Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_242900_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: The Editors Title: Corrigendum Journal: Pages: 209-209 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701430168 File-URL: http://hdl.handle.net/10.1080/17446540701430168 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:209-209 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199283_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Pandej Chintrakarn Author-X-Name-First: Pandej Author-X-Name-Last: Chintrakarn Title: The determinants of cross-border equity flows: a dynamic panel data reassessment Abstract: Portes and Rey (2005) use a static gravity model to analyse bilateral gross cross-border equity flows. Applying a dynamic gravity model reveals three additional insights. First, distance continues to exert a significant, negative effect on international asset transactions. Second, although the short-run effects of distance are generally of smaller magnitude than documented in PR, the implicit long-run effects remain quite large. Third, lagged asset flows play an important role, even after conditioning on the usual gravity model covariates. Journal: Applied Financial Economics Letters Pages: 181-185 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600993829 File-URL: http://hdl.handle.net/10.1080/17446540600993829 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:181-185 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201786_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Cetin Ciner Author-X-Name-First: Cetin Author-X-Name-Last: Ciner Author-Name: William H. Sackley Author-X-Name-First: William H. Author-X-Name-Last: Sackley Title: Transactions, volume and volatility: evidence from an emerging market Abstract: We examine the volume–volatility relation, which has previously been reported as positive in many markets, for the emerging market of Taiwan. Our findings suggest that the positive volume–volatility relation is driven entirely by daily number of trades. In fact, we observe a negative relation between trade size and volatility. Although the impact of individual (vs. institutional) traders may be greater in emerging markets, these findings have implications for market microstructure models and the design of electronic call market auctions. Journal: Applied Financial Economics Letters Pages: 161-164 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018915 File-URL: http://hdl.handle.net/10.1080/17446540601018915 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:161-164 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201789_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Chin Wen Cheong Author-X-Name-First: Chin Wen Author-X-Name-Last: Cheong Author-Name: Zaidi Isa Author-X-Name-First: Zaidi Author-X-Name-Last: Isa Author-Name: Abu Hassan Shaari Mohd Nor Author-X-Name-First: Abu Hassan Shaari Mohd Author-X-Name-Last: Nor Title: Modelling financial observable-volatility using long memory models Abstract: This article proposes a generalized long persistence observable volatility model which comprises of leverage effect autoregressive fractionally integrated moving average model with time-varying volatility and the inclusion of heterogeneous autoregressive components as the contemporaneous variables. Our empirical results found that the proposed model provides substantial improvement in the model fitting as well as specification. Journal: Applied Financial Economics Letters Pages: 201-208 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018949 File-URL: http://hdl.handle.net/10.1080/17446540601018949 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:201-208 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199290_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Simon Hussain Author-X-Name-First: Simon Author-X-Name-Last: Hussain Title: Prophets of future corporate profits: a role for leading indicators in the information sets of security analysts? Abstract: This article revisits a model developed by Levi (1980) designed to examine the ability of lagged money supply data to explain future corporate profits. Levi's original US study is developed here in two ways: firstly, it is reassessed using Japanese quarterly pre-tax profits for the period 1973 to 2000 and secondly the model is augmented to include Japan's composite leading index. While the composite leading index is found to have explanatory power at lead times of between 0 and 3 quarters-ahead, the money supply leads at times of between 3 and 5 quarters. In addition, the money supply exhibits the same peak-and-trough lag structure first identified in Levi's US study. This article demonstrates that while a composite leading index may provide short term explanatory power for corporate earnings, the money supply has a distinctive and significant role to play at longer lags. These results suggest that both indicators have a potentially significant role to play as elements within the information sets of security analysts. Journal: Applied Financial Economics Letters Pages: 187-190 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600993894 File-URL: http://hdl.handle.net/10.1080/17446540600993894 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:187-190 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201790_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Yu Hsing Author-X-Name-First: Yu Author-X-Name-Last: Hsing Title: Effects of the intended and unintended federal funds rates on the Treasury yield curve during the Greenspan era Abstract: This article considers potential impacts of the intended and unintended federal funds rates on the slope of the Treasury yield curve during 1987.M8 to 2006.M1. A third-order autoregressive model is employed in empirical work to correct for serial correlation. The positive significant sign of the unintended federal funds rate suggests that interest rates are affected by the spread between the effective and intended federal funds rates. The impacts of the intended and unintended federal funds rates decline as the maturity increases. The findings are consistent with the rotating yield curve pattern (Kozicki and Sellon, 2005). Journal: Applied Financial Economics Letters Pages: 155-159 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018956 File-URL: http://hdl.handle.net/10.1080/17446540601018956 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:155-159 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_164976_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Walid Saleh Author-X-Name-First: Walid Author-X-Name-Last: Saleh Title: Investors reaction to dividend announcements: parametric versus nonparametric approach Abstract: Since the seminal works of Ball and Brown (1968) and Fama et al. (1969), event studies have served an important purpose in capital market research as away of testing stock price reaction towards a particular event. The ordinary least squares estimation method (OLS) has been employed in most extant research. However, if the assumed normality assumption is violated, then the OLS procedure will produce bias estimate to abnormal returns. Therefore, some authors (e.g. Dombrow et al., 2000) suggest a nonparametric approach to estimate the market model such as Theil (1950). This paper aims to examine investors’ behavior prior to dividend announcements. The results indicate that the daily abnormal returns depart considerably from normality and that Theil's estimation procedure produces higher standardized abnormal returns than that of the OLS estimation procedure. Furthermore, the results confirm that investors achieve positive abnormal returns in the pre-announcement period. This paper concludes that some investors have access to information prior to become public. Journal: Applied Financial Economics Letters Pages: 169-179 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600650015 File-URL: http://hdl.handle.net/10.1080/17446540600650015 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:169-179 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_188246_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Carlo Alberto Magni Author-X-Name-First: Carlo Alberto Author-X-Name-Last: Magni Title: Project selection and equivalent CAPM-based investment criteria Abstract: This article shows that the Capital Asset Pricing Model-based capital budgeting criteria proposed by Tuttle and Litzenberger (1968), Mossin (1969), Hamada (1969), Stapleton (1971), Rubinstein (1973), Bierman and Hass (1973) and Bogue and Roll (1974) are equivalent. They all state that a project is profitable if its internal rate of return is greater than the risk-adjusted cost of capital, where the latter is given by the sum of the risk-free rate and a risk-premium which is a function of the systematic risk of the project, itself a function of the project cost. Journal: Applied Financial Economics Letters Pages: 165-168 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600883202 File-URL: http://hdl.handle.net/10.1080/17446540600883202 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:165-168 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199289_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Masaru Konishi Author-X-Name-First: Masaru Author-X-Name-Last: Konishi Title: A global network of stock markets and home bias puzzle Abstract: This article shows empirically that Nasdaq's termination of Japanese operation adversely affected the shareholder wealth of companies listed on the Nasdaq Japan stock market. The evidence suggests that integration of world stock markets as envisioned by Nasdaq could have facilitated foreigners’ investment in domestic stocks, thereby reducing the home bias. Journal: Applied Financial Economics Letters Pages: 197-199 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600993886 File-URL: http://hdl.handle.net/10.1080/17446540600993886 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:197-199 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_177063_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Andrew J. Kalotay Author-X-Name-First: Andrew J. Author-X-Name-Last: Kalotay Author-Name: Deane Yang Author-X-Name-First: Deane Author-X-Name-Last: Yang Author-Name: Frank J. Fabozzi Author-X-Name-First: Frank J. Author-X-Name-Last: Fabozzi Title: Refunding efficiency: a generalized approach Abstract: Refunding efficiency, a measure of the optimality of a refunding decision, is widely used in the call exercise decision for agency, corporate and municipal bonds. The original definition of efficiency assumes that the refunding bond is optionless. However, in practice, the refunding bond is often callable. We show that the commonly used method of incorporating the value of the refunding bond's call option into the efficiency calculation can lead to paradoxical results, and then suggest a new definition of refunding efficiency that overcomes this problem. Journal: Applied Financial Economics Letters Pages: 141-146 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600771076 File-URL: http://hdl.handle.net/10.1080/17446540600771076 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:141-146 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201793_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Don U. A. Galagedera Author-X-Name-First: Don U. A. Author-X-Name-Last: Galagedera Title: Relationship between systematic-risk measured in the second-order and third-order co-moments in the downside framework Abstract: The difference between systematic risk measured in terms of the third-order and second-order co-moment of returns in the downside framework is influenced by a factor associated with the market portfolio returns. Empirical evidence reveals that the smaller the spread in the returns in the market portfolio, the greater the influence of this factor. When measuring systematic risk in the downside, the choice of the order of co-moment is influenced by the variation in abnormal returns in the portfolios. Journal: Applied Financial Economics Letters Pages: 147-153 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018980 File-URL: http://hdl.handle.net/10.1080/17446540601018980 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:147-153 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_197144_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Daniel Hartmann Author-X-Name-First: Daniel Author-X-Name-Last: Hartmann Author-Name: Christian Pierdzioch Author-X-Name-First: Christian Author-X-Name-Last: Pierdzioch Title: Stock returns, exchange rate movements and central bank interventions Abstract: We used Swiss data to examine the link between stock returns and exchange rate movements. Our evidence indicates that the link between stock returns and exchange rate movements is nonlinear and strengthens in periods of central bank interventions in the foreign exchange market. Consistent with market efficiency, it would have been difficult for an investor to use information on potential nonlinearities to improve the performance of trading rules. This suggests that the link between stock returns and exchange rate movements reflects fundamental economic effects like, for example, transaction costs in international goods market arbitrage. Journal: Applied Financial Economics Letters Pages: 191-195 Issue: 3 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600972435 File-URL: http://hdl.handle.net/10.1080/17446540600972435 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:3:p:191-195 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_142657_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Cokki Versluis Author-X-Name-First: Cokki Author-X-Name-Last: Versluis Title: Option pricing: back to the thinking of Bachelier Abstract: This study compares modifications of Bachelier's expected-value theory with the Black and Scholes model using implicit parameters from actual option market prices or option premiums. For the purpose of this study, seven Dutch option series were analysed over a period of five months in 2004. In all cases the expected-value based models show a better fit with the actual market data than Black and Scholes model. The biggest deviations between model-predicted and actual market prices are about 8%; they occur in the Black and Scholes model at low option premiums. Journal: Applied Financial Economics Letters Pages: 205-209 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500426748 File-URL: http://hdl.handle.net/10.1080/17446540500426748 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:205-209 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_142660_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Nikolai Dokuchaev Author-X-Name-First: Nikolai Author-X-Name-Last: Dokuchaev Title: Two unconditionally implied parameters and volatility smiles and skews Abstract: The study examines estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the risk-free interest rate. In reality, the risk free interest rate is unknown and needs to be forecasted, because the option price depends on its future curve. Therefore, the standard implied volatility is conditional: it depends on the future values of the risk free rate. Two implied parameters are studied: the implied volatility and the implied average cumulative risk free interest rate. They can be found unconditionally from a system of two equations. It was found that very simple models with random volatilities (for instance, with two point distributions) generate various volatility smiles and skews with this approach. Journal: Applied Financial Economics Letters Pages: 199-204 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500426771 File-URL: http://hdl.handle.net/10.1080/17446540500426771 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:199-204 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_142662_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Roberto Ghiselli Ricci Author-X-Name-First: Roberto Author-X-Name-Last: Ghiselli Ricci Author-Name: Carlo Alberto Magni Author-X-Name-First: Carlo Author-X-Name-Last: Alberto Magni Title: Economic value added and systemic value added: symmetry, additive coherence and differences in performance Abstract: Two measures of excess profit are currently available in the literature: Economic Value Added (EVA) (Stewart, 1991) and Systemic Value Added (SVA) (Magni, 2003a, b, 2004; 2005). This study shows that, unlike EVA, SVA is symmetric and additively coherent. Also, EVA and SVA are not simply different in value but also convey different information about good or bad performances. Journal: Applied Financial Economics Letters Pages: 151-154 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500426797 File-URL: http://hdl.handle.net/10.1080/17446540500426797 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:151-154 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_142664_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Saumitra N. Bhaduri Author-X-Name-First: Saumitra N. Author-X-Name-Last: Bhaduri Author-Name: S. Raja Sethu Durai Author-X-Name-First: S. Raja Sethu Author-X-Name-Last: Durai Title: Empirical relationship between the dividend and investment decision: do emerging market firms behave differently? Abstract: This study provides an emerging economy perspective towards the Miller and Modigliani (1961) separation principle. Applying a panel Granger causality test proposed by Hurlin and Venet (2004) to the dividend and investment data of 265 Indian manufacturing firms for 1992–2004, the M–M hypothesis is rejected and evidence found in favour of the joint determination of financing and investment decisions. Journal: Applied Financial Economics Letters Pages: 155-158 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500426813 File-URL: http://hdl.handle.net/10.1080/17446540500426813 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:155-158 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_144721_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Pilar Corredor Author-X-Name-First: Pilar Author-X-Name-Last: Corredor 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 profitability of momentum strategies using stock futures contracts in small markets Abstract: This paper investigates the profitability of non-traditional momentum strategies using stock futures contracts. The results lead to the conclusion that these strategies dominate those implemented using stocks. Despite this, however, no positive returns are found during the sample period after adjusting for risk and transaction costs. Journal: Applied Financial Economics Letters Pages: 173-177 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/13504850500447380 File-URL: http://hdl.handle.net/10.1080/13504850500447380 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:173-177 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_144744_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Maurice J. Roche Author-X-Name-First: Maurice J. Author-X-Name-Last: Roche Title: The equity premium puzzle and decreasing relative risk aversion Abstract: Agents are assumed to have a power risk aversion utility function in an otherwise standard asset-pricing model. When these preferences display decreasing relative risk aversion they are capable of eliminating one version of the equity premium and risk free rate puzzles. Journal: Applied Financial Economics Letters Pages: 179-182 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500447611 File-URL: http://hdl.handle.net/10.1080/17446540500447611 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:179-182 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_144745_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: James E. Payne Author-X-Name-First: James E. Author-X-Name-Last: Payne Title: Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors Abstract: This note examines the transmission of shocks across REIT sub-sector returns: apartments, industrial, lodging, manufactured homes, office, and regional malls. Though the respective return indices are integrated of order one, Johansen–Juselius cointegration tests suggest that REIT sub-sectors are not cointegrated. Granger-causality and Wald tests are presented to examine the short-run dynamics among REIT sub-sector returns. Generalized impulse response analysis suggests that shocks are transmitted to the other REIT sub-sectors rather quickly with the initial impact decaying towards zero before the second month. Also, lodging returns tend to have the largest initial response due to innovations in the other REIT sub-sector returns and manufactured homes the smallest. Journal: Applied Financial Economics Letters Pages: 141-146 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500447629 File-URL: http://hdl.handle.net/10.1080/17446540500447629 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:141-146 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_144747_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Ming-Chih Lee Author-X-Name-First: Ming-Chih Author-X-Name-Last: Lee Author-Name: Jer-Shiou Chiou Author-X-Name-First: Jer-Shiou Author-X-Name-Last: Chiou Author-Name: Cho-Min Lin Author-X-Name-First: Cho-Min Author-X-Name-Last: Lin Title: A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH Abstract: This study blends the simplicity and empirical success of univariate GARCH processes with an easy to estimate and interpret dynamic correlation estimator. A two step estimator and a simple test are employed to verify the null of constant correlation against an alternative of dynamic conditional correlation. The real strength of the DCC estimation process is its flexibility of univariate GARCH but not the complexity of conventional multivariate GARCH, therefore large correlation matrices can be estimated. One of the primary motivations for this study is that the correlations between assets are not constant through time. The focus of the study is hence to explore the empirical applicability of the multivariate DCC-GARCH model when estimating large conditional covariance matrices. Among the adopted models, DCC-GARCH(1,1)-t can be considered as the best model in measuring VaR, and DCC-GARCH(1,1) can be considered as the second best, while SMA is in the last. The results have suggested that a more complete model which carries more time series characteristics may outperform the others in the sample. Journal: Applied Financial Economics Letters Pages: 183-188 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500447645 File-URL: http://hdl.handle.net/10.1080/17446540500447645 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:183-188 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_144748_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 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: Risk-return tradeoffs from investing in the Australian cash management industry Abstract: This study analyses the use of cash as an asset class by professional funds managers and compares the returns generated over time by these fund managers with a direct investment in three ‘risk free’ interest rate securities – overnight cash, a 180 day bank bill and a medium term Commonwealth Government bond – over the period January 1993 to July 1999. The findings show that wholesale investors are obtaining lower risk but at some cost to returns. In contrast retail investors appear to obtain both higher return and lower risk relative to traditional banking products. Journal: Applied Financial Economics Letters Pages: 147-150 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500447652 File-URL: http://hdl.handle.net/10.1080/17446540500447652 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:147-150 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146155_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Cetin Ciner Author-X-Name-First: Cetin Author-X-Name-Last: Ciner Title: Hedging or speculation in derivative markets: the case of energy futures contracts Abstract: This study examines whether hedging or speculation is the principal motive behind trading in energy futures markets. This question is important since facilitating risk allocation is considered to be one of the main benefits of the futures markets, while excess speculation in futures markets could destabilize the underlying spot market. Studying the linkage between volume and subsequent price movements leads to the conclusion that hedgers dominate speculators in all of the markets examined. Journal: Applied Financial Economics Letters Pages: 189-192 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461729 File-URL: http://hdl.handle.net/10.1080/17446540500461729 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:189-192 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146157_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Garett Jones Author-X-Name-First: Garett Author-X-Name-Last: Jones Title: The liquidity effect across the short end of the term structure Abstract: Because the Federal Reserve is constantly responding to developments in the economy, it has been difficult to come up with convincing estimates of the effects of exogenous shifts in money supply on interest rates. This study uses exogenous, well-identified reserve supply shocks to estimate how money supply shocks that last one day impact short-term interest rates. The results imply that the one-day liquidity effect is substantial, and that it impacts 30- and 90-day private-sector credit markets more than the expectations theory of the term structure predicts. The effect on public debt is smaller and statistically insignificant, implying that reserve supply shocks widen the gap between interest rates on public and private