community is to set the make-whole premium at 15% of
 the at-issue credit spread. Using a standard structural model, we
 calculate the optimal make-whole call premium, i.e. the make-whole premium
 that maximizes the <italic>ex-ante</italic> firm value subject to managers
 following a second-best call policy that maximizes the
 <italic>ex-post</italic> equity value. For reasonable parameterizations,
 optimal make-whole premiums are relatively close to 15% of the
 model-generated credit spread. Thus, the 15% thumb rule provides
 surprisingly good guidance for setting make-whole call premiums. 
Journal: Applied Financial Economics 
Pages: 461-473 
Issue: 6 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.727972 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.727972 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:6:p:461-473




Template-Type: ReDIF-Article 1.0
Author-Name: Go Tamakoshi 
Author-X-Name-First: Go 
Author-X-Name-Last: Tamakoshi 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: An asymmetric DCC analysis of correlations among bank CDS indices 
Abstract:
  This study explores the time-varying correlations among the bank industry
 Credit Default Swap (CDS) indices for the EU, the UK and the US, using the
 asymmetric Dynamic Conditional Correlation (DCC) model developed by
 Cappiello <italic>et&#xA0;al</italic>. (2006). The main findings of the
 study include: (i) The correlations between each pair of bank CDS indices
 vary substantially over time. (ii) There is evidence of asymmetric dynamic
 correlations between the EU and the UK bank CDS indices. The correlations
 between them tend to be higher when responding to joint downward shocks.
 (iii) The conditional correlations between the US bank CDS and the UK and
 the EU bank CDS, respectively, exhibited significant drops immediately
 after the collapse of Lehman Brothers during the global financial crisis.
 (iv) The sovereign debt crisis dummy in Autoregressive (AR) models,
 applied to the estimated DCCs, is significantly positive for the UK and US
 bank CDSs, as shown by the increased correlations after the onset of the
 debt crisis. 
Journal: Applied Financial Economics 
Pages: 475-481 
Issue: 6 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.727973 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.727973 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:6:p:475-481




Template-Type: ReDIF-Article 1.0
Author-Name: Mohamed   El Hedi Arouri 
Author-X-Name-First: Mohamed   El Hedi 
Author-X-Name-Last: Arouri 
Author-Name: Fredj Jawadi 
Author-X-Name-First: Fredj 
Author-X-Name-Last: Jawadi 
Author-Name: Prosper Mouak 
Author-X-Name-First: Prosper 
Author-X-Name-Last: Mouak 
Title: Testing the efficiency of the aluminium market: evidence from London metal exchange 
Abstract:
  This article studies the efficiency of the aluminium market based on
 contracts traded on the London Metal Exchange (LME) over the last 3
 decades. We test for both short- and long-run efficiency using nonlinear
 cointegration and Error Correction Models (ECM). Our findings suggest the
 following points. First, futures aluminium prices are found to be
 cointegrated with spot prices, but they do not constitute unbiased
 predictors of future spot prices. Second, the hypothesis of risk
 neutrality is rejected, but there is no evidence in favour of a
 time-varying risk premia. Finally, using past futures price returns
 improves the modelling and forecast of future spot price returns and the
 short-run efficiency hypothesis is rejected by regime, in particular when
 the disequilibrium size between spot and futures prices is high. Our
 findings have important implications for producers, arbitrageurs,
 speculators as well as policymakers. 
Journal: Applied Financial Economics 
Pages: 483-493 
Issue: 6 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.727974 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.727974 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:6:p:483-493




Template-Type: ReDIF-Article 1.0
Author-Name: A. Dell&#x2019;Acqua 
Author-X-Name-First: A. 
Author-X-Name-Last: Dell&#x2019;Acqua 
Author-Name: L. L. Etro 
Author-X-Name-First: L. L. 
Author-X-Name-Last: Etro 
Author-Name: E. Teti 
Author-X-Name-First: E. 
Author-X-Name-Last: Teti 
Author-Name: P. Barbalace 
Author-X-Name-First: P. 
Author-X-Name-Last: Barbalace 
Title: Market value and corporate debt: the 2006--2010 international evidence 
Abstract:
  We analyse the differences in the financial debt level of firms both in
 market-oriented systems (the US, the UK) and bank-oriented systems
 (Germany, France and Italy) on a sample of 3360 listed companies between
 the period 2006 and 2010. Results indicate that the debt level is
 significantly higher in market-oriented systems when compared to the book
 value of equity. We find confirmation that Book-to-Market (BTM) cannot
 explain the debt level in bank-oriented systems but, contrary to reference
 literature, we observe that the BTM ratio has a negative influence on the
 debt level in market-oriented systems, especially in the United States. We
 claim different reasons to explain the evidence: (i) the financing
 standards of market-oriented countries, with an inflationary effect of
 market values on debt; (ii) an underlying activity for ownership
 protection and (iii) the unfavourable conditions of stock market over the
 years of the financial crisis that reduced the convenience of equity
 issuance. 
Journal: Applied Financial Economics 
Pages: 495-504 
Issue: 6 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.730129 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.730129 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:6:p:495-504




Template-Type: ReDIF-Article 1.0
Author-Name: Christian Pierdzioch 
Author-X-Name-First: Christian 
Author-X-Name-Last: Pierdzioch 
Author-Name: Jan-Christoph R&#xFC;lke 
Author-X-Name-First: Jan-Christoph 
Author-X-Name-Last: R&#xFC;lke 
Author-Name: Georg Stadtmann 
Author-X-Name-First: Georg 
Author-X-Name-Last: Stadtmann 
Title: Forecasting US housing starts under asymmetric loss 
Abstract:
  Survey data of forecasts of the housing market may provide a particularly
 rich data environment for researchers and policymakers to study
 developments in housing markets. Based on the approach advanced by Elliott
 <italic>et&#xA0;al</italic>. (2005), we studied the properties of a large
 set of survey data of housing starts in the United States. We document the
 heterogeneity of forecasts, analyse the shape of forecasters' loss
 function, study the rationality of forecasts and the temporal variation in
 forecasts. 
Journal: Applied Financial Economics 
Pages: 505-513 
Issue: 6 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.730130 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.730130 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:6:p:505-513




Template-Type: ReDIF-Article 1.0
Author-Name: Emma   M. Iglesias 
Author-X-Name-First: Emma   M. 
Author-X-Name-Last: Iglesias 
Author-Name: Andre   Yone Haughton 
Author-X-Name-First: Andre   Yone 
Author-X-Name-Last: Haughton 
Title: Interaction between monetary policy and stock prices: a comparison between the Caribbean and the US 
Abstract:
  We analyse the interaction between monetary policy and stock prices in
 Barbados, Jamaica and Trinidad and Tobago (T&T), both individually and
 jointly as the Caribbean countries using structural VARs, as proposed in
 Bjornland and Leitemo (2009). Annual and monthly frequencies are used for
 Barbados while, due to data availability constraints, only annual data is
 employed for Jamaica and T&T. First, our results show that in Barbados,
 with monthly (and annual) data, a monetary policy shock that increases the
 Treasury bill rate by 100 basis points causes stock prices to increase by
 0.038% (and fall by 0.06%), while a stock price shock that increases stock
 prices by 1% results in an increase in the Treasury bill rate of 30 (and
 190) basis points, respectively. For Jamaica, a monetary policy shock
 causes stock prices to fall by 0.3%, while a stock price shock that
 increases stock prices by 1% results in an increase in the Treasury bill
 rate of 400 basis points. Likewise for T&T, a shock to monetary policy
 causes stock prices to fall by 0.1% and a shock leading to a 1% increase
 in real stock prices causes the Treasury bill to increase by 330 basis
 points. When we analyse the three Caribbean countries jointly, a positive
 1% stock price shock causes the Treasure bill rate to increase by 700
 basis points and a positive monetary policy shock cause stock price to
 fall by 0.027%. Therefore, our results in relation to the signs of the
 relationships with annual data are similar to those of the US in Bjornland
 and Leitemo (2009), however the magnitudes are substantially different.
 The effect of a monetary policy shock is greater in the US, while the
 effect of a stock price shock is smaller in the US than in our Caribbean
 economy. We argue that this reflects clear differences between the US and
 Caribbean economies. Caribbean countries have slower information channels,
 for example, by targeting the 30-day Certificate of Deposit (COD) rate
 instead of the overnight Treasury bill rate as in the US. This supports
 our results that only with annual data we find similar relationships as in
 the US with monthly data. Moreover, the higher economic instability in the
 Caribbean is clearly observed in the larger effect that a stock price
 increase has on interest rates versus the USA. 
Journal: Applied Financial Economics 
Pages: 515-534 
Issue: 6 
Volume: 23 
Year: 2013 
Month: 3 
X-DOI: 10.1080/09603107.2012.730131 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.730131 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:6:p:515-534




Template-Type: ReDIF-Article 1.0
Author-Name: Doris Neuberger 
Author-X-Name-First: Doris 
Author-X-Name-Last: Neuberger 
Author-Name: Solvig R&#xE4;thke-D&#xF6;ppner 
Author-X-Name-First: Solvig 
Author-X-Name-Last: R&#xE4;thke-D&#xF6;ppner 
Title: Leasing by small enterprises 
Abstract:
  Using internal data of a leasing company in Germany, we examine the
 determinants of the probability and use of leasing by small firms. We find
 that small and young firms are likely to be constrained on the leasing
 market but use leasing to increase their debt capacity. Beyond contract-
 and firm-specific characteristics, demographic and socio-economic
 characteristics of the entrepreneur matter. Older and higher qualified
 entrepreneurs have easier access to leasing than those who are younger or
 noneducated, but the latter lease more than highly educated entrepreneurs.
 Female and nonmarried entrepreneurs of young firms use leasing to increase
 their debt capacity. These results are important for aging populations
 where the financing of entrepreneurial activities by highly qualified,
 older and female persons are important to sustain growth. 
Journal: Applied Financial Economics 
Pages: 535-549 
Issue: 7 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.730132 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.730132 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:7:p:535-549




Template-Type: ReDIF-Article 1.0
Author-Name: Thomas Nitschka 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Nitschka 
Title: Momentum in stock market returns: implications for risk premia on foreign currencies 
Abstract:
  Momentum in foreign stock market returns signals currency excess returns.
 Portfolios of currencies from past stock market winner countries offer
 higher risk premia than past stock market loser currency portfolios. This
 pattern is unrelated to the currencies&#x2019; forward discounts. While
 recently proposed asset-pricing models for currency returns work
 reasonably well in explaining the time variation in the stock market
 momentum-sorted currency portfolio returns, rationalizing the average
 excess returns on these portfolios remains a challenge. Only the
 introduction of an <italic>ad-hoc</italic> motivated factor, extracted
 from the stock market momentum-sorted currency portfolio returns, helps in
 this respect. 
Journal: Applied Financial Economics 
Pages: 551-560 
Issue: 7 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.732686 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.732686 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:7:p:551-560




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Soucek 
Author-X-Name-First: Michael 
Author-X-Name-Last: Soucek 
Author-Name: Neda Todorova 
Author-X-Name-First: Neda 
Author-X-Name-Last: Todorova 
Title: Economic significance of oil price changes on Russian and Chinese stock markets 
Abstract:
  This study discusses the economic significance of the relationship
 between oil price changes and emerging markets equity returns. It extends
 the literature by obtaining significant Granger causalities and impulse
 response functions for the daily returns over the last decade on the
 emerging markets of Russia and China. Furthermore, it is shown that a
 trading rule based on a bivariate Vector Autoregresive
 (VAR(<italic>p</italic>)) model outperforms the Russian and Chinese stock
 index in terms of risk and return, even when transaction costs are taken
 into account. Implementing the bootstrap methodology to test the results,
 it is proved that oil price fluctuations significantly contribute to the
 risk profile of the trading strategy for Russian market and improve the
 risk-return characteristics for Chinese stock trading. 
Journal: Applied Financial Economics 
Pages: 561-571 
Issue: 7 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.732685 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.732685 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:7:p:561-571




Template-Type: ReDIF-Article 1.0
Author-Name: Matteo Cotugno 
Author-X-Name-First: Matteo 
Author-X-Name-Last: Cotugno 
Author-Name: Valeria Stefanelli 
Author-X-Name-First: Valeria 
Author-X-Name-Last: Stefanelli 
Author-Name: Giuseppe Torluccio 
Author-X-Name-First: Giuseppe 
Author-X-Name-Last: Torluccio 
Title: Relationship lending, default rate and loan portfolio quality 
Abstract:
  This article empirically verifies the existence of a connection between
 the relationship-oriented model and the quality of the loan portfolio, by
 using alternative risk measures to previous studies. Consistently with
 earlier literature, bank size, distance and intensity of labour are used
 as proxies for the relationship lending model. The main results
 demonstrate that the relationship lending variables are all significant
 contributory factors to the loan portfolio quality. Robustness tests,
 conducted using intermediate risk measures (Doubtful Loan Rate (DLR), Past
 Due Loan Rate (PDLR)), confirm the results. Our findings are consistent
 with the relationship lending literature, but we extend to Default Rate
 (DR) measurement, a new role in terms of a banking model to create loans
 and manage credit risk. Finally, banking literature can take advantage of
 the DR indicator as a proxy for the quality of loan portfolio, and we
 consider its strong relationship to the intermediation model chosen. 
Journal: Applied Financial Economics 
Pages: 573-587 
Issue: 7 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.744133 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.744133 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:7:p:573-587




Template-Type: ReDIF-Article 1.0
Author-Name: Indrani Chakraborty 
Author-X-Name-First: Indrani 
Author-X-Name-Last: Chakraborty 
Title: Economic reforms, business groups and changing pattern of distribution of profitability across corporate firms in India: a semi-parametric analysis 
Abstract:
  This article applies the semi-parametric method to analyse the effects of
 economic reforms and some other factors on changes in the distribution of
 profitability of corporate firms in India. Comparing the two post-reform
 years (1994 and 2010) with the pre-reform year (1990), we observe a
 rightward shift in the distribution of profitability implying an
 across-the board increases in profitability of all firms after reforms.
 Two factors that explain the change are changes in interaction between
 capital structure and business group-affiliation, and changes in other
 firm characteristics such as size, age, growth opportunities and market
 share, which played the major role in explaining the changes in
 distribution of profitability of firms measured in terms of Tobin's
 <italic>q</italic> as well as Return On Assets (ROA). Two firm
 characteristics, namely size and market share, played a major role in
 explaining the changes in distribution of profitability of firms measured
 in terms of ROA but not in terms of Tobin's <italic>q</italic>. Our most
 important finding is that, profitability has increased both in the
 business group-affiliated firms and the stand-alone firms. Thus, our
 findings infer that, encouraging business group-affiliation is not
 necessarily a remedy to improve firm performance in an emerging market
 like India. 
Journal: Applied Financial Economics 
Pages: 589-602 
Issue: 7 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.732687 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.732687 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:7:p:589-602




Template-Type: ReDIF-Article 1.0
Author-Name: Yilei Zhang 
Author-X-Name-First: Yilei 
Author-X-Name-Last: Zhang 
Author-Name: Song Wang 
Author-X-Name-First: Song 
Author-X-Name-Last: Wang 
Title: Corporate restructuring and product market behaviour 
Abstract:
  This article investigates the relationship between product market
 behaviour and corporate restructuring policies. We focus on two types of
 corporate restructuring events: acquisitions and divestitures. We find
 that 1 year after acquisition, acquiring firms on average experience
 long-term deteriorating product market performance. In addition, acquiring
 firms in industries with less competition have worse performance in
 subsequent years. In comparison, divesting firms experience no significant
 change in the performance after divestitures. Last, we document that a
 sustainable product market improvement is related to higher stock market
 valuation while a temporary improvement have negative effects. Therefore,
 we show that corporate restructuring has an important firm-value
 implication through the channel of product market effects. 
Journal: Applied Financial Economics 
Pages: 603-617 
Issue: 7 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.736940 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.736940 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:7:p:603-617




Template-Type: ReDIF-Article 1.0
Author-Name: K. Bie&#x144;-Barkowska 
Author-X-Name-First: K. 
Author-X-Name-Last: Bie&#x144;-Barkowska 
Title: Informed and uninformed trading in the EUR/PLN spot market 
Abstract:
  This article seeks to examine the intraday functioning of the interbank
 foreign exchange spot market of the Polish zloty using a unique set of
 very detailed data from the Reuters Dealing 3000 Spot Matching System for
 the year of 2007. Using the sequential trade model of Easley
 <italic>et&#xA0;al</italic>. (2008), we can differentiate between the
 time-varying patterns of strategic behaviour carried out by informed and
 uninformed (liquidity) traders. These conditional arrival rates for both
 trade categories can be used to forecast a time-varying probability of
 informed trading (PIN). We show that the predictions for PIN, as measures
 of information heterogeneity, influence the scale of impact that the order
 flow exerts on FX rate changes. 
Journal: Applied Financial Economics 
Pages: 619-628 
Issue: 7 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.741676 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.741676 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:7:p:619-628




Template-Type: ReDIF-Article 1.0
Author-Name: Vassilios Babalos 
Author-X-Name-First: Vassilios 
Author-X-Name-Last: Babalos 
Author-Name: Emmanuel Mamatzakis 
Author-X-Name-First: Emmanuel 
Author-X-Name-Last: Mamatzakis 
Author-Name: Nikolaos Philippas 
Author-X-Name-First: Nikolaos 
Author-X-Name-Last: Philippas 
Title: Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model 
Abstract:
  The present study, employing a survivorship-bias free dataset, assesses
 the performance of Greek domestic equity funds during the period June
 2001--December 2009 controlling for the thin trading risk that is inherent
 in the Greek stock market. Augmenting Carhart's multi-benchmark model
 (1997) with a stock-level liquidity factor, we document the absence of
 skills among domestic equity fund managers. However, at a fund level, we
 detect the evidence of a statistically and economically significant
 outperformance. Additionally, we examine the relationship between fund
 performance and a series of cost and operational attributes employing a
 robust quantile regression method. Cross-sectional results demonstrate a
 significant inverse relationship between fund performance and expenses.
 Moreover, our findings show that the larger the fund, the lower the
 performance. 
Journal: Applied Financial Economics 
Pages: 629-647 
Issue: 8 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.741779 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.741779 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:8:p:629-647




Template-Type: ReDIF-Article 1.0
Author-Name: Richard Ochmann 
Author-X-Name-First: Richard 
Author-X-Name-Last: Ochmann 
Title: Asset demand in the financial AIDS portfolio model -- evidence from a major tax reform 
Abstract:
  In this article, new evidence from the financial Almost Ideal Demand
 Sysytem (AIDS) portfolio model is featured, making use of additional
 exogenous rate-of-return variation, which has been mostly disregarded in
 the relevant literature so far. A Two-Stage Budgeting Model (2SBM) of
 asset demand is constructed and applied to German survey data for a time
 frame where first implementations of a major income tax reform in Germany
 significantly altered the tax schedule. Marginal Tax Rates (MTR) at the
 household level are simulated in an income taxation module. Relatively
 great rate-of-return elasticities for, among others, owner-occupied
 housing as well as capital and private pension insurances suggest that
 return-related reactions are stronger at the asset allocation decision
 than they are usually found for the consumption-savings decision. 
Journal: Applied Financial Economics 
Pages: 649-670 
Issue: 8 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.744134 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.744134 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:8:p:649-670




Template-Type: ReDIF-Article 1.0
Author-Name: Ankit Kalda 
Author-X-Name-First: Ankit 
Author-X-Name-Last: Kalda 
Author-Name: Sikandar Siddiqui 
Author-X-Name-First: Sikandar 
Author-X-Name-Last: Siddiqui 
Title: Nonparametric conditional density estimation of short-term interest rate movements: procedures, results and risk management implications 
Abstract:
  This article shows how to estimate the conditional density of daily
 changes in the 3-month T-bill rate, using an extension of the kernel-based
 estimator proposed by Rosenblatt (1969). The shape of the estimated
 density is allowed to vary with both the level and the lagged change in
 rates. Due to the nonparametric character of the estimation procedure, the
 model produces conditional quantile estimates that are based only on the
 data and are independent of the modellers&#x2019; assumptions. The
 obtained results do not support the assumption of systematically
 mean-reverting behaviour underlying some theoretical models of short-term
 interest rate dynamics. However, they clearly indicate the presence of
 nonlinear first-order autocorrelation and volatility clustering effects,
 as well as a positive relationship between yield volatility and level. 
Journal: Applied Financial Economics 
Pages: 671-684 
Issue: 8 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.741677 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.741677 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:8:p:671-684




Template-Type: ReDIF-Article 1.0
Author-Name: Panos Xidonas 
Author-X-Name-First: Panos 
Author-X-Name-Last: Xidonas 
Author-Name: Haris Doukas 
Author-X-Name-First: Haris 
Author-X-Name-Last: Doukas 
Title: Integrating analysts&#x2019; forecasts in the security screening process: empirical evidence from the Eurostoxx 50 
Abstract:
  In this article we attempt to expand the limited framework of
 single-objective optimization and broaden Markowitz's market standard,
 within which the portfolio selection problem is conventionally confronted.
 The typical theory's fundamental principle is that investment decisions
 are generally made using two criteria, corresponding to the first two
 moments of return distributions, namely the portfolio's expected return
 and variance. One heavy criticism over this pattern, which has often been
 addressed by both practitioners and academics, is that it fails to
 incorporate the whole spectrum of investors&#x2019; criteria, thus
 realistically express real-world investment policy statements. The
 proposed approach constitutes an innovative methodological framework for
 dealing with the security selection or screening phase, one of the most
 crucial stages in the portfolio management process. Our aim is to assist
 portfolio managers in formulating successful investment strategies, by
 providing them with an effective decision-making tool in order to obtain
 the so-called <italic>approved</italic> or <italic>authorized
 lists</italic> of most attractive stocks. More precisely, we exploit the
 decision technology of linguistic variables and we apply a
 state-of-the-art linguistic method. The validity of the proposed approach
 is finally tested through an illustrative application in one of the most
 popular European stock market indices, the Eurostoxx 50. The results
 obtained are characterized as very encouraging, since an adequate number
 of efficient portfolios produced by the model, appear to possess superior
 out-of-sample returns with respect to the underlying benchmark. 
Journal: Applied Financial Economics 
Pages: 685-699 
Issue: 8 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.750418 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.750418 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:8:p:685-699




Template-Type: ReDIF-Article 1.0
Author-Name: Samarth Shah 
Author-X-Name-First: Samarth 
Author-X-Name-Last: Shah 
Author-Name: B.   Wade Brorsen 
Author-X-Name-First: B.   Wade 
Author-X-Name-Last: Brorsen 
Title: Are liquidity costs higher in options markets or in futures markets? 
Abstract:
  This study compares liquidity costs in options and futures markets.
 Considerable research has estimated liquidity costs of futures trading,
 but there is little comparable research about futures options markets. The
 study uses transaction prices for stock futures and options contracts
 traded at the National Stock Exchange (NSE) of India. Six different
 measures are used to estimate liquidity costs of futures contracts. The
 same measures are also used to estimate liquidity costs of options.
 Liquidity costs in the options markets are considerably higher than in the
 futures. Option liquidity costs are shown to increase with the price of
 the option and decrease with volume. 
Journal: Applied Financial Economics 
Pages: 701-708 
Issue: 8 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.750419 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.750419 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:8:p:701-708




Template-Type: ReDIF-Article 1.0
Author-Name: An Chen 
Author-X-Name-First: An 
Author-X-Name-Last: Chen 
Author-Name: Markus Pelger 
Author-X-Name-First: Markus 
Author-X-Name-Last: Pelger 
Author-Name: Klaus Sandmann 
Author-X-Name-First: Klaus 
Author-X-Name-Last: Sandmann 
Title: New performance-vested stock option schemes 
Abstract:
  In the present article, we analyse two effective nontraditional
 performance-based stock option schemes which we call Parisian and
 constrained Asian executives' stock option plans. Both options have a
 criterion on the terminal value similar to a call option, but in addition
 impose a restriction on the path of the firm's assets process. Under a
 Parisian option scheme, the bonus of the executives becomes effective when
 the stock price has outperformed a certain threshold for a fixed length of
 time. Under the constrained Asian scheme, the executives' compensation is
 coupled with the average performance of the stock price. We show that the
 value of both Executives' Stock Option (ESO) schemes are less sensitive to
 changes in risk than plain vanilla options and hence represent an
 alternative compensation scheme that could make exaggerated risk taking
 through the executives less likely. 
Journal: Applied Financial Economics 
Pages: 709-727 
Issue: 8 
Volume: 23 
Year: 2013 
Month: 4 
X-DOI: 10.1080/09603107.2012.750448 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.750448 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:8:p:709-727




Template-Type: ReDIF-Article 1.0
Author-Name: Fredj Jawadi 
Author-X-Name-First: Fredj 
Author-X-Name-Last: Jawadi 
Author-Name: Nabila Jawadi 
Author-X-Name-First: Nabila 
Author-X-Name-Last: Jawadi 
Author-Name: Duc Khuong Nguyen 
Author-X-Name-First: Duc Khuong 
Author-X-Name-Last: Nguyen 
Author-Name: Hassan Obeid 
Author-X-Name-First: Hassan 
Author-X-Name-Last: Obeid 
Title: Information technology sector and equity markets: an empirical investigation 
Abstract:
	      The aim of this article is to study linkages between equity
 and information technology sector prices. We thus investigate the price
 adjustment dynamics of the Information Technology (IT) sector in response
 to the 2007--2009 worldwide market shock for two representative developed
 countries (France and the USA). Using a Vector Autoregression (VAR)
 methodology and different econometric specifications of a smooth
 transition Error-Correction Model (ECM), we find significant price
 reactions from the USA and French IT sectors to changes in the global
 capital markets over the period between 11 February 2005 and 9 July 2009.
 The IT price response is however stronger for the USA than for France. The
 empirical results suggest that the IT price convergence process towards
 equilibrium is typically asymmetric and nonlinearly mean-reverting for the
 USA.	       
Journal: Applied Financial Economics 
Pages: 729-737 
Issue: 9 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2012.734594 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.734594 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:9:p:729-737




Template-Type: ReDIF-Article 1.0
Author-Name: Robert Hiscock 
Author-X-Name-First: Robert 
Author-X-Name-Last: Hiscock 
Author-Name: Jagdish Handa 
Author-X-Name-First: Jagdish 
Author-X-Name-Last: Handa 
Title: Long-run neutrality and superneutrality of money in South American economies 
Abstract:
	      This article tests long-run money neutrality and
 superneutrality for all South American economies from 1960 to 2009.
 Several of these economies have experienced bouts of hyperinflation. The
 tests, done for <italic>M1</italic> and <italic>M2</italic>, utilize
 Fisher and Seater's (1993) procedure. Money neutrality could not be
 rejected for both monetary aggregates for Brazil, Chile, Colombia, Guyana,
 Suriname, Uruguay and Venezuela, but was rejected for Argentina, Bolivia,
 Ecuador, Paraguay and Peru. Of the countries for which superneutrality
 could be tested, it was not rejected for both monetary aggregates for
 Bolivia, Brazil, Chile and for <italic>M2</italic> for Colombia, Guyana,
 and Uruguay, but was rejected for Argentina and Peru.		
Journal: Applied Financial Economics 
Pages: 739-747 
Issue: 9 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2012.744132 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.744132 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:9:p:739-747




Template-Type: ReDIF-Article 1.0
Author-Name: Frank A. G. den Butter 
Author-X-Name-First: Frank A. G. 
Author-X-Name-Last: den Butter 
Author-Name: Pieter W. Jansen 
Author-X-Name-First: Pieter W. 
Author-X-Name-Last: Jansen 
Title: Beating the random walk: a performance assessment of long-term interest rate forecasts 
Abstract:
	      This article assesses the performance of a number of
 long-term interest rate forecast approaches, namely time series models,
 structural economic models, expert forecasts and combinations thereof. The
 predictive performance of these approaches is compared using outside
 sample forecast errors, where a random walk forecast acts as benchmark. It
 is found that for five major Organization for Economic Co-operation and
 Development (OECD) countries, namely the US, Germany, UK, The Netherlands
 and Japan, the other forecasting approaches do not outperform the random
 walk on a 3-month forecast horizon. On a 12-month forecast horizon, the
 random walk model is outperformed by a model that combines economic data
 and expert forecasts. Several methods of combination are considered: equal
 weights, optimized weights and weights based on the forecast error. It
 seems that the additional information contents of the structural models
 and expert knowledge adds considerably to the performance of forecasting
 12 months ahead.	   
Journal: Applied Financial Economics 
Pages: 749-765 
Issue: 9 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2012.752570 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.752570 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:9:p:749-765




Template-Type: ReDIF-Article 1.0
Author-Name: Esubalew Assefa 
Author-X-Name-First: Esubalew 
Author-X-Name-Last: Assefa 
Author-Name: Niels Hermes 
Author-X-Name-First: Niels 
Author-X-Name-Last: Hermes 
Author-Name: Aljar Meesters 
Author-X-Name-First: Aljar 
Author-X-Name-Last: Meesters 
Title: Competition and the performance of microfinance institutions 
Abstract:
	      This article examines the relationship between competition
 and the performance of Microfinance Institutions (MFIs). We measure
 competition by constructing a Lerner index. Next, we assess the
 association between increased competition among MFIs on the one hand and
 outreach and loan repayment performance of individual MFIs on the other.
 The empirical investigation is based on data from 362 MFIs in 73 countries
 for the period 1995--2008. Based on our analysis we do find a general
 trend of increased competition in microfinance during the last decade.
 Moreover, our econometric analysis provides evidence that competition
 among MFIs is negatively associated with their outreach and repayment
 performance.	       
Journal: Applied Financial Economics 
Pages: 767-782 
Issue: 9 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2012.754541 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.754541 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:9:p:767-782




Template-Type: ReDIF-Article 1.0
Author-Name: R. Sufana 
Author-X-Name-First: R. 
Author-X-Name-Last: Sufana 
Title: Leverage effects in a multiasset framework 
Abstract:
	      This article uses a bivariate stochastic volatility model to
 examine the leverage effects for two stock returns. The results show that
 the leverage effect estimates for each stock depend on the degree to which
 the risk premium is affected by the information about the other stock and
 that different leverage effect measures may not react in the same way to a
 change in this information. The results suggest that an additional factor
 that may explain the leverage effects observed for a given stock return is
 the relevant information about other stocks, and also that leverage
 effects may be better studied in a multiasset framework than by
 considering the stock returns separately.	    
Journal: Applied Financial Economics 
Pages: 783-787 
Issue: 9 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2012.761335 
File-URL: http://hdl.handle.net/10.1080/09603107.2012.761335 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:9:p:783-787




Template-Type: ReDIF-Article 1.0
Author-Name: Yuichi Fukuta 
Author-X-Name-First: Yuichi 
Author-X-Name-Last: Fukuta 
Author-Name: Wenjie Ma 
Author-X-Name-First: Wenjie 
Author-X-Name-Last: Ma 
Title: Implied volatility smiles in the Nikkei 225 options 
Abstract:
	      This article analyses volatility smiles in the Nikkei 225
 options by taking the Generalized Autoregressive Conditional
 Heteroscedastic (GARCH) effects on smiles and the asymmetry of option
 values with respect to option bid--ask spreads into account. Our empirical
 results show the evidence for the asymmetry in call and put option values,
 where the option values appear to be closer to bid than to ask quotes. We
 also find that this asymmetry has an effect on the mitigation of
 volatility smiles. Furthermore, when we take both the asymmetry and the
 GARCH into account in the estimation of option-implied volatilities, we
 find considerably less evidence for volatility smiles. 	 
Journal: Applied Financial Economics 
Pages: 789-804 
Issue: 9 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.767975 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.767975 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:9:p:789-804




Template-Type: ReDIF-Article 1.0
Author-Name: Aneta Dyakova 
Author-X-Name-First: Aneta 
Author-X-Name-Last: Dyakova 
Author-Name: Graham Smith 
Author-X-Name-First: Graham 
Author-X-Name-Last: Smith 
Title: The evolution of stock market predictability in Bulgaria 
Abstract:
	      The martingale hypothesis is tested for two Bulgarian stock
 price indices and eight stock prices using finite-sample variance ratio
 tests in a rolling window. The data cover the period beginning in October
 2000 and ending in August 2012 and are corrected to remove the effects of
 infrequent trading. The rolling window captures short-lived predictability
 and tracks the evolution of stock market predictability. There are
 successive periods when returns are predictable and then not predictable.
 This is consistent with the adaptive markets hypothesis, not the efficient
 markets hypothesis. Overall, returns are more predictable in times of
 crisis.	  
Journal: Applied Financial Economics 
Pages: 805-816 
Issue: 9 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.767976 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.767976 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:9:p:805-816




Template-Type: ReDIF-Article 1.0
Author-Name: Leonardo Becchetti 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Becchetti 
Author-Name: Stefano Caiazza 
Author-X-Name-First: Stefano 
Author-X-Name-Last: Caiazza 
Author-Name: Decio Coviello 
Author-X-Name-First: Decio 
Author-X-Name-Last: Coviello 
Title: Financial education and investment attitudes in high schools: evidence from a randomized experiment 
Abstract:
  We experimentally study the effect of financial education on investment
 attitudes in a large sample of high school students in Italy. Students in
 the treated classes were taught a course in finance and interviewed before
 and after the study, while controls were only interviewed. Our principal
 result is that the difference-in-difference estimates of the effect of the
 course are not statistically significant. However, the course in finance
 reduces the virtual demand for cash and increases the level of financial
 literacy and the propensity to read (and the capacity to understand)
 economic articles in both treated and control classes compared with
 pre-treatment baseline levels. A breakdown of the cognitive process, which
 is statistically significant for the classes treated, suggests that error
 and ignorance reduction is sizable and that the progress in financial
 literacy is stronger in subgroups which exhibit lower <italic>ex
 ante</italic> knowledge levels. 
Journal: Applied Financial Economics 
Pages: 817-836 
Issue: 10 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.767977 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.767977 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:10:p:817-836




Template-Type: ReDIF-Article 1.0
Author-Name: Jos� Luiz Rossi 
Author-X-Name-First: Jos� Luiz 
Author-X-Name-Last: Rossi 
Author-Name: Terence Pagano 
Author-X-Name-First: Terence 
Author-X-Name-Last: Pagano 
Title: An analysis of nonlinearity of the Brazilian Central Bank reaction function 
Abstract:
  This article examines whether the Central Bank of Brazil's (BCB) reaction
 function has nonlinear properties and characterizes the type of preference
 of the BCB from July 2000 to August 2008. The tests reject the hypothesis
 of linearity in the BCB's reaction function. Furthermore, using a
 smooth-transition regression model, the results indicate that the BCB
 reacted more strongly in reducing interest rates when expected inflation
 was below target, than when it was above, which is consistent with the
 presence of recession avoidance preferences. Despite this, the results
 indicate that most of the time, the BCB respected the Taylor principle,
 strongly responding to changes in the expected inflation. 
Journal: Applied Financial Economics 
Pages: 837-845 
Issue: 10 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.767978 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.767978 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:10:p:837-845




Template-Type: ReDIF-Article 1.0
Author-Name: Wei Huang 
Author-X-Name-First: Wei 
Author-X-Name-Last: Huang 
Author-Name: Agyenim Boateng 
Author-X-Name-First: Agyenim 
Author-X-Name-Last: Boateng 
Title: The role of the state, ownership structure, and the performance of real estate firms in China 
Abstract:
  Prior studies suggest that high levels of state ownership are related to
 poor performance of listed companies in China. As a result, privatization
 has become an important tool to revitalize the under-performing
 state-owned companies. We have therefore witnessed a continuous decline in
 the state shareholding over the past decade as a result of the ongoing
 economic reforms. In this article, we examine the role of state ownership
 in real estate sector to find out whether shrinking state ownership in a
 strategically important sector like real estate impact on performance.
 Using 1999--2010 data on all listed real estate firms, this article shows
 that relatively higher state shareholding is associated with poor
 performance in the pre-boom years and better performance in the booming
 years. The analysis also suggests that the positive effect in the booming
 years is non-linear and high level of state ownership can still lead to
 inefficiency and relatively poor performance. In addition, other types of
 shareholding and concentration of shareholding are also examined. Better
 firm performance is related to either very low or very high levels of
 legal person shareholdings. The effect of tradable A-shares fraction on
 company performance is negative and significant. Management share
 ownership has a positive influence on performance. Finally, the effect of
 ownership concentration on performance is also positive in general. 
Journal: Applied Financial Economics 
Pages: 847-859 
Issue: 10 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.770121 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.770121 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:10:p:847-859




Template-Type: ReDIF-Article 1.0
Author-Name: Wen Shiung Lee 
Author-X-Name-First: Wen Shiung 
Author-X-Name-Last: Lee 
Author-Name: Ya Ting Yang 
Author-X-Name-First: Ya Ting 
Author-X-Name-Last: Yang 
Title: Valuation and choice of convertible bonds based on MCDM 
Abstract:
  The pricing model of convertible bonds has emerged as an important
 assessment model for financial investment in recent years. This model
 suggests that the pricing model of convertible bonds can be decomposed
 into the Options Pricing Theory and Pure Bonds Theory. Literature in the
 past did not explain therelative weight and factors affecting these two
 models. This research is anattempt to explore the unexplained portion of
 the pricing model of convertiblebonds by adopting Decision-Making Trial
 and Evaluation Laboratory, Analytic Network Process, and Multiple Criteria
 Decision-Making of the VlseKriterijumska Optimizacija I Kompromisno
 Resenje. The model has been referred to three Taiwanese technology firms
 issuing convertible bonds for verification. The result indicated that the
 aforementioned two models are inter-affecting each other and in
 self-regression. Of the eight criteria, conversion price remains the
 critical factor affecting the pricing of convertible bonds. It was
 followed by stock price and yield rate. In assessing convertible bonds,
 the convertible bonds issued by the aforementioned three Taiwanese
 technology firms were also subject to testing. Convertible bond issue B
 approximates the expected return rate of the investors the most. It is the
 most preferable investment option of the convertible bonds issued by the
 three technology companies. 
Journal: Applied Financial Economics 
Pages: 861-868 
Issue: 10 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.770122 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.770122 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:10:p:861-868




Template-Type: ReDIF-Article 1.0
Author-Name: Mu-Shun Wang 
Author-X-Name-First: Mu-Shun 
Author-X-Name-Last: Wang 
Title: Idiosyncratic risk and expected returns: a panel data model with random effects 
Abstract:
  This article utilizes panel data regression to explore the random effects
 between expected stock returns and idiosyncratic risk. We find a strong
 relation between idiosyncratic risk and the expected stock returns. The
 results are consistent with Fu's study (2009) and a documented relation
 exists between the expected stock return autocorrelation, the return
 reverse effects. This study reveals that idiosyncratic risk has a
 significantly positive impact on stock returns. It is shown that positive
 returns have more idiosyncratic volatility, indicating that past higher
 returns induce lower or negative returns. The results support Huang
 <italic>et al</italic>. (2010) stock return reversal effect, as well as
 Goyal and Santa-Clara's (2003), Bali <italic>et al</italic>. (2005) and
 Fu's (2009) hypothesis in which idiosyncratic risk has a positive impact
 on expected returns. We also find evidence that the FVIX (Mimicking
 Volatility Index) considering the robustness with high sensitivity to
 innovation. The aggregate volatility shows low past returns but high
 current expected returns. 
Journal: Applied Financial Economics 
Pages: 869-880 
Issue: 10 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.770123 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.770123 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:10:p:869-880




Template-Type: ReDIF-Article 1.0
Author-Name: Maximilian J. B. Hall 
Author-X-Name-First: Maximilian J. B. 
Author-X-Name-Last: Hall 
Author-Name: Richard Simper 
Author-X-Name-First: Richard 
Author-X-Name-Last: Simper 
Title: Efficiency and competition in Korean banking 
Abstract:
  Using a translog cost function, we first estimate the economies of scale
 and then calculate the bank-specific scale elasticities for Korean banks
 over the period 2007Q2 to 2011Q2. We find that all the National banks
 operate with significant economies of scale, with bank-specific scale
 elasticities ranging from 82% to 88%, while half of the Regional banks and
 Specialized banks also exhibited significant scale economies, with
 bank-specific scale elasticities averaging around 92% and 83%,
 respectively. Incorporating these bank-specific scale elasticities
 directly within the model at the second stage of the Panzar and Rosse
 (1987) approach to measure market concentration, we find evidence of
 perfect competition prevailing in Korean banking. This offers a basis for
 merger policy where there are scale economies to be obtained -- reducing
 average costs -- yet having little destabilizing effect on the competitive
 nature of the industry. 
Journal: Applied Financial Economics 
Pages: 881-890 
Issue: 10 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.776661 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.776661 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:10:p:881-890




Template-Type: ReDIF-Article 1.0
Author-Name: Sanjukta Datta 
Author-X-Name-First: Sanjukta 
Author-X-Name-Last: Datta 
Author-Name: Devendra Kodwani 
Author-X-Name-First: Devendra 
Author-X-Name-Last: Kodwani 
Author-Name: Howard Viney 
Author-X-Name-First: Howard 
Author-X-Name-Last: Viney 
Title: Shareholder wealth creation following M&A: evidence from European utility sectors 
Abstract:
  Mergers and Acquisitions (M&A) of European utility sectors subsequent to
 privatization and deregulation triggered widespread concern due to the
 crucial role played by utility sectors in a country's economic and social
 development. From the study of a sample of 156 cases of M&A within utility
 sectors in Europe between 1990 and 2006, this study provides evidence on
 the performance of utility sectors following M&A. On one hand the findings
 suggest that lower levels of losses are accrued to the shareholders in the
 acquiring companies. On the other hand the fact that acquirer shareholders
 in the short run and the shareholders in the combined post-acquisition
 companies suffered losses in the long run triggers a negative signal for
 the investors in utilities. 
Journal: Applied Financial Economics 
Pages: 891-900 
Issue: 10 
Volume: 23 
Year: 2013 
Month: 5 
X-DOI: 10.1080/09603107.2013.778943 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.778943 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:10:p:891-900




Template-Type: ReDIF-Article 1.0
Author-Name: Juha Junttila 
Author-X-Name-First: Juha 
Author-X-Name-Last: Junttila 
Author-Name: Marko Korhonen 
Author-X-Name-First: Marko 
Author-X-Name-Last: Korhonen 
Title: Stock market information and the relationship between real exchange rate and real interest rates 
Abstract:
	      In this article, we propose to augment the traditional
 relationship between real exchange rates and real interest rates (RERI) by
 adding the stock market equilibrium condition to it. We introduce the
 relative dividend yield as the new information variable. In the empirical
 analysis, we use recent monthly observations from the UK, Japan, Canada
 and Eurozone, all relative to the US. We show that the introduction of
 stock market information is highly relevant to the functioning of the RERI
 hypothesis. Based on the results from the cointegration analysis, the role
 of relative stock market performance is especially important in the
 short-term (3-month) horizon, where the augmented RERI representation is
 most strongly supported.	   
Journal: Applied Financial Economics 
Pages: 901-920 
Issue: 11 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.776662 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.776662 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:11:p:901-920




Template-Type: ReDIF-Article 1.0
Author-Name: S. K. A. Rizvi 
Author-X-Name-First: S. K. A. 
Author-X-Name-Last: Rizvi 
Author-Name: B. Naqvi 
Author-X-Name-First: B. 
Author-X-Name-Last: Naqvi 
Author-Name: C. Bordes 
Author-X-Name-First: C. 
Author-X-Name-Last: Bordes 
Title: Time varying equity market beta as an index of financial openness? 
Abstract:
	      From the data consisting of over a century, there has been a
 significant relationship between capital account liberalization and
 increasing correlation among national stock markets of different countries
 (Quinn and Voth, 2008). In this research we propose a price based de facto
 measure of financial integration/openness that can be used to rank
 selected Asian economies solely on the basis of standardized co-movements
 of their equity markets in relation to the representative world markets.
 We call this new measure as time varying equity market beta (TVEMB).
 Significant degree of correlation with some major and complex indices and
 the ability to show dynamic de facto situations of financial openness,
 supported by several evidences, allow us to use TVEMB as an alternative
 measure in conjunction with other indicators of financial
 openness/integration.		
Journal: Applied Financial Economics 
Pages: 921-928 
Issue: 11 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.778946 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.778946 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:11:p:921-928




Template-Type: ReDIF-Article 1.0
Author-Name: P. Dontis-Charitos 
Author-X-Name-First: P. 
Author-X-Name-Last: Dontis-Charitos 
Author-Name: S. R. Jory 
Author-X-Name-First: S. R. 
Author-X-Name-Last: Jory 
Author-Name: T. N. Ngo 
Author-X-Name-First: T. N. 
Author-X-Name-Last: Ngo 
Author-Name: K. B. Nowman 
Author-X-Name-First: K. B. 
Author-X-Name-Last: Nowman 
Title: A multi-country analysis of the 2007--2009 financial crisis: empirical results from discrete and continuous time models 
Abstract:
	      In this article, we provide empirical evidence of the recent
 financial crisis over 2007--2009 using discrete time multivariate GARCH
 (MGARCH) models and continuous time modelling approaches. Using daily data
 for 14 countries, we investigate the return and volatility spillovers
 among the US and other international markets. The MGARCH results reveal
 positive return spillovers from the US to a number of markets, and
 volatility transmission is verified. The US market is prone to return and
 volatility transmission from a limited number of markets. The continuous
 time analysis finds evidence of feedback effects in some cases. Evidence
 shows that spillover effects intensified during the financial crisis.	    
Journal: Applied Financial Economics 
Pages: 929-950 
Issue: 11 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.778944 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.778944 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:11:p:929-950




Template-Type: ReDIF-Article 1.0
Author-Name: Dirk Veestraeten 
Author-X-Name-First: Dirk 
Author-X-Name-Last: Veestraeten 
Title: Currency option pricing in a credible exchange rate target zone 
Abstract:
	      This article examines currency option pricing within a
 credible target zone arrangement where interventions at the boundaries
 push the exchange rate back into its fluctuation band. Valuation of such
 options is complicated by the requirement that the reflection mechanism
 should prevent the arbitrage opportunities that would arise if the
 exchange rate were to spend finite time on the boundaries. To prevent the
 latter, we superimpose instantaneously reflecting boundaries upon the
 familiar geometric Brownian motion (GBM) framework. We derive closed-form
 expressions for European call and put option prices and show that prices
 for the GBM model of Garman and Kohlhagen (1983) arise as the limit case
 for infinitely wide bands. We also illustrate that taking account of
 boundaries is of considerable economic value as erroneously using the
 unbounded-domain model of Garman and Kohlhagen (1983) easily overprices
 options by more than 100%.	     
Journal: Applied Financial Economics 
Pages: 951-962 
Issue: 11 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.778945 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.778945 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:11:p:951-962




Template-Type: ReDIF-Article 1.0
Author-Name: Teng-Shih Wang 
Author-X-Name-First: Teng-Shih 
Author-X-Name-Last: Wang 
Author-Name: Yi-Mien Lin 
Author-X-Name-First: Yi-Mien 
Author-X-Name-Last: Lin 
Author-Name: Chin-Fang Chao 
Author-X-Name-First: Chin-Fang 
Author-X-Name-Last: Chao 
Title: Board independence, executive compensation and restatement 
Abstract:
	      In this article, we use post-Sarbanes--Oxley Act (SOX)
 restating sample companies to examine the effect of leverage on the
 probability of restatements. We also explore whether the level of board
 independence for restating firms has an impact on the probability of
 restatements. We further analyse the subsequent change of the
 firms&#x2019; executive compensation after they experience these restating
 events. The results indicate that firms with large debt have a high
 probability of restating their financial reports, but the likelihood of
 restatement is reduced if the underlying bankruptcy risk is lower.
 Contrary to expectations, the results do not indicate that board
 independence is associated with the probability of restatement. Even
 restating firms did not appear willing to fortify board independence after
 restatements. Finally, it is found that having more directors on the board
 for a company may help to restrain its executive compensation after
 restatements.		
Journal: Applied Financial Economics 
Pages: 963-975 
Issue: 11 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.786160 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.786160 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:11:p:963-975




Template-Type: ReDIF-Article 1.0
Author-Name: Daniel Kreutzmann 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Kreutzmann 
Author-Name: Soenke Sievers 
Author-X-Name-First: Soenke 
Author-X-Name-Last: Sievers 
Author-Name: Christian Mueller 
Author-X-Name-First: Christian 
Author-X-Name-Last: Mueller 
Title: Investment distortions and the value of the government's tax claim 
Abstract:
	      This article integrates the government in the context of
 company valuation. Our framework allows to analyse and to quantify the
 risk-sharing effects and conflicts of interest between the government and
 the shareholders when firms follow different financial policies. We
 provide novel evidence that firms with fixed future levels of debt might
 invest more than socially desirable. Economically, this happens if the
 gain in tax shields is big enough to outweigh the loss in the unlevered
 firm value. Our findings have implications for the practice of investment
 subsidy programmes provided by the government to avoid fostering
 investments beyond the socially optimal level. 	 
Journal: Applied Financial Economics 
Pages: 977-989 
Issue: 11 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.786161 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.786161 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:11:p:977-989




Template-Type: ReDIF-Article 1.0
Author-Name: Jason Hall 
Author-X-Name-First: Jason 
Author-X-Name-Last: Hall 
Author-Name: Ben McVicar 
Author-X-Name-First: Ben 
Author-X-Name-Last: McVicar 
Title: Impact of sector versus security choice on equity portfolios 
Abstract:
	      We measure the contribution of industry sector choice and
 individual stock selection to the performance of 3350 United States'
 equity funds from 1980 to 2005. First, we demonstrate that sector choice
 makes a relatively greater contribution to portfolio variance, holding
 constant manager skill in identifying mispriced securities, and correcting
 for a bias in research methods previously applied to this issue. Second,
 using managers' reported stock holdings, we estimate the actual
 contribution of industry sector versus security choice to portfolio
 returns. Active managers of funds with a preference for small stocks with
 a style preference -- value or growth -- generate abnormal returns above
 those achieved by less active managers, consistent with managers having
 style-specific investment skills. This relative performance is attributed
 to the incremental returns generated from security selection over sector
 choice. Security selection also explains significantly more variation in
 returns across funds. These results imply that active managers make
 relatively greater use of security selection in forming portfolios which
 differ from benchmark. 	 
Journal: Applied Financial Economics 
Pages: 991-1004 
Issue: 12 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.786162 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.786162 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:12:p:991-1004




Template-Type: ReDIF-Article 1.0
Author-Name: Aiwu Zhao 
Author-X-Name-First: Aiwu 
Author-X-Name-Last: Zhao 
Author-Name: Spencer Cheng 
Author-X-Name-First: Spencer 
Author-X-Name-Last: Cheng 
Author-Name: Zhixin Kang 
Author-X-Name-First: Zhixin 
Author-X-Name-Last: Kang 
Title: Long-term dependence of popular and neglected stocks 
Abstract:
	      In this study, we establish a connection between the levels
 of market attentions of a stock with its long memory features. We
 construct two portfolios of US equities based on previous studies'
 criteria for neglected and popular stocks and measure the degrees of
 persistence for their daily returns from 1 January 2003 to 31 December
 2007. We find that all stocks except for one display anti-persistence in
 the neglect portfolio while the popular portfolio stocks uniformly display
 random-walk returns. This result suggests that there is a connection
 between the persistence features of stock return series and the levels of
 'neglect' of stocks. We use book to market ratio, analyst coverage and
 transaction frictions to classify the levels of market neglect of stocks.
 Based on our study, while these criteria combined appear to contribute to
 the long memory features of daily returns of stocks, we also suspect the
 presence of other factors driving the persistence of stock returns.	    
Journal: Applied Financial Economics 
Pages: 1005-1015 
Issue: 12 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.786164 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.786164 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:12:p:1005-1015




Template-Type: ReDIF-Article 1.0
Author-Name: Daisuke Tsuruta 
Author-X-Name-First: Daisuke 
Author-X-Name-Last: Tsuruta 
Title: Customer relationships and the provision of trade credit during a recession 
Abstract:
	      Having a close relationship with a customer that accounts for
 a relatively high proportion of sales may be costly for small suppliers
 and weaken their bargaining power. Suppliers with a weak bargaining
 position may then find it difficult to reduce their provision of trade
 credit during a recession despite the need to do so. Employing Japanese
 small business data, we conclude that close customer relationships are in
 fact beneficial (not costly) for small suppliers in trade credit
 contracts. First, we find that small suppliers tend to offer less trade
 credit during a recession, even if the supplier--customer relationship is
 close. Second, notwithstanding a close supplier--customer relationship, we
 find that small suppliers offer less trade credit to their main customers
 if the supplier is in financial distress or charged higher interest rates
 by banks.	    
Journal: Applied Financial Economics 
Pages: 1017-1031 
Issue: 12 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.791016 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.791016 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:12:p:1017-1031




Template-Type: ReDIF-Article 1.0
Author-Name: Yuki Toyoshima 
Author-X-Name-First: Yuki 
Author-X-Name-Last: Toyoshima 
Author-Name: Tadahiro Nakajima 
Author-X-Name-First: Tadahiro 
Author-X-Name-Last: Nakajima 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: Crude oil hedging strategy: new evidence from the data of the financial crisis 
Abstract:
	      This article examines the performance of three multivariate
 conditional volatility models with respect to crude oil spot and futures
 returns: the Dynamic Conditional Correlation (DCC) model, Asymmetric
 Dynamic Conditional Correlation (A-DCC) model and Diagonal
 Baba-Engle-Kraft-Kroner (Diagonal BEKK) model. Moreover, the article
 proposes using the time-varying optimal hedge ratio (OHR) to build a
 hedging strategy in the market, taking advantage of these multivariate
 conditional volatility models. We employ daily spot and futures data from
 the West Texas Intermediate (WTI) oil market from 3 January 2007 to 30
 December 2011. Variance of portfolios and hedging effectiveness index show
 that the performance in terms of reducing variance is good in order of
 A-DCC, DCC and Diagonal-BEKK.		
Journal: Applied Financial Economics 
Pages: 1033-1041 
Issue: 12 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.788779 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.788779 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:12:p:1033-1041




Template-Type: ReDIF-Article 1.0
Author-Name: David McMillan 
Author-X-Name-First: David 
Author-X-Name-Last: McMillan 
Author-Name: Mark Wohar 
Author-X-Name-First: Mark 
Author-X-Name-Last: Wohar 
Title: UK stock market predictability: evidence of time variation 
Abstract:
	      This article examines the nature of time variation within the
 stock return predictive regression for the United Kingdom. We consider six
 predictor variables but find significant in-sample evidence of predictive
 power for only three: the bond--equity yield ratio, the dividend yield and
 the price--earnings ratio, and out-of-sample evidence for the latter two.
 Notwithstanding this, we are able to identify substantial evidence of time
 variation within predictive power for all variables. However, such time
 variation is only linked to the state of the macroeconomy for the same
 three variables. Nonetheless, we are able to identify macroeconomic
 regimes where predictability for each of these three variables is
 stronger. Specifically, predictive power is stronger for the bond--equity
 yield ratio when output is rising and stronger for the dividend yield and
 price--earnings ratio when output is falling. We can use this information
 to build an improved prediction model by allowing for the variables,
 including AR terms, to enter the model according to the state of the
 world. However, we are still unable to beat the market in an out-of-sample
 forecast exercise, except with the bond--equity yield and with a mix of
 this variable and an AR(1). Nonetheless, the results do point to the
 conclusion that stock market predictability is present for the United
 Kingdom and that it is time-varying, the knowledge of which can improve
 the forecast models.	       
Journal: Applied Financial Economics 
Pages: 1043-1055 
Issue: 12 
Volume: 23 
Year: 2013 
Month: 6 
X-DOI: 10.1080/09603107.2013.791017 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.791017 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:12:p:1043-1055




Template-Type: ReDIF-Article 1.0
Author-Name: Renatas Kizys 
Author-X-Name-First: Renatas 
Author-X-Name-Last: Kizys 
Author-Name: Christian Pierdzioch 
Author-X-Name-First: Christian 
Author-X-Name-Last: Pierdzioch 
Title: A note on decoupling, recoupling and speculative bubble: some empirical evidence for Latin America 
Abstract:
	      The US subprime mortgage crisis has led to increased interest
 in the decoupling-recoupling hypothesis, according to which the
 international comovement of financial markets has strengthened since the
 US subprime mortgage crisis has gathered steam. We study whether the
 decoupling-recoupling hypothesis holds for news to speculative bubbles in
 equity markets. For several Latin American countries, we do not find
 evidence of a recoupling of speculative bubbles.	   
Journal: Applied Financial Economics 
Pages: 1057-1065 
Issue: 13 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.795271 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.795271 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:13:p:1057-1065




Template-Type: ReDIF-Article 1.0
Author-Name: Lieven De Moor 
Author-X-Name-First: Lieven 
Author-X-Name-Last: De Moor 
Author-Name: Rosanne Vanp�e 
Author-X-Name-First: Rosanne 
Author-X-Name-Last: Vanp�e 
Title: What drives international equity and bond holdings? An empirical study 
Abstract:
	      In this article, we explore tentatively and formally the
 differences between bond and equity home and foreign bias based on a large
 data set including developed and emerging markets for the period 2001 to
 2010. We show that, unlike for equities, the international demand for
 bonds is mainly supply-side driven: bond <italic>home bias</italic>
 increases with a growth in public debt, while the underinvestment bias
 towards a <italic>foreign country's bonds</italic> decreases if this
 country issues more (sovereign) debt. This explains the absence for a
 negative time trend in bond home bias while equity home bias has decreased
 over time, and similarly a decrease in foreign bond bias, which is not
 observed for equities. Besides variables being significantly more, less or
 incompatibly important for bond versus equity investment bias, we also
 determine variables to be exclusively relevant for bonds, like sovereign
 credit ratings and bank credit supply. 	 
Journal: Applied Financial Economics 
Pages: 1067-1082 
Issue: 13 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.795273 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.795273 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:13:p:1067-1082




Template-Type: ReDIF-Article 1.0
Author-Name: William R. Sodjahin 
Author-X-Name-First: William R. 
Author-X-Name-Last: Sodjahin 
Author-Name: Marie-Claude Beaulieu 
Author-X-Name-First: Marie-Claude 
Author-X-Name-Last: Beaulieu 
Title: The impact of firm-specific information during the registration period on initial public offering pricing 
Abstract:
	      In this article, we gather public information at the firm
 level during the initial public offering (IPO) registration period and
 examine its impact on IPO pricing. First, we show that the firm origin and
 the number of IPO amendments filed during the registration period are
 correlated with negative news, whereas positive news is essentially driven
 by previous IPO experience and underwriter prestige. Second, our main
 findings reveal that the type of firm-specific information (good or bad
 news) during the registration period has implications for initial returns,
 pricing and trading volume. These results support the idea that the
 pricing process of IPOs is not completely efficient.	       
Journal: Applied Financial Economics 
Pages: 1083-1096 
Issue: 13 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.795274 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.795274 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:13:p:1083-1096




Template-Type: ReDIF-Article 1.0
Author-Name: Joscha Beckmann 
Author-X-Name-First: Joscha 
Author-X-Name-Last: Beckmann 
Author-Name: Wolfram Wilde 
Author-X-Name-First: Wolfram 
Author-X-Name-Last: Wilde 
Title: Taylor rule equilibrium exchange rates and nonlinear mean reversion 
Abstract:
	      This article analyses the validity of the Taylor rule
 exchange rate model from a new perspective. In a first step, a model-based
 exchange rate is derived for Germany and Japan following the approach by
 Engel and West (2006). This model-based exchange rate is determined by the
 fundamentals of the Taylor rule exchange rate model and treated as the
 equilibrium exchange rate. Following this, exponential smooth transition
 regressive (ESTR) models are fitted to tackle the question of whether the
 real exchange rate shows mean reverting behaviour towards this equilibrium
 exchange rate. In particular for Germany, the results indeed suggest that
 real exchange rates adjust and mean revert much faster in case of large
 deviations from the equilibrium exchange rate.&#xA0;	       
Journal: Applied Financial Economics 
Pages: 1097-1107 
Issue: 13 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.788780 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.788780 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:13:p:1097-1107




Template-Type: ReDIF-Article 1.0
Author-Name: R�gis Blazy 
Author-X-Name-First: R�gis 
Author-X-Name-Last: Blazy 
Author-Name: Laurent Weill 
Author-X-Name-First: Laurent 
Author-X-Name-Last: Weill 
Title: Why do banks ask for collateral in SME lending? 
Abstract:
	      Following the common use of collateral in SME lending, this
 article aims attesting empirically the three major theoretical reasons for
 using collateral: reduction of loan loss in the event of default, adverse
 selection and moral hazard. We use a unique dataset of 735 bank loans
 granted to French distressed SMEs, which contains full information on the
 type and value of collateral, and the cause of firm default. We observe
 that collateral contributes to reduce loan loss in the event of default,
 with differences among types of collateral in terms of the recovered value
 for a given initial value. However, we tend to show that collateral does
 not solve adverse selection problems, as there is a positive relationship
 between collateral and risk premium, nor moral hazard, as secured loans
 are not associated with a lower probability of moral hazard behaviour.
 These findings are observed for all types of collateral. Therefore, our
 work suggests that information asymmetries are not of prime importance in
 the decision of the bank to secure loans to SMEs. The reduction of the
 loan loss and the observed-risk hypothesis may explain the use of
 collateral.	      
Journal: Applied Financial Economics 
Pages: 1109-1122 
Issue: 13 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.795272 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.795272 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:13:p:1109-1122




Template-Type: ReDIF-Article 1.0
Author-Name: Tomek Katzur 
Author-X-Name-First: Tomek 
Author-X-Name-Last: Katzur 
Author-Name: Laura Spierdijk 
Author-X-Name-First: Laura 
Author-X-Name-Last: Spierdijk 
Title: Stock returns and inflation risk: economic versus statistical evidence 
Abstract:
	      A widespread assumption in the economic literature is that an
 asset is a good hedge against inflation if the Fisher hypothesis holds,
 that is, if nominal asset returns move in parallel with expected
 inflation. We propose a new measure for assessing the inflation risk
 exposure of an asset. This measure reflects the economic influence of
 inflation rates on asset returns in a context of portfolio optimization
 and accounts for parameter uncertainty. We show that the economic
 significance of the influence of expected inflation on stock returns can
 be substantial, despite a lack of traditional evidence against the Fisher
 hypothesis.	      
Journal: Applied Financial Economics 
Pages: 1123-1136 
Issue: 13 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.797556 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.797556 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:13:p:1123-1136




Template-Type: ReDIF-Article 1.0
Author-Name: Wensheng Kang 
Author-X-Name-First: Wensheng 
Author-X-Name-Last: Kang 
Title: The impact of mandatory IFRS adoption on the earnings--returns relation 
Abstract:
	      This study investigates the impact of mandatory International
 Financial Reporting Standards (IFRS) adoption on the value relevance of
 financial reports in 13 European countries by comparing the
 earnings--returns relation pre- and post-IFRS mandatory adoption in 2005.
 It shows that the financial reporting convergence enhances the
 contemporaneous association between earnings and returns, consistent with
 investors' expecting net information quality benefits from the IFRS
 adoption. While the reduction of price leading return effects documented
 in Ali and Hwang (2000) is more pronounced for a country with less
 discrepancy between local generally accepted accounting principles and
 IFRS, the legal system and aggregate earnings management within that
 country do not significantly deteriorate the positive value-relevance
 reaction to mandatory IFRS adoption in Europe. 	 
Journal: Applied Financial Economics 
Pages: 1137-1143 
Issue: 13 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.797557 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.797557 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:13:p:1137-1143




Template-Type: ReDIF-Article 1.0
Author-Name: Pascal Nguyen 
Author-X-Name-First: Pascal 
Author-X-Name-Last: Nguyen 
Title: Divestitures and value creation: does leverage matter? 
Abstract:
	      This article evaluates the extent and sources of value
 associated with the divestitures of French firms over the period 1990 to
 2010. The results show that excess returns are consistently higher when
 the divesting firm is highly levered. The market reaction is also stronger
 when the seller's return on assets and interest coverage ratio are low and
 when the seller is less focused. Using changes in the firm's fundamentals
 following the divestiture as proxy for market expectations at the
 announcement date, we find that excess returns are positively related to
 expected increases in focus, expected increases in the interest coverage
 ratio and expected decreases in leverage. These results indicate that
 investors recognize the benefits of divestitures and reevaluate the seller
 accordingly. However, they only hold for highly levered firms. In
 contrast, the market reaction to the divestitures announced by
 low-leverage firms does not appear to be related to the seller's
 fundamentals. This finding suggests that the determinants of value
 creation are not uniform across all firms.	     
Journal: Applied Financial Economics 
Pages: 1145-1154 
Issue: 14 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.797558 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.797558 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:14:p:1145-1154




Template-Type: ReDIF-Article 1.0
Author-Name: Hyunjoo Kim Karlsson 
Author-X-Name-First: Hyunjoo Kim 
Author-X-Name-Last: Karlsson 
Author-Name: R. Scott Hacker 
Author-X-Name-First: R. Scott 
Author-X-Name-Last: Hacker 
Title: Time-varying betas of sectoral returns to market returns and exchange rate movements 
Abstract:
	      The time-varying behaviour of the market and exchange risk
 betas of the US sectoral returns are estimated using a random walk process
 in connection with the Kalman filter. The empirical findings, in general,
 show that the market risks tend to shrink over longer time horizons, and
 that during the dot-com bubble burst and during the subprime financial
 crisis they tended to rise. During these crises they rose most notably in
 those industries most related to the crisis. Regarding exchange risk,
 industry returns appear in this study to be positively related to dollar
 appreciation, but that relationship declines with longer time horizons, in
 some cases resulting ultimately in a negative relationship between the US
 dollar and the industry returns. This latter result is consistent with the
 idea that the effect of a US dollar appreciation on competitiveness of the
 US exports becomes stronger with the longer time horizons. During the
 subprime financial crisis, the relation between excess returns and the
 exchange rate tended to fall, as was notably the case for the Technology
 sector during the dot-com bubble burst.	  
Journal: Applied Financial Economics 
Pages: 1155-1168 
Issue: 14 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.797555 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.797555 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:14:p:1155-1168




Template-Type: ReDIF-Article 1.0
Author-Name: Der-Fen Huang 
Author-X-Name-First: Der-Fen 
Author-X-Name-Last: Huang 
Author-Name: Ni-Yun Chen 
Author-X-Name-First: Ni-Yun 
Author-X-Name-Last: Chen 
Author-Name: Ko-Wei Gao 
Author-X-Name-First: Ko-Wei 
Author-X-Name-Last: Gao 
Title: The tax burden of listed companies in China 
Abstract:
	      This study examines factors affecting effective tax rates
 (ETRs) in China, using firms trading in the Shanghai and Shenzhen stock
 exchange markets from 1999 to 2008, and documents four key determinants,
 including (i) firm-specific attributes, (ii) ownership structure, (iii)
 industry upgrading and (iv) tax reforms in the form of cutting tax
 incentives. Consistent with prior findings, ETRs are positively related to
 firm size, as suggested by the political cost theory. Moreover, the
 relation between ETRs and financial leverage is nonlinear. ETRs are
 negatively related to financial leverage, but this relation becomes less
 negative as leverage keeps increasing. ETRs are also positively related to
 inventory intensity. On the other hand, ETRs are negatively related to the
 percentage of shares held by foreign stockholders. In addition, lower ETRs
 are found in high-tech industries which have been deemed more valuable by
 the government, and therefore receive more tax incentives. Finally, ETRs
 have increased following the 2002 tax reform, which eliminated the
 refunding of firms' tax prepayments. Our results offer insights for
 policy-makers interested in enhancing tax effects and improving the tax
 system in China.	   
Journal: Applied Financial Economics 
Pages: 1169-1183 
Issue: 14 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.786163 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.786163 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:14:p:1169-1183




Template-Type: ReDIF-Article 1.0
Author-Name: Christian Pierdzioch 
Author-X-Name-First: Christian 
Author-X-Name-Last: Pierdzioch 
Author-Name: Daniel Hartmann 
Author-X-Name-First: Daniel 
Author-X-Name-Last: Hartmann 
Title: Forecasting Eurozone real-estate returns 
Abstract:
	      We use a real-time forecasting approach to study the
 predictability of excess returns on a benchmark Euro Area real-estate
 index. The real-time forecasting approach accounts for the fact that, in
 real time, an investor forecasts returns under conditions of model
 instability and model uncertainty. Our results show that excess returns
 are predictable out-of-sample using information on financial and
 macroeconomic data available to an investor in real time. We also study
 the real-time market-timing ability of an investor and the performance of
 a simple trading rule as compared to a buy-and-hold strategy.		
Journal: Applied Financial Economics 
Pages: 1185-1196 
Issue: 14 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.797559 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.797559 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:14:p:1185-1196




Template-Type: ReDIF-Article 1.0
Author-Name: Khamis H. Al-Yahyaee 
Author-X-Name-First: Khamis H. 
Author-X-Name-Last: Al-Yahyaee 
Author-Name: Toan M. Pham 
Author-X-Name-First: Toan M. 
Author-X-Name-Last: Pham 
Author-Name: Terry S. Walter 
Author-X-Name-First: Terry S. 
Author-X-Name-Last: Walter 
Title: Capital structure and stock returns: evidence from an emerging market with unique financing arrangements 
Abstract:
	      We investigate capital structure dynamics in a unique
 financing environment where (1) we avoid the complex tax environments
 faced by previous studies and where (2) firms rely primarily on bank loans
 rather than the public debt market.		 Consistent with recent
 empirical evidence, we find that stock returns are a first-order
 determinant of capital structure. Firms show some tendency to rebalance
 towards their target capital structure. However, the impact of stock
 returns dominates the effects of rebalancing. We also find that firm's
 stock returns induce some corporate issuing activity, and managers use
 issuing activity to counteract some of the mechanistic effects of stock
 returns.	   
Journal: Applied Financial Economics 
Pages: 1197-1203 
Issue: 14 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.799754 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.799754 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:14:p:1197-1203




Template-Type: ReDIF-Article 1.0
Author-Name: Jesus M. Garcia-Iglesias 
Author-X-Name-First: Jesus M. 
Author-X-Name-Last: Garcia-Iglesias 
Author-Name: Rebeca Mu&#xF1;oz Torres 
Author-X-Name-First: Rebeca 
Author-X-Name-Last: Mu&#xF1;oz Torres 
Author-Name: George Saridakis 
Author-X-Name-First: George 
Author-X-Name-Last: Saridakis 
Title: Did the Bank of Mexico follow a systematic behaviour in its transition to an inflation targeting regime? 
Abstract:
	      The main determinants of monetary policy in Mexico are
 analysed using conventional reaction functions to evaluate the gradual
 implementation of inflation targeting (IT) to achieve low and stable rates
 of inflation. In particular, we look at how the evolution of the
 inflation, growth and movements in exchange rates have conditioned the
 decisions of monetary policy taken by the central bank in Mexico for the
 period 1996 to 2010. Our results show in a systematic way that
 exchange-rate variations played a major role until 2000 (disinflation
 period) when IT was explicitly adopted and growth and inflation became the
 predominant variables with this new monetary regime. We conclude that IT
 in Mexico has effectively contributed to gain a nominal anchor for
 monetary policy.	   
Journal: Applied Financial Economics 
Pages: 1205-1213 
Issue: 14 
Volume: 23 
Year: 2013 
Month: 7 
X-DOI: 10.1080/09603107.2013.799755 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.799755 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:14:p:1205-1213




Template-Type: ReDIF-Article 1.0
Author-Name: Dirk Broeders 
Author-X-Name-First: Dirk 
Author-X-Name-Last: Broeders 
Author-Name: An Chen 
Author-X-Name-First: An 
Author-X-Name-Last: Chen 
Author-Name: David Rijsbergen 
Author-X-Name-First: David 
Author-X-Name-Last: Rijsbergen 
Title: Valuation of liabilities in hybrid pension plans 
Abstract:
	      Contemporary pension plans are often hybrid pension plans, a
 mixture of defined benefit and defined contribution plans. In this
 article, we model a continuum of stylized hybrid pension plans in a
 run-off pension fund and value these pension liabilities taking account of
 both equity and interest rate risk. We achieve analytic valuation formulae
 and examine how the liability evolves over time. Comparative statistics
 are carried out to show the relevance of some key parameters in defining
 the hybrid pension plans, particularly the indicator of hybridity and the
 equity allocation in the pension fund's investment policy.	     
Journal: Applied Financial Economics 
Pages: 1215-1229 
Issue: 15 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.788778 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.788778 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:15:p:1215-1229