debt. Journal: Applied Financial Economics Letters Pages: 159-163 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461745 File-URL: http://hdl.handle.net/10.1080/17446540500461745 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:159-163 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146158_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Mikael Linden Author-X-Name-First: Mikael Author-X-Name-Last: Linden Author-Name: Mika Louhelainen Author-X-Name-First: Mika Author-X-Name-Last: Louhelainen Title: Testing for weekday anomaly in international stock index returns with non-normal errors Abstract: Minimum Absolute Deviation (MAD) estimation method is used to examine weekday anomaly in 18 international stock exchanges between 1990 and 2003. Weekday return anomaly is found with OLS method in two and with MAD method in eight stock exchanges. Empirical test distributions of F-type test for OLS and MAD estimators with Laplace errors were derived with simulations. Journal: Applied Financial Economics Letters Pages: 193-197 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/174465405004617252 File-URL: http://hdl.handle.net/10.1080/174465405004617252 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:193-197 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_159260_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Nevin Yörük Author-X-Name-First: Nevin Author-X-Name-Last: Yörük Author-Name: Cumhur Erdem Author-X-Name-First: Cumhur Author-X-Name-Last: Erdem Author-Name: Meziyet Sema Erdem Author-X-Name-First: Meziyet Sema Author-X-Name-Last: Erdem Title: Testing for linear and nonlinear Granger Causality in the stock price–volume relation: Turkish banking firms’ evidence Abstract: In this study, the causality test, proposed by Peguin-Feissolle and Terasvirta (1999), based on a Taylor expansion of the nonlinear model, is used to examine the dynamic relationship between daily Turkish banking sector stock price and trading volume. Evidence is found of significant linear and nonlinear causality between these two series. Journal: Applied Financial Economics Letters Pages: 165-171 Issue: 3 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600592779 File-URL: http://hdl.handle.net/10.1080/17446540600592779 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:3:p:165-171 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_140135_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Aktham Maghyereh Author-X-Name-First: Aktham Author-X-Name-Last: Maghyereh Title: The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test Abstract: This study indirectly examines the issue of potential nonlinear long-run relationship between stock returns and inflation for 18 developing countries using recent developments in the theory of nonparametric cointegration. The empirical results found evidence of a nonlinear adjustment towards the long-run relationship between stock returns and inflation for 13 out of the 18 developing countries considered in this study. These findings are tentatively interpreted as adding to the recent evidence of nonlinearities in the relationship between stock returns and inflation. Journal: Applied Financial Economics Letters Pages: 265-273 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/13504850500401528 File-URL: http://hdl.handle.net/10.1080/13504850500401528 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:265-273 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_144746_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Cokki Versluis Author-X-Name-First: Cokki Author-X-Name-Last: Versluis Author-Name: Tom Hillegers Author-X-Name-First: Tom Author-X-Name-Last: Hillegers Title: The impact of portfolio re-financing on Black–Scholes call option valuation Abstract: The theory of Black and Scholes is the basis for all contemporary financial option valuation methods. It is based on the change in value of a portfolio consisting of stocks and options on those stocks in a short time interval, at the end of which the portfolio is renewed. The money value of portfolio renewal is ignored in the Black–Scholes theory. If the cost of portfolio re-financing is included in the Black–Scholes methodology, this leads to a closed form formula for the value of a European call option. In contrast to the outcome of the original Black–Scholes theory, this formula includes the price drift of the underlying asset. Journal: Applied Financial Economics Letters Pages: 261-263 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500447637 File-URL: http://hdl.handle.net/10.1080/17446540500447637 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:261-263 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146156_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Robert Lensink Author-X-Name-First: Robert Author-X-Name-Last: Lensink Author-Name: Pham Thi Thu Tra Author-X-Name-First: Pham Thi Thu Author-X-Name-Last: Tra Title: On signalling and debt maturity choice Abstract: The theoretical literature on a firm's choice of debt maturity argues that a borrowing firm can signal its value in an asymmetric information setting by borrowing short. This well-known fact is based on Flannery (1986). This note questions the use of debt maturity as a signalling device. It argues that the signalling model by Flannery incorrectly ignores incentive compatibility constraints. If incentive compatibility constraints are added, the parameter space for a separating equilibrium shrinks. Journal: Applied Financial Economics Letters Pages: 239-241 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461737 File-URL: http://hdl.handle.net/10.1080/17446540500461737 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:239-241 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146159_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Mohsen M. Saad Author-X-Name-First: Mohsen M. Author-X-Name-Last: Saad Title: Floor information and common variations in liquidity Abstract: Specialists constantly update information based on the price movements of the stocks that trade nearby. The study argues that this process of changing quotes to reflect floor information may lead to contemporaneous co-variation in liquidity measures. The evidence indicates that individual stock liquidity co-varies with liquidity of the portfolio of stocks that trade in its proximity apart from the information reflected by market liquidity variation. Further tests indicate that the degree of commonality in liquidity decreases with the distance between different trading locations. Journal: Applied Financial Economics Letters Pages: 275-278 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461760 File-URL: http://hdl.handle.net/10.1080/17446540500461760 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:275-278 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146160_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Ramin Cooper Maysami Author-X-Name-First: Ramin Cooper Author-X-Name-Last: Maysami Author-Name: John Joseph Williams Author-X-Name-First: John Joseph Author-X-Name-Last: Williams Title: Evidence on the relationship between Takaful insurance and fundamental perception of Islamic principles Abstract: One of the complexities overarching the concept of Islamic insurance is anchored in the belief system pertaining to fundamental Islamic Law, while another is embedded in the role of profit within the takaful contract. The purpose of this study is to empirically explore the association between the awareness of the existence of Islamic insurance (takaful) and religious perceptions of this financial service. I think the way to move will be to identify more people within the Malay/Muslim community who have an interest in this type of insurance. Perhaps AMP [Association of Muslim Professionals] can do a survey to produce statistics to show that there is a potential demand for this type of service before approaching the banks and insurance companies. Up to now my impression is that the demand is either unknown or not sufficiently known for the insurance companies themselves to initiate something.Dr Richard HuFormer Finance Minister,Republic of Singapore1 1 ‘Window of Opportunities for Islamic Financing’, Karayawan, Volume 3. Journal: Applied Financial Economics Letters Pages: 229-232 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461778 File-URL: http://hdl.handle.net/10.1080/17446540500461778 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:229-232 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146162_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Moawia Alghalith Author-X-Name-First: Moawia Author-X-Name-Last: Alghalith Title: Hedging under price and output uncertainty: revisited Abstract: This study is an empirical implementation of Alghalith's methodology. In doing so, it provides empirical comparative statics results for the hedging agents under simultaneous price and output uncertainty. Journal: Applied Financial Economics Letters Pages: 243-245 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461794 File-URL: http://hdl.handle.net/10.1080/17446540500461794 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:243-245 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146164_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Camilo Sarmiento Author-X-Name-First: Camilo Author-X-Name-Last: Sarmiento Title: Statistical analysis of municipal bond ratings under spatial correlation Abstract: This study uses a spatial logit model to evaluate the statistical effect of conditions of communities on municipal bond ratings. It finds that private (non-farm) earnings in the community positively explain bond ratings with statistical significance, while earnings from personal transfers negatively affect ratings. Own source of revenues of local governments (local taxes) increase ratings and inter-governmental revenues (transfers to local governments) negatively impact ratings. Outstanding debt fails to significantly explain ratings. The composition of the local economy (e.g., the service sector) weights heavily in a rating, and proximity of the local government to areas with high municipal bond ratings increases ratings. Journal: Applied Financial Economics Letters Pages: 233-237 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461810 File-URL: http://hdl.handle.net/10.1080/17446540500461810 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:233-237 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_147404_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Steven Cook Author-X-Name-First: Steven Author-X-Name-Last: Cook Title: GARCH, heteroscedasticity-consistent covariance matrix estimation and (non)linear unit root testing Abstract: In previous research it has been shown that while the Dickey–Fuller unit root test exhibits oversizing in the presence of GARCH, this is reduced via the application of White's heteroscedasticity-consistent covariance matrix (HCCM). These findings provide the motivation for the present study. It is shown that the application of White's HCCM to the Dickey–Fuller test results in a shift of the finite-sample distribution of the test thereby necessitating the use of HCCM-specific critical values. Re-examination of the impact of GARCH upon the Dickey–Fuller test shows the combination of White's HCCM and HCCM-specific critical values leads to a marked improvement in empirical size. A similar analysis is performed for an alternative nonlinear unit root test. The results obtained show that in comparison to the Dickey–Fuller test, the distribution of this test is more sensitive to the use of White's HCCM while it also exhibits greater oversizing in the presence of GARCH. However, use of White's HCCM and HCCM-specific critical values are found to correct the size of the test. The results presented illustrate the usefulness of White's HCCM and HCCM-specific critical values when examining the unit root hypothesis in time series exhibiting GARCH. Journal: Applied Financial Economics Letters Pages: 217-222 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500474219 File-URL: http://hdl.handle.net/10.1080/17446540500474219 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:217-222 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_147405_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Haitham A. Al-Zoubi Author-X-Name-First: Haitham A. Author-X-Name-Last: Al-Zoubi Author-Name: Dana A. Al-Zoubi Author-X-Name-First: Dana A. Author-X-Name-Last: Al-Zoubi Author-Name: Aktham I. Maghyereh Author-X-Name-First: Aktham I. Author-X-Name-Last: Maghyereh Title: A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis Abstract: The nonparametric cointegration method of Breitung (2002) is applied to test for the forward rate unbiasedness hypothesis (FRUH) using monthly data of the US dollar vis-à-vis two major currencies viz. the British pound and the Canadian dollar over the period spanned from 1973 to 2002. The results of the nonparametric test are compared with the parametric test suggested by Johansen (1988 and 1992) and Johansen and Juselius (1990). Robust cointegration is found between the spot and the forward rates but the FRUH is rejected. The result is robust whether the trend is included in the model or not. Journal: Applied Financial Economics Letters Pages: 223-227 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500474227 File-URL: http://hdl.handle.net/10.1080/17446540500474227 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:223-227 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_154170_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Rajeev K. Goel Author-X-Name-First: Rajeev K. Author-X-Name-Last: Goel Title: Insurance intermediaries and contractual relations Abstract: Insurance intermediaries provide a useful link between insurers and the insured in commercial insurance markets. However, recent revelations of improprieties by some intermediaries have cast a shadow on insurance markets. This has led to calls for reforming the workings of these markets. This study provides a theoretical framework to understand the impact on contractual relationships if some of the proposed changes are implemented. Specifically, it examines the impact of a change in the number of insurance brokers on the preferred type of compensation contracts between insurance providers and intermediaries. Two key questions addressed are: Will the widely prevalent flat fee contracts still be preferred in the face of greater intermediary competition?; and Will there be an increase in the number of projects insured when there is greater competition among insurance intermediaries? Journal: Applied Financial Economics Letters Pages: 211-215 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500541876 File-URL: http://hdl.handle.net/10.1080/17446540500541876 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:211-215 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_158924_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Robert D. Brooks Author-X-Name-First: Robert D. Author-X-Name-Last: Brooks Author-Name: Lye Chee Shoung Author-X-Name-First: Lye Chee Author-X-Name-Last: Shoung Title: The impact of capital controls on Malaysian banking industry betas Abstract: In response to the recent Asian financial crisis Malaysia introduced a series of capital control measures on 1 September 1998. The aim of these measures was to introduce greater stability to the Malaysian financial market. This study analyses the impact of the introduction of the capital controls on Malaysian bank betas. A study of the ten largest banks reveal evidence of a mean reversion type phenomena, in that the betas are drawn to the grand mean of unity. Journal: Applied Financial Economics Letters Pages: 247-249 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600589411 File-URL: http://hdl.handle.net/10.1080/17446540600589411 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:247-249 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_159262_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Emmanouel Mamatzakis Author-X-Name-First: Emmanouel Author-X-Name-Last: Mamatzakis Author-Name: Christos Staikouras Author-X-Name-First: Christos Author-X-Name-Last: Staikouras Title: A micro-econometric model of the UK property-liability insurance industry Abstract: The aim of this study is to assess the effect of claims and expenses on premiums for the UK property-liability insurance industry. A cointegration approach of a multivariate system of equations is applied to disentangle the causal relationships between premiums, claims and expenses. The findings reveal that, in the long run, claims and expenses cause premiums, supporting the ‘rational expectations’ and the ‘institutional rigidities’ hypotheses. A dynamic analysis, using the impulse response functions, confirm the positive impact of claims on premiums, whilst premiums also positively affect claims, underlying that the former are price sensitive. Journal: Applied Financial Economics Letters Pages: 257-260 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600592795 File-URL: http://hdl.handle.net/10.1080/17446540600592795 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:257-260 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_168981_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Simon Hussain Author-X-Name-First: Simon Author-X-Name-Last: Hussain Title: Security analysts and ‘bad news’: a note on 9/11 Abstract: Numerous stock market studies over the last two decades have provided evidence of anomalous price behaviour that is consistent with over-reaction to information. Security analysts’ forecasts of corporate earnings are often seen as a potential driver for prices and so have also been investigated for evidence of over-reaction. While excessive volatility in analysts’ forecasts is reported in DeBondt and Thaler (1990) it has been suggested that analysts’ reactions may differ across different information types (Abarbanell and Bernard, 1992). Easterwood and Nutt (1999) hypothesize that analysts may under-react to negative information but over-react to positive information. This research examines analysts’ reactions to one major piece of negative information or ‘bad news’, namely the impact of 9/11 on international airlines. The time profile of analysts’ forecast errors indicates that analysts over-reacted in the immediate wake of 9/11, in a manner consistent with DeBondt and Thaler's general over-reaction hypothesis rather than Easterwood and Nutt's differential good/bad news reaction hypothesis. Journal: Applied Financial Economics Letters Pages: 251-256 Issue: 4 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600690128 File-URL: http://hdl.handle.net/10.1080/17446540600690128 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:4:p:251-256 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146161_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Alexandros Leontitsis Author-X-Name-First: Alexandros Author-X-Name-Last: Leontitsis Author-Name: Costas Siriopoulos Author-X-Name-First: Costas Author-X-Name-Last: Siriopoulos Title: Nonlinear forecast of financial time series through dynamical calendar correction Abstract: A method is presented that takes into account the day-of-the-week and the turn-of-the-month effect and the holiday effect and embodies them to neural network forecasting. It adjusts the time series in order to make its dynamics less distorted. After a predicted value is calculated by the network, the inverse adjustment is made to obtain the final predicted value. If there are no calendar effects on the time series this method has approximately the same performance as its classic counterpart. Empirical results are presented, based on NASDAQ Composite, and TSE 300 Composite indices using daily returns form 1984 to 2003. Journal: Applied Financial Economics Letters Pages: 337-340 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461786 File-URL: http://hdl.handle.net/10.1080/17446540500461786 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:337-340 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_158337_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Onur Ince Author-X-Name-First: Onur Author-X-Name-Last: Ince Author-Name: Umit Ozlale Author-X-Name-First: Umit Author-X-Name-Last: Ozlale Title: Do Federal Reserve policy surprises affect the risk perception in the emerging markets? Abstract: Employing an event study approach, the present authors analyse whether the Federal Reserve's policy surprises affect the risk perceptions in the emerging markets. Only weak evidence is found when the Federal Reserve follows a more expansionary policy than expected. For all other cases, the policy surprises of the Federal Reserve are ineffective. Journal: Applied Financial Economics Letters Pages: 329-332 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600583547 File-URL: http://hdl.handle.net/10.1080/17446540600583547 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:329-332 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_159261_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Tal Shavit Author-X-Name-First: Tal Author-X-Name-Last: Shavit Author-Name: Shosh Shahrabani Author-X-Name-First: Shosh Author-X-Name-Last: Shahrabani Author-Name: Uri Benzion Author-X-Name-First: Uri Author-X-Name-Last: Benzion Title: WTP–WTA disparity among competitive and non-competitive subjects – an experimental study Abstract: Recent studies have questioned the existence and interpretation of a possible gap between Willingness-To-Pay (WTP) and Willingness-To-Accept (WTA). The study analyses the bidding patterns in buying and selling lottery tickets that represent financial assets using second price auction, and then tests for the existence of the WTP and WTA gap. It is shown that for lotteries, this gap is not significant for the group of all subjects, but that it may exist for a sub-group of subjects. Subjects were classified according to their degree of competitiveness and a negative gap was found for non-competitive subjects and a positive gap for competitive subjects. These gaps offset each other when the group of all the subjects was used. Journal: Applied Financial Economics Letters Pages: 333-336 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600592787 File-URL: http://hdl.handle.net/10.1080/17446540600592787 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:333-336 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_159263_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Andrew Marshall Author-X-Name-First: Andrew Author-X-Name-Last: Marshall Author-Name: Chai Ni Ho Author-X-Name-First: Chai Ni Author-X-Name-Last: Ho Title: Determinants of UK swap spreads Abstract: The main factors which drive swap spreads are interest rates, credit risks and liquidity risks. The study uses UK data from 1 January 2001 to 30 June 2004 to analyse the components of interest rate swap spreads. This paper updates previous empirical evidence and considers if different economic and market conditions can have an impact on determinants of swap spreads. It is found that the level and slope of interest rates are significantly positively related to UK swap spreads for most maturities. This differs from previous empirical evidence. It is concluded that differing economic and market conditions can have an impact on swap spreads. Consistent with previous evidence a positive relation between the default risk factor and swap spreads is also found and the liquidity premium is positively related to UK swap spreads for medium- and long-term swap spreads. Journal: Applied Financial Economics Letters Pages: 305-309 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600592803 File-URL: http://hdl.handle.net/10.1080/17446540600592803 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:305-309 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_160604_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Kenji Matsui Author-X-Name-First: Kenji Author-X-Name-Last: Matsui Title: Overpricing of new issues in the Japanese straight bond market Abstract: It has been suggested that newly issued corporate straight bond yields in Japan are set lower than equilibrium yields; that is, new issues tend to be overpriced. This study examines the overpricing of straight bonds using data on new issues between April 1995 and March 2000. The results indicate that issuing yields are indeed lower than aftermarket equilibrium yields. This is especially the case for issues with a smaller number of underwriters, and periods when fewer securities companies have experience as the lead managing underwriter. The findings also suggest that this effect is more pronounced for issues with ratings between AAA and A−, and less so for those with ratings between BBB+ and BBB−. Journal: Applied Financial Economics Letters Pages: 323-327 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600606215 File-URL: http://hdl.handle.net/10.1080/17446540600606215 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:323-327 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_164678_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: James E. Payne Author-X-Name-First: James E. Author-X-Name-Last: Payne Title: The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment? Abstract: The momentum threshold autoregressive (MTAR) model of Enders and Siklos (2001) is utilized to examine the response of the 30-year conventional mortgage rate to changes in the federal funds rate in the USA over the period 1971:4 to 2005:10. The results indicate incomplete interest rate pass-through; however, the long-run adjustment process appears to be symmetric rather than asymmetric. Journal: Applied Financial Economics Letters Pages: 279-284 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600647037 File-URL: http://hdl.handle.net/10.1080/17446540600647037 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:279-284 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_164961_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Matei Demetrescu Author-X-Name-First: Matei Author-X-Name-Last: Demetrescu Title: What liquidity do hypothetical price impact curves measure? Abstract: The price impact of hypothetical large orders is widely used as a proxy for (lack of) liquidity. Its adequacy as a liquidity measure is questioned. Journal: Applied Financial Economics Letters Pages: 301-303 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600649868 File-URL: http://hdl.handle.net/10.1080/17446540600649868 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:301-303 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_167530_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Julián Ramajo Author-X-Name-First: Julián Author-X-Name-Last: Ramajo Author-Name: Agustín García Author-X-Name-First: Agustín Author-X-Name-Last: García Author-Name: Montserrat Ferré Author-X-Name-First: Montserrat Author-X-Name-Last: Ferré Title: Explaining aggregate private saving behaviour: new evidence from a panel of OECD countries Abstract: This study analyses some of the empirical determinants of aggregate private saving rates for a panel of 21 OECD countries over the period 1964 to 2001. Among the fiscal determinants considered, there is evidence of an important trade-off between public and private saving and a negative effect of higher current public expenditure on private saving. Among the macroeconomic and financial variables introduced, the income growth rate is the most significant and has a positive effect on private saving. Finally, only a demographic variable, the urbanization rate, has a positive effect on private saving. Interestingly, the sub-sample formed by the G-7 countries shows substantial qualitative and quantitative differences in the determinants of aggregate private saving, particularly a reduction of the effects of the fiscal policy variables. Journal: Applied Financial Economics Letters Pages: 311-315 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600675582 File-URL: http://hdl.handle.net/10.1080/17446540600675582 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:311-315 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_167531_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jorge Sainz Author-X-Name-First: Jorge Author-X-Name-Last: Sainz Author-Name: Pilar Grau Author-X-Name-First: Pilar Author-X-Name-Last: Grau Author-Name: Luis Miguel Doncel Author-X-Name-First: Luis Miguel Author-X-Name-Last: Doncel Title: Mutual fund performance and benchmark choice: the Spanish case Abstract: This study deals with the relevance of benchmark choice for mutual fund performance behaviour, completing previous research on the Spanish Mutual Fund Market. Using Jensen's and Treynor–Mazuy's measures, the study highlights the relevance of style analysis for benchmark election in order to evaluate fund managers. Journal: Applied Financial Economics Letters Pages: 317-321 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600675590 File-URL: http://hdl.handle.net/10.1080/17446540600675590 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:317-321 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_168983_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Karl-Heinz Tödter Author-X-Name-First: Karl-Heinz Author-X-Name-Last: Tödter Title: The role of internal financing in a Ramsey model with financial intermediation Abstract: This note integrates internal financing, costly financial intermediation, and interest on household savings into a Ramsey model, extending the approach of Bhattarai (2005) in several respects. The study finds that the cost of financial intermediation creates a welfare loss, even under the assumption of perfect competition in the financial sector, i.e. when the spread between credit and deposit rates vanishes. Restoring the efficient equilibrium requires both, perfect competition and internal financing of replacement investment. Journal: Applied Financial Economics Letters Pages: 295-299 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600690144 File-URL: http://hdl.handle.net/10.1080/17446540600690144 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:295-299 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_168984_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Samih Antoine Azar Author-X-Name-First: Samih Antoine Author-X-Name-Last: Azar Title: Measuring relative risk aversion Abstract: This note intends to estimate the Coefficient of Relative Risk Aversion (CRRA). The underlying model is expected utility and certainty equivalence. The utility function selected is of the power form and is shown to be independent of initial wealth. This property makes the results applicable to any individual, whatever her initial wealth, or even to a market measure. The equity premium that the CRRA must explain is calculated to be 9.5%. The CRRA is calibrated by assuming six different economies from an economy with two states of nature to an economy with seven states of nature, that all describe the same distribution of returns. The calibrated CRRAs are between 4.2 and 5.4. Running 100 replications of samples of 6000 observations of the risky outcome shows that the CRRA that satisfies the constraint on the equity premium is 4.5, a figure which is reasonable and plausible. Journal: Applied Financial Economics Letters Pages: 341-345 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600690151 File-URL: http://hdl.handle.net/10.1080/17446540600690151 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:341-345 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_169702_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Paul B. McGuinness Author-X-Name-First: Paul B. Author-X-Name-Last: McGuinness Author-Name: Thomas Birtch Author-X-Name-First: Thomas Author-X-Name-Last: Birtch Title: The behaviour of share prices in the run-up to and aftermath of stock splits: evidence for ‘share subdivisions’ in Hong Kong 2003–2005 Abstract: In this short note, analysis is made of the price effects in the immediate run-up to and aftermath of voluntary ‘share subdivisions’. Evidence for stock splits conducted in Hong Kong between January 2003 and December 2005 points to a general surge in prices prior to split announcements with a much weaker, but generally positive, return picture emerging thereafter. Regression analysis also points to support for a ‘trading range’ hypothesis and helps extend earlier findings for Hong Kong reported in Wu and Chan (1997) and elsewhere (see Lakonishok and Lev, 1987 for the USA for example). Finally, consistent with the surge in prices prior to split announcement, there is some evidence to indicate that return volatilities over the 30 day return period immediately preceding announcement exceed volatility levels for each of two successive 30 day return periods. Journal: Applied Financial Economics Letters Pages: 285-293 Issue: 5 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600697347 File-URL: http://hdl.handle.net/10.1080/17446540600697347 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:5:p:285-293 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_146163_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Hakan Berument Author-X-Name-First: Hakan Author-X-Name-Last: Berument Author-Name: Nergiz Dinçer Author-X-Name-First: Nergiz Author-X-Name-Last: Dinçer Author-Name: Hasan Olgun Author-X-Name-First: Hasan Author-X-Name-Last: Olgun Title: The centre and periphery relations in international stock markets Abstract: Encouraged by the findings of the recent studies it is argued that a kind of centre-periphery relation has been emerging between the equity markets of the developed and less developed countries. To test the argument the VAR model is employed with block exogeneity. Empirical results show that S&P500 returns, representing the centre, affect the equity markets of the emerging markets either instantaneously or with a time lag depending on their geographical location. Journal: Applied Financial Economics Letters Pages: 365-370 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540500461802 File-URL: http://hdl.handle.net/10.1080/17446540500461802 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:365-370 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_160605_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Craig A. Depken II Author-X-Name-First: Craig A. Author-X-Name-Last: Depken II Author-Name: Bo Ouyang Author-X-Name-First: Bo Author-X-Name-Last: Ouyang Title: The impact of the Sarbanes-Oxley Act: early evidence from earnings management Abstract: This study investigates the impact of the Sarbanes-Oxley Act, passed in October 2002, on earnings management practices amongst firms in the three major US stock market exchanges. The evidence suggests that immediately after the Sarbanes-Oxley Act was enacted earning management declined by up to 12%, indicating that the political and economic costs of misleading the market through manipulation of earnings may have increased. Journal: Applied Financial Economics Letters Pages: 347-351 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600606223 File-URL: http://hdl.handle.net/10.1080/17446540600606223 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:347-351 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_164679_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Wing-Shing Lam Author-X-Name-First: Wing-Shing Author-X-Name-Last: Lam Author-Name: Terence Tai-Leung Chong Author-X-Name-First: Terence Tai-Leung Author-X-Name-Last: Chong Title: Profitability of the Directional Indicators Abstract: This paper studies the profitability of the Directional Movement Index (DMI) trading rule. It is found that the 10-, 14- and 20-day DI generate considerable return and beat the buy-and-hold strategy for the Hang Seng, KOSPI, Nikkei 225 and TWSE. However, the rules do not perform well in more efficient markets such as the UK and the US stock markets. Journal: Applied Financial Economics Letters Pages: 401-406 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600647045 File-URL: http://hdl.handle.net/10.1080/17446540600647045 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:401-406 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_168980_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Claudio Morana Author-X-Name-First: Claudio Author-X-Name-Last: Morana Title: Estimating long memory in the mark–dollar exchange rate with high frequency data Abstract: FIGARCH models are estimated with data sets of daily and 30 minute returns on the Deutsche mark–US dollar exchange rate. The results point to the importance of accurately modelling the persistence properties of volatility in terms of structural breaks and long memory, and controlling for stochastic intradaily repetitive patterns. Journal: Applied Financial Economics Letters Pages: 361-364 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600690110 File-URL: http://hdl.handle.net/10.1080/17446540600690110 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:361-364 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_168982_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Chikashi Tsuji Author-X-Name-First: Chikashi Author-X-Name-Last: Tsuji Title: Does investors’ sentiment predict stock price changes? With analyses of naive extrapolation and the salience hypothesis in Japan Abstract: This paper investigates the forecast power and the characteristics of investors’ sentiment in Japan. According to the empirical analyses, Japanese investors’ sentiment has some forecast power for one month's future equity market dynamics. In addition, evidence is found that simultaneous and synthetic use of several sentiment variables is helpful for predicting future stock price changes in the short-term forecasting period. However, in contrast to findings in the USA, evidence cannot be found for ‘naive extrapolation’ or the ‘salience effect’ in Japanese investors’ sentiment. Journal: Applied Financial Economics Letters Pages: 353-359 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600690136 File-URL: http://hdl.handle.net/10.1080/17446540600690136 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:353-359 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170646_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jia Miao Author-X-Name-First: Jia Author-X-Name-Last: Miao Author-Name: Christian L. Dunis Author-X-Name-First: Christian L. Author-X-Name-Last: Dunis Title: Volatility filters for FX portfolios trading: the impact of alternative volatility models Abstract: Dunis and Miao (2005) find that the addition of volatility filters with RiskMetrics forecasts can improve the performance of moving average convergence and divergence (MACD) models that replicate typical currency fund managers introduced as in Lequeux and Acar (1998). The motivation of this paper is to test whether alternative volatility models forecasts can further improve the models’ performance with such filters. The two alternative volatility forecast models used in this paper are GARCH model as in Bollerslev (1986) and stochastic volatility model with Markov switching (MS) based on Hamilton (1994) and Roche and Rockinger (2003). Our results show that volatility filters using alternative volatility models fail to enhance the performance of the simpler filters using RiskMetrics forecasts in terms of annualized return and Sharpe ratio. Journal: Applied Financial Economics Letters Pages: 389-394 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600706783 File-URL: http://hdl.handle.net/10.1080/17446540600706783 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:389-394 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170647_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Magnus Hjelmstad Author-X-Name-First: Magnus Author-X-Name-Last: Hjelmstad Author-Name: Andrew Marshall Author-X-Name-First: Andrew Author-X-Name-Last: Marshall Author-Name: Thomas Walmsley Author-X-Name-First: Thomas Author-X-Name-Last: Walmsley Title: Open market share repurchases in the UK: evidence on the agency theory of free cash flow Abstract: This paper examines the signalling theory and the agency theory of free cash flow in the context of open market share repurchases by considering the growth characteristics of the company making the announcement. These two theories are the most extensively discussed with regard to the well-documented positive market reaction associated with share repurchases. After confirming a significant positive market reaction on the announcement for our sample our findings show a significant negative relation between high growth companies and the abnormal returns on announcement, which is robust to several definitions of growth. We conclude that the positive market reaction associated with open market share repurchases in the UK is best explained by the agency theory of free cash flow. Journal: Applied Financial Economics Letters Pages: 383-387 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600706791 File-URL: http://hdl.handle.net/10.1080/17446540600706791 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:383-387 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170648_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Nikolai Dokuchaev Author-X-Name-First: Nikolai Author-X-Name-Last: Dokuchaev Title: Speculative opportunities for currency exchange under soft peg Abstract: The paper studies trading strategies for currency exchange market which do not employ any distribution assumptions on exchange rate evolution. It is found that there are strategies that ensure some speculative opportunities for currency exchange under condition of currency corridor or soft peg. Journal: Applied Financial Economics Letters Pages: 371-374 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600706809 File-URL: http://hdl.handle.net/10.1080/17446540600706809 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:371-374 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170649_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Dimitrios Asteriou Author-X-Name-First: Dimitrios Author-X-Name-Last: Asteriou Author-Name: Georgios Kavetsos Author-X-Name-First: Georgios Author-X-Name-Last: Kavetsos Title: Testing for the existence of the ‘January effect’ in transition economies Abstract: This paper tests the efficient market hypothesis (in terms of the presence or not of the ‘January effect’) for eight transition economies, namely the Czech Republic, Hungary, Lithuania, Poland, Romania, Russia, Slovakia, and Slovenia. Our analysis utilizes a monthly dataset that spans from 1991 till the early months of 2003 using monthly time series data of the stock markets of each country. The main results support the existence of seasonal effects and particularly of the January effect for most of the countries in our sample. Stronger evidence (in terms of statistical significance) is evident for the cases of Hungary, Poland and Romania; while for Hungary and Romania the results also suggest evidence in favour of the tax-loss selling hypothesis. Journal: Applied Financial Economics Letters Pages: 375-381 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600706817 File-URL: http://hdl.handle.net/10.1080/17446540600706817 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:375-381 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170652_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Mufeed Rawashdeh Author-X-Name-First: Mufeed Author-X-Name-Last: Rawashdeh Author-Name: Jay Squalli Author-X-Name-First: Jay Author-X-Name-Last: Squalli Title: A sectoral efficiency analysis of the Amman Stock Exchange Abstract: Market efficiency is tested for across the four sectors of the Amman Stock Exchange (ASE). Using daily sectoral indexes between 1992 and 2004 and a variance ratio and runs tests, it is found that the random walk and weak form efficiency hypotheses are rejected for all sectors. Furthermore, it is found that returns fit a mean-reverting process which may suggest abnormally high volatility, overinflated stock prices, and frequent market corrections from a bubble effect. This also indicates that investments in all sectors of the ASE may be very risky in the short run. Journal: Applied Financial Economics Letters Pages: 407-411 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600706841 File-URL: http://hdl.handle.net/10.1080/17446540600706841 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:407-411 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_174900_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Gregory Birg Author-X-Name-First: Gregory Author-X-Name-Last: Birg Author-Name: Brian M. Lucey Author-X-Name-First: Brian M. Author-X-Name-Last: Lucey Title: Integration of smaller European equity markets: a time-varying integration score analysis Abstract: This paper studies capital market integration in smaller European equity markets. A time-varying analysis based on Barari (2004) suggests that the markets have recently started moving towards international financial integration. Results vary from country to country and sample countries can be broken down into distinctive groups according to their recent integration score performance: (a) countries which are becoming increasingly integrated with both regional European and international equity markets (Estonia, Hungary, Czech Republic, Lithuania, Poland), (b) countries which have becoming increasingly integrated with the regional market, while growing segmented with the world market (Latvia, Slovakia, Slovenia). This is an encouraging indicator in that none of the countries have been growing segmented from the European equity markets since the EU accession. Journal: Applied Financial Economics Letters Pages: 395-400 Issue: 6 Volume: 2 Year: 2006 X-DOI: 10.1080/17446540600749379 File-URL: http://hdl.handle.net/10.1080/17446540600749379 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:395-400 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170650_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Konstantinos Drakos Author-X-Name-First: Konstantinos Author-X-Name-Last: Drakos Author-Name: Eleftherios Goulas Author-X-Name-First: Eleftherios Author-X-Name-Last: Goulas Author-Name: Christos Kallandranis Author-X-Name-First: Christos Author-X-Name-Last: Kallandranis Title: New vs. used capital investment decisions under liquidity constraints Abstract: Informationally driven capital market imperfections may lead to a systematic relation between expenditure on used capital and the severity of liquidity constraints. We project used capital outlays on internal finance across sectors of different sizes documenting that the sensitivity of used capital investment to cash flow is higher for financially constrained sectors. Journal: Applied Financial Economics Letters Pages: 15-18 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600706825 File-URL: http://hdl.handle.net/10.1080/17446540600706825 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:15-18 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170651_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 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: Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes Abstract: In statistical modelling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered. Quite often, the testing procedure requires independence in a sequence of recursive standardized prediction errors, which cannot always be readily deduced particularly in the case of econometric modelling. In this paper, the results of a series of Monte Carlo simulations reveal that independence can be assumed to hold. Journal: Applied Financial Economics Letters Pages: 31-37 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600706833 File-URL: http://hdl.handle.net/10.1080/17446540600706833 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:31-37 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170653_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Andrea Gheno Author-X-Name-First: Andrea Author-X-Name-Last: Gheno Title: Corporate valuations and the Merton model Abstract: In recent years both practitioners and academics have realized that traditional discounted cash flow models erroneously consider the option value embedded in firms. Hence equity and debt valuation methodologies based on option theory have recently become quite popular. Such methodologies take inspiration from the Merton (1974) model which was originally introduced to measure the impact of default risk on corporate bonds yields. Thirty years later the Merton model for its simplicity and rigour remains unrivalled and is the basis of some of the most sophisticated credit risk models. In this paper it will be shown how practitioners often improperly adapt the Merton model for aims beyond its original scope. Journal: Applied Financial Economics Letters Pages: 47-50 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600706858 File-URL: http://hdl.handle.net/10.1080/17446540600706858 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:47-50 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170654_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Yu Hsing Author-X-Name-First: Yu Author-X-Name-Last: Hsing Title: Analysis of exchange rate fluctuations in Estonia: test of the interest parity condition and the open economy model Abstract: This study finds that the nominal exchange rate in Estonia is positively associated with the expected exchange rate and negatively influenced by real M1, the foreign interest rate, the expected inflation rate, and the relevant price. The coefficient of the government deficit spending/GDP ratio is negative and insignificant at the 10% level. Most of the exchange rate movements can be captured by the interest parity condition and the open economy model. Journal: Applied Financial Economics Letters Pages: 51-54 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600706866 File-URL: http://hdl.handle.net/10.1080/17446540600706866 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:51-54 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170656_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Enrico Tanuwidjaja Author-X-Name-First: Enrico Author-X-Name-Last: Tanuwidjaja Title: Multi-factor SUR in event study analysis: evidence from M&A in Singapore's financial industry Abstract: This paper proposes a use of multi-factor seemingly unrelated regression (SUR) in event study analysis to study mergers and acquisitions in Singapore's financial industry. We also study the cross-sector (banking and insurance) domestic acquisitions in Singapore's financial industry. In contrast to the use of ordinary least squares (OLS) method, it is found that OLS method seems to underestimate the value of the sample cumulative abnormal returns as compared to SUR. The study also found that firms post mergers and takeovers in the banking and insurance industries tend to have high a possibility of negative returns. Journal: Applied Financial Economics Letters Pages: 55-62 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600706882 File-URL: http://hdl.handle.net/10.1080/17446540600706882 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:55-62 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170658_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jessica A. Holmes Author-X-Name-First: Jessica A. Author-X-Name-Last: Holmes Author-Name: Jonathan T. Isham Author-X-Name-First: Jonathan T. Author-X-Name-Last: Isham Author-Name: Paul M. Sommers Author-X-Name-First: Paul M. Author-X-Name-Last: Sommers Title: Is George Bailey Dead? Abstract: As consolidation, deregulation, and technological advances transform the financial services industry, it is generally believed that community banks provide relationship-based banking services for small businesses, family farmers, and depositors of low to moderate wealth. Using data from actual loan applications to a rural community bank (not too dissimilar to It's A Wonderful Life's ‘Bailey Building and Loan Company’ in Bedford Falls), the role of relationship lending in the market for home mortgages is examined for a financial institution with a long-perceived tradition of character lending. No evidence is found that prior account holders are given any advantage in the approval process for a home loan. Nearly all of the loan decisions are based on objective criteria such as personal wealth, debt obligations, and credit score. This has obvious implications for historically underserved consumers who are often rationed out of a credit market that allocates loan funds based solely on credit scoring techniques. Journal: Applied Financial Economics Letters Pages: 19-24 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600706908 File-URL: http://hdl.handle.net/10.1080/17446540600706908 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:19-24 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_172188_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Frank H. Westerhoff Author-X-Name-First: Frank H. Author-X-Name-Last: Westerhoff Title: On central bank interventions and transaction taxes Abstract: We show that carefully designed central bank interventions may have a similar (stabilizing) effect on foreign exchange dynamics as transaction taxes. Transaction taxes seek to curb speculative activity. If speculators consist of chartists and fundamentalists – as indicated by many empirical studies – central banks may seek to replicate the impact of transaction taxes by countering the orders of these traders. This would simultaneously require trading against the current exchange rate trend and, surprisingly, slowing down the convergence of the exchange rate towards its fundamental value. Journal: Applied Financial Economics Letters Pages: 11-14 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600722202 File-URL: http://hdl.handle.net/10.1080/17446540600722202 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:11-14 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_174901_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Marcos Alvarez-Diaz Author-X-Name-First: Marcos Author-X-Name-Last: Alvarez-Diaz Author-Name: Alberto Alvarez Author-X-Name-First: Alberto Author-X-Name-Last: Alvarez Title: Forecasting exchange rates using an evolutionary neural network Abstract: In this article, we employ an Evolutionary Neural Network to forecast exchange rates returns for the Japanese Yen and the British Pound against the US dollar. This method combines genetic programming and neural network methodologies. Empirical results show the existence of a short-term weak predictable structure for both currencies. Therefore, they do not support the hypothesis that the exchange rates follow a random walk and that returns are unpredictable. Journal: Applied Financial Economics Letters Pages: 5-9 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600749387 File-URL: http://hdl.handle.net/10.1080/17446540600749387 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:5-9 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_177062_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Samih Antoine Azar Author-X-Name-First: Samih Antoine Author-X-Name-Last: Azar Title: Measuring the US social discount rate Abstract: The purpose of this letter is to estimate the US social discount rate, the appropriate discount rate for public capital budgets. There are two methods. One assumes that public investment displaces private consumption, and the discount rate is labelled the social rate of time preference (SRTP). The other assumes that public investment crowds out private investment, and the underlying social discount rate is market-based. The approach in this letter follows the second method. It relies on wealth maximization with the presence of two assets: one risky and one riskless. The risky security is taken to be a portfolio of common stocks, while the riskless asset is taken to be the T-bill rate. The Euler or first-order condition is independent of initial wealth. Because of that the estimate of the discount rate applies to all unanimously, and can be considered a social rate by essence. The range of the estimated social discount rate is between 5.01% and 6.17%, and the 95% confidence interval for the inferred population mean discount rate is between 5.62% and 5.71%. These results are extremely precise and reasonable, and are at the upper limit of the estimates in the literature that use a completely different approach. Journal: Applied Financial Economics Letters Pages: 63-66 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600771068 File-URL: http://hdl.handle.net/10.1080/17446540600771068 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:63-66 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_179553_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Kian-Ping Lim Author-X-Name-First: Kian-Ping Author-X-Name-Last: Lim Author-Name: Venus Khim-Sen Liew Author-X-Name-First: Venus Khim-Sen Author-X-Name-Last: Liew Title: Nonlinear mean reversion in stock prices: evidence from Asian markets Abstract: Utilizing the standard linearity test of Luukkonen et al. (1988), the linear nature of all the Asian stock indices has been formally rejected. This finding warrants use of the nonlinear stationary test of Kapetanois et al. (2003), which is also constructed in the STAR framework, to investigate the mean reverting property of the stock prices series. As a whole, this study not only found convincing evidence of a nonlinear mean reverting pattern in all the Asian stock indices, but also demonstrates the risk of drawing the wrong inferences on mean reversion when the ADF test is applied to data governed by nonlinearity. Journal: Applied Financial Economics Letters Pages: 25-29 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600796073 File-URL: http://hdl.handle.net/10.1080/17446540600796073 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:25-29 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_188245_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Takayasu Ito Author-X-Name-First: Takayasu Author-X-Name-Last: Ito Title: The analysis of interest rate swap spreads in Japan Abstract: The purpose of this article is to investigate the determinants of interest rate swap spreads in Japan. Four determinants of swap spreads – TED spread, corporate bond spread, interest rate and the slope of yield curve – are chosen. The swap spreads of 2 years through 4 years are mostly influenced by TED spread, interest rate and slope. The swap spread of 5 years is mostly decided by corporate bond spread and slope. The swap spreads of 7 years and 10 years are mostly affected by corporate bond spread. Journal: Applied Financial Economics Letters Pages: 1-4 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600883194 File-URL: http://hdl.handle.net/10.1080/17446540600883194 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:1-4 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_197145_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Bruce Burton Author-X-Name-First: Bruce Author-X-Name-Last: Burton Title: The market impact of corporate alliance announcements: value-weighted versus equally weighted portfolio returns Abstract: Several recent studies document significant share returns at the time when strategic alliances are announced to the stock market. However, the earlier evidence is focused on equally weighted portfolio returns and/or individual partner returns. A value-weighted portfolio approach is used here to demonstrate that the overall market impact of alliance disclosures is limited, reflecting the fact that the large returns tend to be concentrated in the smaller partner. Journal: Applied Financial Economics Letters Pages: 67-70 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600972443 File-URL: http://hdl.handle.net/10.1080/17446540600972443 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:67-70 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_202809_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Nukhet Dogan Author-X-Name-First: Nukhet Author-X-Name-Last: Dogan Author-Name: Yeliz Yalcin Author-X-Name-First: Yeliz Author-X-Name-Last: Yalcin Title: The effects of the exchange rate movements on the Istanbul stock exchange Abstract: This study examines the effects of exchange rate movements on the stock market in Turkey using a monthly VAR model for the period from January 1997 to November 2003. The full sample period contains two main changes in the exchange rate policy which happened in January 1990 and December 1999. To account for these changes, two different sub-periods January 1997 to November 1999 and January 2000 to November 2003 are also considered. The first period results indicate that there is a positive relationship between currency depreciation and most of the market indices. However, in the second period, the currency depreciation shows a negative impact in the initial level. Journal: Applied Financial Economics Letters Pages: 39-46 Issue: 1 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601029136 File-URL: http://hdl.handle.net/10.1080/17446540601029136 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:39-46 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_142665_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Carlo Alberto Magni Author-X-Name-First: Carlo Alberto Author-X-Name-Last: Magni Title: Project valuation and investment decisions: CAPM versus arbitrage Abstract: This study shows that (a) project valuation via CAPM contradicts valuation via arbitrage pricing, (b) CAPM-minded decision makers may fail to profit from arbitrage opportunities, (c) Standard CAPM-based valuation violates value additivity. As a consequence, the use of CAPM for project valuation and decision making should be reconsidered. Journal: Applied Financial Economics Letters Pages: 137-140 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540500426821 File-URL: http://hdl.handle.net/10.1080/17446540500426821 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:137-140 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170655_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Nikolaos Veraros Author-X-Name-First: Nikolaos Author-X-Name-Last: Veraros Author-Name: Evangelia Kasimati Author-X-Name-First: Evangelia Author-X-Name-Last: Kasimati Title: The effect of US and European stock exchanges on Greece's stock market: a VAR approach Abstract: Through a structural vector autoregression model the effect of the European and US stock exchanges on the Athens stock exchange (ASE) is examined. Consistent with other studies on the effect of large stock markets on smaller regional ones, we find that both the European and US stock exchanges affect ASE, with the European markets exhibiting greater and more immediate effect. Journal: Applied Financial Economics Letters Pages: 133-136 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600706874 File-URL: http://hdl.handle.net/10.1080/17446540600706874 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:133-136 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_172189_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Chikashi Tsuji Author-X-Name-First: Chikashi Author-X-Name-Last: Tsuji Title: Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model Abstract: Theory predicts that, if stock and stock index futures markets operate efficiently, price movements in these markets should follow a first-order vector error correction model in which the error correction term represents the basis, and in which there are no regimes. However, following Brooks and Garrett (2002), by using the self-exciting threshold autoregressive (SETAR) model, in this article, we show that there are three regimes in the dynamics of the basis of the NIKKEI 225. In addition, in the central bound, autocorrelation exceeding the first-order variety is observed. This indicates that the basis is persistent and predictable, and triggers no arbitrage in the central bound. For Japan, the basis is successfully explained by a SETAR model with two thresholds, as suggested by Brooks and Garrett. However, the adjustment pattern of the basis outside the central bound differs from that observed for the United Kingdom. Journal: Applied Financial Economics Letters Pages: 77-83 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600722210 File-URL: http://hdl.handle.net/10.1080/17446540600722210 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:77-83 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_175808_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Calum A. J. Middleton Author-X-Name-First: Calum A. J. Author-X-Name-Last: Middleton Author-Name: Suzanne G. M. Fifield Author-X-Name-First: Suzanne G. M. Author-X-Name-Last: Fifield Author-Name: David M. Power Author-X-Name-First: David M. Author-X-Name-Last: Power Title: Examining the nature of the gains from investment in the emerging stock markets of the Central and Eastern European region Abstract: This article examines the nature of any gains from investing in the emerging stock markets of Central and Eastern Europe using disaggregated data for 187 shares from eight stock exchanges over the period 1998 to 2003. The results suggest that gains exist; these gains are largest when diversification occurs across countries rather than via investment in different industries. However, the analysis also suggests that the returns earned by equities in these countries vary dramatically over time and, as such, may hamper the efforts of investors attempting to exploit this diversification ‘free lunch’. Journal: Applied Financial Economics Letters Pages: 85-90 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600758495 File-URL: http://hdl.handle.net/10.1080/17446540600758495 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:85-90 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_177061_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: A. Sfetsos Author-X-Name-First: A. Author-X-Name-Last: Sfetsos Author-Name: L. Kalyvas Author-X-Name-First: L. Author-X-Name-Last: Kalyvas Title: Are conditional Value-at-Risk models justifiable? Abstract: The recent trend in estimating Value-at-Risk for modern and increasingly complex portfolios is the introduction of conditional models accounting for the heteroscedasticity of market risk factors. In this work, the introduction of complex methodologies is justified in relation to the dynamical characteristics of portfolios, represented by the concept of entropy. Journal: Applied Financial Economics Letters Pages: 129-132 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600771050 File-URL: http://hdl.handle.net/10.1080/17446540600771050 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:129-132 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_177064_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Terence Tai-Leung Chong Author-X-Name-First: Terence Tai-Leung Author-X-Name-Last: Chong Author-Name: Thomas Chun-Sing Shik Author-X-Name-First: Thomas Chun-Sing Author-X-Name-Last: Shik Title: The risk-adjusted trading rule profits in currency spot cross-rates Abstract: This article studies the profitability of the Moving Average (MA) trading rule in the cross-rate market. We show that the MA rules are profitable if the two currencies belong to different economic zones. In addition, our study demonstrates that the interest rate differential has little effect on the trading rule returns. Journal: Applied Financial Economics Letters Pages: 71-76 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600771084 File-URL: http://hdl.handle.net/10.1080/17446540600771084 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:71-76 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_182704_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Vassilios Babalos Author-X-Name-First: Vassilios Author-X-Name-Last: Babalos Author-Name: Alexandros Kostakis Author-X-Name-First: Alexandros Author-X-Name-Last: Kostakis Author-Name: Nikolaos Philippas Author-X-Name-First: Nikolaos Author-X-Name-Last: Philippas Title: Spurious results in testing mutual fund performance persistence: evidence from the Greek market Abstract: The present study shows that failing to adjust for known risk factors in measuring fund performance can lead to spurious results in testing the persistence hypothesis. We support this argument by providing evidence from the Greek fund industry, examining also the performance persistence in this small and relatively unexplored market. Correct adjustments for risk factors and documented portfolio strategies, account for a significant part of the previously reported persistence. The intercept of the augmented Carhart regression is suggested to be the most appropriate performance measure. Journal: Applied Financial Economics Letters Pages: 103-108 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600827662 File-URL: http://hdl.handle.net/10.1080/17446540600827662 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:103-108 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_188244_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Chin Wen Cheong Author-X-Name-First: Chin Wen Author-X-Name-Last: Cheong Author-Name: Abu Hassan Shaari Mohd Nor Author-X-Name-First: Abu Hassan Author-X-Name-Last: Shaari Mohd Nor Author-Name: Zaidi Isa Author-X-Name-First: Zaidi Author-X-Name-Last: Isa Title: An empirical study of realized and long-memory GARCH standardized stock-return Abstract: In this article, we study the standardized returns by using the realized volatility and long-memory GARCH models. The various normality tests indicate that the realized–standardized returns follow a Gaussian distribution. On the other hand, the standardized returns by GARCH models are able to reduce but not eliminate the excess kurtosis condition compare to the realized–standardized returns. Journal: Applied Financial Economics Letters Pages: 121-127 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600883186 File-URL: http://hdl.handle.net/10.1080/17446540600883186 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:121-127 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_188247_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Chris M. Bilson Author-X-Name-First: Chris M. Author-X-Name-Last: Bilson Author-Name: Richard A. Heaney Author-X-Name-First: Richard A. Author-X-Name-Last: Heaney Author-Name: John G. Powell Author-X-Name-First: John G. Author-X-Name-Last: Powell Author-Name: Jing Shi Author-X-Name-First: Jing Author-X-Name-Last: Shi Title: The decision to voluntarily provide an IPO prospectus earnings forecast Abstract: Conditions under which private firms going public will voluntarily disclose earnings forecasts in initial public offerings prospectuses are explored. The analysis implies younger, riskier companies do not voluntarily forecast earnings because of the potential costs of not performing as well as forecast. Journal: Applied Financial Economics Letters Pages: 99-102 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600883210 File-URL: http://hdl.handle.net/10.1080/17446540600883210 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:99-102 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_190430_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Camilo Sarmiento Author-X-Name-First: Camilo Author-X-Name-Last: Sarmiento Title: Financial impact of risk on municipal earnings Abstract: To evaluate the relation between regional earnings and risk across the US economy, this article uses a heteroscedastic model that captures earnings uncertainty. We then implement a nonlinear estimator that simultaneously estimates the variance of the econometric residual and the effect of the variance on expected earnings. Estimation results show the association between risk and earnings for local economies. Journal: Applied Financial Economics Letters Pages: 95-98 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600905104 File-URL: http://hdl.handle.net/10.1080/17446540600905104 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:95-98 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_190431_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Haitham Nobanee Author-X-Name-First: Haitham Author-X-Name-Last: Nobanee Title: Are limit hits industry-specific? Abstract: This study aims to examine the industry effect of limit hits of Tokyo Stock Exchange. The results show evidence of industry effect where information technology companies have the highest limit hits per company and utilities companies have the lowest limit hits per company. High-limit hit occurrences for different industries are associated with high volatility and low-limit hit occurrences are associated with low volatility. Journal: Applied Financial Economics Letters Pages: 115-119 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600905112 File-URL: http://hdl.handle.net/10.1080/17446540600905112 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:115-119 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_198062_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Nikolai Dokuchaev Author-X-Name-First: Nikolai Author-X-Name-Last: Dokuchaev Title: Bond pricing and two unconditionally implied parameters inferred from option prices Abstract: We study stock option and bond pricing problems for a case when the short-term interest rate and the volatility of the stock are random processes. The option prices are generated by a risk-neutral valuation method and they are correlated with the short-term interest rate generating the bond price. We suggest, to use, for calculation of bond prices, the implied volatility and cumulative risk free interest rate inferred from stock and option prices. These parameters can be found unconditionally from a system of two equations. Journal: Applied Financial Economics Letters Pages: 109-113 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600981618 File-URL: http://hdl.handle.net/10.1080/17446540600981618 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:109-113 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199285_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Lee Chin Author-X-Name-First: Lee Author-X-Name-Last: Chin Author-Name: M. Azali Author-X-Name-First: M. Author-X-Name-Last: Azali Author-Name: K. G. Matthews Author-X-Name-First: K. G. Author-X-Name-Last: Matthews Title: The monetary approach to exchange rate determination for Malaysia Abstract: This article uses alternative versions of the monetary approach to exchange rate determination to explain the Malaysian-ringgit-USD exchange rate during the recent past. The result shows that in general the estimated coefficients of money and income differentials are consistent with all variants of monetary model. In particular, the evidence strongly supports the Bilson's version of the monetary approach. Journal: Applied Financial Economics Letters Pages: 91-94 Issue: 2 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600993845 File-URL: http://hdl.handle.net/10.1080/17446540600993845 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:91-94 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_167529_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Andreas Behr Author-X-Name-First: Andreas Author-X-Name-Last: Behr Title: Assessing the stability of Gaussian mixture models for monthly returns of the S&P 500 index Abstract: The study analyses the unconditional distribution of monthly S&P 500 stock index returns for the long-run time period 1871–2004. The return distribution can be adequately described by a mixture of two Gaussian normal distributions. However, when analysing sub-samples of this long-time horizon, substantial deviations between the empirical and the estimated two-component distribution become evident. Formal tests clearly reject the hypothesis of random draws from the estimated distribution. A comprehensive analysis of ten-year windows within the framework of a rolling window strategy reveals that window-specific estimated two-component mixtures can adequately describe the empirical distributions in almost all windows. Nevertheless, the substantial variation in the weight of the mixtures as well as in the parameters of the mixed distributions suggests that there are severe difficulties involved in maintaining the notion of an underlying distribution being constant to a certain degree. Journal: Applied Financial Economic Letters Pages: 215-220 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600675574 File-URL: http://hdl.handle.net/10.1080/17446540600675574 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:215-220 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_170659_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Yu Hsing Author-X-Name-First: Yu Author-X-Name-Last: Hsing Title: The roles of the exchange rate and the foreign interest rate in Estonia's money demand function and policy implications Abstract: The demand for real M2 in Estonia is positively influenced by real income, real stock prices