Template-Type: ReDIF-Article 1.0
Author-Name: Sven Klingler 
Author-X-Name-First: Sven 
Author-X-Name-Last: Klingler 
Author-Name: Young Shin Kim 
Author-X-Name-First: Young Shin 
Author-X-Name-Last: Kim 
Author-Name: Svetlozar T. Rachev 
Author-X-Name-First: Svetlozar T. 
Author-X-Name-Last: Rachev 
Author-Name: Frank J. Fabozzi 
Author-X-Name-First: Frank J. 
Author-X-Name-Last: Fabozzi 
Title: Option pricing with time-changed L�vy processes 
Abstract:
	      In this article, we introduce two new six-parameter processes
 based on time-changing tempered stable distributions and develop an option
 pricing model based on these processes. This model provides a good fit to
 observed option prices. To demonstrate the advantages of the new
 processes, we conduct two empirical studies to compare their performance
 to other processes that have been used in the literature.	    
Journal: Applied Financial Economics 
Pages: 1231-1238 
Issue: 15 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.807024 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.807024 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:15:p:1231-1238




Template-Type: ReDIF-Article 1.0
Author-Name: Alamedin Bannaga 
Author-X-Name-First: Alamedin 
Author-X-Name-Last: Bannaga 
Author-Name: Yagoub Gangi 
Author-X-Name-First: Yagoub 
Author-X-Name-Last: Gangi 
Author-Name: Rafid Abdrazak 
Author-X-Name-First: Rafid 
Author-X-Name-Last: Abdrazak 
Author-Name: Bashar Al-Fakhry 
Author-X-Name-First: Bashar 
Author-X-Name-Last: Al-Fakhry 
Title: The effects of good governance on foreign direct investment inflows in Arab countries 
Abstract:
	      The recent research on foreign direct investment stressed the
 significance of good governance. A number of multinational reports
 confirmed that the Arab region has one of the lowest governance indicators
 in the world. This article assesses the effects of governance on foreign
 direct investment inflows in Arab countries using panel regression based
 on an augmented gravity model. The regression results lend a strong
 support for the significance of good governance to foreign direct
 investment inflows.	      
Journal: Applied Financial Economics 
Pages: 1239-1247 
Issue: 15 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.802088 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.802088 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:15:p:1239-1247




Template-Type: ReDIF-Article 1.0
Author-Name: R. P. C. Leal 
Author-X-Name-First: R. P. C. 
Author-X-Name-Last: Leal 
Author-Name: B. V. M. Mendes 
Author-X-Name-First: B. V. M. 
Author-X-Name-Last: Mendes 
Title: Assessing the effect of tail dependence in portfolio allocations 
Abstract:
	      Portfolio selection requires an estimate of the degree of
 association between assets. The Pearson correlation coefficient &#x3C1; is
 the most common measure and estimates the linear correlation implied by
 the underlying bivariate distribution. Correlations typically rise during
 stressful times and this nonlinear dependence is measured by a nonzero
 tail dependence coefficient. We investigate the effect of tail dependence
 on the estimate of the correlation coefficient. Simulations show that
 extreme joint losses or gains cause overestimation of the linear
 correlation coefficient in the presence of tail dependence. The degree of
 association during the usual days may be smaller than that indicated by
 the sample correlation coefficient, impacting long-run investments.
 Simulations show that portfolios based either on the rank correlation or
 on a conditional version of the Pearson correlation outperform those
 obtained with classical inputs for moderate and weak strengths of tail
 dependence association computed from 5 or 10 years of daily data. However,
 the Pearson correlation coefficient is hard to beat for shorter time
 horizons and stronger strengths of tail dependence. We recommend
 estimating the copula pertaining to the data on the presence of tail
 dependence to select the most suitable correlation coefficient.	  
Journal: Applied Financial Economics 
Pages: 1249-1256 
Issue: 15 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.804160 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.804160 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:15:p:1249-1256




Template-Type: ReDIF-Article 1.0
Author-Name: Aneta Dyakova 
Author-X-Name-First: Aneta 
Author-X-Name-Last: Dyakova 
Author-Name: Graham Smith 
Author-X-Name-First: Graham 
Author-X-Name-Last: Smith 
Title: Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets 
Abstract:
	      The degree of return predictability is measured for 40
 Bulgarian stocks, two Bulgarian stock market indices and 13 other South
 East European stock market indices using three finite-sample variance
 ratio tests. Daily data corrected for infrequent trading are used in a
 fixed-length rolling window to capture short-horizon predictability and
 rank Bulgarian stocks and South East European stock market indices by
 relative predictability. Overall, the degree of return predictability for
 both stocks and stock market price indices varies widely. For Bulgarian
 stocks, the degree of predictability is greater the less liquid is the
 market for a particular stock. For market indices, the degree of
 predictability is negatively related to capitalization, liquidity and
 market quality; small, new, relatively illiquid and less-developed stock
 markets are more predictable than large, liquid, developed markets.	    
Journal: Applied Financial Economics 
Pages: 1257-1271 
Issue: 15 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.802089 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.802089 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:15:p:1257-1271




Template-Type: ReDIF-Article 1.0
Author-Name: Bernard Ben Sita 
Author-X-Name-First: Bernard 
Author-X-Name-Last: Ben Sita 
Title: Volatility links between US industries 
Abstract:
	      This article investigates volatility linkages across 30 US
 industries in terms of volatility leadership impact and interdependence
 dynamics. The volatility spillover index of Diebold and Yilmaz (2009) is
 used to uncover industries that show leadership in volatility and to
 measure the impacts of leading industries on lagging industries. I find
 that a leader is also a follower, which results into a web of complex
 relationships in volatility spillovers. Nevertheless, I identify the
 business equipment, the manufacturing and the financial intermediation
 industry as the main leading industries through which the entire economic
 system can be either stimulated when the economy is contracting or cooled
 when the economy is expanding. 	 
Journal: Applied Financial Economics 
Pages: 1273-1286 
Issue: 15 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.804159 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.804159 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:15:p:1273-1286




Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Burton 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Burton 
Author-Name: Abeyratna Gunasekarage 
Author-X-Name-First: Abeyratna 
Author-X-Name-Last: Gunasekarage 
Author-Name: Jayanthi Kumarasiri 
Author-X-Name-First: Jayanthi 
Author-X-Name-Last: Kumarasiri 
Title: The influence of blockownership level and identity on board composition: evidence from the New Zealand market 
Abstract:
	      This article explores the relationship between the level and
 identity of the largest equity blockholding and the proportion of outside
 directors on the boards of New Zealand corporations between 2002 and 2007,
 using models that allow for nonlinearity in the relationship as well as
 interaction between the two exploratory variables. New Zealand provides a
 unique governance setting for the study, with significant blockholder
 presence and an inactive (relative to other developed countries) market
 for corporate control co-existing with a high number of outside directors.
 The evidence suggests that the proportion of outside directors on New
 Zealand boards is related to both the level of ownership and identity of
 the largest blockholder, with the latter influence dominating the former.
 The evidence regarding blockholder identity suggests that the number of
 outside directors is likely to be greatest when the stakeholder is
 governmental or corporate in nature.	       
Journal: Applied Financial Economics 
Pages: 1287-1299 
Issue: 16 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.804162 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.804162 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:16:p:1287-1299




Template-Type: ReDIF-Article 1.0
Author-Name: Alexander F. Wolff 
Author-X-Name-First: Alexander F. 
Author-X-Name-Last: Wolff 
Title: Investor sentiment and stock prices in the subprime mortgage crisis 
Abstract:
	      As evidence from existing literature contradicts classical
 finance suggesting that there is room for investor sentiment in stock
 prices, and there is evidence that indicates a possible change in this
 relationship in the subprime mortgage crisis (since 2007), this article
 uses several methods to measure investor sentiment for both individual and
 institutional investors in the US, and then frees it from macroeconomic
 trends. The Granger-causality test is used to ensure that it is investor
 sentiment causing stock market price changes, and not vice versa. Changes
 in stock market prices are then regressed on changes in the investor
 sentiment data freed of macroeconomic trends. The resulting regression
 coefficients from before and during the crisis are compared to determine
 the impact the subprime mortgage crisis has had on the relationship
 between investor sentiment and stock market prices. Out of the five
 investor sentiment indexes used, only two exhibit significant causality in
 the desired direction (the Individual One-Year Confidence Index and the
 Individual Valuation Confidence Index, both from Yale). For the Individual
 One-Year Confidence Index, strong statistical evidence is found that the
 predictive power of investor sentiment over stock market prices has
 increased in the subprime mortgage crisis.	     
Journal: Applied Financial Economics 
Pages: 1301-1309 
Issue: 16 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.804163 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.804163 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:16:p:1301-1309




Template-Type: ReDIF-Article 1.0
Author-Name: N. K. Kishor 
Author-X-Name-First: N. K. 
Author-X-Name-Last: Kishor 
Author-Name: H. A. Marfatia 
Author-X-Name-First: H. A. 
Author-X-Name-Last: Marfatia 
Title: Does federal funds futures rate contain information about the treasury bill rate? 
Abstract:
	      In this article, we use high-frequency daily data to examine
 the dynamic relationship between the federal funds futures rate and the
 3-month treasury (T)-bill rate. Our results show that 1-month federal
 funds futures rate is co-integrated with the 3-month T-bill rate, and thus
 move together in the long run. We find that any deviation of the 1-month
 federal funds futures rate and the T-bill rate from their long-run
 equilibrium is corrected by the subsequent movements in both federal funds
 futures rate and T-bill rate. Decomposing the federal funds futures rate
 and the T-bill rate into a trend and cycle using the multivariate
 Beveridge--Nelson methodology, we find that there was a big positive cycle
 in the federal funds futures rate before 2008 implying a future downward
 movement in federal funds futures rate. We also find a negative cycle in
 T-bill market during the financial crisis implying that the yield on
 T-bill was below the long-run trend.	       
Journal: Applied Financial Economics 
Pages: 1311-1324 
Issue: 16 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.808397 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.808397 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:16:p:1311-1324




Template-Type: ReDIF-Article 1.0
Author-Name: Olivier Mesly 
Author-X-Name-First: Olivier 
Author-X-Name-Last: Mesly 
Title: Detecting financial predators ahead of time: a two-group longitudinal study 
Abstract:
	      This multidisciplinary article uses the works of Mesly from
 1999 to 2013 to develop a mathematical model of financial predation to
 determine whether financial predators can be detected before they commit
 substantial fraud. Previous works by the author have shown that financial
 predators follow certain logic, which can be expressed by mathematical
 formulae. This article hypothesizes that the so-called predatory curve
 which has been identified in previous studies by the author is the result
 of the mobilization of four elements: essential resources
 (<italic>R</italic>), nonessential resources (<italic>R</italic>	   
      <sub>n</sub>), work or effort (<italic>T</italic>) and knowledge
 (<italic>T</italic>		    <sub>h</sub>). Failing to be able to
 detect a financial predator directly, one can measure one or all of these
 four elements that generate the predatory curve to see if abnormal
 behaviours are displayed, which would then be an indication of possible
 otherwise undetected financial predation. The implication for the average
 or wealthy investor is obvious: detecting the predator before he can act
 may mean saving thousands if not millions of dollars.		
Journal: Applied Financial Economics 
Pages: 1325-1336 
Issue: 16 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.804161 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.804161 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:16:p:1325-1336




Template-Type: ReDIF-Article 1.0
Author-Name: M. Faisal Safa 
Author-X-Name-First: M. Faisal 
Author-X-Name-Last: Safa 
Author-Name: M. Kabir Hassan 
Author-X-Name-First: M. Kabir 
Author-X-Name-Last: Hassan 
Author-Name: Neal C. Maroney 
Author-X-Name-First: Neal C. 
Author-X-Name-Last: Maroney 
Title: AIG's announcements, Fed's innovation, contagion and systemic risk in the financial industries 
Abstract:
	      We examine the effects of the American International Group,
 Inc.'s (AIG's) loss announcements and the Federal Reserve's subsequent
 innovation in the financial sector. Analysis of seemingly unrelated
 regression on the returns of four financial industries -- banking,
 insurance, brokerage firms and savings and loan institutions (S&Ls) for
 the period 5 September 2007 to 31 December 2008 reveals that, the Federal
 Reserve's announcements on 16 September 2008 and on 8 October 2008 to
 pledge $85 billion and $37.8 billion, respectively, to save the AIG, have
 the most impact on the financial industries. All four industries are
 sensitive towards shocks in short- and long-run interest rate returns and
 market returns. We find evidence of significant contagion effect between
 insurance and banking industries and incremental systemic risk in all
 financial industries after the bailout by the Federal Reserve. We do not
 find any significant evidence supporting the Federal Reserve's perception
 of AIG to be too-big-to-fail.		
Journal: Applied Financial Economics 
Pages: 1337-1348 
Issue: 16 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.815309 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.815309 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:16:p:1337-1348




Template-Type: ReDIF-Article 1.0
Author-Name: Hui Di 
Author-X-Name-First: Hui 
Author-X-Name-Last: Di 
Author-Name: Steven Allen Hanke 
Author-X-Name-First: Steven Allen 
Author-X-Name-Last: Hanke 
Title: The impact of double taxation on small firms' cash holdings 
Abstract:
	      Prior literature conjectures that double taxation has a
 negative impact on corporate liquidity. However, there is a lack of
 empirical evidence for the proposition. By examining small publicly-traded
 C corporations, we find a negative relation between long-run cash
 effective tax rates and cash holdings. Such a tax impact occurred before
 the reduction in double taxation in 2003 but not afterwards. Another
 unexplored issue is whether it is effective to enact double taxation
 reducing policies when economic conditions deteriorate. Our results reveal
 that such policies should be made permanent instead of being employed only
 when economic conditions deteriorate.		
Journal: Applied Financial Economics 
Pages: 1349-1359 
Issue: 16 
Volume: 23 
Year: 2013 
Month: 8 
X-DOI: 10.1080/09603107.2013.818211 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.818211 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:16:p:1349-1359




Template-Type: ReDIF-Article 1.0
Author-Name: M. A. Petersen 
Author-X-Name-First: M. A. 
Author-X-Name-Last: Petersen 
Author-Name: J. B. Maruping 
Author-X-Name-First: J. B. 
Author-X-Name-Last: Maruping 
Author-Name: J. Mukuddem-Petersen 
Author-X-Name-First: J. 
Author-X-Name-Last: Mukuddem-Petersen 
Author-Name: L. N. P. Hlatshwayo 
Author-X-Name-First: L. N. P. 
Author-X-Name-Last: Hlatshwayo 
Title: A Basel perspective on bank leverage 
Abstract:
	      Basel III introduces a leverage ratio that is expressed as
 the quotient of Tier 1 capital and a class of total unweighted assets. In
 this article, we use BankScope data to study Class I banks that have Tier
 1 capital and total unweighted assets in excess of US $4 and 100 billion,
 respectively, and are internationally active. We also consider Class II
 banks that do not satisfy these conditions. Here, we find that Class I
 banks are more leveraged than their Class II counterparts under both Basel
 II and III regimes. Off-balance sheet items make up a larger proportion of
 unweighted assets for Class I banks than for Class II banks. Both these
 types of banks are more leveraged using Basel III leverage calculations
 than under a Basel II dispensation. It appears that, seen in isolation,
 high Basel leverage does not appear to be a reliable predictor of
 subsequent bank distress. However, bank leverage will be significantly
 influenced by an increase in regulation restrictiveness from Basel II to
 Basel III. In particular, more restrictive regulation is associated with
 relatively higher leverage. With respect to leverage, Basel III must
 clearly adopt more than just a one-size-fits-all approach.	     
Journal: Applied Financial Economics 
Pages: 1361-1369 
Issue: 17 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.818210 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.818210 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1361-1369




Template-Type: ReDIF-Article 1.0
Author-Name: Vinay Asthana 
Author-X-Name-First: Vinay 
Author-X-Name-Last: Asthana 
Title: Street-smart asset pricing 
Abstract:
	      This article looks at consumption-based asset pricing from a
 novel perspective that seeks to find common ground between academic
 research and 'street wisdom', i.e. the popularly held beliefs of the stock
 market participants and observers. I start with an examination of the
 literature to identify themes of academic research that are compatible
 with 'street wisdom'. Using these themes -- namely, the themes of 'fear'
 (the fear of rare disasters) and 'greed' (the direct preference for
 wealth) -- I develop a modified version of consumption-based capital asset
 pricing model which juxtaposes the rare disaster framework with the
 concept of spirit of capitalism. In essence, this is an 'academic' model
 which derives its inspiration from 'street wisdom' but aspires to solve
 'academic' asset pricing puzzles. I succeed in arriving at analytical
 solutions for asset prices. For the empirical validation of this
 'street-smart' asset pricing model, I assess its ability to explain the
 equity premium puzzle using available international historical data sets.
 The calibration results suggest that the 'street-smart' model is indeed
 smart. 	 
Journal: Applied Financial Economics 
Pages: 1371-1381 
Issue: 17 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.818209 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.818209 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1371-1381




Template-Type: ReDIF-Article 1.0
Author-Name: Ting Yang 
Author-X-Name-First: Ting 
Author-X-Name-Last: Yang 
Title: Change in governance environment and firm performance: evidence from foreign firms deregistering from the US 
Abstract:
	      The passage of the Sarbanes--Oxley Act in 2002 gives more
 incentive for foreign firms to consider deregistering from the United
 States. The adoption of SEC Rule 12h-6 allows them better able to do so.
 Since 2007, there has been a surge in foreign deregistrations. We
 investigate what happens to deregistering foreign firms. We find that they
 show significantly negative growth during post-deregistration years.
 Compared with firms that remain registered, none of their median abnormal
 performance changes is significant. However, there is a substantial
 cross-sectional variation in performance changes. We find that weaker
 governance quality is associated with significantly worse operating
 performance. This suggests that foreign firms that gain more from
 borrowing the US governance environment also lose more when they leave the
 United States. Evidence on stock price reaction to deregistration
 announcements indicates that investors understand the impact of resulting
 changes in governance environment on firm performance. 	 
Journal: Applied Financial Economics 
Pages: 1383-1391 
Issue: 17 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.824545 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.824545 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1383-1391




Template-Type: ReDIF-Article 1.0
Author-Name: P. V. (Sundar) Balakrishnan 
Author-X-Name-First: P. V. (Sundar) 
Author-X-Name-Last: Balakrishnan 
Author-Name: A. Steven Holland 
Author-X-Name-First: A. Steven 
Author-X-Name-Last: Holland 
Author-Name: James M. Miller 
Author-X-Name-First: James M. 
Author-X-Name-Last: Miller 
Author-Name: S. Gowri Shankar 
Author-X-Name-First: S. Gowri 
Author-X-Name-Last: Shankar 
Title: Market closings and concentration of stock trading: an empirical analysis 
Abstract:
	      We adopt a power law framework to measure the concentration
 of daily trading among the different stocks on the US market. Our analysis
 of the trends of daily concentration over the last five decades reveals
 that trading concentration is lower on Mondays and the day after a long
 weekend. These findings are supportive of the hypothesis that firms manage
 information release. We also find lower concentration at the end of
 December and in January. The results are consistent with our expectations
 for a stock market that comprises multiple groups of traders with unique
 trading behaviour and timing patterns. 	 
Journal: Applied Financial Economics 
Pages: 1393-1398 
Issue: 17 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.826873 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.826873 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1393-1398




Template-Type: ReDIF-Article 1.0
Author-Name: Periklis Gogas 
Author-X-Name-First: Periklis 
Author-X-Name-Last: Gogas 
Author-Name: Theophilos Papadimitriou 
Author-X-Name-First: Theophilos 
Author-X-Name-Last: Papadimitriou 
Author-Name: Georgios Sarantitis 
Author-X-Name-First: Georgios 
Author-X-Name-Last: Sarantitis 
Title: Testing purchasing power parity in a DFA rolling Hurst framework: the case of 23 OECD countries 
Abstract:
	      We test the validity of the Purchasing Power Parity theory,
 examining the Real Exchange Rate of 23 OECD countries for mean-reversion.
 In doing so, we estimate the Hurst exponent, which is a well-established
 estimator of long memory in time series analysis. The innovation of our
 approach is that we employ the Detrended Fluctuation Analysis (DFA) for
 the estimation of Hurst on Real Exchange Rates both in the full sample and
 in rolling windows of three different sizes in an attempt to identify
 possible trends, breaks and the evolution of Hurst through time.	   
Journal: Applied Financial Economics 
Pages: 1399-1406 
Issue: 17 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.829196 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.829196 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1399-1406




Template-Type: ReDIF-Article 1.0
Author-Name: Andy Fodor 
Author-X-Name-First: Andy 
Author-X-Name-Last: Fodor 
Author-Name: Michael DiFilippo 
Author-X-Name-First: Michael 
Author-X-Name-Last: DiFilippo 
Author-Name: Kevin Krieger 
Author-X-Name-First: Kevin 
Author-X-Name-Last: Krieger 
Author-Name: Justin Davis 
Author-X-Name-First: Justin 
Author-X-Name-Last: Davis 
Title: Inefficient pricing from holdover bias in NFL point spread markets 
Abstract:
	      We identify inefficiency in the National Football League
 (NFL) gambling market indicative of sticky preferences by bettors. NFL
 teams that qualified for the playoffs in the prior season are favoured by
 too large a margin in the opening week of the following season. Bettors
 view these teams as superior though they win only 51.7% of opening week
 games against teams that failed to make the playoffs in the prior year.
 Against the point spread, teams that made the playoffs in the prior year
 win only 35.6% of opening week games played against teams that failed to
 make the playoffs in the prior year. Systematic betting based on this
 trend results in significant profitability over the 2004--2012 seasons
 with an average return over 22% per game. We posit this can be explained
 by gamblers' tendencies to cling to perceptions of teams formed from
 observation in the prior season. This confirms research in more
 traditional markets, suggesting investors can be slow to update asset
 valuations.	      
Journal: Applied Financial Economics 
Pages: 1407-1418 
Issue: 17 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.829201 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.829201 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1407-1418




Template-Type: ReDIF-Article 1.0
Author-Name: R. L�pez 
Author-X-Name-First: R. 
Author-X-Name-Last: L�pez 
Author-Name: E. Navarro 
Author-X-Name-First: E. 
Author-X-Name-Last: Navarro 
Title: Interest rate and stock return volatility indices for the Eurozone. Investors' gauges of fear during the recent financial crisis 
Abstract:
	      We suggest a methodology for the construction of a set of
 interest rate volatility indices for the Eurozone (EIRVIXs) based on the
 implied volatility quotes of caps (floors), one of the most liquid
 interest rate derivatives. These indices reflect the market's aggregate
 expectation of volatility of forward rates over both short- and long-term
 horizons (from 1 to 10 years ahead). Volatility indices in equity markets
 are referred to as investors' gauges of fear because they usually spike in
 periods of market turmoil. In this article, we extend the empirical
 evidence by analysing the effect of the recent financial crisis on short-
 and long-term EIRVIXs. We find that the level of short-term EIRVIXs (70%)
 as of April 2012 is still far from returning to the average pre-crisis
 value (17%) and that the crisis has also affected investors' long-term
 expectations of volatility. In addition, using two stock return volatility
 indices for the Eurozone, we find that the crisis has had a deeper impact
 on investors' uncertainty about the evolution of interest rates than on
 stock market returns.		
Journal: Applied Financial Economics 
Pages: 1419-1432 
Issue: 18 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.831167 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.831167 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:18:p:1419-1432




Template-Type: ReDIF-Article 1.0
Author-Name: Suresh Ramanathan 
Author-X-Name-First: Suresh 
Author-X-Name-Last: Ramanathan 
Author-Name: Kian-Teng Kwek 
Author-X-Name-First: Kian-Teng 
Author-X-Name-Last: Kwek 
Title: The twin faces of emerging Asia's currency forward markets in an imperfect setting 
Abstract:
	      Covered interest parity fails to occur in both the onshore
 and offshore currency forward markets for emerging Asia. The deviation is
 largely influenced by a two-tier currency forward market given the
 barriers to capital flow, with the exception of Hong Kong. The structural
 difference between onshore and offshore currency forward markets lends
 support for arbitrageurs to exploit the segmentation of markets.	   
Journal: Applied Financial Economics 
Pages: 1433-1446 
Issue: 18 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.831169 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.831169 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:18:p:1433-1446




Template-Type: ReDIF-Article 1.0
Author-Name: A. Pierru 
Author-X-Name-First: A. 
Author-X-Name-Last: Pierru 
Author-Name: T. Atallah 
Author-X-Name-First: T. 
Author-X-Name-Last: Atallah 
Title: A simple approach to valuing a multinational firm's tax shields 
Abstract:
	      We consider a multinational firm that seeks to maximize its
 total amount of interest tax shield while following a constant debt ratio
 policy on a global level. The firm's total interest tax shield can then be
 considered as a piecewise-linear increasing function that is concave with
 respect to the firm's value. As a result, the expected interest tax shield
 can be much safer than the firm's free cash flow, depending on the firm's
 current value. With a simple no-arbitrage model, we derive the discount
 factor to apply to the total interest tax shield expected by the
 multinational firm. We show that this formula generalizes standard results
 of the literature on interest tax shields valuation.	       
Journal: Applied Financial Economics 
Pages: 1447-1455 
Issue: 18 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.829199 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.829199 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:18:p:1447-1455




Template-Type: ReDIF-Article 1.0
Author-Name: S. Beyer 
Author-X-Name-First: S. 
Author-X-Name-Last: Beyer 
Author-Name: L. Garcia-Feijoo 
Author-X-Name-First: L. 
Author-X-Name-Last: Garcia-Feijoo 
Author-Name: G. R. Jensen 
Author-X-Name-First: G. R. 
Author-X-Name-Last: Jensen 
Title: Can you capitalize on the turn-of-the-year effect? 
Abstract:
	      Previous research identifies evidence of a strong seasonal
 pattern in returns, whereby returns are systematically higher in January.
 The most widely advanced explanation for this turn-of-the-year (or
 January) effect relies on tax-based trading; however, researchers have
 proposed a variety of alternative explanations. The relevance of the
 January effect for investors has been questioned due to the inconsistency
 in the phenomenon. We find evidence indicating that a strategy that
 targets small, out-of-favour stocks allows investors to achieve superior
 performance in January. Furthermore, we find that market indicators can be
 used to improve the consistency of the strategy. Finally, we advance a
 theory to explain the observed superior performance of the proposed
 investment strategy.	       
Journal: Applied Financial Economics 
Pages: 1457-1468 
Issue: 18 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.831168 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.831168 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:18:p:1457-1468




Template-Type: ReDIF-Article 1.0
Author-Name: Frank J. Fabozzi 
Author-X-Name-First: Frank J. 
Author-X-Name-Last: Fabozzi 
Author-Name: Chun-Yip Fung 
Author-X-Name-First: Chun-Yip 
Author-X-Name-Last: Fung 
Author-Name: Kin Lam 
Author-X-Name-First: Kin 
Author-X-Name-Last: Lam 
Author-Name: Wing-Keung Wong 
Author-X-Name-First: Wing-Keung 
Author-X-Name-Last: Wong 
Title: Market overreaction and underreaction: tests of the directional and magnitude effects 
Abstract:
	      We investigate whether the US equity market exhibits
 underreaction or overreaction. More specifically, we study the directional
 and magnitude effects associated with abnormal market reaction. The
 directional effect is the phenomenon that an extreme price movement will
 be followed by a price movement in the opposite (overreaction hypothesis)
 or same (underreaction hypothesis) direction. The magnitude effect is the
 phenomenon that the more extreme the initial price movement is, the
 greater the subsequent adjustment will be. In this article, we study both
 effects by considering extreme, medium and mild winner--loser portfolios.
 The directional effect is assessed by the profits generated by these
 portfolios, and the magnitude effect is assessed by comparing the
 difference in profits between these portfolios. Three tests are developed
 and applied to test the magnitude effect. Empirically we find support for
 both of these effects for extreme, medium and mild winner--loser
 portfolios.	      
Journal: Applied Financial Economics 
Pages: 1469-1482 
Issue: 18 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.829200 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.829200 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:18:p:1469-1482




Template-Type: ReDIF-Article 1.0
Author-Name: Scott William Hegerty 
Author-X-Name-First: Scott William 
Author-X-Name-Last: Hegerty 
Title: Principal component measures of exchange market pressure: comparisons with variance-weighted measures 
Abstract:
	      In studies of currency crises, Exchange Market Pressure (EMP)
 captures depreciations and central-bank interventions in a single index.
 However, while the measure's three components are commonly given
 variance-smoothing weights, this approach has been criticized as
 problematic. One proposed alternative is to use Principal Components
 Analysis (PCA) to derive the proper weights. This article examines EMP for
 21 countries over the period from 2001 to 2012. While the first principal
 component never produces weights of the correct sign, some countries'
 second (and sometimes third) principal components can be used. We then
 compare the two measures, finding that the PCA-based measure is highly
 correlated with the variance-smoothing EMP measure, but that its values
 are often less extreme. This allows for different definitions of 'crisis'
 periods between the two, and different results in econometric estimations
 of EMP determinants. As a result, we find that the method of calculating
 EMP does indeed affect empirical analyses.	     
Journal: Applied Financial Economics 
Pages: 1483-1495 
Issue: 18 
Volume: 23 
Year: 2013 
Month: 9 
X-DOI: 10.1080/09603107.2013.829198 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.829198 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:18:p:1483-1495




Template-Type: ReDIF-Article 1.0
Author-Name: Antonina Waszczuk 
Author-X-Name-First: Antonina 
Author-X-Name-Last: Waszczuk 
Title: Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange? 
Abstract:
	      This article shows that momentum trading fails to generate
 significant profits beyond the 1-month holding period on the Warsaw Stock
 Exchange over the years 2002--2011. Size and value strategies are
 efficacious but have varying magnitudes over time: size premium diminishes
 in the second subperiod. Domestic, European and global pricing model
 specifications are challenged with strategy pay-offs to test the rational
 explanation for the profitability of these investment styles. The
 performance of the buy side of size and value strategies is captured by
 the market risk exposure but both single- and multi-factor models leave
 significant alphas of large and value portfolios. Domestic models
 outperform their nondomestic specifications: European CAPM performs better
 than its global analogue while nondomestic three-factor models perform
 similarly. Tail size and value portfolios are characterized by negative
 but mostly insignificant loadings on European and global nonmarket risk
 factors that emerge from the negative relationship between Polish,
 European and global currency-adjusted small minus big (SMB) and high minus
 low (HML). It is further shown that after adjustment for fluctuations
 between USD and PLN, the magnitude and correlation structure between local
 and global risk factors change significantly.		
Journal: Applied Financial Economics 
Pages: 1497-1508 
Issue: 19 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.835478 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.835478 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:19:p:1497-1508




Template-Type: ReDIF-Article 1.0
Author-Name: David Tennant 
Author-X-Name-First: David 
Author-X-Name-Last: Tennant 
Author-Name: Marlon Tracey 
Author-X-Name-First: Marlon 
Author-X-Name-Last: Tracey 
Title: Explaining related party transactions in commercial banking: looted lending and information-based investments 
Abstract:
	      In the context of constrained credit markets, the information
 view of related party transactions (RPTs) is used to argue that such
 transactions are efficient, as they make the best use of limited
 information. The looting view of RPTs is, however, used to make the
 opposing argument -- during periods of financial distress, bank insiders
 use their control over lending policies to loot banks. Properly
 understanding RPTs, minimizing the attendant risks and capitalizing on any
 extant informational advantages will only be possible when the motivations
 behind such transactions are investigated. Using dynamic OLS and error
 correction methodologies, this article examines the conditions under which
 commercial banks engage in RPTs to ascertain whether evidence can be found
 for either the looting or information views. The results indicate that the
 looting and information-based motivations distinctly and separately impact
 on different types of RPTs, with related party loans (RPLs) being
 influenced more heavily by looting and related party investments (RPIs) by
 information efficiencies. The policy implications are significant. Whereas
 the traditional approach of restricting RPLs seems to be justified, there
 is a case for encouraging RPIs, particularly in an environment wherein
 information is fragmented and costly to obtain.	  
Journal: Applied Financial Economics 
Pages: 1509-1530 
Issue: 19 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.835476 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.835476 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:19:p:1509-1530




Template-Type: ReDIF-Article 1.0
Author-Name: Lisa A. Schwartz 
Author-X-Name-First: Lisa A. 
Author-X-Name-Last: Schwartz 
Author-Name: Kristin Stowe 
Author-X-Name-First: Kristin 
Author-X-Name-Last: Stowe 
Author-Name: Wayne Tarrant 
Author-X-Name-First: Wayne 
Author-X-Name-Last: Tarrant 
Title: The stock price effect of the introduction of exchange-traded credit derivatives 
Abstract:
	      This research investigates the stock market reaction to the
 February 2011 announcement of a new financial product: credit event binary
 options (CEBOs). The CEBOs could be an alternative to credit default swaps
 for hedging or speculating on default. These credit options, traded on the
 Chicago Board Options Exchange (CBOE), pay-off only in the event of
 default by the underlying firm. Options were initially introduced for 10
 firms from various sectors of the economy. In April 2011, additional CEBOs
 were introduced for five large banks. This study finds that the
 announcement of the binary options did not have a significant negative
 effect on the stock prices of the underlying firms. These firms did have a
 significant negative cumulative abnormal return over the entire event
 window surrounding option announcement. Analysis of trading volume finds
 that the majority of the CEBOs did not trade at all during the first 110
 days after listing. Results indicate that market participants are not
 utilizing exchange-traded credit options for hedging credit exposure or
 speculating on credit default. 	 
Journal: Applied Financial Economics 
Pages: 1531-1539 
Issue: 19 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.835477 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.835477 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:19:p:1531-1539




Template-Type: ReDIF-Article 1.0
Author-Name: Beat Reber 
Author-X-Name-First: Beat 
Author-X-Name-Last: Reber 
Title: Initial public offerings: an asset allocation decision based on nonnormal returns 
Abstract:
	      This study analyses whether the inclusion of initial public
 offering (IPO) stocks as part of an optimal asset allocation strategy can
 reduce the systematic risk of an investment portfolio. The asset
 allocation framework takes account of nonnormality of returns from a
 universe of eight asset classes using 240 monthly returns between January
 1992 and December 2011. AR-GJR-GARCH models resolve the tail dependence
 and heteroscedasticity in the return series. Generalized Pareto
 distributions help to fit the heavy-tailed return distributions, while
 copula functions help to calibrate the dependence structure between the
 asset returns. The optimization algorithm persistently includes IPO stocks
 as part of an optimal asset allocation strategy. Their portfolio inclusion
 reduces the conditional value-at-risk and improves the risk-return
 trade-off.	     
Journal: Applied Financial Economics 
Pages: 1541-1552 
Issue: 19 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.839857 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.839857 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:19:p:1541-1552




Template-Type: ReDIF-Article 1.0
Author-Name: Ole Emmrich 
Author-X-Name-First: Ole 
Author-X-Name-Last: Emmrich 
Author-Name: Francis Joseph McGroarty 
Author-X-Name-First: Francis Joseph 
Author-X-Name-Last: McGroarty 
Title: Should gold be included in institutional investment portfolios? 
Abstract:
	      After many years in the investment wilderness, gold investing
 has come back into fashion. We explore whether including gold does indeed
 improve institutional investment portfolios and which form of gold
 performs best. We do this by updating and extending Jaffe (1989), who
 found clear evidence in favour of including a small allocation to gold. We
 show that data from the 1980s and 1990s would have suggested avoiding gold
 investing completely. However, data from the 2000s once again provides
 evidence for including some gold in investment portfolios. Our analysis
 shows that the case for gold investing has become especially strong since
 the financial crisis in 2007. We attribute this shift primarily to changes
 in inflation expectations. We find that gold bullion almost always
 produces better portfolio risk-adjusted returns than alternative forms of
 gold investment.	   
Journal: Applied Financial Economics 
Pages: 1553-1565 
Issue: 19 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.839858 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.839858 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:19:p:1553-1565