and the depreciation of the kroon, and negatively associated with the deposit rate, the euro interest rate and the expected inflation rate. Hence, a higher euro interest rate would help raise Estonian real output, and the depreciation of the kroon may or may not raise real output. The Box–Cox transformation test shows that the double-log form cannot be rejected at the 5% level while the linear form can be rejected at the 5% level. The CUSUMSQ test shows that parameters in the money demand function are stable. Journal: Applied Financial Economics Letters Pages: 221-224 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600706916 File-URL: http://hdl.handle.net/10.1080/17446540600706916 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:221-224 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199284_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Marco Realdon Author-X-Name-First: Marco Author-X-Name-Last: Realdon Title: Credit risk pricing with both expected and unexpected default Abstract: This article presents a tractable structural model in which default may be both expected or unexpected. The model can predict realistically high short-term credit spreads. Closed form solutions are provided for corporate bonds and default swaps. The analysis suggests that, in order for the observed short-term yield spreads on high grade corporate debt to be compensation for credit risk, the market must believe that unexpected default may occur at any time, even if it is extremely unlikely, and that it may cause a dramatic sudden ‘downfall’ in the firm's assets value. Journal: Applied Financial Economics Letters Pages: 225-230 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600993837 File-URL: http://hdl.handle.net/10.1080/17446540600993837 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:225-230 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199287_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Luis Gutiérrez Author-X-Name-First: Luis Author-X-Name-Last: Gutiérrez Author-Name: Jesús Otero Author-X-Name-First: Jesús Author-X-Name-Last: Otero Title: Testing for stock market integration in a developing economy: Colombia Abstract: This article examines the linkage between two parallel stock exchanges trading the same shares in Colombia, namely the Bogotá Stock Exchange and the Medellín Stock Exchange. We provide empirical evidence to support the hypothesis that these two markets can be best described as fully integrated over a period of almost four decades, which is consistent with the view that arbitrage opportunities are only possible in the short but not in the long-run. In addition, we find evidence that the location of a company's headquarters appears to matter in stock price formation. Journal: Applied Financial Economics Letters Pages: 231-236 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600993860 File-URL: http://hdl.handle.net/10.1080/17446540600993860 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:231-236 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201785_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Hamid Baghestani Author-X-Name-First: Hamid Author-X-Name-Last: Baghestani Title: An evaluation of professional forecasts of US corporate profits Abstract: We show that the one-year-ahead forecast of growth in US corporate profits from the Survey of Professional Forecasters, for 1983–2004, is unbiased and superior to the random walk forecast. Survey respondents, however, generally predicted positive growth and thus failed to accurately predict negative growth in corporate profits. This bias may be due to respondents assigning asymmetric costs to incorrect positive and negative growth predictions. Journal: Applied Financial Economics Letters Pages: 247-250 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018907 File-URL: http://hdl.handle.net/10.1080/17446540601018907 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:247-250 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201787_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Param Silvapulle Author-X-Name-First: Param Author-X-Name-Last: Silvapulle Author-Name: Mohammad N. Azam Author-X-Name-First: Mohammad N. Author-X-Name-Last: Azam Author-Name: Mahbuba Yeasmin Author-X-Name-First: Mahbuba Author-X-Name-Last: Yeasmin Title: Analysis of dependence in the G11 countries' financial markets: simulation and empirical evidence Abstract: This article investigates the dependence of G10 countries’ equity markets on the US market, particularly when the US experiences upturns or downturns in the market. If indeed the dependence is high in the downturn market, then investors will not benefit from international diversification when it is mostly needed. Using daily returns on the stock markets of G11 countries, this study estimates Pearson and rank correlations of G10 markets conditional on the US market falling below and rising above certain levels. The rank correlation is robust to outliers and hence provides stronger evidence than its counterpart. When the US market falls, the dependence between the US market and G10 countries has become notably stronger than that during bull markets, except for Sweden. The observed higher dependence in the bear market is of concern for investors, because it erodes the benefit of international diversification. Journal: Applied Financial Economics Letters Pages: 211-214 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018923 File-URL: http://hdl.handle.net/10.1080/17446540601018923 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:211-214 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201788_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Steven Cook Author-X-Name-First: Steven Author-X-Name-Last: Cook Title: Threshold adjustment in the long-run relationship between stock prices and economic activity Abstract: In recent years a large literature has emerged considering the relationship between financial and macroeconomic variables. The present article extends this research via consideration of threshold adjustment in the relationship between stock prices and economic activity in the UK. The results obtained show that use of momentum threshold autoregressive cointegration testing uncovers previously undetected asymmetry in the long-run relationship between the stock market and economic activity. Journal: Applied Financial Economics Letters Pages: 243-246 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018931 File-URL: http://hdl.handle.net/10.1080/17446540601018931 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:243-246 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201792_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jacques A. Schnabel Author-X-Name-First: Jacques A. Author-X-Name-Last: Schnabel Title: Bankruptcy and the Nash solution Abstract: The putative deficiency of the Nash solution to the bankruptcy game discussed in textbooks is shown to be a mere artefact of an unrealistic assumption made regarding the alternatives available to the bankrupt firm's creditors. Journal: Applied Financial Economics Letters Pages: 251-254 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018972 File-URL: http://hdl.handle.net/10.1080/17446540601018972 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:251-254 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_205694_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Arnab Kumar Laha Author-X-Name-First: Arnab Kumar Author-X-Name-Last: Laha Author-Name: Divyajyoti Bhowmick Author-X-Name-First: Divyajyoti Author-X-Name-Last: Bhowmick Author-Name: Bharathy Subramaniam Author-X-Name-First: Bharathy Author-X-Name-Last: Subramaniam Title: Portfolio allocation with heavy-tailed returns Abstract: In this article we propose two new methods of portfolio allocation which are applicable for all return distributions. The properties of these new methods are compared with that of Markowitz's mean-variance method using extensive simulation. It is found that the new methods perform appreciably in terms of growth of wealth as well as protecting against the downside risk, in situations where the return distributions of one or more of the stocks is heavy-tailed. These methods can be effective substitutes for the mean-variance method which is not applicable for return distributions with heavy-tails having infinite expectation or variance. Journal: Applied Financial Economics Letters Pages: 237-242 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601057905 File-URL: http://hdl.handle.net/10.1080/17446540601057905 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:237-242 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_211765_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Andrew C. Worthington Author-X-Name-First: Andrew C. Author-X-Name-Last: Worthington Author-Name: Mosayeb Pahlavani Author-X-Name-First: Mosayeb Author-X-Name-Last: Pahlavani Title: Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks Abstract: This note tests for the presence of a stable long-run relationship between the price of gold and inflation in the United States from 1945 to 2006 and from 1973 to 2006. Since both the gold market and the inflationary regime have been subjected to structural change over time, a novel unit root testing procedure is employed which allows for the timing of significant breaks to be estimated, rather than assumed exogenous. After taking these breaks into account, a modified cointegration approach provides strong evidence of a cointegrating relationship between gold and inflation in the post-war period and since the early 1970s. The results lend support to the widely held view that direct and indirect gold investment can serve as an effective inflationary hedge. Journal: Applied Financial Economics Letters Pages: 259-262 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601118301 File-URL: http://hdl.handle.net/10.1080/17446540601118301 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:259-262 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_211767_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Katsushi Suzuki Author-X-Name-First: Katsushi Author-X-Name-Last: Suzuki Title: Underwriting spread and the investment of security company-affiliated venture capital Abstract: This article empirically examines the relationship between the underwriting spread of initial public offerings and the investment of security company-affiliated venture capital in Japan. The level of underwriting fee is negatively related to ownership by lead underwriter-affiliated venture capitals, while it is positively or not negatively related to ownership by the other venture capitals. This result suggests that lead underwriter-affiliated venture capitals provide their parent security companies with information regarding new issues. Journal: Applied Financial Economics Letters Pages: 275-278 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601118327 File-URL: http://hdl.handle.net/10.1080/17446540601118327 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:275-278 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_211769_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Umberto Triacca Author-X-Name-First: Umberto Author-X-Name-Last: Triacca Title: On the variance of the error associated to the squared return as proxy of volatility Abstract: In this article we derive, under two different stochastic volatility models, the expression of the variance of the error associate to the use of the squared return as proxy of daily volatility. Journal: Applied Financial Economics Letters Pages: 255-257 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601118343 File-URL: http://hdl.handle.net/10.1080/17446540601118343 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:255-257 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_220578_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: C. Lento Author-X-Name-First: C. Author-X-Name-Last: Lento Author-Name: N. Gradojevic Author-X-Name-First: N. Author-X-Name-Last: Gradojevic Author-Name: C. S. Wright Author-X-Name-First: C. S. Author-X-Name-Last: Wright Title: Investment information content in Bollinger Bands? Abstract: This article tests the profitability of Bollinger Bands (BB) technical indicators. It is found that, after adjusting for transaction costs, the BB are consistently unable to earn profits in excess of the buy-and-hold trading strategy. However, the profitability is improved using a contrarian's approach. Journal: Applied Financial Economics Letters Pages: 263-267 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701206576 File-URL: http://hdl.handle.net/10.1080/17446540701206576 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:263-267 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222155_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jedrzej Bialkowski Author-X-Name-First: Jedrzej Author-X-Name-Last: Bialkowski Author-Name: Katrin Gottschalk Author-X-Name-First: Katrin Author-X-Name-Last: Gottschalk Author-Name: Tomasz Piotr Wisniewski Author-X-Name-First: Tomasz Piotr Author-X-Name-Last: Wisniewski Title: Political orientation of government and stock market returns Abstract: Prior research documented that the US stock prices tend to grow faster during the Democratic than the Republican administrations. This article examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets and 173 different governments reveals that there are no statistically significant differences in returns between left-wing and right-wing executives. Consequently, international investment strategies based on the political orientation of countries’ leadership are likely to be futile. Journal: Applied Financial Economics Letters Pages: 269-273 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701222359 File-URL: http://hdl.handle.net/10.1080/17446540701222359 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:269-273 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_255084_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: The Editors Title: Corrigendum Journal: Pages: 279-279 Issue: 4 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701552250 File-URL: http://hdl.handle.net/10.1080/17446540701552250 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:4:p:279-279 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199286_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Andreas Andrikopoulos Author-X-Name-First: Andreas Author-X-Name-Last: Andrikopoulos Title: On the quadratic approximation to the value of American put options: a note Abstract: This article extends the quasi-analytical quadratic approximation of Barone-Adesi and Whaley (1987) in order to improve its performance for options with long time to expiration. We build a system of equations with an extra parameter and an additional boundary condition (‘boundary-optimality’), ensuring that the derived exercise boundary maximizes the price of the option. Numerical results for this approach show improved convergence performance for the quadratic approximation in the case of longer option lives. Journal: Applied Financial Economics Letters Pages: 313-317 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600993852 File-URL: http://hdl.handle.net/10.1080/17446540600993852 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:313-317 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_205695_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Dennis W. Jansen Author-X-Name-First: Dennis W. Author-X-Name-Last: Jansen Author-Name: Maria Caridad Ortiz Author-X-Name-First: Maria Caridad Author-X-Name-Last: Ortiz Title: Stock market risk and dollarization in Ecuador Abstract: We study the impact of dollarization and related economic liberalization of Ecuador in January 2000 on the distribution of stock returns in Ecuador. While the mean dollar return of investing in Ecuadorian stocks changed from large and negative to large and positive, traditional measures of volatility such as the SD of returns actually increased after dollarization. However, focusing on the tails of the distribution and extreme events, we find that the tail thickness of the distribution of Ecuador stock returns increased for positive returns but decreased for negative returns. Thus, while the SD may have increased, it is because of a greater probability of large positive returns. The probability of large negative returns decreased post dollarization. Value at Risk estimates illustrates this phenomenon. Journal: Applied Financial Economics Letters Pages: 281-286 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601057913 File-URL: http://hdl.handle.net/10.1080/17446540601057913 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:281-286 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_211766_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Panayiotis G. Artikis Author-X-Name-First: Panayiotis G. Author-X-Name-Last: Artikis Author-Name: Elena Kalotychou Author-X-Name-First: Elena Author-X-Name-Last: Kalotychou Author-Name: Sotiris K. Staikouras Author-X-Name-First: Sotiris K. Author-X-Name-Last: Staikouras Title: Interest rate fluctuations and the UK financial services industry Abstract: The article explores the relationship between short-term interest rates and the equity returns of the UK financial services industry. Based on the arbitrage pricing theory, the present study seeks to answer the sensitivity and pricing questions. The former is tested with a linear two-index model attempting to identify any interest rate risk exposure of these stock returns. The latter, however, is examined using a nonlinear multivariate analysis based on the Seemingly Unrelated Regression Equations (SURE) model by imposing cross- and within-equation constraints on the estimated parameters. The econometric analysis unveils a significant negative interest rate effect and the existence of a risk premium incorporated in the expected returns of portfolios consisting of these stocks. Journal: Applied Financial Economics Letters Pages: 343-347 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601118319 File-URL: http://hdl.handle.net/10.1080/17446540601118319 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:343-347 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_211768_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Pornsit Jiraporn Author-X-Name-First: Pornsit Author-X-Name-Last: Jiraporn Title: ESOPs and earnings management: an empirical note Abstract: This study seeks to ascertain the impact of employee stock ownership plans (ESOPs) on earnings management. The empirical evidence shows that firms with larger ESOP ownership exhibit a lower degree of earnings management. I suggest that this is the case because ESOPs motivate employees to monitor management, hence, reducing managerial opportunism in the form of earnings management. Besides, ESOPs may act as a takeover defence and help managers take the long-term view of the firm, thus, lessening the motivation for short-term transient earnings distortion. Finally, there is evidence that ESOP ownership alleviates earnings management only in firms where outside blockholders are present. 1 This empirical note was written when the author was on the finance faculty at Texas A  & M International University (TAMIU) in Laredo, Texas. Journal: Applied Financial Economics Letters Pages: 287-293 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601118335 File-URL: http://hdl.handle.net/10.1080/17446540601118335 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:287-293 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_220577_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jay Squalli Author-X-Name-First: Jay Author-X-Name-Last: Squalli Title: Sectoral cointegration and causality analyses of the UAE financial markets Abstract: This article investigates cointegration and causality across the common sectors of the Abu Dhabi Securities Market (ADSM) and the Dubai Financial Market (DFM). Cointegration and Granger causality tests yield evidence of a long-run equilibrium and one-way causality from the ADSM to the DFM across the banking sector, the services sector and the general index. The absence of cointegration and causality across the insurance sectors of the ADSM and DFM is consistent with Squalli (2006) in which the insurance sector of the ADSM is the only sector evidenced to be weak-form efficient. This suggests that comovements and cross-market spillovers may only exist in weak-form inefficient sectors. Journal: Applied Financial Economics Letters Pages: 327-334 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701206568 File-URL: http://hdl.handle.net/10.1080/17446540701206568 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:327-334 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_220579_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: P.-S. Wu Author-X-Name-First: P.-S. Author-X-Name-Last: Wu Author-Name: J.-S. Chiou Author-X-Name-First: J.-S. Author-X-Name-Last: Chiou Title: Multivariate test of Sharpe–Lintner CAPM with time-varying beta Abstract: This study considers two important features of most time series analysis, i.e. nonlinearity and time-varying risk, to test the validity of Sharpe–Lintner Capital asset pricing model (CAPM). By using data on BM- and size-sorted quintile portfolios, this study resolves the problem of error-in-variables by estimating the firm-specific betas, of which the Kalman filter and the betas obtained from based-sectional analysis are used. From pooled data, this study finds time variance in the systematic risk for certain portfolios. Additionally, the proposed model rejects the Shape–Lintner CAPM. Firm BM(size) appears to be the reason for the rejection of CAPM and firm earnings in excess of predicted CAPM appear to increase(decrease) with bigger(smaller) BM(size). Journal: Applied Financial Economics Letters Pages: 335-341 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701206584 File-URL: http://hdl.handle.net/10.1080/17446540701206584 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:335-341 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222154_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Ekaterini Panopoulou Author-X-Name-First: Ekaterini Author-X-Name-Last: Panopoulou Title: PPP over a century: cointegration and structural change Abstract: The purpose of this article is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and in the marginal distribution of the regressors. Using annual data for the G-7 countries and the purchasing power parity (PPP), we conclude that the regression coefficient between the price level differential and the exchange rate has indeed remained stable during the 20th century and find ample evidence supporting the PPP. Journal: Applied Financial Economics Letters Pages: 319-325 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701222342 File-URL: http://hdl.handle.net/10.1080/17446540701222342 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:319-325 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222157_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Brian J. Jacobsen Author-X-Name-First: Brian J. Author-X-Name-Last: Jacobsen Title: Stock price patterns Abstract: Stock price anomalies have been studied in detail; however, most studies use daily closing prices or volume-weighted average prices for identifying day-of-the week and holiday effects. In this article, I extend the day-of-the week and holiday analysis to intraday and interday trading. The results show there are definite advantages to buying a stock at the close of business and then selling at the open of the next trading day, provided that next trading day is also the next calendar day. The worst risk-return trade-off is when you buy at the close and sell at the open when there is an extended weekend. In terms of the average daily return to standard deviation ratio, the close–open strategy has the highest ratio. This strategy also has the highest positive skewness and kurtosis of the daily return distribution. Journal: Applied Financial Economics Letters Pages: 301-306 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701222375 File-URL: http://hdl.handle.net/10.1080/17446540701222375 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:301-306 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222159_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: William Dimovski Author-X-Name-First: William Author-X-Name-Last: Dimovski Author-Name: Robert Brooks Author-X-Name-First: Robert Author-X-Name-Last: Brooks Author-Name: Antonie van Eekelen Author-X-Name-First: Antonie Author-X-Name-Last: van Eekelen Title: The costs of raising equity capital for closed-end fund IPOs Abstract: This article reports on some of the direct costs of raising equity capital by closed-end fund licensed investment company (LIC) initial public offerings (IPOs) in Australia from 1995 to 2005. The amount of underpricing by these IPOs is also identified. The average total direct costs amounted to a relatively low 3.4% of the capital raised, while fees paid to underwriters and/or stockbrokers was around 2.3%, to legal firms around 0.25% and to accounting firms around 0.07%. The average underpricing by these LIC IPOs was 1.3%. This article also confirms that the percentage total direct capital raising costs are inversely related to the size of the IPO and underwritten closed-end fund IPOs tend to have higher percentage total capital raising costs than those not underwritten. Journal: Applied Financial Economics Letters Pages: 295-299 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701222391 File-URL: http://hdl.handle.net/10.1080/17446540701222391 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:295-299 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222160_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Annette Nguyen Author-X-Name-First: Annette Author-X-Name-Last: Nguyen Author-Name: Robert Faff Author-X-Name-First: Robert Author-X-Name-Last: Faff Author-Name: Philip Gharghori Author-X-Name-First: Philip Author-X-Name-Last: Gharghori Title: An examination of conditional asset pricing models in the Australian equities market Abstract: This article examines the link between macroeconomic variables and equity returns in Australia by testing conditional asset pricing models. We find that conditioning the Fama–French model with a series of macroeconomic variables does not considerably improve its performance. However, we do find that the Fama–French factors, SMB and HML, retain their ability to explain equity returns even after the model is conditioned on macroeconomic variables. Our findings suggest that investors do not adjust their risk premiums according to the changes in the macroeconomic variables we employ. Journal: Applied Financial Economics Letters Pages: 307-312 Issue: 5 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701222409 File-URL: http://hdl.handle.net/10.1080/17446540701222409 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:5:p:307-312 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_180565_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Samih Antoine Azar Author-X-Name-First: Samih Antoine Author-X-Name-Last: Azar Title: A duration-based equity premium Abstract: Theoretically the expected return on any financial asset need not equal the average of the actual return. In this paper, the expected equity premium is estimated based on two fundamentals: the Gordon dividend model with constant growth, and duration analysis. The result is that the ex ante, or expected, equity premium is around 3.24%, with a standard error between 0.30% and 0.87%. Taking 0.87% as the standard error, the 95% confidence interval is between 1.53% and 4.95%. These figures show clearly that the actual equity premium is much higher than the expected one. The reason for that is due to unpredictable changes in interest rates, and other growth rates. Journal: Applied Financial Economics Letters Pages: 409-414 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600806229 File-URL: http://hdl.handle.net/10.1080/17446540600806229 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:409-414 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_184755_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Wing-Fai Leung Author-X-Name-First: Wing-Fai Author-X-Name-Last: Leung Author-Name: Fanny S. L. Cheung Author-X-Name-First: Fanny S. L. Author-X-Name-Last: Cheung Title: Valuation effects of international joint venture formation: Hong Kong listed companies Abstract: The study tests the abnormal returns of announcements of joint-venturing in Mainland China by Hong Kong-based companies. As the Hong Kong stock market is one of the most mature stock markets in the world, the response of the stock price should be among the best quality. Thus the positive response suggests that international joint ventures provide potential profits to the parent firms, which is predicted by the nowadays standard eclectic theory. The result supports the hypothesis of abnormal returns. Journal: Applied Financial Economics Letters Pages: 349-357 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600848221 File-URL: http://hdl.handle.net/10.1080/17446540600848221 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:349-357 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199288_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Carlos Vargas-Silva Author-X-Name-First: Carlos Author-X-Name-Last: Vargas-Silva Title: Measuring the macroeconomic impact of workers’ remittances in a data-rich environment Abstract: This article uses 85 monthly time series from Mexico to study the macroeconomic impact of workers’ remittances. The estimation approach is based on the two-step factor augmented vector autoregression methodology used by Bernanke et al. (2005). The results show that Mexico's inward remittances have a positive impact on prices, the stock market, interest rates and various measures of economic activity. Journal: Applied Financial Economics Letters Pages: 359-363 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540600993878 File-URL: http://hdl.handle.net/10.1080/17446540600993878 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:359-363 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_201791_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Spyros Missiakoulis Author-X-Name-First: Spyros Author-X-Name-Last: Missiakoulis Author-Name: Dimitrios Vasiliou Author-X-Name-First: Dimitrios Author-X-Name-Last: Vasiliou Author-Name: Nikolaos Eriotis Author-X-Name-First: Nikolaos Author-X-Name-Last: Eriotis Title: A requiem for the use of the geometric mean in evaluating portfolio performance Abstract: Although the geometric mean procedure is very popular among financial analysts, it is shown that when it is applied on rates of returns for evaluating portfolio performance it does not produce efficient results. Valuable past performance information is ignored since the geometric mean procedure applied on rates of returns uses only three specific pieces of information, namely the initial value, the terminal value and the total number of time periods under evaluation. Journal: Applied Financial Economics Letters Pages: 403-408 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540601018964 File-URL: http://hdl.handle.net/10.1080/17446540601018964 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:403-408 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222161_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Aktham I. Maghyereh Author-X-Name-First: Aktham I. Author-X-Name-Last: Maghyereh Title: Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets Abstract: The financial rates of return from Middle East and North African markets are found to be nonnormal, nonstationary and long-range dependent, i.e. they have long memory. The degree of long-term dependence is measured by Hurst exponents using local Whittle method which is a semi-parametric method that presents robustness to data seasonality and short-range dependence. Our long-term results are consistent with similar empirical findings from American, European and Asian financial markets. Therefore, the article extends the domain of the empirical investigation of the dynamics characteristics of the global financial markets and disproves the hypothesis of perfectly efficient financial markets. Journal: Applied Financial Economics Letters Pages: 365-371 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701222417 File-URL: http://hdl.handle.net/10.1080/17446540701222417 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:365-371 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_226194_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Zèlia Serrasqueiro Author-X-Name-First: Zèlia Author-X-Name-Last: Serrasqueiro Author-Name: Paulo Macas Nunes Author-X-Name-First: Paulo Author-X-Name-Last: Macas Nunes Author-Name: Sequeira Tiago Neves Sequeira Author-X-Name-First: Sequeira Author-X-Name-Last: Tiago Neves Sequeira Title: Firms’ growth opportunities and profitability: a nonlinear relationship Abstract: Using different panel estimators, this article shows that the relationship between growth opportunities and profitability is nonlinear in a sample of firms in the Portuguese Stock Market. These results highlight that firms with low and high growth opportunities tend to show high profitability and firms in the middle of the growth opportunities distribution have small profitability. These suggest that the agency problems between managers and owners are particularly relevant in firms with middle growth opportunities, as managers seem to act in order to simultaneously grow and decrease profitability. Journal: Applied Financial Economics Letters Pages: 373-379 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701262827 File-URL: http://hdl.handle.net/10.1080/17446540701262827 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:373-379 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_226195_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: David G. McMillan Author-X-Name-First: David G. Author-X-Name-Last: McMillan Title: Structural breaks in financial ratios: evidence for nine international markets Abstract: Financial ratios have recently reached unprecedented levels and despite price falls remain at ahistoric levels. This is at odds with the theoretical present value model. Whilst, several researchers have attempted to reconcile theory and data using fractional integration and nonlinear techniques, an alternate view is that such ratios do not revert to a single point but exhibit a time-variation in their level. This article, tests for and supports, the belief that financial ratios exhibit structural breaks, or level shifts, through time. As such, the present value model does not hold exactly, but needs to accommodate such shifts. This may also explain apparent contradictory findings in long-horizon return predictability regressions performed over different sample periods. Journal: Applied Financial Economics Letters Pages: 381-384 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701262835 File-URL: http://hdl.handle.net/10.1080/17446540701262835 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:381-384 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_226197_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 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: Time-varying nonlinear exchange rate exposure Abstract: We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three major industrialized countries: Japan, United Kingdom and the United States. We report evidence of nonlinear exchange rate exposure, and evidence that exchange rate exposure has significantly changed over time. Journal: Applied Financial Economics Letters Pages: 385-389 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701262850 File-URL: http://hdl.handle.net/10.1080/17446540701262850 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:385-389 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_231917_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Mark Bertus Author-X-Name-First: Mark Author-X-Name-Last: Bertus Author-Name: John S. Jahera Author-X-Name-First: John S. Author-X-Name-Last: Jahera Author-Name: Keven Yost Author-X-Name-First: Keven Author-X-Name-Last: Yost Title: To be euro or not to be euro: a comparative analysis of banking systems Abstract: For the past half century, European countries have moved to harmonize their economies. While there has been a push for a single banking market in Europe, the 25 European Union (EU) countries have still not achieved full harmonization. The purpose of this study is to explore similarities and differences in country-specific banking system attributes between member nations in the EU that have adopted the Euro and those that have not. We find evidence suggesting that the currency adoption decision is related to the level of market disclosure and openness. In general, countries that have adopted the Euro have the strongest quality of information and greatest protection against the exploitation of banking entities. Journal: Applied Financial Economics Letters Pages: 391-396 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701320195 File-URL: http://hdl.handle.net/10.1080/17446540701320195 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:391-396 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_233443_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Param Silvapulle Author-X-Name-First: Param Author-X-Name-Last: Silvapulle Author-Name: Xibin Zhang Author-X-Name-First: Xibin Author-X-Name-Last: Zhang Title: Assessing dependence changes using nonparametric methods Abstract: This article examines the change in the dependence between two emerging equity markets (Korean and Thai) returns due to July 1997-financial crisis. The nonparametric chi- and K-plots reveal that these two markets were largely independent before the crisis and became significantly dependent in the post-crisis period. These results indicate that the benefit of international portfolio diversification would be eroded after these emerging markets experience major crises. Further, we find that the dependence in the post-crisis period can be captures by the Gumbel copula. The chi- and K-plots can be used as a guide to choosing a suitable copula before embarking on parametric modelling and estimating exercise. Journal: Applied Financial Economics Letters Pages: 397-401 Issue: 6 Volume: 3 Year: 2007 X-DOI: 10.1080/17446540701335490 File-URL: http://hdl.handle.net/10.1080/17446540701335490 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:3:y:2007:i:6:p:397-401 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222156_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Lee Redding Author-X-Name-First: Lee Author-X-Name-Last: Redding Title: Find a penny and pick it up: capitalizing on mutual fund rounding Abstract: Mutual funds whose share prices are not calculated with enough precision face the danger of opportunistic trading. This fact is documented empirically with respect to the Government Securities Investment Fund (G Fund), a part of the defined contribution plan run by the US federal government for its employees. The results are important both for policymakers and for mutual fund management. Journal: Applied Financial Economics Letters Pages: 1-3 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701222367 File-URL: http://hdl.handle.net/10.1080/17446540701222367 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:1-3 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222158_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Tanweer Hasan Author-X-Name-First: Tanweer Author-X-Name-Last: Hasan Author-Name: Shakil Quayes Author-X-Name-First: Shakil Author-X-Name-Last: Quayes Title: Underpricing of initial public offerings in Bangladesh Abstract: The present study provides a comprehensive analysis of the short-run underpricing of initial public offerings (IPO) in Bangladesh and attempts to identify the factors which contribute to such underpricing in this heavily regulated underwriting market. Using a sample of 90 IPOs issued during the short-lived stock market boom in the mid-nineties, we show that increased ownership stake and foreign participation lowers the magnitude of underpricing. Journal: Applied Financial Economics Letters Pages: 5-8 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701222383 File-URL: http://hdl.handle.net/10.1080/17446540701222383 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:5-8 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_222162_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Bryan Mase Author-X-Name-First: Bryan Author-X-Name-Last: Mase Title: Comovement in the FTSE 100 Index Abstract: This article extends recent research (Barberis et al., 2005) on the impact of index changes on stock comovement. Stocks that are added to the FTSE 100 comove more closely with the FTSE 100, whilst the reverse is found in stocks deleted from the FTSE 100. Consistent with previous research, these changes appear to have become larger over more recent years. As a result of the method by which changes are made to the FTSE 100, this article is able to distinguish between additions that are new firms and additions that have previously been constituents. There is a significant difference between these two sets of firms, both in terms of the change in comovement and the extent of their comovement after addition to the FTSE 100. Specifically, it is the change in comovement among firms that are new to the FTSE 100 that drives much of the overall increase in comovement among additions. This result implies that the change in comovement cannot be explained solely by the behavioural finance view of comovement and the associated impact of category or habitat traders. Journal: Applied Financial Economics Letters Pages: 9-12 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701222425 File-URL: http://hdl.handle.net/10.1080/17446540701222425 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:9-12 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_226196_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Lance A. Fisher Author-X-Name-First: Lance A. Author-X-Name-Last: Fisher Title: Consumption, wealth and expected stock returns in Australia: some further results Abstract: This article re-examines the evidence that cay, the residual from a cointegrating regression of consumption on labour income and household wealth, is a useful predictor of excess stock returns in Australian data. In recursive samples beginning in 1976:q4 and ending from 1990:q1 to 2003:q1, cay is a strong predictor of excess returns. In samples that end thereafter, cay loses its predictive power for returns. This is due to a break-down in the cointegrating relation among consumption, labour income and household wealth following recent developments in the housing and stock markets. Journal: Applied Financial Economics Letters Pages: 13-18 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701262843 File-URL: http://hdl.handle.net/10.1080/17446540701262843 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:13-18 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_226198_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Hui-Na Lin Author-X-Name-First: Hui-Na Author-X-Name-Last: Lin Author-Name: Shu-Mei Chiang Author-X-Name-First: Shu-Mei Author-X-Name-Last: Chiang Author-Name: Kun-Hong Chen Author-X-Name-First: Kun-Hong Author-X-Name-Last: Chen Title: The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM Abstract: This study employs a bivariate GARCH model to examine the dynamic relationships between two gold futures markets (COMEX and TOCOM) before and during gold's recent uptrend of the past few years. Results show that the performance of COMEX is better than TOCOM. However, TOCOM leads COMEX in the mean return. Volatility transmission effects exist in both COMEX and TOCOM. While the responses to good news and bad news are symmetrical in TOCOM, they are asymmetric in COMEX. Journal: Applied Financial Economics Letters Pages: 19-24 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701262868 File-URL: http://hdl.handle.net/10.1080/17446540701262868 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:19-24 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_233441_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Karl-Heinz Tödter Author-X-Name-First: Karl-Heinz Author-X-Name-Last: Tödter Title: Estimating the uncertainty of relative risk aversion Abstract: This note reports estimates of the coefficient of relative risk aversion, using a method recently proposed by Azar (2006). In contrast to his work, the complete information of US stock return data over the period 1926 to 2002 is utilized. Moreover, a bootstrap procedure is applied to estimate the associated uncertainty. Point estimates close to 3.5 are obtained. However, ranging from 1.4 to 7.1, the 95% confidence interval is wide. Journal: Applied Financial Economics Letters Pages: 25-27 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701335474 File-URL: http://hdl.handle.net/10.1080/17446540701335474 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:25-27 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_233442_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jan Kakes Author-X-Name-First: Jan Author-X-Name-Last: Kakes Title: Pensions in a perfect storm: financial behaviour of Dutch pension funds (2002–2005) Abstract: This article examines the financial behaviour of Dutch pension funds during 2002–2005, a turbulent period characterized by stock market corrections and historically low interest rates. Especially for industry-wide funds, financial transactions remained consistent with rebalancing a strategically fixed asset mix, which suggests that the pension sector had a stabilizing influence on financial markets. For company-linked funds, deteriorating funding ratios were counteracted by a rapid increase in pension contributions. Journal: Applied Financial Economics Letters Pages: 29-33 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701335482 File-URL: http://hdl.handle.net/10.1080/17446540701335482 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:29-33 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_236635_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Kian-Ping Lim Author-X-Name-First: Kian-Ping Author-X-Name-Last: Lim Title: Sectoral impact of shocks: empirical evidence from the Malaysian stock market Abstract: The present study adopts the framework of Lim et al. (2006) who conjectured that the existence of nonlinear serial dependencies is due to shocks that unsettled the market and caused large deviations from equilibrium. Specifically, this article extends the investigation to shed further light on whether different economic sectors of the Malaysian stock market are subjected to the same shocks effects. The results reveal that the Russian crisis, negative economic outlook, unorthodox capital control measures, increased political tension, uncertainty over Central Limit Order Book issue, and the imposition of repatriation levy, have sent shock waves throughout the domestic stock market. Journal: Applied Financial Economics Letters Pages: 35-39 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701367436 File-URL: http://hdl.handle.net/10.1080/17446540701367436 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:35-39 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_236636_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Robert D. Brooks Author-X-Name-First: Robert D. Author-X-Name-Last: Brooks Author-Name: Elizabeth A. Maharaj Author-X-Name-First: Elizabeth A. Author-X-Name-Last: Maharaj Author-Name: Breanna Pellegrini Author-X-Name-First: Breanna Author-X-Name-Last: Pellegrini Title: Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis Abstract: This article presents an estimation and analysis of the Hurst exponent for Australian stocks using the wavelet technique. Consistent with Mulligan's (2004) study of US technology stocks, we find that the Hurst exponent varies over the cross-section of stocks. We also analyse Mulligan's (2004) and our data and find that beta can explain some of the cross-sectional variation in the Hurst exponents. However, we find that our results are not robust to filtering out the short range dependence in the data. Journal: Applied Financial Economics Letters Pages: 41-44 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701367444 File-URL: http://hdl.handle.net/10.1080/17446540701367444 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:41-44 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_236637_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Derek Bond Author-X-Name-First: Derek Author-X-Name-Last: Bond Author-Name: Kenneth A. Dyson Author-X-Name-First: Kenneth A. Author-X-Name-Last: Dyson Title: Long memory and nonlinearity in stock markets Abstract: In this article the long memory and nonlinear properties of share prices in the UK's stock exchange and alternative investment markets are explored. The results suggest that the most commonly traded shares exhibit long memory. Thus, the validity of market efficiency is questioned. Journal: Applied Financial Economics Letters Pages: 45-48 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701367451 File-URL: http://hdl.handle.net/10.1080/17446540701367451 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:45-48 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_236638_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Anna Dodonova Author-X-Name-First: Anna Author-X-Name-Last: Dodonova Title: Signalling and jump bidding in takeover auctions Abstract: This article generalizes the model of Dodonova and Khoroshilov (2006) who argues that there are no signalling equilibria in takeover auctions. Journal: Applied Financial Economics Letters Pages: 49-51 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701367469 File-URL: http://hdl.handle.net/10.1080/17446540701367469 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:49-51 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_236639_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Javier Rodriguez Author-X-Name-First: Javier Author-X-Name-Last: Rodriguez Author-Name: Jimmy Torrez Author-X-Name-First: Jimmy Author-X-Name-Last: Torrez Title: Emerging markets mutual funds: regional exposure and stock selection ability Abstract: The regional exposure and stock-selection ability of emerging markets mutual funds is empirically examined during the 2001 to 2005 time period. This sample of funds shows a clear preference towards the Asian markets and as a group show evidence of poor stock-selection ability. When the sample is partitioned between surviving and nonsurviving funds, only the subgroup of surviving funds show evidence of positive stock-selection ability. Journal: Applied Financial Economics Letters Pages: 53-57 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701367477 File-URL: http://hdl.handle.net/10.1080/17446540701367477 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:53-57 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_236640_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Steven Cook Author-X-Name-First: Steven