Template-Type: ReDIF-Article 1.0
Author-Name: Takeshi Inoue 
Author-X-Name-First: Takeshi 
Author-X-Name-Last: Inoue 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: Financial permeation as a role of microfinance: has microfinance actually been a viable financial intermediary for helping the poor? 
Abstract:
	      This article represents a valuable contribution to the
 existing literature on the relationship between financial sector growth --
 specifically, of microfinance institutions (MFIs) -- and poverty levels in
 developing countries. We propose a concept termed herein <italic>financial
 permeation</italic> to describe how expanding financial activity affects
 low-income households; just as water permeates dry sand, an increase in
 the use of and access to financial services may spread more money among
 the poor, meeting their credit needs and improving their levels of
 well-being. Another feature of the presented study is that it is among the
 first to apply the logit transformation to the poverty ratio, thereby
 eliminating some of the problems of standard regression models. We measure
 financial permeation by applying three indicators related to MFIs and use
 panel data for 76 developing countries from the period 1995 to 2008. We
 find that financial permeation has a statistically significant and robust
 effect on reducing the poverty ratio.		
Journal: Applied Financial Economics 
Pages: 1567-1578 
Issue: 20 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.839859 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.839859 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:20:p:1567-1578




Template-Type: ReDIF-Article 1.0
Author-Name: Gregor Dorfleitner 
Author-X-Name-First: Gregor 
Author-X-Name-Last: Dorfleitner 
Author-Name: Michaela Leidl 
Author-X-Name-First: Michaela 
Author-X-Name-Last: Leidl 
Author-Name: Christopher Priberny 
Author-X-Name-First: Christopher 
Author-X-Name-Last: Priberny 
Author-Name: Jakob von Mosch 
Author-X-Name-First: Jakob 
Author-X-Name-Last: von Mosch 
Title: What determines microcredit interest rates? 
Abstract:
	      High microcredit interest rates cause fierce debates among
 practitioners, scholars and even the general public. To objectify these
 discussions, this article investigates determinants of microcredit
 interest rates by using a worldwide data set of 712 microfinance
 institutions (MFIs). We examine how cost factors, gender, regulation,
 lending methodology and organizational type affect microcredit interest
 rates. Controlling for other microfinance- and country-specific factors,
 we identify the operating expenses as the main factor influencing
 microcredit interest rates. Furthermore, our findings show that MFIs tend
 to subsidize interest rates charged with income from investments not
 related to their lending activities.	       
Journal: Applied Financial Economics 
Pages: 1579-1597 
Issue: 20 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.839860 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.839860 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:20:p:1579-1597




Template-Type: ReDIF-Article 1.0
Author-Name: Jenifer Daley 
Author-X-Name-First: Jenifer 
Author-X-Name-Last: Daley 
Author-Name: Kent Matthews 
Author-X-Name-First: Kent 
Author-X-Name-Last: Matthews 
Author-Name: Tiantian Zhang 
Author-X-Name-First: Tiantian 
Author-X-Name-Last: Zhang 
Title: Post-crisis cost efficiency of Jamaican banks 
Abstract:
	      Deregulation, re-regulation and continuing globalization
 embody an imperative that banks increase efficiency in order to survive.
 We employ the Simar-Wilson (2007) two-step double bootstrap Data
 Envelopment Analysis (DEA) method to measure whether cost efficiency among
 Jamaican banks has improved between 1998 and 2009 following a number of
 post-crisis responses aimed at strengthening and improving the sector.
 Efficiency is extracted from a meta-frontier construction for the full
 sample period. In addition, we conduct tests for unconditional
 &beta;<italic>-convergence</italic> and
 &sigma;<italic>-convergence</italic>; overall, the results suggest that
 there has been a tendency towards improvement in bank efficiency levels
 for the industry as a whole, but there is also evidence that foreign banks
 show a higher trend improvement in efficiency. 	 
Journal: Applied Financial Economics 
Pages: 1599-1607 
Issue: 20 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.839861 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.839861 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:20:p:1599-1607




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitris A. Georgoutsos 
Author-X-Name-First: Dimitris A. 
Author-X-Name-Last: Georgoutsos 
Author-Name: Petros M. Migiakis 
Author-X-Name-First: Petros M. 
Author-X-Name-Last: Migiakis 
Title: European sovereign bond spreads: financial integration and market conditions 
Abstract:
	      In the present article, we examine the dynamics of euro-area
 sovereign bond yield spreads focusing on issues related to financial
 integration and market conditions. The property of a root falling near the
 unity threshold, in the data generation process of the underlying bond
 yields, marks the necessity for careful econometric specification. Thus,
 we formulate the sovereign bond yield spreads, for 10 Economic and
 Monetary Union (EMU), countries against the Bund as autoregressive
 processes with nonlinear properties, with the use of both Markov switching
 and smooth transition autoregression techniques. This way we examine,
 rather than assume, whether stable parity conditions existed in the
 underling bond yields and the effects of various events, for a period
 extending to early 1990s and the Maastricht Treaty. The results validate
 the presence of nonlinear characteristics in the stochastic processes of
 the series and that the case of a slow mean reverting process cannot be
 rejected irrespective of the regime we examine.	  
Journal: Applied Financial Economics 
Pages: 1609-1621 
Issue: 20 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.842637 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.842637 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:20:p:1609-1621




Template-Type: ReDIF-Article 1.0
Author-Name: Paulo M. Gama 
Author-X-Name-First: Paulo M. 
Author-X-Name-Last: Gama 
Author-Name: Elisabete F. S. Vieira 
Author-X-Name-First: Elisabete F. S. 
Author-X-Name-Last: Vieira 
Title: Another look at the holiday effect 
Abstract:
	      This article provides further evidence on the holiday effect
 by analysing stock market behaviour on the days a public holiday is not
 accompanied by a stock market break. Indeed, since 2003, when the trading
 calendar of Portuguese stock market was harmonized with the remaining
 Euronext national markets, on several occasions Portuguese national
 holidays were not weekdays on which the stock market was closed. Moreover,
 we adopted a bottom-up approach that allows us to search for size effects
 and industry effects. Our results show a statistically significant
 negative liquidity effect and an economically and statistically
 significant positive price effect during Portuguese-specific national
 holidays relative to a typical trading day. Return-related impact effects
 are driven by the smaller-sized stocks and robust to the recent crisis
 period. These results suggest the prevalence of a mood effect, by which
 those nondistracted traders' positive feelings translate into a buying
 pressure, or reluctance to sell, that drives up prices on the onset of
 country-specific holidays.	     
Journal: Applied Financial Economics 
Pages: 1623-1633 
Issue: 20 
Volume: 23 
Year: 2013 
Month: 10 
X-DOI: 10.1080/09603107.2013.842638 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.842638 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:20:p:1623-1633




Template-Type: ReDIF-Article 1.0
Author-Name: Jos� Luis Miralles-Marcelo 
Author-X-Name-First: Jos� Luis 
Author-X-Name-Last: Miralles-Marcelo 
Author-Name: Jos� Luis Miralles-Quir�s 
Author-X-Name-First: Jos� Luis 
Author-X-Name-Last: Miralles-Quir�s 
Author-Name: Mar�a del Mar Miralles-Quir�s 
Author-X-Name-First: Mar�a del Mar 
Author-X-Name-Last: Miralles-Quir�s 
Title: Improving the CARR model using extreme range estimators 
Abstract:
				 The aim of this article is to analyse the
 forecasting ability of the conditional autoregressive range (CARR) model
 proposed by Chou (2005) using the S&P 500. We extend the data sample,
 allowing for the analysis of different stock market circumstances and
 propose the use of various range estimators in order to analyse their
 forecasting performance. Additionally, we decide to divide the full sample
 into four sub-samples with the aim of analysing the forecasting ability of
 the different range estimators in various periods. Our results show that
 the original CARR model can be improved depending on three factors: the
 trend, the level of volatility in the analysis period and the error
 estimator that is used to analyse the forecasting ability of each model.
 The Parkinson model is better for upward trends and volatilities which are
 higher and lower than the mean while the CARR model is better for downward
 trends and mean volatilities.			  
Journal: Applied Financial Economics 
Pages: 1635-1647 
Issue: 21 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.844325 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.844325 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:21:p:1635-1647




Template-Type: ReDIF-Article 1.0
Author-Name: Jian Zhou 
Author-X-Name-First: Jian 
Author-X-Name-Last: Zhou 
Author-Name: Jin Man Lee 
Author-X-Name-First: Jin Man 
Author-X-Name-Last: Lee 
Title: Adaptive market hypothesis: evidence from the REIT market 
Abstract:
				 We tests two important implications for
 Real Estate Investment Trust (REIT) market efficiency from the adaptive
 markets hypothesis (Lo, 2004): first, market efficiency is not an
 all-or-none condition but is a characteristic that varies continuously
 over time; second, market efficiency is dependent upon market conditions.
 By using the automatic variance ratio test of Choi (1999), and the
 automatic portmanteau test of Escanciano and Lobato (2009), we confirm
 both implications for the US REIT market. The degree of REIT return
 predictability is found to be time varying. More specifically, it appears
 to be declining over time, which implies that the REIT market has become
 more efficient. Furthermore, we show that the return predictability is
 indeed influenced by market conditions. The level of market development
 appears to be the primary driver for REIT market efficiency. Other factors
 like inflation and the overall equity market volatility also have impacts.
 Finally, we demonstrate that the REIT regulatory changes in the early
 1990s have greatly improved market efficiency. 		  
Journal: Applied Financial Economics 
Pages: 1649-1662 
Issue: 21 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.844326 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.844326 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:21:p:1649-1662




Template-Type: ReDIF-Article 1.0
Author-Name: Carlos F. Alves 
Author-X-Name-First: Carlos F. 
Author-X-Name-Last: Alves 
Author-Name: Ernesto Fernando R. Vicente 
Author-X-Name-First: Ernesto Fernando R. 
Author-X-Name-Last: Vicente 
Title: Does the Latin model of corporate governance perform worse than other models in preventing earnings management? 
Abstract:
				 Traditionally, the Latin model of
 corporate governance had been a predominant model in some countries;
 however, this model is increasingly becoming out of fashion. Using a
 database of Portuguese and Brazilian firms, we investigated whether the
 Latin model performs worse than other models (i.e. variants of the
 Continental and Anglo-Saxon models) in terms of preventing earnings
 management. We conclude that, in general, companies that adopt the Latin
 model have lower levels of earnings management than other companies and
 that switching from the Latin model to another model does not cause a
 generalized decrease in the level of discretionary accruals. Additionally,
 firms that move away from the Latin model are not predominantly those with
 extremely high levels of discretionary accruals.			 
Journal: Applied Financial Economics 
Pages: 1663-1673 
Issue: 21 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.844322 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.844322 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:21:p:1663-1673




Template-Type: ReDIF-Article 1.0
Author-Name: N. Antonakakis 
Author-X-Name-First: N. 
Author-X-Name-Last: Antonakakis 
Author-Name: J. Darby 
Author-X-Name-First: J. 
Author-X-Name-Last: Darby 
Title: Forecasting volatility in developing countries' nominal exchange returns 
Abstract:
				 This article identifies the best models
 for forecasting the volatility of daily exchange returns of developing
 countries. An emerging consensus in the recent literature focusing on
 industrialized countries has noted the superior performance of the
 Fractionally Integrated Generalized Autoregressive Conditionally
 Heteroscedastic (FIGARCH) model in the case of industrialized countries, a
 result that is reaffirmed here. However, we show that when dealing with
 developing countries' data the IGARCH model results in substantial gains
 in terms of the in-sample results and out-of-sample forecasting
 performance.			    
Journal: Applied Financial Economics 
Pages: 1675-1691 
Issue: 21 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.844323 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.844323 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:21:p:1675-1691




Template-Type: ReDIF-Article 1.0
Author-Name: Jinyoung Hwang 
Author-X-Name-First: Jinyoung 
Author-X-Name-Last: Hwang 
Author-Name: Jong Ha Lee 
Author-X-Name-First: Jong Ha 
Author-X-Name-Last: Lee 
Title: Financial deepening and business cycle volatility in Korea 
Abstract:
				 This article investigates the role of
 financial market development on business cycle volatility in the economy
 of Korea, using time-series data for the period 1967 to 2010. The
 financial market development and business cycle volatility are measured by
 three different variables of financial deepening and a moving-average SD
 of real GDP, respectively. We construct a long-run causality index, as
 suggested by Granger and Lin (1995), in the context of cointegrated
 systems and vector error correction model. The estimates indicate that the
 measures of financial deepening, related to the role of financial
 institutions, mitigate cyclical fluctuations in the long run, whereas the
 reverse impacts are rarely evidenced. However, 'the ratio of M2 to nominal
 GDP' as a measure of financial deepening has an intensifying effect on
 business cycle. Based on the findings, we can infer that financial market
 reforms will not decrease business cycle volatility quickly.		    
Journal: Applied Financial Economics 
Pages: 1693-1700 
Issue: 21 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.844324 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.844324 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:21:p:1693-1700




Template-Type: ReDIF-Article 1.0
Author-Name: Pin-te Lin 
Author-X-Name-First: Pin-te 
Author-X-Name-Last: Lin 
Title: Examining volatility spillover in Asian REIT markets 
Abstract:
				 This article provides international
 evidence on the effects of volatility spillover in Asian real estate
 investment trust (REIT) markets. Six Asian markets (Taiwan, Japan,
 Malaysia, Singapore, Hong Kong and South Korea) are examined through the
 generalized autoregressive conditional heteroscedasticity (GARCH) model
 with exogenous variables in the variance equation. Results show a negative
 spillover effect from the stock to REIT market, but a positive spillover
 from the bond to REIT market. During the financial crisis from 2007 to
 2009, the negative volatility spillover from the stock to REIT market is
 significantly enhanced. This suggests that a prosperous stock market would
 decrease conditional volatility in the REIT market and the effect is more
 pronounced during the financial crisis.		   
Journal: Applied Financial Economics 
Pages: 1701-1705 
Issue: 22 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.848023 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.848023 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:22:p:1701-1705




Template-Type: ReDIF-Article 1.0
Author-Name: Pasquale Foresti 
Author-X-Name-First: Pasquale 
Author-X-Name-Last: Foresti 
Author-Name: Oreste Napolitano 
Author-X-Name-First: Oreste 
Author-X-Name-Last: Napolitano 
Title: Modelling long-run money demand: a panel data analysis on nine developed economies 
Abstract:
				 In  this article, we investigate the
 presence of a long-run money demand in a selected group of nine developed
 OECD countries (G7 plus Australia and Switzerland). Our estimations are
 based on panel DOLS and between-dimension group-mean panel DOLS introduced
 by Mark and Sul (2003) and Pedroni (2001), respectively. We employ income
 and wealth as alternative scale variables to model two money demand
 functions using quarterly data for the period 1982 to 2008. Our results
 highlight the role of total wealth in the determination of money demand
 with a positive elasticity. Moreover, a parameter stability analysis
 suggests that estimated money demand with the inclusion of wealth is more
 stable.		  
Journal: Applied Financial Economics 
Pages: 1707-1719 
Issue: 22 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.848024 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.848024 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:22:p:1707-1719




Template-Type: ReDIF-Article 1.0
Author-Name: Jos� Luis Miralles-Marcelo 
Author-X-Name-First: Jos� Luis 
Author-X-Name-Last: Miralles-Marcelo 
Author-Name: Mar�a del Mar Miralles-Quir�s 
Author-X-Name-First: Mar�a del Mar 
Author-X-Name-Last: Miralles-Quir�s 
Author-Name: Ines Lisboa 
Author-X-Name-First: Ines 
Author-X-Name-Last: Lisboa 
Title: The stock performance of family firms in the Portuguese market 
Abstract:
				 The aim of this study is to analyse the
 stock performance of family firms from 1999 to 2008 in the Portuguese
 stock market, where these kinds of firms are frequently found. Consistent
 with previous research, we employ a methodology based on a portfolio
 formation approach. Furthermore, we study the performance of individual
 stocks using a panel data analysis. Our findings show that family firms
 outperform nonfamily ones, especially those family firms of smaller size.
 These results are relevant for investors, academics and the professional
 managers of these companies.			 
Journal: Applied Financial Economics 
Pages: 1721-1732 
Issue: 22 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.848025 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.848025 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:22:p:1721-1732




Template-Type: ReDIF-Article 1.0
Author-Name: Parmendra Sharma 
Author-X-Name-First: Parmendra 
Author-X-Name-Last: Sharma 
Author-Name: Neelesh Gounder 
Author-X-Name-First: Neelesh 
Author-X-Name-Last: Gounder 
Author-Name: Dong Xiang 
Author-X-Name-First: Dong 
Author-X-Name-Last: Xiang 
Title: Foreign banks, profits, market power and efficiency in PICs: some evidence from Fiji 
Abstract:
				 Studies on bank profitability vis-�-vis
 market power and efficiency span a number of years, many countries,
 regions and methods. Yet, the experiences of the Pacific's small states --
 where foreign banks are widespread and bank profits relatively high --
 remain unknown, leaving policy-makers ill-informed regarding relevant
 policy development. This study fills a huge gap in literature by providing
 some evidence on the issue in a Pacific Island context. Two market power
 hypotheses -- the structure-conduct-performance (SCP) and the relative
 market power (RMP) hypotheses together with two measures of the efficient
 structure (ES) hypothesis -- X and scale efficiencies are estimated. The
 nonparametric data envelopment analysis (DEA) technique is used to
 estimate efficiency scores for banks in Fiji over the period 2000 to 2010
 and the dynamic GMM to estimate the relationships between market power and
 efficiency vis-�-vis profitability. Results show that the RMP and ES
 hypotheses might hold, but not the SCP. Profits appear to persist over
 time. Policy implications are considerable including that any suggestions
 to limit further mergers and acquisitions of banks in the region may have
 to be properly debated.		       
Journal: Applied Financial Economics 
Pages: 1733-1744 
Issue: 22 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.848026 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.848026 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:22:p:1733-1744




Template-Type: ReDIF-Article 1.0
Author-Name: David DeBoeuf 
Author-X-Name-First: David 
Author-X-Name-Last: DeBoeuf 
Author-Name: Hongbok Lee 
Author-X-Name-First: Hongbok 
Author-X-Name-Last: Lee 
Author-Name: Alex Stanley 
Author-X-Name-First: Alex 
Author-X-Name-Last: Stanley 
Title: Improved alternatives to price multiple and earnings growth ratios used by bottom-up investors 
Abstract:
				 To reduce large files of data into
 manageable subsets of stocks marked for further review, bottom-up
 investors utilize spreadsheet software to sort key financial ratios
 calculated for all equities contained within. Flaws associated with the
 commonly used price-to-earnings (PE), price-to-book (PB) and expected
 earnings growth (EG) ratios result in stocks incorrectly included in and
 excluded from the filtered subsamples. To eliminate these problems, two
 newly created and two existing ratios are proposed. Of these, the earnings
 growth yield (EGY) ratio provides the greatest improvement relative to its
 mainstream competitor. Specifically, EGY is superior to EG in
 proportionality, numerical interpretation and accuracy of bottom-up stock
 rankings. <italic>Value Line Investment Survey</italic> stock screener
 data is examined to exemplify the magnitude of EG's interpretation and
 ranking irregularities, both of which are avoided by the EGY ratio.	    
Journal: Applied Financial Economics 
Pages: 1745-1754 
Issue: 22 
Volume: 23 
Year: 2013 
Month: 11 
X-DOI: 10.1080/09603107.2013.848028 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.848028 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:22:p:1745-1754




Template-Type: ReDIF-Article 1.0
Author-Name: Haiyan Yin 
Author-X-Name-First: Haiyan 
Author-X-Name-Last: Yin 
Author-Name:  Yang 
Author-X-Name-First:  
Author-X-Name-Last: Yang 
Title: Bank characteristics and stock reactions to federal funds rate target changes 
Abstract:
				 This study investigates how bank
 characteristics affect bank stock reactions to changes in the federal
 funds rate target. Using a data set of all publicly listed banks of the
 United States from October 1988 through December 2007, we find that (1)
 the effect of changes in the federal funds rate target is more pronounced
 on large banks than on small banks; (2) banks that rely more on nondeposit
 funding sources are more responsive to such changes; (3) banks with higher
 capital ratios are less sensitive to unexpected target changes, but when
 the ratio increases to a certain level, the marginal effect diminishes. We
 observe that business activity mix does not matter to banks' sensitivity
 to monetary shocks. This study is among the first to investigate how bank
 stock sensitivity to monetary shocks is conditional on various bank
 characteristics.		       
Journal: Applied Financial Economics 
Pages: 1755-1764 
Issue: 23 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.851770 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.851770 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:23:p:1755-1764




Template-Type: ReDIF-Article 1.0
Author-Name: Nickolaos V. Tsangarakis 
Author-X-Name-First: Nickolaos V. 
Author-X-Name-Last: Tsangarakis 
Author-Name: Hlias K. Tsirigotakis 
Author-X-Name-First: Hlias K. 
Author-X-Name-Last: Tsirigotakis 
Author-Name: Emmanuel D. Tsiritakis 
Author-X-Name-First: Emmanuel D. 
Author-X-Name-Last: Tsiritakis 
Title: Shareholders wealth effects and intra-industry signals from European financial institution consolidation announcements 
Abstract:
				 This study examines shareholder wealth
 effects and intra-industry signals of consolidation announcements in the
 European financial sector over the period 2000 to 2006. Results show that
 announcements generate strong positive valuation effects for targets that
 become higher in cross-border and small value deals, and are negatively
 related to their relative size and prior performance. Evidence of acquirer
 returns is mixed depending on value size, geographic location and legal
 status of the deal, while returns of combined entities are mostly
 positive. Our findings provide preliminary evidence that European
 consolidation announcements transmit intra-industry signals that may
 encourage or discourage future takeover deals through the revaluation of
 other similar European financial institutions that are considered
 prospective targets 'rival financial institutions'.		      
Journal: Applied Financial Economics 
Pages: 1765-1782 
Issue: 23 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.848027 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.848027 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:23:p:1765-1782




Template-Type: ReDIF-Article 1.0
Author-Name: Stefano d'Addona 
Author-X-Name-First: Stefano 
Author-X-Name-Last: d'Addona 
Author-Name: Ilaria Musumeci 
Author-X-Name-First: Ilaria 
Author-X-Name-Last: Musumeci 
Title: The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules 
Abstract:
				 We analyse the current state of monetary
 integration in Europe, focusing on the United Kingdom's position regarding
 the European Monetary Union (EMU). The interest rate decisions of the
 European Central Bank and the Bank of England are compared through
 different specifications of the Taylor rule. Comparison of the monetary
 conduct of these two institutions provides useful guidance in identifying
 the differences that the British Government claims motivating its refusal
 to join the EMU. Testing for forward-looking behaviour and possible
 asymmetries in policy responses, we show evidence supporting the opt-out
 decision taken by the British Government.			   
Journal: Applied Financial Economics 
Pages: 1783-1795 
Issue: 23 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.851768 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.851768 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:23:p:1783-1795




Template-Type: ReDIF-Article 1.0
Author-Name: Januj Juneja 
Author-X-Name-First: Januj 
Author-X-Name-Last: Juneja 
Title: A study of the solution to the Riccati equation in term structure modelling 
Abstract:
				 We study numerical (i.e. approximate) and
 analytical (i.e. exact) solutions to the system of Riccati ordinary
 differential equations (RODE) used in estimating the class of Gaussian
 affine term structure models (ATSM). We base our study on accuracy and
 convergence time, and find that usage of the approximate solution and
 exact solution to the RODE yield similar accuracy. Our results are
 consistent with the no-arbitrage condition specified in ATSM. We also show
 that exact solutions, when available, lead to faster convergence times
 than approximate solutions.			  
Journal: Applied Financial Economics 
Pages: 1797-1803 
Issue: 23 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.851771 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.851771 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:23:p:1797-1803




Template-Type: ReDIF-Article 1.0
Author-Name: Lu Yang 
Author-X-Name-First: Lu 
Author-X-Name-Last: Yang 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: Dependence structure among international stock markets: a GARCH--copula analysis 
Abstract:
				 In this article, we investigate the
 dependence structure among international stock markets, with particular
 emphasis on developed and emerging stock markets, as proxied for by major
 country-level exchanges. Specifically, we adopt the copula model for the
 presented analysis and find that an asymmetric dependence relationship
 only exists between developed and emerging markets. In particular,
 emerging markets are sensitive to outside negative news (downside risk)
 from developed markets. We also compare the dependence structure of the
 analysed stock markets in the pre- and post-2007 financial crisis periods
 and draw three broad conclusions. First, the correlations among these
 markets increase during the crisis period because of the contagion effect.
 Second, even though the dependence for both markets is weaker during the
 pre-crisis period, this tendency is more obvious for emerging markets.
 Finally, the dependence structure changes considerably across these
 sub-periods, mainly because each country implements an independent
 economic stimulus policy to overcome these crises.		      
Journal: Applied Financial Economics 
Pages: 1805-1817 
Issue: 23 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.854296 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.854296 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:23:p:1805-1817




Template-Type: ReDIF-Article 1.0
Author-Name: Nader Shahzad Virk 
Author-X-Name-First: Nader Shahzad 
Author-X-Name-Last: Virk 
Title: Evidence for state and time nonseparable preferences: the case of Finland 
Abstract:
				 Preferential modifications to the standard
 state and time separable power utility are studied for the Finnish equity
 and bond returns. The reported ambivalence of the high equity premium and
 low Sharpe ratio makes the Finnish market an important case study. The
 estimations of the Epstein and Zin (1991) recursive utility and the
 Campbell and Cochrane (1999) habit formation preferences show that Finnish
 risk premia are time-varying across samples. Moreover, the results
 demonstrate that stronger time preferences improve the explanation of
 asset returns for the modified preferences more so than assuming tighter
 time preference and higher risk aversion (RA). We conclude that the
 Campbell--Cochrane-based pricing kernel outperforms the competing models
 in generating plausible model parameters and suppressing specification
 errors. The study supports the US evidence relative to the conclusions
 drawn from the European economies in comparable studies.		    
Journal: Applied Financial Economics 
Pages: 1821-1838 
Issue: 24 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.854297 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.854297 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:24:p:1821-1838




Template-Type: ReDIF-Article 1.0
Author-Name: Margot Quijano 
Author-X-Name-First: Margot 
Author-X-Name-Last: Quijano 
Title: Consumption, change in expectations and equity returns 
Abstract:
				 Using quarterly data for the period 1959
 to 2008, I study the relationship between excess stock returns and the
 <italic>change</italic> in expectations of the consumption--wealth ratio
 and of future long-run consumption growth. Using a vector error correction
 model (VECM), I estimate revisions in expectations on the
 consumption--wealth ratio and on the discounted value of future
 consumption growth; the latter being of high relevance in the asset
 pricing literature but difficult to identify empirically. My findings show
 that these variables are strong predictors of future excess stock returns
 when compared to several common predictor variables. Furthermore, these
 results seem to be robust in out-of-sample and in-sample analyses, and
 appear not to be driven by persistence.		   
Journal: Applied Financial Economics 
Pages: 1839-1851 
Issue: 24 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.856996 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.856996 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:24:p:1839-1851




Template-Type: ReDIF-Article 1.0
Author-Name: C. Pederzoli 
Author-X-Name-First: C. 
Author-X-Name-Last: Pederzoli 
Author-Name: C. Torricelli 
Author-X-Name-First: C. 
Author-X-Name-Last: Torricelli 
Title: Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis 
Abstract:
				 Recent years witnessed commodity prices
 increases which have fostered research works on their predictability and a
 renewed interest of practitioners and policy-makers. The objective of this
 article is to test the predictive ability of futures prices on the
 underlying spot prices by taking corn, which is one of the most important
 agricultural commodities in terms of trading volumes and for its role in
 the dietary regime of many countries. We consider the corn futures on the
 Chicago Board of Trade (CBOT) in the period May 1998 to December 2011 so
 as to extend previous studies on this market and to assess a possible
 effect of the financial crisis. Our results do not emphasize a role for
 the latter and, although we do not find evidence of efficiency and
 unbiasedness, the futures corn price turns out to be the best predictor of
 the spot price if compared with most used alternatives.		    
Journal: Applied Financial Economics 
Pages: 1853-1863 
Issue: 24 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.856997 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.856997 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:24:p:1853-1863




Template-Type: ReDIF-Article 1.0
Author-Name: Peppi M. Kenny 
Author-X-Name-First: Peppi M. 
Author-X-Name-Last: Kenny 
Author-Name: Don T. Johnson 
Author-X-Name-First: Don T. 
Author-X-Name-Last: Johnson 
Author-Name: Robert A. Kunkel 
Author-X-Name-First: Robert A. 
Author-X-Name-Last: Kunkel 
Title: Achieving superior performance with the Morningstar's Tortoise and Hare portfolios 
Abstract:
				 Morningstar offers two stock portfolios
 known as the Tortoise and the Hare portfolios with the stocks included in
 each portfolio published and updated in the <italic>Morningstar
 StockInvestor</italic> monthly newsletter. This study examines the
 performance of these two portfolios using the Sharpe, Treynor and Sortino
 ratios along with the single-factor capital asset pricing model (CAPM) and
 the four-factor Fama--French--Carhart (FFC) model. Results examining the
 Tortoise and Hare portfolios indicate both portfolios outperform the
 market when using the Sharpe, Treynor and Sortino ratios; however, neither
 portfolio shows statistically significant abnormal returns when evaluated
 using the CAPM and FFC model. A third portfolio is created by using equal
 weights of the Tortoise and Hare portfolios. This combined portfolio
 exhibits a significant abnormal return of 3.6% per year even after
 accounting for systematic risk, small-firm effect, book-to-market effect
 and the momentum effect.			 
Journal: Applied Financial Economics 
Pages: 1865-1870 
Issue: 24 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.856999 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.856999 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:24:p:1865-1870




Template-Type: ReDIF-Article 1.0
Author-Name: Jun Su 
Author-X-Name-First: Jun 
Author-X-Name-Last: Su 
Author-Name: Min Zhang 
Author-X-Name-First: Min 
Author-X-Name-Last: Zhang 
Author-Name: Wen Zhang 
Author-X-Name-First: Wen 
Author-X-Name-Last: Zhang 
Title: The effect of political connections on acquisition-evidence from Chinese nonSOEs 
Abstract:
				 Using a sample of 324 acquisition deals
 originated by nonstate-owned enterprise (SOE)-listed companies to acquire
 nonSOE private firms in China, we find that politically connected firms
 are more successful at acquiring high-quality local businesses than firms
 without political connections. The capital market gains from these
 acquisition activities, as measured by cumulative abnormal return (CAR),
 are significantly higher in both the short term and long term for
 politically connected firms, than for nonconnected firms. Investors
 holding stocks of politically connected companies that conduct
 acquisitions also gain more in both the short and long term, as measured
 by buy-and-hold return (BHAR). Additionally, the market performance of
 firms with higher level of political connections is significantly better
 than that of others with lower level of connections. The preferential
 policies and a certain range of freedom local government can exert to
 acquisition counterparties may explain the results. This study contributes
 to the merger and acquisition (M&A) literature by examining the impact and
 mechanism of political connections on acquiring companies in the context
 of a transition economy, China, and discloses the importance of political
 connections even for market-oriented deals such as M&As between nonSOE
 counterparties. Our study also finds that corporate governance (CG)
 positively moderates the role of political connections of acquirer in
 acquisitions.			     
Journal: Applied Financial Economics 
Pages: 1871-1890 
Issue: 24 
Volume: 23 
Year: 2013 
Month: 12 
X-DOI: 10.1080/09603107.2013.859372 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.859372 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:23:y:2013:i:24:p:1871-1890




Template-Type: ReDIF-Article 1.0
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Marek Marciniak 
Author-X-Name-First: Marek 
Author-X-Name-Last: Marciniak 
Title: Characteristics of takeover targets that trigger insider trading investigations 
Abstract:
				 We assess trading and non-trading
 characteristics of takeovers that trigger Securities and Exchange
 Commission (SEC) investigations of illegal insider trading. We find that
 targets with more pronounced abnormal stock price run-ups (especially in
 long pre-bid windows) and abnormal trading volume (especially in short
 pre-bid windows) trigger an SEC investigation. We also find that an SEC
 investigation is more likely when the takeover is characterized by a
 foreign bidder, a public bidder and a relatively large target. Thus,
 non-trading characteristics complement the trading characteristics in
 explaining what triggers an SEC investigation of insider trading.	    
Journal: Applied Financial Economics 
Pages: 1-18 
Issue: 1 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.854298 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.854298 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:1:p:1-18




Template-Type: ReDIF-Article 1.0
Author-Name: Steven Schmeiser 
Author-X-Name-First: Steven 
Author-X-Name-Last: Schmeiser 
Title: Board response to majority outsider regulation 
Abstract:
				 I compile a balanced panel of 2174
 publicly traded firms and track their board structure from 1999 to 2006. I
 detail how boards responded to new regulation (introduced in 2002 and
 enacted in 2003) that required boards of firms traded on the NYSE and
 NASDAQ exchanges to have a strict majority of outside directors. I examine
 how noncompliant boards moved into compliance and compare their behaviour
 to compliant firms. Noncompliant firms increased independence, but did not
 increase board size during the regulatory adjustment period. In addition
 to offering a detailed look at the data, I create a stylized model of
 board composition and size and suggest how the responses of noncompliant
 firms to the exogenous regulatory shock can be used to estimate the
 curvature of a board 'production function'.			   
Journal: Applied Financial Economics 
Pages: 19-29 
Issue: 1 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.859373 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.859373 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:1:p:19-29




Template-Type: ReDIF-Article 1.0
Author-Name: Vikash Gautam 
Author-X-Name-First: Vikash 
Author-X-Name-Last: Gautam 
Author-Name: Rajendra Vaidya 
Author-X-Name-First: Rajendra 
Author-X-Name-Last: Vaidya 
Title: Growth and finance constraints in Indian manufacturing firms 
Abstract:
				 In this article, we attempt to evaluate
 the impact of finance constraints on the growth of firms. We also take in
 our purview some of the other debated issues relating to firm growth such
 as growth distribution, persistence and influence of size and maturity.
 For a sample of 2282 Indian manufacturing firms in the period 1994 to
 2009, we show that the growth process of firms does not follow normal
 distribution; growth of firms is persistent; and size, maturity and
 finance constraints negatively influence the growth of firms. We check the
 robustness of our results using alternative samples, firm growth measures
 and estimation techniques.			
Journal: Applied Financial Economics 
Pages: 31-40 
Issue: 1 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.859374 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.859374 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:1:p:31-40




Template-Type: ReDIF-Article 1.0
Author-Name: Lu Yang 
Author-X-Name-First: Lu 
Author-X-Name-Last: Yang 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: Gold prices and exchange rates: a time-varying copula analysis 
Abstract:
				 We investigate the dynamic dependence
 structure between specific currencies (the GBP, the EUR and the JPY) and
 gold. The primary findings are as follows. First, the lower and upper
 conditional dependences between the currencies and gold were weaker during
 the financial turmoil period than in the normal period, implying that the
 currencies mostly deviated from their real value during this time. Second,
 the conditional upper tail dependences are stronger and fluctuate more
 than the conditional lower dependences for the GBP/gold and the JPY/gold
 pairs. However, the lower tail dependence for the EUR/gold pair remains
 constant. Furthermore, the negative dynamic dependences during the market
 crash imply that gold showed its real value during the crisis. Finally,
 the dependence structure between the gold price and the exchange rate is
 asymmetric. Our results provide useful information for investors
 interested in portfolio diversification, risk management and international
 asset allocation.		     
Journal: Applied Financial Economics 
Pages: 41-50 
Issue: 1 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.859375 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.859375 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:1:p:41-50