Author-X-Name-Last: Cook Title: Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests Abstract: Using Monte Carlo simulation, the finite-sample sizes of asymmetric cointegration tests are examined in the presence volatility clustering. The findings obtained show the asymmetric tests of Enders and Siklos (2001) to exhibit greater oversizing than the previously examined implicitly symmetric cointegration test of Engle and Granger (1987). Further, it is found that oversizing is driven by the size of the volatility parameter of the GARCH processes considered, rather than their degree of persistence. Interestingly, the application of consistent-threshold estimation is shown to increase the size distortion of the asymmetric tests, with the consistent-threshold MTAR test displaying the greatest size distortion of all tests considered. Journal: Applied Financial Economics Letters Pages: 59-63 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701367485 File-URL: http://hdl.handle.net/10.1080/17446540701367485 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:59-63 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_236641_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Stuart Dullard Author-X-Name-First: Stuart Author-X-Name-Last: Dullard Author-Name: Kim Hawtrey Author-X-Name-First: Kim Author-X-Name-Last: Hawtrey Title: Do acquirer company returns improve after a takeover? Empirical evidence for Australia Abstract: This article investigates the returns of acquirer companies in the wake of corporate takeovers. The study tests the post-takeover returns of Australian acquirer firms during the period 2001 to 2003, using two alternative benchmark models. We find evidence that acquirer companies outperform the market benchmark in the three years following the takeover. We also find that takeovers improve the share price performance of such companies relative to their pre-takeover history. Journal: Applied Financial Economics Letters Pages: 65-69 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701367493 File-URL: http://hdl.handle.net/10.1080/17446540701367493 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:65-69 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_241523_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Bradley T. Ewing Author-X-Name-First: Bradley T. Author-X-Name-Last: Ewing Author-Name: Jamie B. Kruse Author-X-Name-First: Jamie B. Author-X-Name-Last: Kruse Author-Name: Mark A. Thompson Author-X-Name-First: Mark A. Author-X-Name-Last: Thompson Title: Transmission of shocks among health care stock index returns Abstract: This article examines the transmission of shocks among different sectors of the health care industry using financial market data in an excess-return model. As suggested by the nature of the reimbursement schemes, we find a significant linkage between the payor and product sectors. A significant and stronger linkage between the payor and provider sector exists. Given its competitive and well-diversified operating environment, the product sector may be better positioned to absorb shocks from the other health care sectors. Journal: Applied Financial Economics Letters Pages: 71-75 Issue: 1 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701416399 File-URL: http://hdl.handle.net/10.1080/17446540701416399 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:71-75 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_199282_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Khalid Al-Saad Author-X-Name-First: Khalid Author-X-Name-Last: Al-Saad Author-Name: Imad A. Moosa Author-X-Name-First: Imad A. Author-X-Name-Last: Moosa Title: Asymmetry in the price–volume relation: evidence based on individual company stocks traded in an emerging stock market Abstract: We test for asymmetry in the price–volume relation, using a sample of 36 individual stocks listed on the Kuwait stock exchange. For this purpose, we employ an asymmetric autoregressive distributed lag (ARDL) model that relates trading volume to positive and negative price changes. The results indicate the existence of a robust asymmetric price–volume relation whereby trading volume tends to be higher in a rising market than in a falling market. Journal: Applied Financial Economics Letters Pages: 151-155 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540600993811 File-URL: http://hdl.handle.net/10.1080/17446540600993811 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:151-155 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_233440_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 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: Luis Vicente Author-X-Name-First: Luis Author-X-Name-Last: Vicente Title: Money market fund investors’ response to fund company mergers Abstract: To our best knowledge, this study conducts the first analysis of the money market fund investors’ response to the major Spanish fund company mergers from 1994 to 2004. By using an event date methodology considering three significant moments in the merger process: (1) Public announcement (2) Merger (3) Change of denomination of the funds, we obtain that investors’ response to mergers is statistically significant when considering small fund companies. On the other hand, we do not detect a significant investors’ response to large fund family mergers. Journal: Applied Financial Economics Letters Pages: 109-113 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701335466 File-URL: http://hdl.handle.net/10.1080/17446540701335466 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:109-113 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_247606_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Imre Karafiath Author-X-Name-First: Imre Author-X-Name-Last: Karafiath Title: Incomplete temporal overlap and cross-sectional independence in event studies Abstract: In the event study literature, estimates of security abnormal returns are considered independent whenever securities have different event dates, i.e. in the absence of ‘event clustering’. Nonetheless, there are three sources of cross-sectional correlations in estimated abnormal returns even when no two securities have a common event date. First, the estimation interval (for market model parameters) may overlap; second, the event date for one security may overlap the estimation interval for another; third, event windows longer than a one (or two) day announcement may overlap. In this article, analytical and simulations methods are used to assess the influence of these partial overlaps. Simulations reveal that for short event windows (≤11 days, with 300 days in the estimation interval) these partial overlaps do not create any measurable bias, even when 50 separate events are contained within 125 trading days. However, there is potential for bias in ‘long horizon’ event studies with nearly clustered event dates. Journal: Applied Financial Economics Letters Pages: 81-86 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701477292 File-URL: http://hdl.handle.net/10.1080/17446540701477292 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:81-86 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_249246_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Andrew J. Kalotay Author-X-Name-First: Andrew J. Author-X-Name-Last: Kalotay Author-Name: Deane Yang Author-X-Name-First: Deane Author-X-Name-Last: Yang Author-Name: Frank J. Fabozzi Author-X-Name-First: Frank J. Author-X-Name-Last: Fabozzi Title: Optimal mortgage refinancing: application of bond valuation tools to household risk management Abstract: Despite the enormous volume of refinancing activity in conventional residential mortgages, reaching record levels during recent years of historically low interest rates, the solution to the problem of how to time refinancing decisions optimally has remained elusive. It is recognized that the decision should depend, among other factors, on the ‘call’ options of the outstanding and the new mortgage. Determining the value of these options is a challenge in the absence of an observable optionless mortgage yield curve. We solve this by calibrating a benchmark interest rate process to the value of the new mortgage and then apply the notion of refinancing efficiency to the timing decision. In particular, risk-averse decision makers can use refinancing efficiency to measure how close to optimal a refinancing is. We analyse the sensitivity of the decision to interest rate volatility and also show how to incorporate homeowner-specific considerations, namely borrowing horizon and income taxes. While calibration and refunding efficiency are well-known techniques in bond analysis, there is no evidence, hitherto, of their application to the mortgage-refinancing problem. Journal: Applied Financial Economics Letters Pages: 141-149 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701493729 File-URL: http://hdl.handle.net/10.1080/17446540701493729 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:141-149 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_252147_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Costas Karfakis Author-X-Name-First: Costas Author-X-Name-Last: Karfakis Title: What determines the forward exchange rate of the euro? Abstract: This study examines the determinants of the forward exchange rate of the euro in the context of the ‘modern approach’ for give currency combinations. The co-integration analysis suggests that speculation has played a minor role and arbitrage played a major role in determining the forward exchange rate of the euro. Journal: Applied Financial Economics Letters Pages: 127-131 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701522824 File-URL: http://hdl.handle.net/10.1080/17446540701522824 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:127-131 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_253634_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Vasanthakumar N. Bhat Author-X-Name-First: Vasanthakumar N. Author-X-Name-Last: Bhat Title: Productivity in the retail industry: does insider ownership of shares matter? Abstract: The purpose of this article is to analyse the influence of corporate insider ownership of shares on the performance of companies in the retail industry. Prior research examined the relationship between insider ownership and firm values measured by Tobin's Q. In this article, we focus on the relationship between insider ownership and efficiencies measured using Data Envelopment Analysis (DEA). To estimate efficiency using DEA, we treat employees, total earning assets (that includes property, plant and equipment and current assets), inventory and selling, general and administrative expenses as inputs and sales, income before extraordinary items and stock market values as outputs. This study confirms positive relationship between insider ownership and efficiencies of companies in the retail industry. Journal: Applied Financial Economics Letters Pages: 121-125 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701537731 File-URL: http://hdl.handle.net/10.1080/17446540701537731 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:121-125 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_253635_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Paul Alagidede Author-X-Name-First: Paul Author-X-Name-Last: Alagidede Title: Day of the week seasonality in African stock markets Abstract: This article investigates the day of the week anomaly in Africa's largest stock markets by looking at both the first and second moments of returns. We also incorporate market risk. We do not find day of the week effect in Egypt, Kenya, Morocco and Tunisia. However, there are significant daily seasonality in Zimbabwe, Nigeria and South Africa. Friday average return is found to be consistently higher than other days in Zimbabwe. The Nigerian market tends to display more seasonality in volatility than in expected return. The reverse hold for South Africa. Finally, the anomalies do not disappear even after accounting for risk. Journal: Applied Financial Economics Letters Pages: 115-120 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701537749 File-URL: http://hdl.handle.net/10.1080/17446540701537749 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:115-120 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_253636_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Syed Zulfiqar Ali Shah Author-X-Name-First: Syed Zulfiqar Ali Author-X-Name-Last: Shah Author-Name: Andrew W. Stark Author-X-Name-First: Andrew W. Author-X-Name-Last: Stark Author-Name: Saeed Akbar Author-X-Name-First: Saeed Author-X-Name-Last: Akbar Title: Firm size, sector and market valuation of R&D expenditures Abstract: Significant market value effects of R&D are found for UK firms of all sizes. Sector-based analyses indicate large, positive and statistically significant influences of R&D on market values of UK firms in both manufacturing and nonmanufacturing sectors. Journal: Applied Financial Economics Letters Pages: 87-91 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701537756 File-URL: http://hdl.handle.net/10.1080/17446540701537756 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:87-91 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_253637_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Perry Sadorsky Author-X-Name-First: Perry Author-X-Name-Last: Sadorsky Title: The oil price exposure of global oil companies Abstract: This study investigates the impact that global oil market risk factors have on the oil price risk of oil company stock prices. Results indicate that oil prices and market risk are both positive and statistically significant priced risk factors. Oil price risk is negatively impacted by increases in oil reserves. Oil price risk is positively impacted by increases in oil production. Oil price risk is more sensitive to changes in production rates than to changes in reserve additions rates. Journal: Applied Financial Economics Letters Pages: 93-96 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701537764 File-URL: http://hdl.handle.net/10.1080/17446540701537764 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:93-96 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_253638_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Alexander G. Kerl Author-X-Name-First: Alexander G. Author-X-Name-Last: Kerl Author-Name: Andreas Walter Author-X-Name-First: Andreas Author-X-Name-Last: Walter Title: The usual suspects: the effects of attention on journalists’ stock recommendations Abstract: This study examines if journalists are affected by attention stimuli similar to that of individual investors. Applying logistic regression technique, we find that journalists focus on attention grabbing stocks when publishing their buy and sell recommendations. Thereby, journalists intensify the well-documented attention bias of individual investors. Journal: Applied Financial Economics Letters Pages: 97-101 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701537772 File-URL: http://hdl.handle.net/10.1080/17446540701537772 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:97-101 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_253639_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Hsiang-Tai Lee Author-X-Name-First: Hsiang-Tai Author-X-Name-Last: Lee Title: The effects of asymmetries and regime switching on optimal futures hedging Abstract: This article investigates the effects of asymmetries and regime switching on futures hedging effectiveness by using an asymmetric Markov regime switching BEKK GARCH (ARSBEKK) model. Hedging performance is evaluated from both a risk-minimization and a utility standpoint. Out-of-sample estimates based on Nikkei 225 stock index futures data show that when we take the asymmetric effect into consideration, the hedging effectiveness is improved in both state-dependent and state-independent cases. In sample, we have the best hedging performance when hedge ratios are both state-dependent and asymmetric. Results also show that all dynamic hedging methods considered in this article create utility gains compared to the conventional ordinary least square hedge. Journal: Applied Financial Economics Letters Pages: 133-136 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701537780 File-URL: http://hdl.handle.net/10.1080/17446540701537780 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:133-136 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_256293_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Samih Antoine Azar Author-X-Name-First: Samih Antoine Author-X-Name-Last: Azar Title: The minimum required rate of return Abstract: There is a puzzle in financial economics, called risk-free rate puzzle, named after Weil (1989). This puzzle consists of the observation that the risk-free rate is too low to be explained by actual consumption behaviour. Building upon previous research, and applying the concept of minimum compensation with expected utility, this article finds an equilibrium risk-free rate of 0.2% in real terms compared to an actual real risk-free rate of around 1%. Therefore, the puzzle is reversed; the actual risk-free rate is too high to describe investor sentiment. Journal: Applied Financial Economics Letters Pages: 137-139 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701564362 File-URL: http://hdl.handle.net/10.1080/17446540701564362 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:137-139 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_257755_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Gunther Capelle-Blancard Author-X-Name-First: Gunther Author-X-Name-Last: Capelle-Blancard Author-Name: Marie-Aude Laguna Author-X-Name-First: Marie-Aude Author-X-Name-Last: Laguna Title: The Buncefield oil depot explosion: where there's smoke, there's (stock market) fire? Abstract: This study examines the stock market response to the Buncefield oil depot explosion in 2005. Like previous studies on technological disasters, we find an adverse effect on security prices. However, average abnormal return is only −0.58% for the four oil firms involved in the accident; that is, the explosion did not throw shareholders into panic selling. Journal: Applied Financial Economics Letters Pages: 103-107 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701579006 File-URL: http://hdl.handle.net/10.1080/17446540701579006 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:103-107 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_257756_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Mark Schaub Author-X-Name-First: Mark Author-X-Name-Last: Schaub Title: A note on the effects of debt buybacks in the MM world Abstract: This study notes that in the world of Modigliani and Miller (MM), a debt buyback program will maximize the share price as well as cash flows to the stockholders. Also, holding period returns for investors that buy into the company before the debt buyback are higher than a similar MM firm that does not repurchase its debt. Journal: Applied Financial Economics Letters Pages: 77-79 Issue: 2 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701579014 File-URL: http://hdl.handle.net/10.1080/17446540701579014 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:77-79 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_152241_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Alexander G. Kondeas Author-X-Name-First: Alexander G. Author-X-Name-Last: Kondeas Author-Name: Steven B. Caudill Author-X-Name-First: Steven B. Author-X-Name-Last: Caudill Author-Name: Daniel M. Gropper Author-X-Name-First: Daniel M. Author-X-Name-Last: Gropper Author-Name: Jennie E. Raymond Author-X-Name-First: Jennie E. Author-X-Name-Last: Raymond Title: Deregulation and productivity changes in banking: evidence from European unification Abstract: Over the 1990s European banking markets became increasingly deregulated as European unification progressed. National borders become less relevant, and product line restrictions diminished, increasing competitive pressures on institutions to operate more efficiently. A stochastic frontier cost function is estimated for commercial banks across 15 nations in the European Union (EU) to obtain a better understanding of how banks adapted in this period of rapid change in the competitive environment. It is found that the banking systems in all individual countries became more efficient. Country rankings according to productivity changed little over the sample period, and productivity differences between banking systems narrowed. These results suggest that the policy of reducing restrictions and harmonizing regulations was consistent with promoting banking efficiency across the EU. Journal: Applied Financial Economics Letters Pages: 193-197 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540500522587 File-URL: http://hdl.handle.net/10.1080/17446540500522587 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:193-197 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_258987_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Charly Sujoto Author-X-Name-First: Charly Author-X-Name-Last: Sujoto Author-Name: Petko Kalev Author-X-Name-First: Petko Author-X-Name-Last: Kalev Author-Name: Robert Faff Author-X-Name-First: Robert Author-X-Name-Last: Faff Title: Systematic liquidity in the long run Abstract: In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders’ activity rather than informed traders' activity. Journal: Applied Financial Economics Letters Pages: 187-191 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701591357 File-URL: http://hdl.handle.net/10.1080/17446540701591357 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:187-191 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_260280_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Barbara Luppi Author-X-Name-First: Barbara Author-X-Name-Last: Luppi Author-Name: Massimiliano Marzo Author-X-Name-First: Massimiliano Author-X-Name-Last: Marzo Author-Name: Antonello E. Scorcu Author-X-Name-First: Antonello E. Author-X-Name-Last: Scorcu Title: Credit risk and Basel II: are nonprofit firms financially different? Abstract: We estimate a model of credit risk for portfolios of small and medium-sized enterprises, conditional on being a nonprofit (NP) or for-profit (FP) firms. The estimation is based on a unique data set on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for NP and FP firms. Traditional balance sheet information seems to be less crucial for NP firms. Journal: Applied Financial Economics Letters Pages: 199-203 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701604283 File-URL: http://hdl.handle.net/10.1080/17446540701604283 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:199-203 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_260281_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Carlos E. Ortiz Author-X-Name-First: Carlos E. Author-X-Name-Last: Ortiz Author-Name: Charles A. Stone Author-X-Name-First: Charles A. Author-X-Name-Last: Stone Author-Name: Anne Zissu Author-X-Name-First: Anne Author-X-Name-Last: Zissu Title: Fixed income securities with a zero Macaulay duration: senior life settlements Abstract: Senior life settlements belong to the family of fixed income securities, however, because of the negative stream of cash flows generated by the payment of yearly premia p and the only one positive lump sum received at death of the senior life settler, contrary to the other fixed income securities, senior life settlements, under certain conditions, can achieve a zero Macaulay duration. Investors interested in a hedged portfolio against interest risk could purchase such life settlements. We develop the conditions for which a zero Macaulay duration is obtained. Journal: Applied Financial Economics Letters Pages: 205-207 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701604291 File-URL: http://hdl.handle.net/10.1080/17446540701604291 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:205-207 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_260282_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Athanasios Tsagkanos Author-X-Name-First: Athanasios Author-X-Name-Last: Tsagkanos Title: The Bootstrap Maximum Likelihood Estimator: the case of logit Abstract: The estimation of the parameters of logit model is mostly performed with method of maximum likelihood. However, the classical maximum likelihood estimators are biased and inefficient in appearance of small samples. The jackknife maximum likelihood estimator improves the above problems but still includes serious disadvantages. In this article, the Bootstrap Maximum Likelihood Estimator is developed as an alternative advanced method for reducing the bias and correcting the troubles with inefficiency and nonnormality. The importance of the method is shown through its application on data of Greek mergers and acquisitions. Journal: Applied Financial Economics Letters Pages: 209-212 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701604309 File-URL: http://hdl.handle.net/10.1080/17446540701604309 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:209-212 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_262853_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 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: I. M. Schoeman Author-X-Name-First: I. M. Author-X-Name-Last: Schoeman Author-Name: B. A. Tau Author-X-Name-First: B. A. Author-X-Name-Last: Tau Title: Dynamic modelling of bank profits Abstract: A topical issue in financial economics is the development of a stochastic dynamic model for bank behaviour. Under the assumption that the loan market is imperfectly competitive, we investigate the evolution