Template-Type: ReDIF-Article 1.0
Author-Name: Katsiaryna Salavei Bardos 
Author-X-Name-First: Katsiaryna Salavei 
Author-X-Name-Last: Bardos 
Author-Name: Dev Mishra 
Author-X-Name-First: Dev 
Author-X-Name-Last: Mishra 
Title: Financial restatements, litigation and implied cost of equity 
Abstract:
				 We re-examine the effect of financial
 restatements on the cost of equity vis-a-vis litigation risk.
 Specifically, we study the effect of litigation on post-restatement
 financing costs and whether market anticipates litigation before
 restatement announcement as evident from its effect on financing costs. In
 a sample of 91 restatements, although we find that the cost of equity
 increases subsequent to a financial restatement for all restating firms,
 the increase is substantially greater for firms facing litigation as a
 result of the restatement. We also find that investors do not adjust for
 the cost of equity before the announcement of a financial restatement for
 firms facing post-restatement litigation. Overall, our findings suggest
 that most of the increase in the cost of equity after restatement is
 concentrated in sued sub-sample and that the cost of equity is an
 important channel through which litigation associated with financial
 restatement is priced. The economic effect of post-restatement litigation
 is approximately 259 basis points increase in the firm's cost of equity.   
Journal: Applied Financial Economics 
Pages: 51-71 
Issue: 1 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.864033 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.864033 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:1:p:51-71




Template-Type: ReDIF-Article 1.0
Author-Name: Paolo Coccorese 
Author-X-Name-First: Paolo 
Author-X-Name-Last: Coccorese 
Title: Estimating the Lerner index for the banking industry: a stochastic frontier approach 
Abstract:
				 In this article we estimate individual
 banks' Lerner indices for a large group of countries in the years
 1994--2012 by means of the econometric method proposed by Kumbhakar
 <italic>et al.</italic> (2012), which is based on the stochastic frontier
 methodology. We then compare our results with those of existing studies on
 market power in the banking industry, in order to check the general
 consistency of the empirical evidence and thus provide some appraisal on
 this novel technique as well as a sketch on the strengths that may advise
 its use.			
Journal: Applied Financial Economics 
Pages: 73-88 
Issue: 2 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.866202 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.866202 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:2:p:73-88




Template-Type: ReDIF-Article 1.0
Author-Name: Leonardo Becchetti 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Becchetti 
Author-Name: Pierluigi Conzo 
Author-X-Name-First: Pierluigi 
Author-X-Name-Last: Conzo 
Title: The effects of microfinance on child schooling: a retrospective approach 
Abstract:
				 Two crucial problems when research
 agencies or donors need to assess empirically the microfinance/children
 education nexus on already operating organizations are lack of
 availability of panel data and selection bias. We propose an original
 approach which tackles these problems by combining retrospective panel
 data, fixed effects and comparison between pre- and post-treatment trends.
 The relative advantage of our approach vis-�-vis standard cross-sectional
 estimates (and even panels with just two time periods) is that it allows
 to analyse the progressive effects of microfinance on borrowers. With this
 respect, our article gives an answer to the widespread demand of impact
 methodologies required by regulators or by funding agencies which need to
 evaluate the current and past performance of existing institutions. We
 apply our approach to a sample of microfinance borrowers coming from two
 districts of Buenos Aires with different average income levels. By
 controlling for survivorship bias and heterogeneity in time invariant and
 time varying characteristics of respondents we find that years of credit
 history have a positive and significant effect on child schooling
 conditional to the borrower's standard of living and distance from school. 
Journal: Applied Financial Economics 
Pages: 89-106 
Issue: 2 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.856998 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.856998 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:2:p:89-106




Template-Type: ReDIF-Article 1.0
Author-Name: Andreas Simon 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Simon 
Title: An analysis of persistence in analyst's relative forecast accuracy 
Abstract:
				 We examine the persistence in analysts'
 relative earnings forecast accuracy. When analysts are ranked into
 forecast accuracy quintiles, calculated over all the firms they cover in
 each year, we find that 52% (45%) of superior (inferior) analysts, i.e.
 analysts in the lowest (highest) quintile, remain in this quintile in the
 subsequent period. We show that a variable we develop and denote as
 forecasting complexity, i.e. the extent to which analysts' earnings
 forecasts vary when predicting a firm's earnings, is important in
 explaining variation in the persistence of the relative forecast accuracy
 of analysts. When we control for forecasting complexity, the probability
 of analyst relative forecast accuracy to persist is reduced by about half.
 This reduced persistence, however, measures true forecasting ability. When
 we form portfolios using recommendations of analysts identified as
 superior in two consecutive periods, controlling for forecasting
 complexity, we find significant abnormal returns after adjusting for the
 Fama--French and momentum factors.			   
Journal: Applied Financial Economics 
Pages: 107-120 
Issue: 2 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.868585 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.868585 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:2:p:107-120




Template-Type: ReDIF-Article 1.0
Author-Name: Anthony J. Glass 
Author-X-Name-First: Anthony J. 
Author-X-Name-Last: Glass 
Author-Name: Karligash Kenjegalieva 
Author-X-Name-First: Karligash 
Author-X-Name-Last: Kenjegalieva 
Author-Name: Thomas Weyman-Jones 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Weyman-Jones 
Title: Bank performance and the financial crisis: evidence from Kazakhstan 
Abstract:
				 During the first phase of the financial
 crisis in 2008/09, after Iceland and Belgium, Kazakhstan experienced the
 most significant bank failures as a share of bank system assets. Using
 rich monthly data for virtually the entire Kazakh banking industry for the
 period March 2007--December 2010, Stochastic Frontier Analysis (SFA) is
 used to fit several functions (cost, revenue, standard profit, alternative
 profit and input distance). Among other things, we estimate the effects of
 two measures of the quality and risk of the loan portfolio on the industry
 best practice frontiers and bank inefficiencies. We find that an increase
 in the volume of bad loans as a ratio of total lending has a desirable
 effect on the cost, input-distance and alternative profit frontiers, all
 of which is consistent with the 'skimping' hypothesis. 		   
Journal: Applied Financial Economics 
Pages: 121-138 
Issue: 2 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.868584 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.868584 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:2:p:121-138




Template-Type: ReDIF-Article 1.0
Author-Name: Go Tamakoshi 
Author-X-Name-First: Go 
Author-X-Name-Last: Tamakoshi 
Author-Name: Shigeyuki Hamori 
Author-X-Name-First: Shigeyuki 
Author-X-Name-Last: Hamori 
Title: Nonlinear adjustment between the Eonia and Euribor rates: a two-regime threshold cointegration analysis 
Abstract:
				 This article examines the dynamic
 relationship between two key European short-term interest rates, the Eonia
 rate (EON) and the 3-month Euribor rate (ER3). Applying a threshold
 cointegration method developed by Hansen and Seo (2002) to monthly data
 over the period 1999 to 2011, we confirm that the null hypothesis of
 linear cointegaration is rejected in favour of a two-regime threshold
 cointegration model with regime-dependent short-run dynamics. Importantly,
 we show that an error correlation through a Euribor rate adjustment tends
 to occur only in an extreme regime, where ER3 increases relative to EON,
 such as was vigorously implemented immediately after the global financial
 crisis. In a typical regime, short-run responses are executed, instead, by
 an Eonia rate adjustment, which is not necessarily consistent with the
 conventional view that EON should anchor longer-term interest rates.	    
Journal: Applied Financial Economics 
Pages: 139-143 
Issue: 2 
Volume: 24 
Year: 2014 
Month: 1 
X-DOI: 10.1080/09603107.2013.868586 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.868586 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:2:p:139-143




Template-Type: ReDIF-Article 1.0
Author-Name: Anna Menozzi 
Author-X-Name-First: Anna 
Author-X-Name-Last: Menozzi 
Author-Name: Fabrizio Erbetta 
Author-X-Name-First: Fabrizio 
Author-X-Name-Last: Erbetta 
Author-Name: Giovanni Fraquelli 
Author-X-Name-First: Giovanni 
Author-X-Name-Last: Fraquelli 
Author-Name: Davide Vannoni 
Author-X-Name-First: Davide 
Author-X-Name-Last: Vannoni 
Title: The determinants of board compensation in SOEs: an application to Italian local public utilities 
Abstract:
				 This article investigates the determinants
 of board compensation for a sample of Italian state owned enterprises
 (SOEs). To that purpose, we use newly collected panel data of 106 local
 public utilities observed from 1994 through 2004, which includes detailed
 information on the boards of directors. During this period, the
 deregulation process inspired institutional interventions that forced
 utilities, traditionally owned by local municipalities, to change their
 juridical form and ownership structure, thereby facilitating the entrance
 of private investors. The corporate governance literature shows that such
 changes may exacerbate the agency conflicts between shareholders, top
 executives and the board. However, board compensation could reduce the
 agency costs by aligning the incentives of managers with the interests of
 shareholders. This article addresses this issue by investigating the
 impact that board composition, firm characteristics and performance have
 on board compensation. We find that the average board pay is positively
 related to firm dimension and negatively related to board size. The public
 or private nature of the major shareholder does not influence board
 compensation but the juridical form does. Finally, while the proportion of
 politically connected directors is found to negatively influence the level
 of per capita compensation, the impact of firm performance is uncertain.   
Journal: Applied Financial Economics 
Pages: 145-159 
Issue: 3 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.870649 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.870649 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:3:p:145-159




Template-Type: ReDIF-Article 1.0
Author-Name: Roberto Cellini 
Author-X-Name-First: Roberto 
Author-X-Name-Last: Cellini 
Author-Name: Tiziana Cuccia 
Author-X-Name-First: Tiziana 
Author-X-Name-Last: Cuccia 
Title: Seasonal processes in the Euro--US Dollar daily exchange rate 
Abstract:
				 We analyse the pattern of daily Euro--US
 Dollar exchange rate from the birth of Euro, in January 1999, until
 December 2012. This series is I(1), as is usual for nominal bilateral
 exchange rates; however, it is far from following a random walk process.
 We find evidence of the presence of day effects, even if they play a more
 limited role as compared to other exchange rates observed over previous
 periods of time. More surprisingly, we find statistical significance of
 some month effects in the first-differences of exchange rate, and strong
 variation in their variance across months. Hence, monthly seasonality in
 daily Euro--US Dollar exchange rate cannot be overlooked, and some
 explanations are suggested.		      
Journal: Applied Financial Economics 
Pages: 161-174 
Issue: 3 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.870651 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.870651 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:3:p:161-174




Template-Type: ReDIF-Article 1.0
Author-Name: Tony Chieh-Tse Hou 
Author-X-Name-First: Tony Chieh-Tse 
Author-X-Name-Last: Hou 
Author-Name: Phillip J. McKnight 
Author-X-Name-First: Phillip J. 
Author-X-Name-Last: McKnight 
Author-Name: Charlie Weir 
Author-X-Name-First: Charlie 
Author-X-Name-Last: Weir 
Title: The impacts of stock characteristics and regulatory change on mutual fund herding in Taiwan 
Abstract:
				 This article analyses the trading activity
 of Taiwanese open-end equity mutual fund herding behaviour over the period
 of 1996--2008. We found evidence of both directional and directionless
 herding. We also found that sell-side fund herding leads to price
 stabilization, whereas buy-side herding results in prices adjusting
 slowly. We found that the abolition of qualified foreign institutional
 investor (QFII) has reduced directionless and sell-side herding but has
 had no effect on buy-side herding.		       
Journal: Applied Financial Economics 
Pages: 175-186 
Issue: 3 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.866201 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.866201 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:3:p:175-186




Template-Type: ReDIF-Article 1.0
Author-Name: Praveen Das 
Author-X-Name-First: Praveen 
Author-X-Name-Last: Das 
Title: The role of corporate governance in foreign investments 
Abstract:
				 This article examines whether and how the
 corporate governance practices of firms affect foreign investors'
 decisions to invest in their firms. Using a comprehensive data set of
 foreign equity holdings of mutual funds from 37 countries worldwide, we
 find that fund managers tend to tilt their portfolio weights towards firms
 with strong governance systems. Particularly, they invest more in foreign
 firms with good board characteristics and independent auditors. This
 result suggests that mutual funds, facing informational disadvantage in
 their foreign investments, prefer firms with better governance systems as
 a substitute for their own costly information acquisition and monitoring
 activities. Furthermore, firms with better governance structures attract
 more foreign investments irrespective of their country-level investor
 protection environments.		   
Journal: Applied Financial Economics 
Pages: 187-201 
Issue: 3 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.870650 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.870650 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:3:p:187-201




Template-Type: ReDIF-Article 1.0
Author-Name: Antonio Meles 
Author-X-Name-First: Antonio 
Author-X-Name-Last: Meles 
Author-Name: Stefano Monferr� 
Author-X-Name-First: Stefano 
Author-X-Name-Last: Monferr� 
Author-Name: Vincenzo Verdoliva 
Author-X-Name-First: Vincenzo 
Author-X-Name-Last: Verdoliva 
Title: Do the effects of private equity investments on firm performance persist over time? 
Abstract:
				 This study examines whether the effect of
 private equity (PE) investments persists over time or wears off after the
 PE investors exit. Unlike previous studies that focus on the PE-backed
 initial public offerings (IPOs), we constructed a unique and distinctive
 dataset comprising PE investments exiting both via IPO and other common
 ways (i.e., trade sale, secondary buy-out and buy-back). Consistent with
 Jain and Kini (1995), we observe that PE-backed firms outperform other
 firms. Our results shed light on existing literature because we find that
 whether PE investments continue to benefit the portfolio firms is strictly
 related to the type (venture capital versus buy-out) and length of the PE
 investment, the nature of the PE investor (bank-based versus nonbank
 based), and the exit strategy (IPO versus other exit strategies).	    
Journal: Applied Financial Economics 
Pages: 203-218 
Issue: 3 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.872758 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.872758 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:3:p:203-218




Template-Type: ReDIF-Article 1.0
Author-Name: Caterina Giannetti 
Author-X-Name-First: Caterina 
Author-X-Name-Last: Giannetti 
Author-Name: Marianna Madia 
Author-X-Name-First: Marianna 
Author-X-Name-Last: Madia 
Author-Name: Luigi Moretti 
Author-X-Name-First: Luigi 
Author-X-Name-Last: Moretti 
Title: Job insecurity and financial distress 
Abstract:
				 This article investigates the effects of
 different job categories on households' likelihood of experiencing
 financial distress. Given imperfect financial markets and the absence of
 unemployment subsidies, households with less secure jobs are likely to
 experience drops in income more frequently than households with
 well-protected jobs. Households' abilities to deal with financial
 decisions (i.e. financial literacy) can mitigate these problems. Our
 results suggest that -- with respect to stable workers -- greater job
 uncertainty for insecure workers increases the probability of being in
 financial distress similarly to other working statuses (e.g.
 unemployment), and in some cases even more (i.e. part-time workers).
 However, a high level of financial literacy can counterbalance this
 effect, especially for atypical workers.		   
Journal: Applied Financial Economics 
Pages: 219-233 
Issue: 4 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.872759 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.872759 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:4:p:219-233




Template-Type: ReDIF-Article 1.0
Author-Name: Carsten Croonenbroeck 
Author-X-Name-First: Carsten 
Author-X-Name-Last: Croonenbroeck 
Author-Name: Roman Matkovskyy 
Author-X-Name-First: Roman 
Author-X-Name-Last: Matkovskyy 
Title: Demand for investment advice over time: the disposition effect revisited 
Abstract:
				 Czarnitzki and Stadtmann (2005) measure
 the interdependence of demand for investment advice (approximated by sales
 of investor magazines) and stock prices. They find strong evidence that
 confirms the presence of the disposition effect, i.e. the empirical
 observation that investors sell winners (too) early and abide losers (too)
 long. We reinvestigate their findings and confirm that the effect is very
 well present in the formerly analysed time frame, but clearly wears off
 afterward. As an explanation for the decline, we provide three lines of
 argumentation and show that disposition effect might depend on the
 shareholder structure, which is in line with the theory.		    
Journal: Applied Financial Economics 
Pages: 235-240 
Issue: 4 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.875107 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.875107 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:4:p:235-240




Template-Type: ReDIF-Article 1.0
Author-Name: Rajeev K. Goel 
Author-X-Name-First: Rajeev K. 
Author-X-Name-Last: Goel 
Title: Insurance fraud and corruption in the United States 
Abstract:
				 Using cross-sectional data for US states,
 this article examines the determinants of insurance fraud, focusing
 especially on the nexus between convictions for corruption and for
 insurance fraud. Results show that corruption convictions tend to crowd
 out insurance fraud convictions -- i.e., increases in convictions for
 corruption result in lower fraud convictions. In other findings, more
 crime fighting and prosecutorial resources increase fraud convictions,
 while the effects of specific insurance regulations are statistically
 insignificant. These findings are generally robust to simultaneity between
 corruption and insurance fraud. Policy implications are discussed.	    
Journal: Applied Financial Economics 
Pages: 241-246 
Issue: 4 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.877570 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.877570 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:4:p:241-246




Template-Type: ReDIF-Article 1.0
Author-Name: Takanori Tanaka 
Author-X-Name-First: Takanori 
Author-X-Name-Last: Tanaka 
Title: Gender diversity in the boards and the pricing of publicly traded corporate debt: evidence from Japan 
Abstract:
				 This article explores the impact of
 gender-diverse boards on the cost of publicly traded corporate debt. Using
 a sample of Japanese corporate bond issues, we find that firms with female
 outside directors enjoy lower cost of corporate public debt after
 controlling for corporate governance, bond and firm characteristics. In
 addition, the results using matching methods also show that the cost of
 corporate public debt is lower for firms with female outside directors.
 Overall, these findings indicate the importance of gender-diverse boards
 in corporate bond markets.			    
Journal: Applied Financial Economics 
Pages: 247-258 
Issue: 4 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.877571 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.877571 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:4:p:247-258




Template-Type: ReDIF-Article 1.0
Author-Name: Ye Bai 
Author-X-Name-First: Ye 
Author-X-Name-Last: Bai 
Title: Cross-border sentiment: an empirical analysis on EU stock markets 
Abstract:
				 Most of the behaviour finance literature
 studies investor sentiment at its aggregate level. However, we argue that
 with the progress of economic integration and globalization, it is
 important to differentiate investor sentiment only confined within the
 market from sentiment across international markets as we have witnessed
 how the panic spread during the August 2007 financial crisis. Focusing on
 eight main EU stock market indices from March 1994 to February 2011, this
 article investigates different aspects of investor sentiment impact by
 differentiating the scope of influence of the sentiment. We find that
 sentiment especially developed and emerging EU stock market regional
 sentiments have significant impact on sample market excess returns and
 volatility. Since the start of the crisis, there are heterogeneous
 increases in different sentiment impacts. US sentiment is important in
 these EU markets but far from being the dominant one. Further analysis
 shows that regional sentiments can be transmitted across the border via
 interbank lending networks. In a VAR framework, we find mixed evidence
 regarding the predictive power of different sentiment indices on return
 but consistent evidence supporting the reverse relationship. Furthermore,
 sentiments are contagious according to the strong evidence of Granger
 causality between the sentiment indices.		       
Journal: Applied Financial Economics 
Pages: 259-290 
Issue: 4 
Volume: 24 
Year: 2014 
Month: 2 
X-DOI: 10.1080/09603107.2013.864035 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.864035 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:4:p:259-290




Template-Type: ReDIF-Article 1.0
Author-Name: Claudio Morana 
Author-X-Name-First: Claudio 
Author-X-Name-Last: Morana 
Title: New insights on the US OIS spreads term structure during the recent financial turmoil 
Abstract:
				 The article investigates the statistical
 features of the US OIS spreads term structure during the recent financial
 turmoil, originating from the subprime crisis and the ensuing euro area
 sovereign debt crisis. By means of a comprehensive econometric modelling
 strategy, new insights on US money market dynamics during the latter
 events are achieved. In particular, three common factors, bearing the
 interpretation of level, slope and curvature factors, are extracted from
 the term structure of US OIS spreads; the latter are found to convey
 additional information, relatively to commonly used credit risk measures
 like the TED or the BAA-AAA corporate spreads, which might be exploited,
 also within a composite indicator, for the construction of a macroeconomic
 risk barometer and macroeconomic forecasting.			       
Journal: Applied Financial Economics 
Pages: 291-317 
Issue: 5 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2013.864034 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.864034 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:5:p:291-317




Template-Type: ReDIF-Article 1.0
Author-Name: Paulo Ferreira 
Author-X-Name-First: Paulo 
Author-X-Name-Last: Ferreira 
Author-Name: Andreia Dion�sio 
Author-X-Name-First: Andreia 
Author-X-Name-Last: Dion�sio 
Title: Revisiting serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece 
Abstract:
				 This article uses several tests to analyse
 serial dependence in financial data, trying to confirm the existence of
 some kind of nonlinear dependence in stock markets. In an attempt to
 provide a better explanation of the behaviour of stock markets, we used
 tests based on mutual information and detrended fluctuation analysis
 (DFA). Applying these tests to the series of stock market indexes of 10
 countries, we concluded for the absence of linear autocorrelation.
 However, with other tests, we found nonlinear serial dependence that
 affects the rates of return. With DFA, we found out that most return rate
 series have long-range dependence, which appears to be more pronounced for
 Spain, Greece and Portugal. To confirm the inefficiency of those markets,
 based on our results, we should prove the existence of abnormal profits.   
Journal: Applied Financial Economics 
Pages: 319-331 
Issue: 5 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2013.875106 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.875106 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:5:p:319-331




Template-Type: ReDIF-Article 1.0
Author-Name: Poi Hun Sun 
Author-X-Name-First: Poi Hun 
Author-X-Name-Last: Sun 
Author-Name: M. Kabir Hassan 
Author-X-Name-First: M. Kabir 
Author-X-Name-Last: Hassan 
Author-Name: Taufiq Hassan 
Author-X-Name-First: Taufiq 
Author-X-Name-Last: Hassan 
Author-Name: Shamsher Mohamed Ramadilli 
Author-X-Name-First: Shamsher Mohamed 
Author-X-Name-Last: Ramadilli 
Title: The assets and liabilities gap management of conventional and Islamic banks in the organization of Islamic cooperation (OIC) countries 
Abstract:
				 This article focuses on the short- and
 long-term assets and liabilities gap and the determinants of net
 interest/profit margins of both conventional banks and Islamic banks in
 the Organization of Islamic Cooperation countries over the period from
 1997 to 2010. The results show that both conventional and Islamic banks
 have negative short-term gaps and positive long-term gaps. These indicate
 that banks use short-term deposits and funding to finance long-term loans,
 advances and investments, taking into consideration refinancing and
 reinvestment risks. The findings also show that operating cost is a
 significant determinant of bank margins and important factor to improve
 quality of management in banks. Overall, the conventional banks have
 better quality of assets and liabilities with an optimum composition of
 profitable assets and low-costs liabilities. The low bank margins in
 conventional and Islamic banks indicate low volatility in financial
 markets and the growth of banking business.		       
Journal: Applied Financial Economics 
Pages: 333-346 
Issue: 5 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2013.877568 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.877568 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:5:p:333-346




Template-Type: ReDIF-Article 1.0
Author-Name: Jonathan J. Reeves 
Author-X-Name-First: Jonathan J. 
Author-X-Name-Last: Reeves 
Author-Name: Xuan Xie 
Author-X-Name-First: Xuan 
Author-X-Name-Last: Xie 
Title: Forecasting stock return volatility at the quarterly frequency: an evaluation of time series approaches 
Abstract:
				 The last decade has seen substantial
 advances in the measurement, modelling and forecasting of volatility which
 has centered around the realized volatility literature. To date, most of
 the focus has been on the daily and monthly frequencies, with little
 attention on longer horizons such as the quarterly frequency. In finance
 applications, forecasts of volatility at horizons such as quarterly are of
 fundamental importance to asset pricing and risk management. In this
 article we evaluate models for stock return volatility forecasting at the
 quarterly frequency. We find that an autoregressive model with one lag of
 quarterly realized volatility with an in-sample estimation period of
 between 60 and 80 quarters produces the most accurate forecasts, and
 dominates other approaches, such as the recently proposed mixed-data
 sampling (MIDAS) approach.		       
Journal: Applied Financial Economics 
Pages: 347-356 
Issue: 5 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2013.875105 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.875105 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:5:p:347-356




Template-Type: ReDIF-Article 1.0
Author-Name: Ziemowit Bednarek 
Author-X-Name-First: Ziemowit 
Author-X-Name-Last: Bednarek 
Author-Name: Marian Moszoro 
Author-X-Name-First: Marian 
Author-X-Name-Last: Moszoro 
Title: The Arrow--Lind theorem revisited: ownership concentration and valuation 
Abstract:
				 According to Arrow and Lind (1970), the
 more shareholders participate in an investment and the more dispersed the
 ownership structure becomes, the lower the discount rate of an individual
 investor is due to risk sharing. This implies that the valuation of the
 investment should increase. Employing a data set of investor-level
 ownership records, asset pricing measures and managerial discretion
 proxies, we test Arrow and Lind's hypothesis of the relationship between
 ownership concentration and risk premium, and its implication for company
 valuation. We find that (i) contrary to previous studies on institutional
 ownership, greater ownership dispersion is associated with higher company
 valuation and (ii) managers are more likely to invest in fixed assets and
 hold less cash in companies with dispersed ownership. Our results remain
 robust after controlling for liquidity and governance by several measures.
 We argue that both results are interconnected: when ownership
 concentration is low, investors' lower premiums and managers' risk-neutral
 behaviour contribute to higher valuations.			
Journal: Applied Financial Economics 
Pages: 357-375 
Issue: 5 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2013.877569 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.877569 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:5:p:357-375




Template-Type: ReDIF-Article 1.0
Author-Name: Nabil Maghrebi 
Author-X-Name-First: Nabil 
Author-X-Name-Last: Maghrebi 
Author-Name: Mark J. Holmes 
Author-X-Name-First: Mark J. 
Author-X-Name-Last: Holmes 
Author-Name: Kosuke Oya 
Author-X-Name-First: Kosuke 
Author-X-Name-Last: Oya 
Title: Financial instability and the short-term dynamics of volatility expectations 
Abstract:
				 This study provides new evidence of
 nonlinearities in the dynamics of volatility expectations during financial
 crises using Markov regime-switching models of model-free volatility
 indices. The regimes of changes in implied volatility in international
 financial markets are defined as function of market sentiment and a
 realignment process following forecast errors consistent with rational
 expectations. The results indicate that market returns and changes in
 forecast errors have indeed the potential of influencing the formation of
 volatility expectations. But the main force driving the dynamics of
 volatility expectations during periods of financial instability lies
 rather in the correlation with returns, reflecting market sentiment. The
 insignificance of the realignment process may be reflective of consensus
 beliefs that past information does not provide useful guidance during
 financial crises. It is forward-looking macroeconomic information and
 contemporaneous price movements that are more likely to shape the dynamics
 of volatility expectations.			 
Journal: Applied Financial Economics 
Pages: 377-395 
Issue: 6 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2014.881966 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.881966 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:6:p:377-395




Template-Type: ReDIF-Article 1.0
Author-Name: Giorgio Calcagnini 
Author-X-Name-First: Giorgio 
Author-X-Name-Last: Calcagnini 
Author-Name: Fabio Farabullini 
Author-X-Name-First: Fabio 
Author-X-Name-Last: Farabullini 
Author-Name: Germana Giombini 
Author-X-Name-First: Germana 
Author-X-Name-Last: Giombini 
Title: The impact of guarantees on bank loan interest rates 
Abstract:
				 This article analyses the role of
 guarantees on loan interest rates of Italian firms before and during the
 recent financial crisis. It improves on the existing literature by using
 explicit measure of collateral and personal guarantees and by modelling
 unobserved heterogeneity between low-level groups (banks) within a single
 nested panel data set. Our database covers the period 2006--2009 for a
 total of 560 339 firms and 214 banks.Our analysis shows that collateral
 guarantee affects the cost of credit for Italian firms by systematically
 reducing the interest rate of secured loans. This effect was larger during
 the crisis. Personal guarantees show no systematic effect on interest
 rates, but favour firms' access to credit. Furthermore, guarantees are a
 more powerful instrument for riskier borrowers than for safer borrowers,
 i.e., the decrease in interest rates due to the presence of guarantees is
 larger for the former than for the latter.		      
Journal: Applied Financial Economics 
Pages: 397-412 
Issue: 6 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2014.881967 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.881967 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:6:p:397-412




Template-Type: ReDIF-Article 1.0
Author-Name: Sumiko Takaoka 
Author-X-Name-First: Sumiko 
Author-X-Name-Last: Takaoka 
Author-Name: C. R. McKenzie 
Author-X-Name-First: C. R. 
Author-X-Name-Last: McKenzie 
Title: Main bank relationships and underwriter choice 
Abstract:
				 We examine why independent securities
 companies and bank subsidiary securities companies can coexist as
 underwriters in the Japanese corporate bond market in a period when the
 main bank system is very important in the Japanese financial system. While
 it has already been found that lending and shareholding relationships
 between main banks and issuers are not important determinants of
 underwriting commissions or yield spreads, they are found to be important
 determinants of lead underwriter choices. The findings about the impact of
 main bank relationships on underwriter choices suggest that an issuer with
 a strong main bank shareholding relationship chooses the main bank
 subsidiary securities company as the lead underwriter, and is unlikely to
 choose an independent securities company. An issuer with a larger sized
 bond issue tends to choose an independent securities company as the lead
 underwriter for its marketing ability. The findings from four different
 models consistently support the idea that independent securities companies
 have an advantage in marketing ability, and the main bank subsidiary
 securities company has an advantage in the information generated through
 the main bank relationship.			
Journal: Applied Financial Economics 
Pages: 413-423 
Issue: 6 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2014.881969 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.881969 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:6:p:413-423




Template-Type: ReDIF-Article 1.0
Author-Name: Gilbert V. Nartea 
Author-X-Name-First: Gilbert V. 
Author-X-Name-Last: Nartea 
Author-Name: Ji Wu 
Author-X-Name-First: Ji 
Author-X-Name-Last: Wu 
Author-Name: Hong Tao Liu 
Author-X-Name-First: Hong Tao 
Author-X-Name-Last: Liu 
Title: Extreme returns in emerging stock markets: evidence of a MAX effect in South Korea 
Abstract:
				 We investigate the significance of extreme
 positive returns (MAX) in the cross-sectional pricing of stocks in South
 Korea. Our results provide important out-of-sample evidence of a strong
 negative MAX effect similar to that documented by Bali <italic>et
 al.</italic> (2011) in the US stock market. For equal-weighted portfolios,
 the difference between returns on the portfolios with the highest and
 lowest maximum daily returns is  - 1.87% per month. The corresponding
 difference in alpha is  - 1.41% per month. The results are robust to
 controls for size, value, skewness, momentum, short-term reversal and
 idiosyncratic volatility. We also sort the portfolios by the average of
 the five highest daily returns within the month and report return and
 alpha spreads of  - 2.21% and	- 2.01% per month, respectively. However,
 unlike in Bali <italic>et al.</italic> (2011), the MAX effect cannot
 reverse the idiosyncratic volatility effect in the South Korean stock
 market. Our results imply investor preference for high-MAX stocks,
 consistent with cumulative prospect theory (CPT) where investors
 sub-optimally overweight the possibility that extreme returns will
 persist. The MAX effect is also consistent with the optimal expectations
 framework where investors derive utility from overestimating the
 probabilities of events in which their investments pay off well.	    
Journal: Applied Financial Economics 
Pages: 425-435 
Issue: 6 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2014.884696 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.884696 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:6:p:425-435




Template-Type: ReDIF-Article 1.0
Author-Name: Alain Krapl 
Author-X-Name-First: Alain 
Author-X-Name-Last: Krapl 
Author-Name: Thomas J. O'Brien 
Author-X-Name-First: Thomas J. 
Author-X-Name-Last: O'Brien 
Title: A comparison of FX exposure estimates with different control variables 
Abstract:
				 We compare the foreign exchange (FX)
 exposure estimates of four empirical models that differ only in the choice
 of control variable. We use a large sample of US equities (19 100) over a
 long time span (1980--2011). We find a much higher percentage of
 statistically significant FX exposure estimates with a bond return control
 variable than with a broad equity index. We also find that the FX exposure
 estimates with no control variable are close to those for the bond return
 control variable, and the estimates with Fama--French factor control
 variables are close to those with the equity index.			 
Journal: Applied Financial Economics 
Pages: 437-451 
Issue: 6 
Volume: 24 
Year: 2014 
Month: 3 
X-DOI: 10.1080/09603107.2014.884698 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.884698 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:6:p:437-451




Template-Type: ReDIF-Article 1.0
Author-Name: Johan Erik Eklund 
Author-X-Name-First: Johan Erik 
Author-X-Name-Last: Eklund 
Author-Name: Thomas Poulsen 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Poulsen 
Title: One share--one vote: evidence from Europe 
Abstract:
				 Many European companies use some type of
 control-enhancing mechanism, such as dual class shares or a pyramid
 ownership structure. Such mechanisms cause deviations from the one
 share--one vote principle, allocating more voting rights than cash flow
 rights to some shares and, in turn, providing the owners of such shares
 with more influence than what would be warranted by their investment.
 However, disproportionate influence may also arise in firms without such
 mechanisms. In this article, we present a method for disentangling
 disproportionality, which allows us to more precisely test the effects of
 deviations from the one share--one vote principle. We argue that previous
 studies suffer from a measurement problem caused by the use of a
 simplistic notion of disproportionality, and then we show that the effect
 of control-enhancing mechanisms on firm value has been overestimated in
 previous studies.			
Journal: Applied Financial Economics 
Pages: 453-464 
Issue: 7 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.884697 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.884697 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:7:p:453-464




Template-Type: ReDIF-Article 1.0
Author-Name: Rudra P. Pradhan 
Author-X-Name-First: Rudra P. 
Author-X-Name-Last: Pradhan 
Author-Name: B. Mak Arvin 
Author-X-Name-First: B. Mak 
Author-X-Name-Last: Arvin 
Author-Name: Neville R. Norman 
Author-X-Name-First: Neville R. 
Author-X-Name-Last: Norman 
Author-Name: Yasuyuki Nishigaki 
Author-X-Name-First: Yasuyuki 
Author-X-Name-Last: Nishigaki 
Title: Does banking sector development affect economic growth and inflation? A panel cointegration and causality approach 
Abstract:
				 Many studies investigate relationships
 between economic growth in specific economies and the development of its
 banking sector or between its growth rate and its rate of inflation.
 Advancing on earlier work, this article uses panel cointegration and
 causality tests applied to 34 OECD countries over the period 1960--2011.
 Our novel panel-data estimation procedure offers more robust estimates by
 utilizing variations between countries as well as variation over time. We
 identify important long-run causal links among the variables and show
 their implications for economic policy.		    
Journal: Applied Financial Economics 
Pages: 465-480 
Issue: 7 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.881968 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.881968 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:7:p:465-480




Template-Type: ReDIF-Article 1.0
Author-Name: E. Lukas 
Author-X-Name-First: E. 
Author-X-Name-Last: Lukas 
Author-Name: C. Heimann 
Author-X-Name-First: C. 
Author-X-Name-Last: Heimann 
Title: Technological-induced information asymmetry, M&As and earnouts: stock market evidence from Germany 
Abstract:
				 To date, a few empirical studies exist
 that investigate the use of earnout contracts in mergers and acquisitions
 (M&As). However, two limitations can be attested. First, the studies
 predominantly investigate earnouts in Anglo-American economies and it is
 questionable whether we can generalize on these findings for other
 economies. Second, while earnouts have become an increasingly popular way
 of coping with information asymmetries and reducing the risk of
 overpayment in takeovers, less is known about what really drives the
 design of such contracts. To answer these questions, we conduct an event
 study that examines abnormal returns for different M&A contracts for a
 cross-industry sample of German acquirers. The novel aspect of this
 article is that we explicitly present a theoretical model to discuss the
 effect of technological-induced information asymmetries on the design of
 earnout contracts. While we find support for the fact that capital markets
 favour the use of earnouts when uncertainty and the buyer's ability to
 reduce technological-induced information asymmetry is high, a too-long
 earnout period specified in the contract appears to be detrimental.	    
Journal: Applied Financial Economics 
Pages: 481-493 
Issue: 7 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.887189 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.887189 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:7:p:481-493




Template-Type: ReDIF-Article 1.0
Author-Name: M. Humayun Kabir 
Author-X-Name-First: M. Humayun 
Author-X-Name-Last: Kabir 
Author-Name: Shamim Shakur 
Author-X-Name-First: Shamim 
Author-X-Name-Last: Shakur 
Title: Nonlinear decomposition analysis of risk aversion and stock-holding behaviour of US households 
Abstract:
				 Using the Survey of Consumer Finances of
 2001 and 2004, this article provides a nonlinear decomposition analysis to
 find the relative importance of household risk preference characteristics
 after allowing adjustment for distribution of other household
 characteristics. We find significant contributions of net worth, college
 education, inherited wealth, managerial and low unemployment risk
 occupation in explaining the differences in probability of stockholding
 among the least and higher risk-averse households. The results show the
 impact of internet bubble and recession in post-9/11 environment on risk
 preference groups in terms of their stockholding behaviour.		    
Journal: Applied Financial Economics 
Pages: 495-503 
Issue: 7 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.887191 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.887191 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:7:p:495-503




Template-Type: ReDIF-Article 1.0
Author-Name: Allan W. Gregory 
Author-X-Name-First: Allan W. 
Author-X-Name-Last: Gregory 
Author-Name: Hui Zhu 
Author-X-Name-First: Hui 
Author-X-Name-Last: Zhu 
Title: Testing the value of lead information in forecasting monthly changes in employment from the Bureau of Labor Statistics 
Abstract:
				 This article examines the value of lead
 information by investigating the predictive power the automatic data
 processing (ADP) report has on nonfarm payroll employment data released by
 the Bureau of Labor Statistics (BLS) 2 days after the ADP. We find that
 updating a vector autoregression (VAR) forecast with the ADP data improves
 the forecast accuracy relative to a standard VAR forecast. However, this
 informational advantage disappears if real-time comparisons are made with
 the Bloomberg consensus forecasts of the BLS which are available prior to
 the ADP. We explore the confounding effects of data revisions and the
 potential pitfalls in testing the value of lead information based on the
 accumulated historical data.			  
Journal: Applied Financial Economics 
Pages: 505-514 
Issue: 7 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.887190 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.887190 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:7:p:505-514




Template-Type: ReDIF-Article 1.0
Author-Name: Jeff Madura 
Author-X-Name-First: Jeff 
Author-X-Name-Last: Madura 
Author-Name: Thanh Ngo 
Author-X-Name-First: Thanh 
Author-X-Name-Last: Ngo 
Author-Name: Jurica Susnjara 
Author-X-Name-First: Jurica 
Author-X-Name-Last: Susnjara 
Title: Information leakages and the costs of merging in Europe 
Abstract:
				 Based on a comprehensive sample of
 European mergers over the 1997--2011 period, we find that information
 leakages experienced by target firms are conditioned on the investor
 protection characteristics in the target&#x2019;s country. Specifically,
 information leakages are smaller for targets in European countries that
 experienced a greater improvement in rule of law and political stability.
 We also investigate whether and how bidders respond to information
 leakages experienced by targets that they are pursuing. We find no
 evidence that bidders reduce their bids of targets that experience
 abnormally large stock price run-ups. This implies that bidders incur a
 portion of the cost of informed trading that occurs before the merger bid
 is announced. Based on our results, it can be stated that regulatory
 actions that could reduce the level of informed trading in European
 countries may allow for a more active and efficient market for corporate
 control.		   
Journal: Applied Financial Economics 
Pages: 515-532 
Issue: 8 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.884699 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.884699 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:8:p:515-532




Template-Type: ReDIF-Article 1.0
Author-Name: A. G. Kerl 
Author-X-Name-First: A. G. 
Author-X-Name-Last: Kerl 
Author-Name: T. Pauls 
Author-X-Name-First: T. 
Author-X-Name-Last: Pauls 
Title: Analyst herding and investor protection: a cross-country study 
Abstract:
				 Using a multi-national data set, we
 investigate the herding behaviour of financial analysts. Our results
 across a range of different countries suggest that analysts consistently
 deviate from their true forecasts and issue earnings forecasts that are
 biased by anti-herding. Furthermore, the level of bias (i.e. anti-herding)
 seems to be systematically higher for forecasts on companies from European
 countries compared to the US or Japan. We argue that such differences
 might stem from diverse levels of investor protection and corporate
 governance as analysts deviate less from true forecasts when the overall
 information environment is more transparent and company disclosures are of
 higher quality. Thereby, we proxy investor protection based on the
 company-level share of institutional ownership as well as on country-level
 investor protection measures. Our results show that increasing levels of
 investor protection and corporate governance mitigate the anti-herding
 behaviour. Especially, when companies that are located in high investor
 protection countries are held by an increasing number of institutional
 investors, analysts are most reluctant to issue biased forecasts.	    
Journal: Applied Financial Economics 
Pages: 533-542 
Issue: 8 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.889800 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.889800 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:8:p:533-542




Template-Type: ReDIF-Article 1.0
Author-Name: Ron Christian Antonczyk 
Author-X-Name-First: Ron Christian 
Author-X-Name-Last: Antonczyk 
Author-Name: Astrid Juliane Salzmann 
Author-X-Name-First: Astrid Juliane 
Author-X-Name-Last: Salzmann 
Title: Corporate governance, risk aversion and firm value 
Abstract:
				 This study extends the current state of
 research on corporate governance and firm value determinants by
 introducing culture as a proxy for risk aversion. We focus on
 individuals&#x2019; risk aversion and connect it to Hofstede&#x2019;s
 cultural dimensions of uncertainty avoidance. In a cross-country empirical
 analysis with 47 countries, we find that uncertainty avoidance is
 negatively associated with valuation of firms. Our findings suggest that
 cross-country variation in risk aversion as well as in corporate
 governance impacts firm valuation. The results are robust to controlling
 for other determinants of firm value and using different datasets.	    
Journal: Applied Financial Economics 
Pages: 543-556 
Issue: 8 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.892195 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.892195 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:8:p:543-556




Template-Type: ReDIF-Article 1.0
Author-Name: Irma Malafronte 
Author-X-Name-First: Irma 
Author-X-Name-Last: Malafronte 
Author-Name: Stefano Monferr&#xe0; 
Author-X-Name-First: Stefano 
Author-X-Name-Last: Monferr&#xe0; 
Author-Name: Claudio Porzio 
Author-X-Name-First: Claudio 
Author-X-Name-Last: Porzio 
Author-Name: Gabriele Sampagnaro 
Author-X-Name-First: Gabriele 
Author-X-Name-Last: Sampagnaro 
Title: Competition, specialization and bank--firm interaction: what happens in credit crunch periods? 
Abstract:
				 This article empirically investigates the
 relationship between interbank competition, bank orientation and credit
 availability for a sample of more than 30 000 loans granted by a large
 banking group operating in the Italian credit market. We test whether and
 how, during a credit crunch period, competition affects bank orientation
 and how relationship lending and interbank competition can mitigate the
 credit crunch problem, for financially distressed firms. Using a unique
 and large bank--firm level data set, the main results show that an
 increase in competition is associated with a stronger relationship in
 terms of the length of the bank--borrower interaction, whereas the
 distance bank branch-headquarter negatively affects it. Moreover, a strong
 lender--borrower relationship, in terms of length and exclusivity, is
 found positively significant in determining the change in the amount of
 credit granted. Nonlinearity and sector specialization effects are tested,
 too, and report interesting results, supporting the crucial role of
 relationship lending during a financial crisis.			 
Journal: Applied Financial Economics 
Pages: 557-571 
Issue: 8 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.892196 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.892196 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:8:p:557-571




Template-Type: ReDIF-Article 1.0
Author-Name: K. H. Nguyen 
Author-X-Name-First: K. H. 
Author-X-Name-Last: Nguyen 
Title: Impact of a dividend initiation wave on shareholder wealth 
Abstract:
				 This article examines the short- and
 long-run impacts of a dividend initiation (DI) wave period on
 shareholders&#x2019; wealth. I test two hypotheses. First, firms
 initiating dividend payments during a DI wave period experience lower
 announcement returns than those initiating dividend payments outside a DI
 wave period. Second, firms initiating dividend payments inside a DI wave
 period underperform those initiating dividend payments outside a DI wave
 period in the long run. Using a sample of 688 DI announcements from the
 period 1977 to 2010, I find evidence supporting both hypotheses. Since a
 firm&#x2019;s decision to initiate a dividend payment during a DI wave
 period can have implications on its shareholders&#x2019; wealth in both
 short and long runs, the results of this study can help design investment
 strategies.			 
Journal: Applied Financial Economics 
Pages: 573-586 
Issue: 8 
Volume: 24 
Year: 2014 
Month: 4 
X-DOI: 10.1080/09603107.2014.892197 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.892197 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:8:p:573-586




Template-Type: ReDIF-Article 1.0
Author-Name: Mao Liang Li 
Author-X-Name-First: Mao Liang 
Author-X-Name-Last: Li 
Author-Name: Chin Man Chui 
Author-X-Name-First: Chin Man 
Author-X-Name-Last: Chui 
Author-Name: Chang Qing Li 
Author-X-Name-First: Chang Qing 
Author-X-Name-Last: Li 
Title: Dividend, liquidity and firm valuation: evidence from China AB share markets 
Abstract:
				 This article examines the relevance of
 cash dividend from the theoretical and empirical perspective by taking
 market liquidity into account. We construct an economic model that
 demonstrates that the effect of cash dividend on firm valuation depends on
 the status of market liquidity. The hypotheses derived from our model are
 strongly supported by data from A- and B-share markets in China. Our
 results from the dynamic panel regression demonstrate that the price
 premium of B-share relative to A-share is positively correlated to the
 level of cash dividend, and this relationship becomes even stronger when
 the relative liquidity of B-share is in a low status. In addition, this
 price premium is positively affected by the relative liquidity and firm
 profitability. The results are robust under alternate liquidity and
 dividend measures. The subsequent analysis based on the event study
 approach further reveals a more positive (negative) response to the
 announcement of cash dividend initiation (omission) in the B-share market.
 In particular, this positive response on the initiation is negatively
 correlated with the relative liquidity.		    
Journal: Applied Financial Economics 
Pages: 587-603 
Issue: 9 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.889799 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.889799 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:9:p:587-603




Template-Type: ReDIF-Article 1.0
Author-Name: Sergio Mayordomo 
Author-X-Name-First: Sergio 
Author-X-Name-Last: Mayordomo 
Author-Name: Juan Ignacio Pe�a 
Author-X-Name-First: Juan Ignacio 
Author-X-Name-Last: Pe�a 
Title: An empirical analysis of dynamic dependences in the European corporate credit markets: bonds versus credit derivatives 
Abstract:
				 This article provides new evidence on the
 dynamic dependences of European corporate credit spread in three markets:
 bond, Credit Default Swap (CDS) and Asset Swap (ASP). Using daily data
 from 2005 to 2011, we find that credit spread returns are primarily driven
 by innovations. The intra-market dependence decreases for bond and ASP
 innovations during the 2007--2009 subprime crisis but increases for CDS
 due to the increase of counterparty risk. After the summer of 2009, we
 find a convergence to the precrisis levels. ASP and bond innovations are
 closely related suggesting that the cash component (bond) dominates the
 ASP innovations' behaviour. On the other hand, CDS's innovations are
 unrelated to the bonds' and ASP's innovations. 		       
Journal: Applied Financial Economics 
Pages: 605-619 
Issue: 9 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.894627 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.894627 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:9:p:605-619




Template-Type: ReDIF-Article 1.0
Author-Name: Soon Nel 
Author-X-Name-First: Soon 
Author-X-Name-Last: Nel 
Author-Name: Wilna Bruwer 
Author-X-Name-First: Wilna 
Author-X-Name-Last: Bruwer 
Author-Name: Niel le Roux 
Author-X-Name-First: Niel 
Author-X-Name-Last: le Roux 
Title: An emerging market perspective on peer group selection based on valuation fundamentals 
Abstract:
				 The developed market literature suggests
 that peer group selection based on a careful selection of valuation
 fundamentals may improve the valuation accuracy of multiples. However, the
 literature does not offer an emerging market perspective in this regard.
 In this article the valuation performances of 16 equity multiples are
 investigated, based on three individual valuation fundamentals and three
 different combinations of these valuation fundamentals. The valuation
 performance of these 16 multiples is assessed in the equity valuation of
 South African companies listed on the JSE Securities Exchange over the
 period 2001 to 2010. The empirical results revealed, among other findings,
 that peer group selection based on a careful selection of valuation
 fundamentals could, on average, increase valuation accuracy of multiples
 by as much as 37.88%.			   
Journal: Applied Financial Economics 
Pages: 621-637 
Issue: 9 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.894629 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.894629 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:9:p:621-637




Template-Type: ReDIF-Article 1.0
Author-Name: Su-Lien Lu 
Author-X-Name-First: Su-Lien 
Author-X-Name-Last: Lu 
Author-Name: Kuo-Jung Lee 
Author-X-Name-First: Kuo-Jung 
Author-X-Name-Last: Lee 
Author-Name: Yung-Fu Huang 
Author-X-Name-First: Yung-Fu 
Author-X-Name-Last: Huang 
Title: An investigation of the performances of regional centres and traditional branches: evidence from Taiwanese banks 
Abstract:
				 There are two banking systems, regional
 centre and traditional branches, in Taiwan. The regional centre can
 simplify banks' business and organization by taking some business of
 branches. In contrast, branches of tradition system have to provide
 various financial services. Thus, regional centres can produce competitive
 advantages, improve the work efficiency of staff and reduce business
 risks. However, regional-centre system also faces new challenges, such as
 human-resource planning and customers' preference. Could the system of
 regional centres be better? The issues are seldom studied. Hence, we
 select 33 sample banks in Taiwan and compare the performances between
 systems of regional centres and traditional branches using
 data-envelopment analysis (DEA) method. The results show that the banks
 that implement the system of regional centres did not exhibit greater
 efficiency than those that did not implement the traditional system of
 bank branches. That is the reason why many Taiwanese banks continue to
 maintain traditional-branch system. Furthermore, most Taiwanese banks,
 including banks with regional centres and traditional branches, have to
 decrease their scale to improve their performance. The empirical results
 validate that many banks overly extended during the period of deregulating
 financial markets in Taiwan.			      
Journal: Applied Financial Economics 
Pages: 639-648 
Issue: 9 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.894628 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.894628 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:9:p:639-648




Template-Type: ReDIF-Article 1.0
Author-Name: Jairaj Gupta 
Author-X-Name-First: Jairaj 
Author-X-Name-Last: Gupta 
Author-Name: Nicholas Wilson 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Wilson 
Author-Name: Andros Gregoriou 
Author-X-Name-First: Andros 
Author-X-Name-Last: Gregoriou 
Author-Name: Jerome Healy 
Author-X-Name-First: Jerome 
Author-X-Name-Last: Healy 
Title: The value of operating cash flow in modelling credit risk for SMEs 
Abstract:
				 Small- and medium-size enterprises (SMEs)
 play a fundamental role in the economic performance of major economies
 especially in the light of the new Basel Capital Accord. Several lending
 communities proposed to treat SMEs as retail clients to optimize capital
 requirements and profitability. In this context, it is becoming critically
 important to have a detailed understanding of its risk behaviour for
 appropriate risk pricing. Evidence pertaining to SME financing strongly
 motivates us to believe that firms which are unable to generate sufficient
 operating cash flow (OCF) are more susceptible to bankruptcy. However, the
 role of OCF in bankruptcy of SMEs lacks empirical validation. We are the
 first to investigate the role of OCF information as predictors in
 assessing the creditworthiness of SMEs. 1-year distress prediction model
 developed using significant financial information of UK SMEs over a period
 2000 to 2009 confirms that the presence of OCF information does not
 improve the prediction accuracy of the distress prediction model.	    
Journal: Applied Financial Economics 
Pages: 649-660 
Issue: 9 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.896979 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.896979 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:9:p:649-660




Template-Type: ReDIF-Article 1.0
Author-Name: James M. Steeley 
Author-X-Name-First: James M. 
Author-X-Name-Last: Steeley 
Title: A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve 
Abstract:
				 The appealing feature of the
 arbitrage-free Nelson--Siegel model of the yield curve is the ability to
 capture movements in the yield curve through readily interpretable shifts
 in its level, slope or curvature, all within a dynamic arbitrage-free
 framework. To ensure that the level, slope and curvature factors evolve so
 as not to admit arbitrage, the model introduces a yield-adjustment term.
 This paper shows how the yield-adjustment term can also be decomposed into
 the familiar level, slope and curvature elements plus some additional
 readily interpretable shape adjustments. This means that, even in an
 arbitrage-free setting, it continues to be possible to interpret movements
 in the yield curve in terms of level, slope and curvature influences.	    
Journal: Applied Financial Economics 
Pages: 661-669 
Issue: 10 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.896980 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.896980 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:661-669




Template-Type: ReDIF-Article 1.0
Author-Name: Denice Bodeutsch 
Author-X-Name-First: Denice 
Author-X-Name-Last: Bodeutsch 
Author-Name: Philip Hans Franses 
Author-X-Name-First: Philip Hans 
Author-X-Name-Last: Franses 
Title: Size and value effects in Suriname 
Abstract:
				 This article studies the link between
 stock returns and size and book-to-market equity effects for 10 companies
 listed at the Suriname Stock Exchange (SSE). We analyse the
 cross-sectional variation in average returns and we find that there is
 apparently no size effect, but there is a value effect. The findings are
 broadly in line with those for other emerging markets documented in the
 literature.			     
Journal: Applied Financial Economics 
Pages: 671-677 
Issue: 10 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.896981 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.896981 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:671-677




Template-Type: ReDIF-Article 1.0
Author-Name: Andre Carvalhal 
Author-X-Name-First: Andre 
Author-X-Name-Last: Carvalhal 
Title: Do internationalized companies have better governance? Lessons from Brazil 
Abstract:
				 Multinational enterprises (MNEs) have
 grown and expanded their presence significantly in recent years. Governing
 MNEs' activities in different countries is complex and demand efficient
 governance arrangements. Although there is an extensive literature on both
 MNEs and corporate governance, the relationship between MNEs and
 governance remains largely unexplored. This article analyses multiple
 aspects of governance of MNEs by using broad firm-level governance
 indices. We use comprehensive Brazilian data and find that MNEs have
 better governance in Brazil. Overall, MNEs have better disclosure, board
 and shareholder practices. We also report that ownership and control are
 less concentrated in MNEs than in local firms, and that the governance of
 MNEs is positively (negatively) associated with cash flow (voting) rights
 held by large shareholders. The results are robust to alternate measures
 of governance and to controlling for endogeneity and self-selection.	    
Journal: Applied Financial Economics 
Pages: 679-690 
Issue: 10 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.899667 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.899667 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:679-690




Template-Type: ReDIF-Article 1.0
Author-Name: Nicholas Apergis 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Apergis 
Author-Name: Christina Christou 
Author-X-Name-First: Christina 
Author-X-Name-Last: Christou 
Author-Name: James E. Payne 
Author-X-Name-First: James E. 
Author-X-Name-Last: Payne 
Title: Precious metal markets, stock markets and the macroeconomic environment: a FAVAR model approach 
Abstract:
				 This empirical study investigates the
 nature of spillovers between precious metal prices, i.e. gold and silver,
 stock markets and a number of macroeconomic variables for the G7 countries
 over the period 1981 to 2010. Through the methodological approach of the
 factor-augmented vector autoregressive (FAVAR) model, the empirical
 findings display that the price transmission across precious metal
 markets, stock markets and the macroeconomy is substantial. In particular,
 the results exemplify the role of the macroeconomic environment in
 explaining the behaviour of both gold and silver returns, while the
 performance of the stock markets does not appear to contribute as much.    
Journal: Applied Financial Economics 
Pages: 691-703 
Issue: 10 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.899668 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.899668 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:691-703




Template-Type: ReDIF-Article 1.0
Author-Name: B. Bogdanova 
Author-X-Name-First: B. 
Author-X-Name-Last: Bogdanova 
Author-Name: I. Ivanov 
Author-X-Name-First: I. 
Author-X-Name-Last: Ivanov 
Title: Adaptive and relative efficiency of stock markets from Southeastern Europe: a wavelet approach 
Abstract:
				 Adaptive and relative market efficiency of
 seven Southeast European stock exchanges is investigated for a period of
 11 years. A wavelet-based technique is utilized to the daily return series
 of the major stock indices in order to track the evolution of the LRD
 parameter, since its value is closely related to the degree of returns
 predictability. A major finding is that a sustainable degree of
 predictability is present for the stock markets of Bulgaria and Serbia,
 which is not diminishing over time. The Croatian and Russian markets are
 characterized by diminishing level of predictability, while the Greek and
 the Romanian markets are eventually converging to efficient functioning.
 The Turkish stock exchange is found to be highly efficient throughout the
 period of investigation. For the purpose of measuring the relative
 efficiency of the investigated markets, the obtained results are compared
 to those delivered for six developed stock exchanges, and significant
 differences in their informational efficiency patterns are discovered.
 These findings have important implications for risk diversification and
 portfolio management.			     
Journal: Applied Financial Economics 
Pages: 705-722 
Issue: 10 
Volume: 24 
Year: 2014 
Month: 5 
X-DOI: 10.1080/09603107.2014.899669 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.899669 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:705-722




Template-Type: ReDIF-Article 1.0
Author-Name: Zenu Sharma 
Author-X-Name-First: Zenu 
Author-X-Name-Last: Sharma 
Author-Name: Weihua Huang 
Author-X-Name-First: Weihua 
Author-X-Name-Last: Huang 
Title: When do pay spreads influence firm value? 
Abstract:
 This article examines whether the effect of hierarchical pay structures on
 firm value is different between the firms in which the CEO is not the
 highest paid member of the top management team and those in which the CEO
 receives the highest pay. We find that the difference in pay between CEO
 and VPs benefits firm value only when CEO is the highest paid member of
 the top management team. In firms where the CEO does not receive the
 highest pay, pay gaps have a negative impact on firm value. The article
 also finds that financial distress, family ownership, firm size and R&D
 intensity increase the likelihood of CEO not being the highest paid
 manager, whereas CEO entrenchment and CEO power along with dividend payout
 decrease this likelihood.
Journal: Applied Financial Economics 
Pages: 723-737 
Issue: 11 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2013.851769 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.851769 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:11:p:723-737




Template-Type: ReDIF-Article 1.0
Author-Name: Richhild Moessner 
Author-X-Name-First: Richhild 
Author-X-Name-Last: Moessner 
Title: Government bond yield sensitivity to economic news at the zero lower bound in Canada in comparison with the UK and US 
Abstract:
 At the zero lower bound of the policy rate, monetary policy can still be
 effective through unconventional monetary policy measures and forward
 guidance affecting longer-term interest rates. We study whether the
 sensitivity of Canadian government bond yields to domestic and US
 macroeconomic data surprises changed at the zero lower bound, and compare
 the results with those for the United Kingdom and the United States. We
 find that the sensitivity of government bond yields to domestic economic
 news was reduced only at shorter maturities in Canada than in the United
 Kingdom and the United States. Moreover, we find that it was reduced less
 strongly in Canada than in the United Kingdom. This suggests that in
 Canada monetary policy lost less of its effectiveness than in the United
 Kingdom, and only up to shorter horizons than in the United Kingdom and
 the United States.
Journal: Applied Financial Economics 
Pages: 739-751 
Issue: 11 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.902019 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.902019 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:11:p:739-751




Template-Type: ReDIF-Article 1.0
Author-Name: Su-Lien Lu 
Author-X-Name-First: Su-Lien 
Author-X-Name-Last: Lu 
Author-Name: Kuo-Jung Lee 
Author-X-Name-First: Kuo-Jung 
Author-X-Name-Last: Lee 
Author-Name: Chia-Chang Yu 
Author-X-Name-First: Chia-Chang 
Author-X-Name-Last: Yu 
Title: Momentum strategy and credit risk 
Abstract:
 The article first focused on the traditional momentum strategies, and the
 distance-to-default of the KMV (Kealhofer, McQuown and Vasicek) model was
 later applied as the proxy of credit risk. Then, based on the credit risk,
 two factors January effect and business cycle were added to investigate
 the momentum effect on them and credit risk. Empirical results indicated
 that investment portfolios had the momentum effects by traditional
 momentum strategies. After the credit risk was added, when the
 high-credit-risk group applied the momentum strategies in the mid- and
 long-term holding periods, significant excess return occurred. For low-
 and medium-credit-risk groups, the momentum profits only exist in
 36-months holding periods. In addition, when credit risk was taken as the
 basis, and the January effect was included, the study found that positive
 momentum profits only took place in the low- and medium-credit-risk groups
 in 36-months holding period. Finally, when credit risk was taken as the
 basis, and business cycle was included, momentum profits took place during
 the recession period. Consequently, we found that momentum strategy has
 different influence on three credit-risk groups. Investors should consider
 the credit-risk characteristics of their investment portfolio when
 employing the momentum strategy.
Journal: Applied Financial Economics 
Pages: 753-762 
Issue: 11 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.904487 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.904487 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:11:p:753-762




Template-Type: ReDIF-Article 1.0
Author-Name: Pierpaolo Pattitoni 
Author-X-Name-First: Pierpaolo 
Author-X-Name-Last: Pattitoni 
Author-Name: Barbara Petracci 
Author-X-Name-First: Barbara 
Author-X-Name-Last: Petracci 
Author-Name: Massimo Spisni 
Author-X-Name-First: Massimo 
Author-X-Name-Last: Spisni 
Title: Determinants of profitability in the EU-15 area 
Abstract:
 Using data on private firms in the EU-15 area over the period 2004-2011,
 we investigate the determinants of firm profitability. We extend existing
 models by considering possible nonlinear effects of typical micro-level
 determinants as well as the effect of additional micro-level and
 macro-level variables. Our findings - obtained using a plethora of
 econometric static and dynamic models - show that nonlinearities help
 explain the existence of conflicting theories of determinants of
 profitability (omitting second-order effects may result in inconsistent
 estimates) and shed light on the role of the firm's opportunity cost of
 capital, the majority shareholder commitment level and variables which
 reflect the economic cycle in explaining firm profitability.
Journal: Applied Financial Economics 
Pages: 763-775 
Issue: 11 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.904488 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.904488 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:11:p:763-775




Template-Type: ReDIF-Article 1.0
Author-Name: L. C. Baran 
Author-X-Name-First: L. C. 
Author-X-Name-Last: Baran 
Author-Name: T. H. D. King 
Author-X-Name-First: T. H. D. 
Author-X-Name-Last: King 
Title: S&P 500 Index reconstitutions and information asymmetry 
Abstract:
 We examine the changes in information asymmetry around Standard and Poors
 (S&P) 500 Index additions and deletions as a possible explanation for the
 stock price reaction to index revision events. Using an array of
 information asymmetry measures to represent the complex information
 environment of corporations, we find a significant decrease in information
 asymmetry following index inclusions but show that the drop provides
 limited explanatory power for the announcement return. On the other hand,
 we find strong support for an increase in information asymmetry after
 deletion events, and firms with a higher level of information asymmetry
 prior to deletion accrue larger losses upon deletion announcements.
 Finally, relative to the behaviour of other firms in the S&P 500 Index,
 forecast error declines but forecast optimism remains consistent following
 index inclusions for newly added firms. This study adds to the ongoing
 debate over demand curves for S&P 500 Index stocks and shows that changes
 in information asymmetry are a significant determinant of the price
 reaction for newly removed firms.
Journal: Applied Financial Economics 
Pages: 777-791 
Issue: 11 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.904489 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.904489 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:11:p:777-791




Template-Type: ReDIF-Article 1.0
Author-Name: Panagiotis Rafailidis 
Author-X-Name-First: Panagiotis 
Author-X-Name-Last: Rafailidis 
Author-Name: Constantinos Katrakilidis 
Author-X-Name-First: Constantinos 
Author-X-Name-Last: Katrakilidis 
Title: The relationship between oil prices and stock prices: a nonlinear asymmetric cointegration approach 
Abstract:
 This article investigates the long-run and short-run dynamics between US
 stock prices and oil prices over the period from 1 January 1992 to 22
 November 2013 using the S&P 500 index and West Texas Intermediate spot oil
 prices. Unlike the majority of previous studies that are based on the
 conventional time series analysis, we examine for the presence of
 different sources of nonlinearities, such as structural breaks and
 asymmetric adjustments in the dynamic links between the investigated
 markets. The results from the threshold autoregressive (TAR) and momentum
 threshold autoregressive (MTAR) models of Enders and Siklos (2001) in
 conjunction with the Threshold Error Correction Model estimations provide
 evidence of asymmetric responses towards the equilibrium.
Journal: Applied Financial Economics 
Pages: 793-800 
Issue: 12 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.907476 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.907476 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:12:p:793-800




Template-Type: ReDIF-Article 1.0
Author-Name: Vlad Manole 
Author-X-Name-First: Vlad 
Author-X-Name-Last: Manole 
Author-Name: Mariana Spatareanu 
Author-X-Name-First: Mariana 
Author-X-Name-Last: Spatareanu 
Title: Foreign direct investment spillovers and firms' access to credit 
Abstract:
 Using a unique data set from the Czech Republic for 1994-2003, this study
 examines the relationship between technological spillovers from foreign
 direct investment (FDI) and firms' access to external finance. The
 empirical analysis indicates that overall, Czech firms benefit little from
 technological spillovers from FDI. However, a closer look at the financing
 of domestic firms suggests that firms that have access to external finance
 enjoy larger benefits from the presence of foreign firms in their own
 industry or in downstream industries, through increased productivity. The
 results highlight the importance of financial-sector development and
 access to external financing to increasing the productivity and
 competitiveness of domestic firms through technological spillovers from
 FDI. Our finding suggests that well-developed financial markets may be
 needed in order to take full advantage of the benefits associated with FDI
 inflows.
Journal: Applied Financial Economics 
Pages: 801-809 
Issue: 12 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.907477 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.907477 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:12:p:801-809




Template-Type: ReDIF-Article 1.0
Author-Name: Alexander Ludwig 
Author-X-Name-First: Alexander 
Author-X-Name-Last: Ludwig 
Title: Credit risk-free sovereign bonds under Solvency II: a cointegration analysis with consistently estimated structural breaks 
Abstract:
 European insurance and reinsurance undertakings are facing the advent of a
 new regulatory framework. In the current proposal for its technical
 specifications under the pillar 1 standard formula, sovereign debt of
 European Union (EU) member states is treated as risk-free. This article
 examines the validity of this assumption for 26 EU member states. Taking
 into account the possibility of multiple structural breaks, we find
 evidence for the convergence of government bond yields of several
 countries with the yields of a risk-free asset. For the majority of
 countries, however, there is no such evidence. A detailed discussion of
 regime shifts in relation to European bond market integration is provided.
 Our findings have important implications for insurance companies, bond
 investors and regulators alike.
Journal: Applied Financial Economics 
Pages: 811-823 
Issue: 12 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.909573 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.909573 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:12:p:811-823




Template-Type: ReDIF-Article 1.0
Author-Name: Shih-Kuei Lin 
Author-X-Name-First: Shih-Kuei 
Author-X-Name-Last: Lin 
Author-Name: Yu-Min Lian 
Author-X-Name-First: Yu-Min 
Author-X-Name-Last: Lian 
Author-Name: Szu-Lang Liao 
Author-X-Name-First: Szu-Lang 
Author-X-Name-Last: Liao 
Title: Pricing gold options under Markov-modulated jump-diffusion processes 
Abstract:
 In this study, we empirically investigate the properties of gold returns,
 and the European gold options are priced when the underlying gold price
 dynamics are driven by Markov-modulated jump-diffusion processes.
 Specifically, the jump events are captured by a compound Poisson process
 with a log-normal jump size, and the regime-switching intensity rate is
 governed by a continuous-time finite-state Markov chain. Under an
 incomplete market setting, we study the valuation of European gold options
 using the method of Esscher transform. The estimated results and numerical
 examples are provided.
Journal: Applied Financial Economics 
Pages: 825-836 
Issue: 12 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.914142 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.914142 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:12:p:825-836




Template-Type: ReDIF-Article 1.0
Author-Name: Rodrigo Zeidan 
Author-X-Name-First: Rodrigo 
Author-X-Name-Last: Zeidan 
Title: Voluntary corporate governance with an empirical application 
Abstract:
 The main idea of the article is to advance some arguments regarding a
 paradox of corporate governance: if it creates so much value for
 shareholders why in most countries governance is still heavily regulated
 by strict codes? The article advances a theoretical framework for the
 voluntary adoption of better corporate governance practices as influenced
 by four dimensions: ownership and control issues, capital structure, exit
 strategies and market performance. I estimate probit panel models with
 data from Brazilian companies that voluntarily moved to the Novo Mercado
 (New Market). Results indicate as significant variables representing the
 need for exit strategies through liquidity and the existence of
 shareholders' agreements, while higher capital concentration implies a
 lower probability of companies voluntarily adopting better governance
 practices. Also, market drivers such as lower capital costs and
 performance are not statistically significant.
Journal: Applied Financial Economics 
Pages: 837-851 
Issue: 12 
Volume: 24 
Year: 2014 
Month: 6 
X-DOI: 10.1080/09603107.2014.914143 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.914143 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:12:p:837-851




Template-Type: ReDIF-Article 1.0
Author-Name: Jeffrey H. Dorfman 
Author-X-Name-First: Jeffrey H. 
Author-X-Name-Last: Dorfman 
Author-Name: Myung D. Park 
Author-X-Name-First: Myung D. 
Author-X-Name-Last: Park 
Title: Smaller portfolio returns and the risk-return trade-off for the whole market 
Abstract:
 Empirical evidence on the risk-return trade-off in stocks has been
 conflicting. Several studies estimate a positive risk-return trade-off
 (see French <italic>et al</italic>., 1987; Campbell and Hentschel, 1992)
 but other researchers find the opposite (see Nelson, 1991; Glosten
 <italic>et al</italic>., 1993) and most of the results have been
 statistically insignificant regardless of the sign of the risk-return
 trade-off. Using bivariate GARCH-M models, we investigate (1) the
 risk-return trade-off for the market portfolio and (2) the relation
 between the expected return of individual portfolios and time-varying
 covariance with the market portfolio. Our bivariate models using
 individual portfolios yield results with positive, significant estimated
 risk-return trade-offs for the market portfolio and strong evidence of a
 positive relation between expected return and the time-varying covariance
 for individual portfolios. We also construct a robust estimate for the
 risk-return trade-off across model specifications using Bayesian model
 averaging and the resultant risk-return trade-off is estimated to be
 positive with high posterior probability.
Journal: Applied Financial Economics 
Pages: 853-869 
Issue: 13 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.902154 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.902154 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:13:p:853-869




Template-Type: ReDIF-Article 1.0
Author-Name: Y. Bai 
Author-X-Name-First: Y. 
Author-X-Name-Last: Bai 
Title: Country factors in stock returns: reconsidering the basic method 
Abstract:
 Many studies show that country effects dominate in determining the stock
 return cross-sectional variations. After removing three potential
 distortions (domestic inflation rate, exchange rate and local risk-free
 interest rate), we find that the common practice of decomposing the
 nominal return converted into a single currency misestimates the
 importance of country effects, and hence may lead to incorrect inferences
 regarding portfolio diversification.
Journal: Applied Financial Economics 
Pages: 871-888 
Issue: 13 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.909571 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.909571 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:13:p:871-888




Template-Type: ReDIF-Article 1.0
Author-Name: Matthew C. Li 
Author-X-Name-First: Matthew C. 
Author-X-Name-Last: Li 
Title: The US zero-coupon yield spread as a predictor of excess daily stock market volatility 
Abstract:
 Slope of the yield curve has often been cited as an indicator of economic
 activity. Based on this premise, we extend the study to examine whether
 one can use the US zero-coupon yield spread to predict excess stock market
 volatility of three international stock markets - the United States, the
 United Kingdom and Hong Kong. By using daily trading data and changes in
 the US yield spread, our study entails four spread maturity spectrums,
 three stock markets, 7-trading day forecast horizons and four probit
 models. In the static models, we find evidence to support a US
 spread-volatility relationship in all three stock markets in the medium
 spread maturity up to 3 days ahead. In the dynamic models, although the
 predictive power of yield spread weakens slightly, the lagged dependent
 variable plays an important role.
Journal: Applied Financial Economics 
Pages: 889-906 
Issue: 13 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.914141 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.914141 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:13:p:889-906




Template-Type: ReDIF-Article 1.0
Author-Name: Scott Deacle 
Author-X-Name-First: Scott 
Author-X-Name-Last: Deacle 
Author-Name: Elyas Elyasiani 
Author-X-Name-First: Elyas 
Author-X-Name-Last: Elyasiani 
Title: Real estate investment by Bank Holding Companies and their risk and return: nonparametric and GARCH procedures 
Abstract:
 We investigate the association between real estate investment by US Bank
 Holding Companies (BHCs) and their return, risk and risk-adjusted returns.
 Three portfolios are formed of BHCs according to whether they do or do not
 invest in real estate, strictness of the regulation on real estate
 investment and the ratio of real estate investment to assets. Wilcoxon
 tests of differences in portfolio returns, risk, risk-adjusted returns and
 value at risk between each pair of portfolios are conducted to determine
 how engagement in real estate, stricter regulation and increased real
 estate investment affect BHC performance. These effects are also
 investigated within a GARCH framework. Wilcoxon tests indicate that real
 estate investment or operating under lenient rules lower return and
 risk-adjusted returns and raise risk. Within GARCH, increases in real
 estate investment are associated with lower returns and greater systematic
 risk for BHCs with higher real estate shares in assets. These results
 indicate that benefits from real estate investment by banks are outweighed
 by greater variability of real estate prices and BHCs' lack of expertise
 in the field. BHCs in the sample invested no more than 4.54% of their
 assets in real estate, leaving open the possibility that a higher
 threshold exists, beyond which performance improvements would be
 manifested.
Journal: Applied Financial Economics 
Pages: 907-926 
Issue: 13 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.916385 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.916385 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:13:p:907-926




Template-Type: ReDIF-Article 1.0
Author-Name: Scott W. Hegerty 
Author-X-Name-First: Scott W. 
Author-X-Name-Last: Hegerty 
Title: Interest-rate volatility and volatility transmission in nine Latin American countries 
Abstract:
 With US monetary policy and financial markets exerting a strong influence
 on the region's exchange rates, exports and investor confidence, Latin
 America is particularly vulnerable to international macroeconomic
 'contagion.' Of the limited studies on the region, however, most attention
 has been drawn to the largest economies. This study models monthly
 short-term nominal interest-rate volatility for nine Latin American
 countries and the US, examining whether this volatility spills over within
 the region. GARCH and exponential GARCH methods provide univariate
 analyses, and multivariate GARCH techniques test for contagion. Relatively
 few instances of contagion are uncovered, with Argentina and Chile the
 most affected by external events. Paraguay and Uruguay (as well as Brazil)
 are more immune, most likely due to capital controls. An expanded model
 that includes exchange-rate volatility suggests that direct interest-rate
 linkages are rare, and that spillovers are primarily transmitted through
 currency markets.
Journal: Applied Financial Economics 
Pages: 927-937 
Issue: 13 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.916387 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.916387 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:13:p:927-937




Template-Type: ReDIF-Article 1.0
Author-Name: Khelifa Mazouz 
Author-X-Name-First: Khelifa 
Author-X-Name-Last: Mazouz 
Author-Name: Jian Wang 
Author-X-Name-First: Jian 
Author-X-Name-Last: Wang 
Title: Commodity futures price behaviour following large one-day price changes 
Abstract:
 This study examines individual commodity futures price reactions to large
 one-day price changes, or 'shocks'. The mean-adjusted abnormal return
 model suggests that investors in 6 of the 18 commodity futures examined in
 this study either underreact or overreact to positive surprises. It also
 detects underreaction patterns in eight commodity future prices following
 negative surprises. However, after making appropriate systematic risk and
 conditional heteroscedasticity adjustments, we show that almost all
 commodity futures react efficiently to shocks.
Journal: Applied Financial Economics 
Pages: 939-948 
Issue: 14 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.914140 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.914140 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:14:p:939-948




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Busack 
Author-X-Name-First: Michael 
Author-X-Name-Last: Busack 
Author-Name: Wolfgang Drobetz 
Author-X-Name-First: Wolfgang 
Author-X-Name-Last: Drobetz 
Author-Name: Jan Tille 
Author-X-Name-First: Jan 
Author-X-Name-Last: Tille 
Title: Do alternative UCITS deliver what they promise? A comparison of alternative UCITS and hedge funds 
Abstract:
 We study the performance of alternative UCITS funds and account for
 potential survivorship biases in our sample in the best possible manner.
 Alternative UCITS funds offer similar raw returns but a lower volatility
 compared to offshore hedge funds. Single-index models show that
 alternative UCITS funds provide only marginal exposure to variations in
 hedge fund returns. Multifactor models indicate that the most important
 risk factors for both alternative UCITS funds and their matched hedge
 funds strategies are related to stock market risks, but alternative UCITS
 funds exhibit a lower exposure to these factors than hedge funds.
 Moreover, we find factor loadings on different risk factors, suggesting
 that alternative UCITS and hedge funds pursue different strategies.
 Finally, we assess the degree of the value added for an investor in terms
 of enhanced diversification benefits by implementing a spanning test and
 find that both groups are different asset classes with time-varying
 diversification properties.
Journal: Applied Financial Economics 
Pages: 949-965 
Issue: 14 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.916386 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.916386 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:14:p:949-965




Template-Type: ReDIF-Article 1.0
Author-Name: Stefano Caiazza 
Author-X-Name-First: Stefano 
Author-X-Name-Last: Caiazza 
Author-Name: Alberto Franco Pozzolo 
Author-X-Name-First: Alberto Franco 
Author-X-Name-Last: Pozzolo 
Author-Name: Giovanni Trovato 
Author-X-Name-First: Giovanni 
Author-X-Name-Last: Trovato 
Title: Do domestic and cross-border M&As differ? Cross-country evidence from the banking sector 
Abstract:
 Are the drivers of domestic and cross-border M&As in the banking sector
 different? We answer this question studying the <italic>ex ante</italic>
 determinants of national and international acquisitions in the banking
 sector in an unbalanced panel of nearly 1000 banks from 50 countries, from
 1992 to 2007. Contrary to most of the previous research, mainly based on
 aggregate data, our results show that there are only few differences
 between the determinants of domestic and cross-border M&As. In fact,
 although banks that bid cross-border are even larger than those that bid
 domestically, and they are relatively more liquid and better capitalized,
 only one country characteristic and no bank characteristics have an
 opposite and statistically significant effect on the probability that a
 bank bids domestically or cross-border.
Journal: Applied Financial Economics 
Pages: 967-981 
Issue: 14 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.920474 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.920474 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:14:p:967-981




Template-Type: ReDIF-Article 1.0
Author-Name: S. Baccouche 
Author-X-Name-First: S. 
Author-X-Name-Last: Baccouche 
Author-Name: M. Hadriche 
Author-X-Name-First: M. 
Author-X-Name-Last: Hadriche 
Author-Name: A. Omri 
Author-X-Name-First: A. 
Author-X-Name-Last: Omri 
Title: Multiple directorships and board meeting frequency: evidence from France 
Abstract:
 This article examines the relationship between multiple directorships of
 directors and board meeting frequency. Precisely, using an ordered probit
 model, we empirically investigated the effect of accumulation of outside
 directorships by directors on board meeting frequency. The research sample
 is composed of 90 nonfinancial French-listed firms that belong to the SBF
 120 index, over the period 2008 to 2010. The results suggest that multiple
 directorships by board members are positively associated with board
 meeting frequency. So, the findings indicate that the accumulation of
 outside directorships by directors may motivate the board of directors to
 meet more frequently.
Journal: Applied Financial Economics 
Pages: 983-992 
Issue: 14 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.920475 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.920475 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:14:p:983-992




Template-Type: ReDIF-Article 1.0
Author-Name: Adnen Ben Nasr 
Author-X-Name-First: Adnen 
Author-X-Name-Last: Ben Nasr 
Author-Name: Ahdi Noomen Ajmi 
Author-X-Name-First: Ahdi Noomen 
Author-X-Name-Last: Ajmi 
Author-Name: Rangan Gupta 
Author-X-Name-First: Rangan 
Author-X-Name-Last: Gupta 
Title: Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model 
Abstract:
 Appropriate modelling of the process of volatility has implications for
 portfolio selection, the pricing of derivative securities and risk
 management. Further, a large body of research has suggested that both long
 memory and structural changes simultaneously characterize the structure of
 financial returns volatility. Given this, in this article, we aim to model
 conditional volatility of the returns of the Dow Jones Islamic Market
 World Index (DJIM), interest on which has come to the fore following the
 need for renovation of the conventional financial system, in the wake of
 the recent global financial crisis. To model the conditional volatility of
 the DJIM returns, accounting for both long memory and structural changes,
 we allow the parameters in the conditional variance equation of the
 fractionally integrated generalized autoregressive conditional
 heteroscedasticity (FIGARCH) model to be time dependent, such that the
 parameters evolve smoothly over time based on a logistic smooth transition
 function, yielding a fractionally integrated time-varying generalized
 autoregressive conditional heteroscedasticity (FITVGARCH) model. Our
 results show that, in terms of model diagnostics and information criteria,
 as well as, portfolio allocation, the FITVGARCH model performs better than
 the FIGARCH model in explaining conditional volatility of the DJIM
 returns, thus, highlighting the need to model simultaneously long memory
 and structural changes in the volatility process of asset returns.
Journal: Applied Financial Economics 
Pages: 993-1004 
Issue: 14 
Volume: 24 
Year: 2014 
Month: 7 
X-DOI: 10.1080/09603107.2014.920476 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.920476 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:14:p:993-1004




Template-Type: ReDIF-Article 1.0
Author-Name: Mamiza Haq 
Author-X-Name-First: Mamiza 
Author-X-Name-Last: Haq 
Author-Name: Shams Pathan 
Author-X-Name-First: Shams 
Author-X-Name-Last: Pathan 
Author-Name: Mohammad Hoque 
Author-X-Name-First: Mohammad 
Author-X-Name-Last: Hoque 
Title: The risk implication of Sarbanes-Oxley Act of 2002: an empirical examination of the US financial services industry 
Abstract:
 This article examines the risk effect of the Sarbanes-Oxley Act of 2002
 (SOX) for the US financial services (FS) industry. The major provisions of
 SOX relate to increased transparency of the financial reporting system and
 improved internal governance of firms. The overall results support that
 SOX reduced the total risk and idiosyncratic risk of FS firms,
 particularly of banks, savings and insurance companies. Yet, this article
 finds an increase in systematic risk of banks, savings and insurance
 companies. This outcome may be due to increased financial integration,
 innovation, globalization and deregulation.
Journal: Applied Financial Economics 
Pages: 1005-1015 
Issue: 15 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.920477 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.920477 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:15:p:1005-1015




Template-Type: ReDIF-Article 1.0
Author-Name: Axel Grossmann 
Author-X-Name-First: Axel 
Author-X-Name-Last: Grossmann 
Author-Name: Chris Paul 
Author-X-Name-First: Chris 
Author-X-Name-Last: Paul 
Author-Name: Marc W. Simpson 
Author-X-Name-First: Marc W. 
Author-X-Name-Last: Simpson 
Title: The equilibrium level and forecasting performance of nominal effective exchange rate indexes using an export and import price-based relative PPP model 
Abstract:
 While the majority of studies on purchasing power parity (PPP) and
 exchange rate forecasting focus on bilateral exchange rates, the purpose
 of this article is to analyse the aggregate nominal effective exchange
 rate index of six major currencies. Export and import price indexes are
 used to construct relative PPP-based equilibrium exchange rates. Applying
 an alternative approach based on the exchange rate deviations from
 equilibrium, we find half-lives of less than 1 year in some cases.
 Additionally, we report success rates of correctly predicting the
 direction of the exchange rate indexes as high as 70%. The success rates
 improve for longer horizons and when the investigation is restricted to
 large deviations from PPP-equilibrium. Finally, and most importantly, for
 the period following the start of the global financial crisis (2007 to
 2012), the model outperforms the random walk for four of the six exchange
 rate indexes. The findings provide important implications for
 international market participants who are interested in a general guide
 about a currencies aggregate equilibrium level as well its future
 movements.
Journal: Applied Financial Economics 
Pages: 1017-1030 
Issue: 15 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.922668 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.922668 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:15:p:1017-1030




Template-Type: ReDIF-Article 1.0
Author-Name: Theophano Patra 
Author-X-Name-First: Theophano 
Author-X-Name-Last: Patra 
Author-Name: Sunil S. Poshakwale 
Author-X-Name-First: Sunil S. 
Author-X-Name-Last: Poshakwale 
Author-Name: Vassilis Thomas 
Author-X-Name-First: Vassilis 
Author-X-Name-Last: Thomas 
Title: Sovereign credit risk dynamics in the European Monetary Union (EMU) 
Abstract:
 The article provides evidence of the key determinants of the sovereign
 credit spreads by including some unique variables which proxy credit risk,
 country-specific risk, and international risk for 10 European Monetary
 Union (EMU) member countries. The findings suggest that though both
 country-specific and global risk factors significantly influence the
 sovereign yield spreads, the primary balance and not the forecast deficit
 is a key factor of credit spreads. Prior to the sovereign debt crisis,
 investors appear to focus mainly on the global risk-aversion factors.
 However, during the sovereign credit crisis only fiscal factors appear to
 affect the credit spreads while international risk factors have had little
 or no impact on the sovereign credit spreads.
Journal: Applied Financial Economics 
Pages: 1031-1041 
Issue: 15 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.922669 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.922669 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:15:p:1031-1041




Template-Type: ReDIF-Article 1.0
Author-Name: Ivo Arnold 
Author-X-Name-First: Ivo 
Author-X-Name-Last: Arnold 
Author-Name: Saskia van Ewijk 
Author-X-Name-First: Saskia 
Author-X-Name-Last: van Ewijk 
Title: Sovereign risk and the relationship between deposit rates and deposit holdings in the euro area 
Abstract:
 This article employs panel cointegration techniques to explore the impact
 of the euro crisis on the relationship between deposit rates and deposit
 holdings in the euro area. For the period prior to the crisis, no
 significant relationship between these variables can be established. In
 contrast, since the Lehman collapse, we find a significant negative
 relationship between bank deposit rates and the amount of deposits. This
 finding suggests that a reduction in depositor confidence is one of the
 channels through which sovereign tensions in the euro area have increased
 financial fragmentation in the euro area and have further reduced the
 banks' ability to support an economic recovery in countries with weak
 sovereigns.
Journal: Applied Financial Economics 
Pages: 1043-1049 
Issue: 15 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.923232 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.923232 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:15:p:1043-1049




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Kumiega 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Kumiega 
Author-Name: Ben Van Vliet 
Author-X-Name-First: Ben 
Author-X-Name-Last: Van Vliet 
Author-Name: Apostolos Xanthopoulos 
Author-X-Name-First: Apostolos 
Author-X-Name-Last: Xanthopoulos 
Title: Unconstrained strategies and the variance-kurtosis trade-off 
Abstract:
 In this article, we study unconstrained strategies through a
 respecification of classic mean-variance utility and, as a reference
 implementation, a long-only strategy based on Canadian and US bond
 markets. First, we capture the underlying economic forces that drive
 benchmark indices in the two economies as orthogonal components of yields.
 We find that bond indices in the two markets are sensitive to components
 that account for lesser total yield variability. Next, we develop a new
 polynomial utility function that captures the kurtosis effects found in
 the sensitivities to lower-eigenvector components. In our unconstrained
 strategy, excess kurtosis triggers portfolio adjustments and the resulting
 returns outperform those of traditional mean-variance optimization. The
 respecified utility function introduces iso-risk contour lines that
 account for abrupt adjustments of portfolios to eigenvectors of hidden
 influence.
Journal: Applied Financial Economics 
Pages: 1051-1061 
Issue: 15 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.924289 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924289 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:15:p:1051-1061




Template-Type: ReDIF-Article 1.0
Author-Name: Christos Giannikos 
Author-X-Name-First: Christos 
Author-X-Name-Last: Giannikos 
Author-Name: Hany Guirguis 
Author-X-Name-First: Hany 
Author-X-Name-Last: Guirguis 
Author-Name: Panagiotis Schizas 
Author-X-Name-First: Panagiotis 
Author-X-Name-Last: Schizas 
Title: Hedge funds and the housing bubble 
Abstract:
 This article documents that hedge funds specializing in subprime mortgages
 did not take advantage of the housing bubble and they did not trade
 against it. Hedge fund capitalization is an important factor regarding how
 funds suffered during the crisis. Small funds suffered the most. Mid-cap
 portfolio relied on macroeconomic indicators (subprime foreclosures) and,
 as a result, suffered less compared to their peers above. Duration and
 quality of the credit instruments are significant factors in explaining
 hedge fund returns. Naturally, our study, in line with the existing
 literature during turbulent periods, documents that the lack of liquidity
 was a key driver of performance.
Journal: Applied Financial Economics 
Pages: 1063-1073 
Issue: 16 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.909572 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.909572 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:16:p:1063-1073




Template-Type: ReDIF-Article 1.0
Author-Name: Ying-Hsiu Chen 
Author-X-Name-First: Ying-Hsiu 
Author-X-Name-Last: Chen 
Author-Name: Meng-Chun Kao 
Author-X-Name-First: Meng-Chun 
Author-X-Name-Last: Kao 
Title: Dynamic impacts of market power and diversification on bank efficiencies in Taiwan 
Abstract:
 This article adopts a panel error-correction model to explore dynamic
 impacts of diversification and market power on bank efficiencies by
 utilizing the pooled mean group and mean group estimators. The sample
 comprises unbalanced panel data of 22 Taiwanese-listed domestic commercial
 banks over the period 1997 to 2010. Empirical results show divergence of
 long- and short-run effects of market power and diversification on bank
 efficiencies. The effect of market power of loans exerts a significantly
 positive effect on technical efficiency in the long run while coexisting
 with a negative short-run relationship, as well as with the long- and
 short-run association between diversification and cost efficiency.
Journal: Applied Financial Economics 
Pages: 1075-1082 
Issue: 16 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.922667 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.922667 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:16:p:1075-1082




Template-Type: ReDIF-Article 1.0
Author-Name: Hamish Anderson 
Author-X-Name-First: Hamish 
Author-X-Name-Last: Anderson 
Author-Name: Ben Marshall 
Author-X-Name-First: Ben 
Author-X-Name-Last: Marshall 
Author-Name: Jia Miao 
Author-X-Name-First: Jia 
Author-X-Name-Last: Miao 
Title: The Permanent Portfolio 
Abstract:
 We investigate the performance of the 'Permanent Portfolio' in the United
 States and international markets. This simple approach to asset allocation
 involves investors splitting their portfolio equally between stocks,
 bonds, gold and cash. The Permanent Portfolio does not consistently
 generate returns that are greater than those to a buy-and-hold stock
 portfolio or to stock and bond portfolios. By construction, its returns
 are the average of the four component asset classes. However, the
 Permanent Portfolio does outperform traditional portfolios on a
 risk-adjusted basis. It generates larger Sharpe ratios, larger Jensen
 alphas and has less downside risk.
Journal: Applied Financial Economics 
Pages: 1083-1089 
Issue: 16 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.924290 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924290 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:16:p:1083-1089




Template-Type: ReDIF-Article 1.0
Author-Name: Tamer Elshandidy 
Author-X-Name-First: Tamer 
Author-X-Name-Last: Elshandidy 
Author-Name: Ahmed Hassanein 
Author-X-Name-First: Ahmed 
Author-X-Name-Last: Hassanein 
Title: Do IFRS and board of directors' independence affect accounting conservatism? 
Abstract:
 This article observes separately and jointly the impact of international
 financial reporting standards (IFRS) and/or board of directors'
 independence on accounting conservatism in FTSE 100 nonfinancial firms
 between 2002 and 2007. Using Givoly and Hayn's (2000) accrual-based
 measure of accounting conservatism, we found a reduction in conservatism
 after the mandatory adoption of IFRS, and, also, that board of directors'
 independence improved accounting conservatism. Moreover, IFRS and board of
 directors' independence had a complementary impact on accounting
 conservatism since the role of independent directors was not observable
 prior to the mandatory adoption of IFRS. Our results suggest that, after
 the mandatory adoption of IFRS, independent directors are likely to put
 significantly more pressure on the management to practice more accounting
 conservatism.
Journal: Applied Financial Economics 
Pages: 1091-1102 
Issue: 16 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.924291 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924291 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:16:p:1091-1102




Template-Type: ReDIF-Article 1.0
Author-Name: Weishen Wang 
Author-X-Name-First: Weishen 
Author-X-Name-Last: Wang 
Author-Name: Frank Hefner 
Author-X-Name-First: Frank 
Author-X-Name-Last: Hefner 
Title: Clustering of shareholder annual meetings: a 'new anomaly' in stock returns 
Abstract:
 The study documents the clustering of annual general meetings (AGMs) in
 the months of March, April and May and shows that this clustering of AGMs
 in dates is positively related to average monthly stock returns in these
 months. The study not only documents a 'new anomaly' in the stock market
 in the recent two decades, but also provides explanations why it is so.
 The study shows that an economic event is behind the regularity in stock
 returns.
Journal: Applied Financial Economics 
Pages: 1103-1110 
Issue: 16 
Volume: 24 
Year: 2014 
Month: 8 
X-DOI: 10.1080/09603107.2014.924295 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924295 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:16:p:1103-1110




Template-Type: ReDIF-Article 1.0
Author-Name: S. Garg 
Author-X-Name-First: S. 
Author-X-Name-Last: Garg 
Author-Name:  Vipul 
Author-X-Name-First:  
Author-X-Name-Last: Vipul 
Title: Volatility forecasting performance of two-scale realized volatility 
Abstract:
 This article examines the forecasting performance of two-scale realized
 volatility (TSRV) measure in comparison to that of the conventional
 sparsely sampled realized volatility (SSRV) measure, using selected
 volatility forecasting models. There is evidence that the forecasts based
 on TSRV are more efficient and less biased than those based on SSRV, for
 all the forecasting models employed. This implies that the quality of
 forecast predominantly depends on the quality of estimate, and not on the
 forecasting model. With TSRV estimates, the exponentially weighted moving
 average models for daily forecasts, and the random walk model for weekly
 and monthly forecasts, marginally dominate the other models on efficiency
 and bias criteria.
Journal: Applied Financial Economics 
Pages: 1111-1121 
Issue: 17 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.924293 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924293 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:17:p:1111-1121




Template-Type: ReDIF-Article 1.0
Author-Name: Ushad Subadar Agathee 
Author-X-Name-First: Ushad Subadar 
Author-X-Name-Last: Agathee 
Author-Name: Raja Vinesh Sannassee 
Author-X-Name-First: Raja Vinesh 
Author-X-Name-Last: Sannassee 
Author-Name: Chris Brooks 
Author-X-Name-First: Chris 
Author-X-Name-Last: Brooks 
Title: The long-run performance of IPOs: the case of the Stock Exchange of Mauritius 
Abstract:
 This study examines the long-run performance of initial public offerings
 on the Stock Exchange of Mauritius (SEM). The results show that the 3-year
 equally weighted cumulative adjusted returns average  - 16.5%. The
 magnitude of this underperformance is consistent with most reported
 studies in different developed and emerging markets. Based on multivariate
 regression models, firms with small issues and higher <italic>ex
 ante</italic> financial strength seem on average to experience greater
 long-run underperformance, supporting the divergence of opinion and
 overreaction hypotheses. On the other hand, Mauritian firms do not on
 average time their offerings to lower cost of capital and as such, there
 seems to be limited support for the windows of opportunity hypothesis.
Journal: Applied Financial Economics 
Pages: 1123-1145 
Issue: 17 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.924294 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924294 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:17:p:1123-1145




Template-Type: ReDIF-Article 1.0
Author-Name: Rangan Gupta 
Author-X-Name-First: Rangan 
Author-X-Name-Last: Gupta 
Author-Name: Shawkat Hammoudeh 
Author-X-Name-First: Shawkat 
Author-X-Name-Last: Hammoudeh 
Author-Name: Beatrice D. Simo-Kengne 
Author-X-Name-First: Beatrice D. 
Author-X-Name-Last: Simo-Kengne 
Author-Name: Soodabeh Sarafrazi 
Author-X-Name-First: Soodabeh 
Author-X-Name-Last: Sarafrazi 
Title: Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models? 
Abstract:
 This study employs 14 global economic and financial variables to predict
 the return of the Islamic stock market as identified by the Dow Jones
 Islamic Stock Market (DJIM). It implements alternative forecasting methods
 and allows for nonlinearity in the multivariate predictive regressions by
 estimating time-varying parameter models. All the methods fail to forecast
 the returns of the Sharia-based DJIM index over the out-of-sample period.
 The forecasts are weak at best, with only four predictors, the 3-month
 Treasury bill rate, inflation, oil price and return on the S&P500 Index,
 outperforming the benchmark autoregressive model of order one. The study
 suggests that the DJIM return is best predicted by an autocorrelation(1)
 model, and that future research should aim at analysing whether the
 performance of the linear autoregressive model can be improved by using
 nonlinear methods.
Journal: Applied Financial Economics 
Pages: 1147-1157 
Issue: 17 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.924296 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924296 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:17:p:1147-1157




Template-Type: ReDIF-Article 1.0
Author-Name: Goodness C. Aye 
Author-X-Name-First: Goodness C. 
Author-X-Name-Last: Aye 
Author-Name: Mehmet Balcilar 
Author-X-Name-First: Mehmet 
Author-X-Name-Last: Balcilar 
Author-Name: Rangan Gupta 
Author-X-Name-First: Rangan 
Author-X-Name-Last: Gupta 
Author-Name: Nicholas Kilimani 
Author-X-Name-First: Nicholas 
Author-X-Name-Last: Kilimani 
Author-Name: Amandine Nakumuryango 
Author-X-Name-First: Amandine 
Author-X-Name-Last: Nakumuryango 
Author-Name: Siobhan Redford 
Author-X-Name-First: Siobhan 
Author-X-Name-Last: Redford 
Title: Predicting BRICS stock returns using ARFIMA models 
Abstract:
 This article examines the existence of long memory in daily stock market
 returns from Brazil, Russia, India, China and South Africa (BRICS)
 countries and also attempts to shed light on the efficacy of
 autoregressive fractionally integrated moving average (ARFIMA) models in
 predicting stock returns. We present evidence which suggests that ARFIMA
 models estimated using a variety of estimation procedures yield better
 forecasting results than the non-ARFIMA (AR, MA, ARMA and GARCH) models
 with regard to prediction of stock returns. These findings hold
 consistently for the different countries whose economies differ in size,
 nature and sophistication.
Journal: Applied Financial Economics 
Pages: 1159-1166 
Issue: 17 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.924297 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924297 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:17:p:1159-1166




Template-Type: ReDIF-Article 1.0
Author-Name: Sangram Keshari Jena 
Author-X-Name-First: Sangram Keshari 
Author-X-Name-Last: Jena 
Author-Name: Ashutosh Dash 
Author-X-Name-First: Ashutosh 
Author-X-Name-Last: Dash 
Title: Trading activity and Nifty index futures volatility: an empirical analysis 
Abstract:
 Does the price of Nifty futures have the potential and strength to change?
 Given that the potential and strength for a price change lie in the
 trading activity variables, that is, open interest and volume,
 respectively, the study explores the nature of the relationship between
 volume, open interest and volatility in the most recent Nifty index
 futures contract. Applying the GARCH (1, 1) model, the results confirm a
 significant and positive relationship among today's volatility, current
 open interest (i.e. potential) and lagged volume (i.e. strength).
 Therefore, the addition of these two trading variables helps the basic
 GARCH model predict future volatility better.
Journal: Applied Financial Economics 
Pages: 1167-1176 
Issue: 17 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.925046 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925046 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:17:p:1167-1176




Template-Type: ReDIF-Article 1.0
Author-Name: Shen-Ho Chang 
Author-X-Name-First: Shen-Ho 
Author-X-Name-Last: Chang 
Author-Name: Shaio Yan Huang 
Author-X-Name-First: Shaio Yan 
Author-X-Name-Last: Huang 
Author-Name: Teng-Shih Wang 
Author-X-Name-First: Teng-Shih 
Author-X-Name-Last: Wang 
Author-Name: Dennis B. K. Hwang 
Author-X-Name-First: Dennis B. K. 
Author-X-Name-Last: Hwang 
Title: The development of an indicator for measuring information quality of discretionary accruals 
Abstract:
 This article proposes a new model, referred to as Information Quality
 Indicator of Discretionary Accrual (IQIDA), to study earnings management.
 A limitation of prior studies on earnings management is examined using the
 two dimensions of decision validity. Based on the notion of 'information
 quantity' and 'information quality,' using the original values or absolute
 values of discretionary accruals (DAs) as the measurement for earnings
 management could lead to suboptimal judgments and decisions. A new model
 is proposed as an improvement over those models using DAs. The new model
 attends to both central tendencies and dispersion degrees of variable
 sample distributions, which requires a two-step transformation process to
 achieve.
Journal: Applied Financial Economics 
Pages: 1177-1186 
Issue: 18 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.925047 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925047 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:18:p:1177-1186




Template-Type: ReDIF-Article 1.0
Author-Name: Inga Chira 
Author-X-Name-First: Inga 
Author-X-Name-Last: Chira 
Title: Bad news and bank performance during the 2008 financial crisis 
Abstract:
 The article investigates market reaction to negative reports published by
 analysts and auditors for a sample of investment, commercial and savings
 banks during the 2008 financial crisis and compares the results to
 noncrisis periods. The results show that during 2008, analysts' downgrades
 and underperformance reports resulted in stronger negative returns than
 during noncrisis periods and that investment banks experienced the worst
 stock price declines. The market reaction to auditors' issues and going
 concern flags is different during the crisis as well. In noncrisis periods
 no reaction to auditors' bad news is reported, while during the crisis
 there is a negative and significant reaction for investment banks only.
 Overall, the type of bank, investment versus commercial, significantly
 contributes to explaining the variability in returns during the financial
 crisis.
Journal: Applied Financial Economics 
Pages: 1187-1198 
Issue: 18 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.925048 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925048 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:18:p:1187-1198




Template-Type: ReDIF-Article 1.0
Author-Name: Kevin M. Zhao 
Author-X-Name-First: Kevin M. 
Author-X-Name-Last: Zhao 
Title: Short-sale constraints and short-selling strategies: the case of SEC's revocation of the uptick rule in 2007 
Abstract:
 The US Securities and Exchange Commission (SEC) revoked the uptick rule in
 July 2007. The revocation of the uptick rule provides us with a unique
 setting to investigate the impact of short-sale constraints on various
 short-selling strategies in a controlled environment. It shows that
 contrarian short selling and voluntary-liquidity short selling are more
 profound in uptick-rule-restricted stocks than in unrestricted stock.
 Market trend chasing short selling is less profound in restricted stocks
 than in unrestricted stocks. No evidence shows that the uptick rule has
 material impact on risk-bearing short-selling strategies.
Journal: Applied Financial Economics 
Pages: 1199-1213 
Issue: 18 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.925050 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925050 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:18:p:1199-1213




Template-Type: ReDIF-Article 1.0
Author-Name: A. Chebbi 
Author-X-Name-First: A. 
Author-X-Name-Last: Chebbi 
Author-Name: A. Hedhli 
Author-X-Name-First: A. 
Author-X-Name-Last: Hedhli 
Title: Dynamic dependencies between the Tunisian stock market and other international stock markets: GARCH-EVT-Copula approach 
Abstract:
 We propose a time-varying copula model to analyse the comovement between
 the Tunisian stock market and three stock markets: American, French and
 Moroccan. The model is implemented with a GJR- GARCH-EVT-Copula, which
 allows capturing nonlinear dependency, tails behaviour and offers
 significant advantages over econometric techniques in analysing the
 comovement of financial time series. To capture this dependency structure,
 we use two time-varying copulas: symmetrized Joe Clayton and Clayton. The
 time dynamics of the dependency parameter follow those proposed by Patton
 (2006). We first extract the filtered residuals from each return series
 with an asymmetric GARCH model, and then we construct the sample marginal
 cumulative distribution function of each index return using a Gaussian
 kernel estimate for the interior and a generalized Pareto distribution
 estimate for the upper and lower tails. A time-varying copula is then fit
 to the data and used to induce correlation between the simulated residuals
 of each asset. Empirical results show that the Tunisian stock exchange and
 the American markets have the greatest dependencies with the French
 market. Therefore, the managers of portfolios that include assets from
 these pairs of countries should be particularly concerned about downside
 risk exposure.
Journal: Applied Financial Economics 
Pages: 1215-1228 
Issue: 18 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.925051 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925051 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:18:p:1215-1228




Template-Type: ReDIF-Article 1.0
Author-Name: J. Eric Bickel 
Author-X-Name-First: J. Eric 
Author-X-Name-Last: Bickel 
Author-Name: Seong Dae Kim 
Author-X-Name-First: Seong Dae 
Author-X-Name-Last: Kim 
Title: Re-examining the efficiency of the Major League Baseball over-under betting market 
Abstract:
 We examine the efficiency of the Major League Baseball over-under betting
 market. Previous research in this area was unable to correctly test market
 efficiency because a data-set including the odds at which wagers were
 placed was unavailable. Using a data-set that includes both run lines and
 money lines, we find little evidence that the over-under market is
 inefficient.
Journal: Applied Financial Economics 
Pages: 1229-1234 
Issue: 18 
Volume: 24 
Year: 2014 
Month: 9 
X-DOI: 10.1080/09603107.2014.925052 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925052 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:18:p:1229-1234




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Urquhart 
Author-X-Name-First: Andrew 
Author-X-Name-Last: Urquhart 
Title: The Euro and European stock market efficiency 
Abstract:
 This article examines the impact of the introduction of the Euro currency
 on the market efficiency of 10 of the most developed European stock
 markets during the period 1988 to 2012. We use an autocorrelation test, a
 runs test, various formulations of the variance ratio test and the
 nonlinear BDS test, which are performed on daily data for the full sample
 period, as well as two subsets dictated by the introduction of the Euro
 currency. The full sample results are mixed, with the Netherlands
 accepting market efficiency and Ireland completely rejecting it, with the
 other markets providing mixed evidence for market efficiency. The
 subsample period results show that while some markets became more
 efficient after the introduction of the Euro currency (Spain and Finland)
 and some markets became more inefficient (France), some were unaffected by
 the introduction of the Euro (the Netherlands and Italy). Overall our
 results show that the impact of the Euro currency is mixed, indicating
 that its introduction was not a decisive factor in the behaviour of stock
 returns in European markets.
Journal: Applied Financial Economics 
Pages: 1235-1248 
Issue: 19 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.924292 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.924292 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:19:p:1235-1248




Template-Type: ReDIF-Article 1.0
Author-Name: Nadeem Ahmed Sheikh 
Author-X-Name-First: Nadeem Ahmed 
Author-X-Name-Last: Sheikh 
Author-Name: Muhammad Azeem Qureshi 
Author-X-Name-First: Muhammad Azeem 
Author-X-Name-Last: Qureshi 
Title: Crowding-out or shying-away: impact of corporate income tax on capital structure choice of firms in Pakistan 
Abstract:
 This article aims to investigate whether corporate income taxes affect the
 capital structure of nonfinancial firms listed on Karachi Stock Exchange
 Pakistan during 1972-2010. Empirical results suggest that taxes are
 positively related to total debt ratio and short-term debt ratio, whereas
 they are negatively related to long-term debt ratio. The negative
 relationship between taxes and long-term debt ratio appears illogical
 considering the tax advantage of debt in the presence of the corporate
 income tax. However, the observed crowding-out of corporate debt financing
 due to the presence of nondebt tax shields provides some logic on the
 demand side. While on the supply side the banks shy away from long-term
 debt in peculiar socioeconomic realities of Pakistan. The mixed
 relationships of corporate income tax with different measures of capital
 structure partially confirm the prophecy of trade-off theory in Pakistan.
 In addition, we find that other firm-specific variables which appear to
 significantly influence the capital structure choice of firms are
 profitability, collateral value of assets and firm size.
Journal: Applied Financial Economics 
Pages: 1249-1260 
Issue: 19 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925053 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925053 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:19:p:1249-1260




Template-Type: ReDIF-Article 1.0
Author-Name: Andreas Andrikopoulos 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Andrikopoulos 
Author-Name: Aristeidis Samitas 
Author-X-Name-First: Aristeidis 
Author-X-Name-Last: Samitas 
Author-Name: Konstantinos Kougepsakis 
Author-X-Name-First: Konstantinos 
Author-X-Name-Last: Kougepsakis 
Title: Volatility transmission across currencies and stock markets: GIIPS in crisis 
Abstract:
 This article explores the structure of the volatility transmission
 mechanism between stock and currency markets for Eurozone economies with
 systemic fiscal problems such as Greece, Italy, Ireland, Portugal and
 Spain. We focus on the structural properties of volatility diffusion, in
 times of market instability, illiquidity, fiscal crisis as well as
 political uneasiness. Our evidence indicates the presence of
 bidirectional, asymmetric volatility spillovers between currency and stock
 markets. Our empirical findings bear significant implications for the
 allocation of money and capital in diversified investment choices, in a
 global marketplace of erratic restructurings and systemic instability.
Journal: Applied Financial Economics 
Pages: 1261-1283 
Issue: 19 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925054 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925054 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:19:p:1261-1283




Template-Type: ReDIF-Article 1.0
Author-Name: Andi Duqi 
Author-X-Name-First: Andi 
Author-X-Name-Last: Duqi 
Author-Name: Leonardo Franci 
Author-X-Name-First: Leonardo 
Author-X-Name-Last: Franci 
Author-Name: Giuseppe Torluccio 
Author-X-Name-First: Giuseppe 
Author-X-Name-Last: Torluccio 
Title: The Black-Litterman model: the definition of views based on volatility forecasts 
Abstract:
 This article aims to implement a portfolio optimization strategy
 considering two fundamental aspects: the empirical regularities observed
 in the time series of stock returns, and the views of portfolio managers
 about these regularities. From an analytical point of view, all the
 results are examined through an application of the approach of Black and
 Litterman (1992). In particular, our innovative contribution to the extant
 literature is the use of the EGARCH-M (exponential GARCH-in-mean) model to
 formulate a volatility forecast of returns used as an input for
 determining some subjective views to be included in the Black-Litterman
 model. The bets of the portfolio manager thus enter into the mechanism of
 generating expectations about the vector of returns, revealing information
 about investment opportunities. The results show that the Black-Litterman
 (BL) model using the EGARCH inputs produces allocations with potentially
 sizeable benefits. Greater reliance on the implied BL excess returns, in
 setting the allocations, result in higher risk-return ratio.
Journal: Applied Financial Economics 
Pages: 1285-1296 
Issue: 19 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925056 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925056 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:19:p:1285-1296




Template-Type: ReDIF-Article 1.0
Author-Name: Richard J. Cebula 
Author-X-Name-First: Richard J. 
Author-X-Name-Last: Cebula 
Title: An exploratory analysis of the impact of budget deficits and other factors on the <italic>ex post</italic> real interest rate yield on tax-free municipal bonds in the United States 
Abstract:
 Using over a half century of data, this empirical study adopts a simple
 loanable funds to investigate the impact of the federal budget deficits
 and other factors, chiefly financial market factors, on the <italic>ex
 post</italic> real interest rate yield on high-grade municipal bonds in
 the United States. Two autoregressive two-stage least squares (AR/2SLS)
 estimates for the 1960 to 2011 study period and another for the 1971 to
 2011 study period find that the <italic>ex post</italic> real interest
 rate yield on high-grade municipal bonds is an increasing function of the
 <italic>ex post</italic> real interest rate yield on Moody's Baa-rated
 corporate bonds, the <italic>ex post</italic> real interest rate yield on
 3-year US Treasury notes, the real value S&P 500 stock index and the
 federal budget deficit (relative to the GDP level). Based on these
 results, it is observed that factors elevating the federal budget deficit
 appear to raise the <italic>real</italic> cost of borrowing to the cities
 (of all sizes), counties and states across the United States. Given the
 time period studied, 1960 through 2011, this relationship appears to be an
 enduring one, one that responsible policy-makers should not overlook. Over
 the long run, failure to address the federal budget issue could have
 profound negative impacts on the finances of US cities, counties and
 states and their economic activities.
Journal: Applied Financial Economics 
Pages: 1297-1302 
Issue: 19 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925057 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925057 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:19:p:1297-1302




Template-Type: ReDIF-Article 1.0
Author-Name: Hsi Li 
Author-X-Name-First: Hsi 
Author-X-Name-Last: Li 
Author-Name: Joseph McCarthy 
Author-X-Name-First: Joseph 
Author-X-Name-Last: McCarthy 
Author-Name: Coleen Pantalone 
Author-X-Name-First: Coleen 
Author-X-Name-Last: Pantalone 
Title: High-yield versus investment-grade bonds: less risk and greater returns? 
Abstract:
 Using Bank of America/Merrill Lynch bond yield indexes, we compare the
 returns on investment-grade bonds to the returns on high-yield bonds over
 the period from January 1997 through mid-August 2011, a period marked by
 the collapse of the technology sector in early 2000 and the financial
 crisis in 2008. We compare return and risk measures under the assumption
 of a normal distribution with those obtained under the assumption of a
 stable distribution. When a normal distribution is assumed, we see a
 higher expected return associated with a lower SD on the high-yield bond
 returns relative to investment-grade bond returns. However, we also find
 that the returns on both high-yield bonds and investment-grade bonds
 exhibit stable (fat-tailed) distributions, with the fat tail more
 pronounced for the high-yield bond series. These results suggest that the
 assumption of a distribution that allows for fat tails and skewness is
 important for identifying the risk and return characteristics of these
 bond series.
Journal: Applied Financial Economics 
Pages: 1303-1312 
Issue: 20 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925049 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925049 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:20:p:1303-1312




Template-Type: ReDIF-Article 1.0
Author-Name: Hisham Farag 
Author-X-Name-First: Hisham 
Author-X-Name-Last: Farag 
Title: Investor overreaction and unobservable portfolios: evidence from an emerging market 
Abstract:
 We use the system GMM to explore both cross sectional variations and
 time-series effects within the post-event period for losers and winners
 portfolios. Some of these effects are not observable, but ignoring them
 lays the estimation open to bias from concealed heterogeneity amongst
 companies and periods. Using daily data on a sample of companies which
 experienced dramatic 1-day price changes, we find strong evidence of price
 reversal. We also find that unobservable portfolios outperform traditional
 size portfolios.
Journal: Applied Financial Economics 
Pages: 1313-1322 
Issue: 20 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925058 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925058 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:20:p:1313-1322




Template-Type: ReDIF-Article 1.0
Author-Name: M. Liu 
Author-X-Name-First: M. 
Author-X-Name-Last: Liu 
Author-Name: M. Magnan 
Author-X-Name-First: M. 
Author-X-Name-Last: Magnan 
Title: Conditional conservatism and underpricing in US corporate bond market 
Abstract:
 Building upon recent research suggesting that debt markets rather than
 equity markets shape financial reporting, this study examines the
 relationship between conditional conservatism (used as a proxy for
 information risk) and the underpricing of newly issued corporate bonds.
 There are two contrasting arguments for bond underpricing: the information
 argument predicts that bond issuers with less information risk will
 experience less underpricing, while the signalling argument indicates that
 bond issuers with less information risk will underprice more to
 distinguish them from issuers with more information risk. Empirical
 results indicate that the signalling argument seems to better capture the
 dynamics of the public debt markets, with conditional conservatism being
 associated with greater underpricing of newly issued corporate bonds.
Journal: Applied Financial Economics 
Pages: 1323-1334 
Issue: 20 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925059 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925059 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:20:p:1323-1334




Template-Type: ReDIF-Article 1.0
Author-Name: Minhua Yang 
Author-X-Name-First: Minhua 
Author-X-Name-Last: Yang 
Author-Name: Hui Zhu 
Author-X-Name-First: Hui 
Author-X-Name-Last: Zhu 
Title: How does market value earnings smoothing under uncertainty? 
Abstract:
 Evidence on whether smoothing earnings creates value remains inconclusive.
 This article examines the role of market uncertainty in the relationship
 between corporate earnings smoothing and stock returns. We find that firms
 with smoother earnings are viewed favourably by stockholders. However,
 taking into consideration the uncertainty factor, we find that market
 uncertainty has negative impact on the stock returns when managers smooth
 earnings. The results are robust to alternative measures of earnings
 smoothing and to subsample analyses. The results also provide supportive
 evidence on the importance of market uncertainty in information
 processing.
Journal: Applied Financial Economics 
Pages: 1335-1345 
Issue: 20 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925060 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925060 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:20:p:1335-1345




Template-Type: ReDIF-Article 1.0
Author-Name: Walid M. A. Ahmed 
Author-X-Name-First: Walid M. A. 
Author-X-Name-Last: Ahmed 
Title: Dynamic interactions between Egyptian equity and currency markets prior to and during political unrest 
Abstract:
 Since the January 2011 uprising, Egypt has undergone an ongoing political
 unrest, which has weighed heavily on the country's financial markets. This
 article aims to investigate the existence and nature of first and second
 moment interdependencies between the stock and currency markets of Egypt
 before and during the recent 2011 uprising. This investigation is
 conducted in the context of a bivariate EGARCH framework augmented with
 cointegrating residuals as an exogenous variable in both the conditional
 mean and conditional variance equations. The results indicate that during
 the pre-uprising period, there exist reciprocal mean spillover effects
 between the equity and currency markets. However, during the in-uprising
 period, only unidirectional mean spillover effects from the equity market
 to the currency counterpart is detected. Additionally, over both periods,
 a unidirectional volatility transmission from the equity market to the
 currency counterpart is observed. The response pattern of volatility is
 found to be asymmetric. In general, these results demonstrate the leading
 role of the stock market with respect to the currency counterpart, lending
 support to the portfolio balance approach. The evidence presented in this
 article holds important implications for investors and policymakers.
Journal: Applied Financial Economics 
Pages: 1347-1359 
Issue: 20 
Volume: 24 
Year: 2014 
Month: 10 
X-DOI: 10.1080/09603107.2014.925061 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925061 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:20:p:1347-1359




Template-Type: ReDIF-Article 1.0
Author-Name: Rapha&euml;l Homayoun Boroumand 
Author-X-Name-First: Rapha&euml;l Homayoun 
Author-X-Name-Last: Boroumand 
Author-Name: St�phane Goutte 
Author-X-Name-First: St�phane 
Author-X-Name-Last: Goutte 
Author-Name: Thomas Porcher 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Porcher 
Title: A regime-switching model to evaluate bonds in a quadratic term structure of interest rates 
Abstract:
				 In this article, we consider a
 discrete-time economy in which we assume that the short-term interest rate
 follows a quadratic term structure in a regime-switching asset process.
 The possible nonlinear structure and the fact that the interest rate can
 have different economic or financial trends justify regime-switching
 quadratic term structure model. Indeed, this regime-switching process
 depends on the values of a Markov chain with a time-dependent transition
 probability matrix which can capture the different states (regimes) of the
 economy. We prove that under this model, the conditional zero-coupon bond
 price admits a quadratic term structure. Moreover, the stochastic
 coefficients which appear in this decomposition satisfy an explicit system
 of coupled stochastic backward recursions.			
Journal: Applied Financial Economics 
Pages: 1361-1366 
Issue: 21 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925062 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925062 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:21:p:1361-1366




Template-Type: ReDIF-Article 1.0
Author-Name: Hooi Hooi Lean 
Author-X-Name-First: Hooi Hooi 
Author-X-Name-Last: Lean 
Author-Name: Duc Khuong Nguyen 
Author-X-Name-First: Duc Khuong 
Author-X-Name-Last: Nguyen 
Title: Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis 
Abstract:
				 We analyse the performance characteristics
 of sustainable investments over the period 2004 to 2013. Our unconditional
 analysis shows that the sustainable portfolios, represented by the Dow
 Jones Sustainability Indices for the global and three regional markets,
 experience lower Sharpe ratios than their corresponding conventional
 portfolios. The conditional analysis indicates some evidence of
 significant effects of the recent crisis on sustainable investment return
 and volatility, while the US policy uncertainty only affects returns in
 two regions (Asia Pacific and North America) during the crisis period. We
 finally find a relative decoupling of sustainable investing from the
 overall market system during crisis times.		      
Journal: Applied Financial Economics 
Pages: 1367-1373 
Issue: 21 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925063 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925063 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:21:p:1367-1373




Template-Type: ReDIF-Article 1.0
Author-Name: Paola Brighi 
Author-X-Name-First: Paola 
Author-X-Name-Last: Brighi 
Author-Name: Valeria Venturelli 
Author-X-Name-First: Valeria 
Author-X-Name-Last: Venturelli 
Title: How do income diversification, firm size and capital ratio affect performance? Evidence for bank holding companies 
Abstract:
				 We use panel data from 52 Italian Bank
 Holding Companies (BHCs) over the period of 2006 to 2011 to test how
 revenue diversification affects bank performance. Unlike studies of
 diversification that focus on its effect on equity and debt values and
 risk return portfolio strategies, we investigate how various
 nontraditional revenues mix impact performance. Diversification increases
 bank profitability on a risk-adjusted basis; however, no statistical
 effect in terms of risk is observed. We also argue that the results of
 previous research on the impact of diversification may differ because of
 its interaction with asset size and degree of capitalization. Our models
 are robust to different measures of performance, endogeneity tests and the
 effect of the financial crisis. The results have strategic implications
 for the consequences of bank performance and stability that are relevant
 to bank managers, regulators and supervisors.			 
Journal: Applied Financial Economics 
Pages: 1375-1392 
Issue: 21 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925064 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925064 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:21:p:1375-1392




Template-Type: ReDIF-Article 1.0
Author-Name: F.M. Pericoli 
Author-X-Name-First: F.M. 
Author-X-Name-Last: Pericoli 
Author-Name: E. Pierucci 
Author-X-Name-First: E. 
Author-X-Name-Last: Pierucci 
Author-Name: L. Ventura 
Author-X-Name-First: L. 
Author-X-Name-Last: Ventura 
Title: A note on gravity models and international investment patterns 
Abstract:
				 We show that recent methodological
 advances in econometric theory raise questions about the results obtained
 by some influential contributions on the determinants of international
 investment patterns, since the seminal paper by Lane and Milesi-Ferretti
 (2008) (LMF). In most such contributions, estimated equations are affected
 by heteroscedasticity, which may be shown to lead to inconsistent
 estimates in log-linearized models. Thus, the empirical findings of these
 works may need to be reassessed. By taking the results in LMF as a
 benchmark, we use a different methodology, which produces consistent
 estimates even under heteroscedasticity and report substantial differences
 with respect to the traditional methods. Moreover, we extend the data-set
 over time (over years from 2001 to 2009) to estimate a panel gravity
 model, which allows to properly account for unobserved heterogeneity
 through country-pair fixed effects and further improves on the
 cross-section analysis, by also reconciling empirical evidence with
 economic theory. Our panel estimates suggest the relevance of a
 diversification motive in driving international equity purchases.	    
Journal: Applied Financial Economics 
Pages: 1393-1400 
Issue: 21 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925065 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925065 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:21:p:1393-1400




Template-Type: ReDIF-Article 1.0
Author-Name: Svein Olav Krakstad 
Author-X-Name-First: Svein Olav 
Author-X-Name-Last: Krakstad 
Author-Name: Peter Moln�r 
Author-X-Name-First: Peter 
Author-X-Name-Last: Moln�r 
Title: SEO cost differences between Europe and the US 
Abstract:
				 This paper investigates Seasoned Equity
 Offering (SEO) cost differences between Europe and the US in the period
 1990 to 2011. We find that the direct costs for the US companies are
 around 40% higher than those for the European companies. Results of this
 paper are consistent with strategic pricing on the part of investment
 banks in the US, while the European market is more competitive. However,
 if the European companies register with the Securities and Exchange
 Commission in the US, they are also affected by over 25% more in direct
 costs. 			
Journal: Applied Financial Economics 
Pages: 1401-1420 
Issue: 21 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925066 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925066 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:21:p:1401-1420




Template-Type: ReDIF-Article 1.0
Author-Name: Annica Rose 
Author-X-Name-First: Annica 
Author-X-Name-Last: Rose 
Title: Systematic trading behaviour and its informational effect: evidence from the OMXH 
Abstract:
 By using signed small trade turnover (SSTT) as a proxy of investors'
 systematic trading behaviour and permanent price effect (PPE) as a proxy
 for informed trading, this article investigates the short-term
 outperformance of high SSTT stocks for categories of investors on the
 NASDAQ OMX Helsinki (OMXH) and whether the outperformance is best
 understood in the context of investor trading behaviour or informed
 trading. This study finds that the trading of high SSTT stocks is
 associated with a lower PPE than the trading of low SSTT stocks, which
 implies that the trading of high SSTT stocks is less informed than the
 trading of low SSTT stocks, and that the short-term outperformance of high
 SSTT stocks relative to low SSTT stocks is best explained within the
 behavioural finance framework, that is, by investors' bias towards popular
 stocks proxied by SSTT, and not within the rational framework, that is, by
 informed trading proxied by the PPE. These findings are economically and
 statistically significant for all types of investors.
Journal: Applied Financial Economics 
Pages: 1421-1427 
Issue: 22 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925067 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925067 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:22:p:1421-1427




Template-Type: ReDIF-Article 1.0
Author-Name: Mohsen Bahmani-Oskooee 
Author-X-Name-First: Mohsen 
Author-X-Name-Last: Bahmani-Oskooee 
Author-Name: Tsangyao Chang 
Author-X-Name-First: Tsangyao 
Author-X-Name-Last: Chang 
Author-Name: Tsungpao Wu 
Author-X-Name-First: Tsungpao 
Author-X-Name-Last: Wu 
Title: Revisiting purchasing power parity in African countries: panel stationary test with sharp and smooth breaks 
Abstract:
 In this study, we apply the Panel Stationary test with both sharp and
 smooth breaks to test the validity of long-run purchasing power parity
 (PPP) for 20 African countries using quarterly data over the period
 1971I-2012IV. Empirical results of Panel stationary tests with both sharp
 and smooth breaks indicate that PPP holds true for 10 out of these 20
 African countries (i.e., Burkina Faso, Cameroon, Ghana, Kenya, Niger,
 Senegal, Seychelles, South Africa, Tanzania and Togo) studied.
Journal: Applied Financial Economics 
Pages: 1429-1438 
Issue: 22 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925068 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925068 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:22:p:1429-1438




Template-Type: ReDIF-Article 1.0
Author-Name: Helena Rados-Derr 
Author-X-Name-First: Helena 
Author-X-Name-Last: Rados-Derr 
Author-Name: Mukesh K. Chaudhry 
Author-X-Name-First: Mukesh K. 
Author-X-Name-Last: Chaudhry 
Author-Name: Robert J. Boldin 
Author-X-Name-First: Robert J. 
Author-X-Name-Last: Boldin 
Title: Determinants of risk: electric utilities pre- and post-deregulation era 
Abstract:
 This article explains how the Energy Policy Act of 1992 had impacted
 electric utilities in the United States. Three time periods were used
 reflecting data pre- and post-deregulation to better assess the effects
 that could have arisen from the Act. The cross-sectional data consists of
 34 electric utilities with three dependent variables and five independent
 variables. Dependent variables include beta, total risk and idiosyncratic
 risk. Independent variables include SD of operating margin, return on
 total assets, asset turnover, financial leverage and liquidity ratio.
 Descriptive statistics indicate more improved electric utilities,
 vis-�-vis asset basis, in the years between 2009 and 2010. Furthermore,
 regression analysis indicates that out of all three dependent variables,
 idiosyncratic risk is the most important type of risk following the Energy
 Policy Act of 1992.
Journal: Applied Financial Economics 
Pages: 1439-1448 
Issue: 22 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925069 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925069 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:22:p:1439-1448




Template-Type: ReDIF-Article 1.0
Author-Name: Marco Nicolosi 
Author-X-Name-First: Marco 
Author-X-Name-Last: Nicolosi 
Author-Name: Stefano Grassi 
Author-X-Name-First: Stefano 
Author-X-Name-Last: Grassi 
Author-Name: Elena Stanghellini 
Author-X-Name-First: Elena 
Author-X-Name-Last: Stanghellini 
Title: Item response models to measure corporate social responsibility 
Abstract:
 Corporate social responsibility (CSR) is a multidimensional concept that
 involves several aspects, ranging from environment to social and
 governance. Companies aiming to comply with CSR standards have to face
 challenges that vary from one aspect to the other and from one industry to
 the other. Latent variable models may be usefully employed to provide a
 unidimensional measure of the grade of compliance of a firm with CSR
 standards, which is both understandable and theoretically solid. A
 methodology based on item response theory has been implemented on the
 multidimensional sustainability rating as expressed by KLD data-set from
 1991 to 2007. Results suggest that companies in the oil and gas industry
 together with firms in industrials, basic materials and telecommunications
 have a higher difficulty to meet the CSR standards. Criteria based on
 human rights, environment, community and product quality have a large
 capacity to select the best performing firms, as they are very
 discriminant, while governance does not exhibit similar behaviour. A stock
 selection based on the ranking of the firms according to the proposed CSR
 measure supports the hypothesis of a positive relationship between CSR and
 financial performance.
Journal: Applied Financial Economics 
Pages: 1449-1464 
Issue: 22 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925070 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925070 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:22:p:1449-1464




Template-Type: ReDIF-Article 1.0
Author-Name: Hei Wai Lee 
Author-X-Name-First: Hei Wai 
Author-X-Name-Last: Lee 
Author-Name: Yan Alice Xie 
Author-X-Name-First: Yan Alice 
Author-X-Name-Last: Xie 
Author-Name: Jot Yau 
Author-X-Name-First: Jot 
Author-X-Name-Last: Yau 
Title: Sovereign risk and its changing effects on bond duration during financial crisis 
Abstract:
 We examined the effects of sovereign risk on bond duration in European and
 Latin American sovereign bond markets over the period 1996 to 2011. We
 compared the sovereign risk-adjusted duration with the Macaulay duration
 for both investment- and speculative-grade US dollar-denominated sovereign
 bonds. We found that the sovereign risk-adjusted duration is significantly
 shorter than its Macaulay counterpart for all ratings, and the
 'shortening' effect is stronger for lower rated bonds, which generally
 intensified during the recent financial crisis. Results are robust when
 credit default swap (CDS) prices are used as a proxy for changes in
 sovereign risk. This study provides evidence for advocating the importance
 of adjusting the bond duration for sovereign risk. More important, this
 study provides a practical methodology for estimating a sovereign
 risk-adjusted duration measure for managing international bond portfolios.
Journal: Applied Financial Economics 
Pages: 1465-1477 
Issue: 22 
Volume: 24 
Year: 2014 
Month: 11 
X-DOI: 10.1080/09603107.2014.925071 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925071 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:22:p:1465-1477




Template-Type: ReDIF-Article 1.0
Author-Name: L.-C. Chan 
Author-X-Name-First: L.-C. 
Author-X-Name-Last: Chan 
Author-Name: E. Lee 
Author-X-Name-First: E. 
Author-X-Name-Last: Lee 
Author-Name: J. Petaibanlue 
Author-X-Name-First: J. 
Author-X-Name-Last: Petaibanlue 
Author-Name: C. Zeng 
Author-X-Name-First: C. 
Author-X-Name-Last: Zeng 
Title: Re-examining the relationship between PIN and timely loss recognition 
Abstract:
 We re-examine the positive relationship between the probability of
 information-based trading (PIN) measure and timely loss recognition,
 documented by LaFond and Watts (2008). This relationship has been
 interpreted as evidence that timely loss recognition plays an information
 role for equity investors in addition to the debt-contracting role widely
 suggested by the accounting literature. However, we show that this
 relationship diminishes after we control for lender-shareholder conflict,
 for which we use as a proxy the price-change asymmetry (PCA) measure
 suggested by Easton <italic>et al</italic>. (2011). This finding implies
 that timely loss recognition still caters mainly to the demands of lenders
 rather than equity investors. Our study contributes new evidence to the
 ongoing debate on the underlying cause of timely loss recognition, which
 is a fundamental issue in accounting literature.
Journal: Applied Financial Economics 
Pages: 1479-1489 
Issue: 23 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2014.925072 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925072 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:23:p:1479-1489




Template-Type: ReDIF-Article 1.0
Author-Name: Yao Zheng 
Author-X-Name-First: Yao 
Author-X-Name-Last: Zheng 
Title: The linkage between aggregate stock market investor sentiment and commodity futures returns 
Abstract:
 This article investigates the predictive content of aggregate stock market
 investor sentiment on the returns of commodity futures. The sample
 consists of four subcategories: agricultural, livestock, energy and metal
 futures, for a total of 26 commodity futures spanning from the period 1968
 to 2010. Overall, commodity futures perform better when investor sentiment
 is pessimistic rather than optimistic. The asymmetrical response to
 sentiment shocks may partially account for this difference.
 Cross-sectional analysis indicates a persistent negative relationship
 between investor sentiment and commodity futures returns, even after
 controlling for the effects of liquidity and open interest. Additional
 analysis shows that when conditional volatilities are high, the negative
 relationship between investor sentiment and commodity futures returns
 becomes more pronounced.
Journal: Applied Financial Economics 
Pages: 1491-1513 
Issue: 23 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2014.925073 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925073 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:23:p:1491-1513




Template-Type: ReDIF-Article 1.0
Author-Name: Muhammad I. Chaudhry 
Author-X-Name-First: Muhammad I. 
Author-X-Name-Last: Chaudhry 
Author-Name: Abdoul G. Sam 
Author-X-Name-First: Abdoul G. 
Author-X-Name-Last: Sam 
Title: The information content of accounting earnings, book values, losses and firm size <italic>vis-�-vis</italic> stocks: empirical evidence from an emerging stock market 
Abstract:
 The Karachi Stock Exchange (KSE) has consistently outperformed better
 known emerging markets like Brazil, India and China over the past decade.
 However, some economists, notably Khwja and Mian (2005), claim that
 trade-based manipulation as opposed to firm fundamentals is the real cause
 behind this remarkable growth. To uncover the relationship between stock
 prices and firm fundamentals, we measure the degree of association between
 firm-specific accounting information embedded in annual financial
 statements and stock prices, commonly known as the value relevance of
 financial statements. Based on a data-set of 100 firms listed on the KSE
 from 1999 to 2011, we find that accounting information is an important
 determinant of stock returns. In addition, consistent with prior research,
 we also find that the explanatory power of accounting information shifts
 from earnings to book values in case of negative earnings and firm size is
 inversely related to stock returns. However, time-series regressions
 reveal a gradual decline in the value relevance of accounting information.
 Our findings are robust to different econometric specifications and
 methods.
Journal: Applied Financial Economics 
Pages: 1515-1527 
Issue: 23 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2014.925074 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925074 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:23:p:1515-1527




Template-Type: ReDIF-Article 1.0
Author-Name: Tseng-Chan Tseng 
Author-X-Name-First: Tseng-Chan 
Author-X-Name-Last: Tseng 
Author-Name: Hung-Cheng Lai 
Author-X-Name-First: Hung-Cheng 
Author-X-Name-Last: Lai 
Title: The role of institutional investors in market volatility during the subprime mortgage crisis 
Abstract:
 In this study, we obtain intraday data on the Taiwan Stock Exchange
 Capitalization Weighted Stock Index and apply the range-based estimation
 method to measure intraday high-low prices, whilst also incorporating the
 variable of net trading volume of institutional investors into the
 heterogeneous autoregressive model of realized volatility (RV). Our
 findings demonstrate that the trading behaviour of institutional investors
 does have a significant impact on future RV whilst also suggesting that
 institutional investors play a stabilizing role in the Taiwan stock
 market. The empirical results also show that institutional investors' net
 selling caused more volatility in the Taiwan stock market during the
 subprime mortgage crisis in the United States in 2007, indicating that
 institutional investors tend to sell more actively than individuals when
 the market drops sharply. We also demonstrate that the modified model
 enhances volatility forecasting performance, thereby indicating that the
 modified model has more accurate predictive ability than the benchmark
 model.
Journal: Applied Financial Economics 
Pages: 1529-1536 
Issue: 23 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2014.925075 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925075 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:23:p:1529-1536




Template-Type: ReDIF-Article 1.0
Author-Name: M. Modina 
Author-X-Name-First: M. 
Author-X-Name-Last: Modina 
Author-Name: F. Pietrovito 
Author-X-Name-First: F. 
Author-X-Name-Last: Pietrovito 
Title: A default prediction model for Italian SMEs: the relevance of the capital structure 
Abstract:
 Small and medium enterprises (SMEs) play a fundamental role in the economy
 of many countries, including Italy. The simplicity of the financial
 structure of Italian SMEs, relying mostly on bank loans, makes them
 riskier than their larger counterparts and this induces banks to develop
 default prediction models specifically addressing the management of SMEs'
 credit relationship. Building on this framework, this article aims to
 analyse the determinants of the default probability of a sample of 9208
 Italian limited liabilities SMEs in a time frame of 3&nbsp;years, over the
 period 2006 to 2010. Specifically, this article adopts a logistic
 regression model estimated on a database provided by the <italic>Centrale
 Rischi Finanziari</italic> (CRIF), an Italian credit rating agency. The
 results show that, among the observable financial and economic
 characteristics of the firms, the capital structure (both in terms of
 internal and external funds and in terms of the source of external
 financing) and interest expenses are more relevant than economic variables
 as determinants of SMEs' default.
Journal: Applied Financial Economics 
Pages: 1537-1554 
Issue: 23 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2014.927566 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.927566 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:23:p:1537-1554




Template-Type: ReDIF-Article 1.0
Author-Name: Die Wan 
Author-X-Name-First: Die 
Author-X-Name-Last: Wan 
Author-Name: Ke Cheng 
Author-X-Name-First: Ke 
Author-X-Name-Last: Cheng 
Author-Name: Xiaoguang Yang 
Author-X-Name-First: Xiaoguang 
Author-X-Name-Last: Yang 
Title: The reverse volatility asymmetry in Chinese financial market 
Abstract:
 We investigate the intraday return-volatility correlation in Chinese
 financial market with high-frequency transaction data of individual
 stocks. In contrast to the widely accepted theory of volatility asymmetry
 (i.e. negative returns induce higher price volatilities than positive
 ones), we show that the price volatilities in Chinese market react more
 intensively to positive returns than their reaction to negative returns.
 This reverse volatility asymmetry is mainly due to the higher trading
 volume associated with positive returns, that is, in Chinese market the
 investors' rushing for a price rising stock makes the positive returns
 arouse higher volatility than their negative counterparts. So in an
 average sense, a positive return-volatility correlation is observed for
 most of the individual stocks in our sample. Besides, price jumps play an
 important role in the significance of this positive correlation. For most
 of the individual stocks in our sample, the positive correlation is
 insignificant until jumps are totally eliminated in both return and
 volatility. For multiple stocks analysed together, the jumps of individual
 stocks are mostly diversified, and therefore a significant positive
 return-volatility correlation shows up irrespective of the existence of
 jumps. Moreover, our results are robust in different market conditions, no
 matter in depression or flourish.
Journal: Applied Financial Economics 
Pages: 1555-1575 
Issue: 24 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2013.818208 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.818208 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:24:p:1555-1575




Template-Type: ReDIF-Article 1.0
Author-Name: Hung-Wen Lee 
Author-X-Name-First: Hung-Wen 
Author-X-Name-Last: Lee 
Author-Name: Mei-Chun Lin 
Author-X-Name-First: Mei-Chun 
Author-X-Name-Last: Lin 
Title: A study of salary satisfaction and job enthusiasm - mediating effects of psychological contract 
Abstract:
 This article aims to explore the relationship among salary satisfaction,
 psychological contracts and job enthusiasm. Quantity research method was
 employed in this study. To verify the relationship, Correlation and
 Regression were adopted. First, salary satisfaction has significant
 effects on psychological contract; second, psychological contract has
 significant effects on job enthusiasm; third, salary satisfaction has a
 significant effect on job enthusiasm; and fourth, psychological contract
 has mediating effects between salary satisfaction and job enthusiasm. This
 study proved that the relationships between employees' salary satisfaction
 and psychological contract and job enthusiasm are significant. The
 fairness-based salary is partially significantly correlated to
 psychological contract, indicating employees care about reasonable salary
 mechanism, motivating human resource strategy, appropriate reward system
 and available communication channels. When employees sense their salary is
 lower than the market average, they will have unsatisfactory feelings,
 make less effort to the organization and feel tired or want to leave the
 job. Therefore, business should conduct salary survey regularly,
 understand the average salary in the market and adjust salary mechanism
 based on the organization's financial status.
Journal: Applied Financial Economics 
Pages: 1577-1583 
Issue: 24 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2013.829197 
File-URL: http://hdl.handle.net/10.1080/09603107.2013.829197 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:24:p:1577-1583




Template-Type: ReDIF-Article 1.0
Author-Name: Jacob Kleinow 
Author-X-Name-First: Jacob 
Author-X-Name-Last: Kleinow 
Author-Name: Tobias Nell 
Author-X-Name-First: Tobias 
Author-X-Name-Last: Nell 
Author-Name: Silvia Rogler 
Author-X-Name-First: Silvia 
Author-X-Name-Last: Rogler 
Author-Name: Andreas Horsch 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Horsch 
Title: The value of being systemically important: event study on regulatory announcements for banks 
Abstract:
 It is assumed that the awarding of a 'systemic importance' seal by the
 regulator has a positive effect on the equity value of its holder. By
 employing an event study analysis on a new set of regulatory
 announcements, we find that financial market participants react to these
 announcements which are, in effect, judgements that a certain credit
 institution is systemically important. However, the stock returns found
 for the respective banks are not exclusively positive; a phenomenon for
 which we provide explanations. Furthermore, our results show that market
 reactions on the most present event are weakest, indicating that the
 announcements' informational value to market participants diminished.
Journal: Applied Financial Economics 
Pages: 1585-1604 
Issue: 24 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2014.925055 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.925055 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:24:p:1585-1604




Template-Type: ReDIF-Article 1.0
Author-Name: S. Destefanis 
Author-X-Name-First: S. 
Author-X-Name-Last: Destefanis 
Author-Name: C. Barra 
Author-X-Name-First: C. 
Author-X-Name-Last: Barra 
Author-Name: G. Lubrano Lavadera 
Author-X-Name-First: G. 
Author-X-Name-Last: Lubrano Lavadera 
Title: Financial development and local growth: evidence from highly disaggregated Italian data 
Abstract:
 We test the nexus between local financial development and economic growth
 upon Italian data highly disaggregated at the territorial level, paying
 particular attention to the role of local banking market structure. We
 specify a growth model where a qualitative measure of financial
 development, bank profit efficiency, is considered in conjunction with a
 customary quantitative measure of financial development. The model is
 estimated on panel data over the period 2001 to 2010. The evidence
 suggests that both indicators of financial development have a significant
 impact on GDP per worker, especially when considering areas characterized
 by a larger number of cooperative banks. Results are not much affected by
 the occurrence of the ongoing recession.
Journal: Applied Financial Economics 
Pages: 1605-1615 
Issue: 24 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2014.941529 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.941529 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:24:p:1605-1615




Template-Type: ReDIF-Article 1.0
Author-Name: Timothy Krause 
Author-X-Name-First: Timothy 
Author-X-Name-Last: Krause 
Author-Name: Sina Ehsani 
Author-X-Name-First: Sina 
Author-X-Name-Last: Ehsani 
Author-Name: Donald Lien 
Author-X-Name-First: Donald 
Author-X-Name-Last: Lien 
Title: Exchange-traded funds, liquidity and volatility 
Abstract:
 Given the exponential growth in exchange-traded fund (ETF) trading, ETFs
 have become a significant factor in the volatility generating process of
 their largest component stocks. A simple model of trading is developed for
 securities that are included in ETFs, and empirical support is provided
 for the model hypotheses. Volatility spillovers from ETFs to their largest
 component stocks are economically significant. These spillovers are
 increasing in liquidity, the proportion of each stock held by the fund,
 deviations from net asset value, ETF flow of funds and ETF market
 capitalization. The results are consistent with a positive
 volume-volatility relation and trading-based explanations of volatility,
 and are generally stronger for smaller stocks.
Journal: Applied Financial Economics 
Pages: 1617-1630 
Issue: 24 
Volume: 24 
Year: 2014 
Month: 12 
X-DOI: 10.1080/09603107.2014.941530 
File-URL: http://hdl.handle.net/10.1080/09603107.2014.941530 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:apfiec:v:24:y:2014:i:24:p:1617-1630