of banking items such as loans, provisions for loan losses and deposit withdrawals, Treasuries and deposits and their relationship with profit. A motivation for studying this type of problem is the need to generalize the more traditional discrete-time models that are being used in the majority of studies that analyse banks and their operational idiosyncracies. An important outcome of our research is an explicit model for bank profit based solely on the stochastic dynamics of bank assets (loans, Treasuries and reserves) and liabilities (deposits). By way of conclusion, we provide a brief discussion of some of the economic aspects of the dynamic bank modelling undertaken in the main body of the article. Journal: Applied Financial Economics Letters Pages: 157-161 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701630056 File-URL: http://hdl.handle.net/10.1080/17446540701630056 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:157-161 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_262854_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Lingyan Zuo Author-X-Name-First: Lingyan Author-X-Name-Last: Zuo Author-Name: Simon Hussain Author-X-Name-First: Simon Author-X-Name-Last: Hussain Title: Financial distress, relative performance and takeovers as drivers for abnormal accruals Abstract: Our article examines abnormal accruals for a large sample of UK firms between 1994 and 2004, standardized so as to control for firm size, profitability, growth, information asymmetry and debt. We find that financial distress, proxied by a bankruptcy prediction model developed for UK firms (Charitou et al., 2004), and profitability relative both to cross-sectional and industry-specific norms, are important determinants of abnormal accruals: this is consistent with Peasnell et al. (2000) and Butler et al. (2004). Our results also confirm the suggestion by Jiraporn (2005) that abnormal accruals for acquired firms do not appear to display a particular ‘sign’. Journal: Applied Financial Economics Letters Pages: 183-186 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701630064 File-URL: http://hdl.handle.net/10.1080/17446540701630064 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:183-186 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_268806_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Bernardo Maggi Author-X-Name-First: Bernardo Author-X-Name-Last: Maggi Author-Name: Fabrizio Infortuna Author-X-Name-First: Fabrizio Author-X-Name-Last: Infortuna Title: Assessing Italian Government bonds’ term structure with CIR model in the aftermath of EMU Abstract: In this article we analyse the term structure of the Italian Government bonds after the adoption of Euro currency. In such a framework, we make use of the CIR model and deal with the degree of different volatilities of the maturities considered. To cope with this problem, we propose a simple correction formula and make use of a reaction function to take into account the influence of the monetary policy of the ECB with the result of considerably improving the performance of the model. Journal: Applied Financial Economics Letters Pages: 163-170 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701689391 File-URL: http://hdl.handle.net/10.1080/17446540701689391 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:163-170 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_268807_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Udomsak Wongchoti Author-X-Name-First: Udomsak Author-X-Name-Last: Wongchoti Author-Name: Fei Wu Author-X-Name-First: Fei Author-X-Name-Last: Wu Title: Provincial co-movement in Chinese stock returns Abstract: Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading activities of individual stocks also co-vary with provincial volume. The last two findings support the roles of investor behaviour in explaining the local return co-movement phenomenon. Journal: Applied Financial Economics Letters Pages: 171-176 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701689409 File-URL: http://hdl.handle.net/10.1080/17446540701689409 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:171-176 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_270325_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Yu Hsing Author-X-Name-First: Yu Author-X-Name-Last: Hsing Title: Test of a quadratic relationship between the yield of TIPS and the federal funds rate Abstract: This article examines the potential impacts of monetary policy on the yield of Treasury inflation-protected securities (TIPS). A quadratic relationship is confirmed for all four types of TIPS. It suggests that Fed easing would not lower TIPS yields when the federal funds rate is below certain critical values whereas Fed tightening would raise TIPS yields when the federal funds rate is greater than certain critical values. Journal: Applied Financial Economics Letters Pages: 213-216 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701704331 File-URL: http://hdl.handle.net/10.1080/17446540701704331 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:213-216 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_270326_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Kostantinos Nikolopoulos Author-X-Name-First: Kostantinos Author-X-Name-Last: Nikolopoulos Author-Name: Michael C. Handrinos Author-X-Name-First: Michael C. Author-X-Name-Last: Handrinos Title: The future of credit unions in the United States: evidence from quantitative extrapolations Abstract: Credit Unions (CUs) are financial co-operatives owned and controlled by their members; in the United States they operate both on state as well as on a national level and are in direct competition with retail high-street banks. In this study we use published data for six key financial figures from ten states in the US and present short to mid-term extrapolations. An Expert Forecasting Support System, selecting via a competition among classic extrapolative techniques, has been employed in order to prepare one-year as well as five-years ahead forecasts. The results surface significant statistical evidence of: (a) merging across CUs, and (b) blooming of all key financial figures. †An earlier version of this paper was presented in MIC'06 – Management International Conference 2006, 23–25 November 2006, Portoro[zbreve], Slovenia. Journal: Applied Financial Economics Letters Pages: 177-182 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701704349 File-URL: http://hdl.handle.net/10.1080/17446540701704349 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:177-182 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_270327_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Sherrill Shaffer Author-X-Name-First: Sherrill Author-X-Name-Last: Shaffer Title: Value-neutral tradeoffs between failure risk and growth Abstract: Business choices typically entail tradeoffs between potential growth rates and the risk of failure. This note applies recent results from the theoretical valuation literature to characterize, as a benchmark, the terms of that tradeoff sufficient to leave the expected value of discounted cash flows unchanged. The central result indicates that risk-neutral investors could accept sizeable increases in risk in exchange for modest improvements in expected growth rates. The benchmark result can be used to rank projects in terms of their impact on the value of the firm's equity. Journal: Applied Financial Economics Letters Pages: 217-219 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701704356 File-URL: http://hdl.handle.net/10.1080/17446540701704356 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:217-219 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_270328_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Christos Alexakis Author-X-Name-First: Christos Author-X-Name-Last: Alexakis Author-Name: Dimitris Balios Author-X-Name-First: Dimitris Author-X-Name-Last: Balios Title: Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange Abstract: In this article, we investigate the possibility that stock market microstructure characteristics might affect price formation and volatility in the Athens Stock Exchange (ATHEX). We conclude that alterations in the structure and the duration of the trading session do not affect volatility or increase informational efficiency. In addition, statistical evidence is provided that the continuous trading system seems more efficient than the system of trading sessions with halts. Journal: Applied Financial Economics Letters Pages: 225-231 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701704364 File-URL: http://hdl.handle.net/10.1080/17446540701704364 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:225-231 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271959_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Takeshi Hoshikawa Author-X-Name-First: Takeshi Author-X-Name-Last: Hoshikawa Title: Does foreign exchange intervention reduces the exchange rate volatility? Abstract: We report that the Japanese foreign exchange intervention reduces the yen/US dollar exchange rate volatility. Numerous studies generally concluded that foreign exchange interventions increased exchange rate volatility using daily data. The results of our article using monthly data are contrary to results of previous studies. Journal: Applied Financial Economics Letters Pages: 221-224 Issue: 3 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720485 File-URL: http://hdl.handle.net/10.1080/17446540701720485 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:221-224 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_270329_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Steven Cook Author-X-Name-First: Steven Author-X-Name-Last: Cook Title: Econometric analysis of interest rate pass-through Abstract: The econometric analysis of interest rate pass-through is examined. It is noted a number of recent studies have employed a procedure that underestimates the extent of interest rate pass-through. This issue is highlighted via an analysis of pass-through from the U.S. Federal Funds rate to the U.S. 30-year fixed mortgage rate. In contrast to work of Payne (2006), which draws an inference of incomplete interest rate pass-through, the adoption of an unbiased method leads to the conflicting conclusion that it is complete. The importance of adopting an unbiased method is noted given the central role of interest rate pass-through in the effectiveness and transmission of monetary policy. Journal: Applied Financial Economics Letters Pages: 249-251 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701704372 File-URL: http://hdl.handle.net/10.1080/17446540701704372 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:249-251 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271960_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Marco Realdon Author-X-Name-First: Marco Author-X-Name-Last: Realdon Title: Credit default swap rates and stock prices Abstract: This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a firm's default intensity to its observed stock price. The pricing model requires finite difference numerical solutions. In spite of this quasi-maximum likelihood parameter estimation is still feasible. Evidence from a sample of large corporations confirms the validity of the link between the firm's stock price and default intensity. Journal: Applied Financial Economics Letters Pages: 241-248 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720493 File-URL: http://hdl.handle.net/10.1080/17446540701720493 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:241-248 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271961_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Ikhlaas Gurrib Author-X-Name-First: Ikhlaas Author-X-Name-Last: Gurrib Title: Do large hedgers and speculators react to events? A stability and events analysis Abstract: Using CFTC's COT data, this letter analysed whether large hedgers and large speculators were influenced by major economic events of the 1990s. Eight major economics events are looked at over 10-year period, and findings support that these informed players were hardly affected by major events. The trading determinant model, mean equation model and, risk and return relationship model suggested the behaviour and performance of these key market players were stable, and any significant structural break were short lived. The use of SD as a measure of risk captured more breaks in the risk and return relationship model, due to its higher sensitiveness to futures prices in the 29 US futures markets. Journal: Applied Financial Economics Letters Pages: 259-267 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720501 File-URL: http://hdl.handle.net/10.1080/17446540701720501 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:259-267 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271962_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 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 Title: Style analysis, customized benchmarks, and managed funds: new evidence Abstract: In this article we extend the application of returns-based style analysis in order to gauge the performance of a sample of Australian multi-sector managed funds. Specifically, we apply both static and rolling window style analysis to develop customized performance benchmarks for each fund. These benchmarks are then applied within traditional models to assess fund selectivity, market timing and volatility timing performance. Journal: Applied Financial Economics Letters Pages: 253-258 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720519 File-URL: http://hdl.handle.net/10.1080/17446540701720519 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:253-258 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271963_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Reza Raei Author-X-Name-First: Reza Author-X-Name-Last: Raei Author-Name: Shapour Mohammadi Author-X-Name-First: Shapour Author-X-Name-Last: Mohammadi Title: Fractional return and fractional CAPM Abstract: The explanatory power of the capital assets pricing model (CAPM) is low because, it uses parsimonious modelling and differenced data. Overdifferenced asset prices show lower R2 values than the data with I(1) property (i.e. first difference of them give ADF-test–statistics near to the critical level). The CAPM of fractionally differenced series has a higher R2 than the traditional CAPM. Fractional return, or generalized return, is a long-run concept that is consistent with long-run CAPM. Various estimation methods, such as robust estimators, or alternative models, such as arbitrage pricing theory (APT), cannot handle the loss of information that occurs when data are transformed to the stationary series. Journal: Applied Financial Economics Letters Pages: 269-275 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720527 File-URL: http://hdl.handle.net/10.1080/17446540701720527 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:269-275 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271964_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Philip Gharghori Author-X-Name-First: Philip Author-X-Name-Last: Gharghori Author-Name: Ronald Lee Author-X-Name-First: Ronald Author-X-Name-Last: Lee Author-Name: Madhu Veeraraghavan Author-X-Name-First: Madhu Author-X-Name-Last: Veeraraghavan Title: Are stock returns related toshort-term and long-term past returns? Australian evidence Abstract: The purpose of this article is to identify whether there is a short-term continuation of returns and a long-term reversal of returns in an Australian setting and to subsequently investigate if the Capital Asset Pricing Model (hereafter CAPM) and the Fama and French (1993) three factor model (hereafter FFM) are capable of explaining these anomalies. We find a short-term continuation of returns but not a long-term reversal of returns. We also find that both models fail to explain the short-term continuation in returns. However, the FFM yields higher explanatory power than the CAPM. Journal: Applied Financial Economics Letters Pages: 277-282 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720535 File-URL: http://hdl.handle.net/10.1080/17446540701720535 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:277-282 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271965_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Martin Lally Author-X-Name-First: Martin Author-X-Name-Last: Lally Title: Measuring the US social discount rate: reply to Azar Abstract: Azar (2007) argues that an appropriate market-based estimate of the US real social discount rate is 5.66%, with a 95% confidence interval ranging from 5.62 to 5.71%. However, this line of argument implicitly and wrongly equates the risk on public sector projects with that for the optimal portfolio of risky and risk free assets. It also vastly underestimates the confidence interval on the discount rate primarily through ignoring uncertainty surrounding the expected return on risky assets. Journal: Applied Financial Economics Letters Pages: 283-285 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720543 File-URL: http://hdl.handle.net/10.1080/17446540701720543 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:283-285 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271966_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Brian Jacobsen Author-X-Name-First: Brian Author-X-Name-Last: Jacobsen Title: Demonstrating error-correction modelling for intraday statistical arbitrage Abstract: Applying cointegration analysis to security price movements illustrates how securities move together in the long-term. This can be augmented with an error-correction model to show how the long-run relationship is approached when the security prices are out of line with their cointegrated relationship. Cointegration and error-correction modelling promises to be useful in statistical arbitrage applications: not only does it show what relative prices of securities should be, but it also illuminates the short-run dynamics of how equilibrium should be restored along with how long it will take. Cointegration, coupled with error-correction modelling, promises to be a profitable way of implementing statistical arbitrage strategies.11 For example, see Kumar and Seppi (1994), Wang and Yau (1994), Forbes et al. (1999), Canjels et al. (2004), Tatom (2002), Harasty and Roulet (2000) and Laopodis and Sawhney (2002). They have applications ranging from index arbitrage to gold-point arbitrage during the pre-World War I era. Bondarenko (2003) and Hogan et al. (2004) defined statistical arbitrage as an attempt to exploit the long-horizon trading opportunities revealed by cointegration relationships. Alexander and Dimitriu (2005) showed how cointegration is a better way of implementing a statistical arbitrage strategy than other conventional ways, like the use of tracking error variance minimization. These previous studies, however, did not add error-correction modelling to the trading strategies. This article seeks to fill that gap, by presenting how to implement a statistical arbitrage strategy based on cointegration and error-correction modelling. Journal: Applied Financial Economics Letters Pages: 287-292 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720550 File-URL: http://hdl.handle.net/10.1080/17446540701720550 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:287-292 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271967_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Andreas Dombret Author-X-Name-First: Andreas Author-X-Name-Last: Dombret Author-Name: Ferdinand Mager Author-X-Name-First: Ferdinand Author-X-Name-Last: Mager Author-Name: Timo Reinschmidt Author-X-Name-First: Timo Author-X-Name-Last: Reinschmidt Title: Global takeover premiums – country vs. industry impact Abstract: We analyse the country and industry impact on takeover premiums in Germany, France, the USA and the UK. We find that the level of takeover premiums is highly country specific. The industry only plays a minor role with the exception of the financial sector. Germany and France, both countries exhibit significantly lower premiums than the Anglo-Saxon countries. In Germany, these lower premiums are mainly driven by foreign bidders, in France the opposite holds true. Journal: Applied Financial Economics Letters Pages: 293-297 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720568 File-URL: http://hdl.handle.net/10.1080/17446540701720568 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:293-297 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271968_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Kent Hickman Author-X-Name-First: Kent Author-X-Name-Last: Hickman Author-Name: Stuart Cooper Author-X-Name-First: Stuart Author-X-Name-Last: Cooper Author-Name: Sam Agyei-Ampomah Author-X-Name-First: Sam Author-X-Name-Last: Agyei-Ampomah Title: Estimating the value of victory: English football Abstract: Professional English football combines publicly traded ownership shares with an active and observable wagering market. This article utilizes the information from these markets, presenting a model that may be used to estimate the impact of matches on club values. Such information is potentially useful as clubs assess the values of players and coaches based on their anticipated contributions to team performance. The article also illustrates the modelling of ‘binomial events,’ such as win/lose, hire/do not hire or approval/disapproval, and how market-determined price responses illuminate expectations. Journal: Applied Financial Economics Letters Pages: 299-302 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720576 File-URL: http://hdl.handle.net/10.1080/17446540701720576 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:299-302 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271969_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Michael Dowling Author-X-Name-First: Michael Author-X-Name-Last: Dowling Author-Name: Brian Lucey Author-X-Name-First: Brian Author-X-Name-Last: Lucey Title: Mood and UK equity pricing Abstract: We investigate the relationship between mood and UK equity pricing. Seven variables that are argued to proxy for mood are tested, including four weather variables (temperature, precipitation, wind speed and geomagnetic storms), and three biorhythm variables (Seasonal Affective Disorder, Daylight Savings Time Changes and lunar phases). Using GARCH specifications of the equity indices, and multiple constructs of each of the mood-proxy variables, we find evidence of a relationship between UK equity pricing and high temperatures and wind speed. However, the results are generally unfavourable towards a conclusion that investor mood influences aggregate UK equity pricing. Journal: Applied Financial Economics Letters Pages: 233-240 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720584 File-URL: http://hdl.handle.net/10.1080/17446540701720584 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:233-240 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271972_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Marco Percoco Author-X-Name-First: Marco Author-X-Name-Last: Percoco Title: Risk aversion, regional welfare state and private pension plans Abstract: The investment decisions of individuals are influenced by their perception of risk. The article investigates from an empirical viewpoint the role of risk aversion and of local government as a provider of public services in shaping the decisions of individuals to subscribe to private pension plans. It finds that risk aversion is a relatively important factor in the pension funds subscription decision, and that the greater the provision of local social services, the lower the probability of subscription. Journal: Pages: 303-306 Issue: 4 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720618 File-URL: http://hdl.handle.net/10.1080/17446540701720618 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:4:p:303-306 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271971_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Kin Ming Wong Author-X-Name-First: Kin Ming Author-X-Name-Last: Wong Author-Name: Terence Tai-Leung Chong Author-X-Name-First: Terence Tai-Leung Author-X-Name-Last: Chong Title: A threshold model for the Hong Kong warrant prices Abstract: This article examines the factors that are not considered in the Black–Scholes model in determining the price of warrants. Using the outstanding percentage as a threshold variable, we test for the existence of threshold effect in warrant prices. It is shown that for warrants with a low outstanding percentage, an increase in the outstanding percentage will lower the call price. On the other hand, for warrants with high outstanding percentage, the call price is less affected by the outstanding percentage. Journal: Applied Financial Economics Letters Pages: 337-339 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720600 File-URL: http://hdl.handle.net/10.1080/17446540701720600 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:337-339 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271973_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Nikolai Dokuchaev Author-X-Name-First: Nikolai Author-X-Name-Last: Dokuchaev Title: Price matching for multiple rescindable options and European options Abstract: We study a modification of an American option such that the option holder can exercise the option early before the expiration, and he or she can revert later this decision to exercise a number of times. This feature gives additional flexibility and risk protection for the option holder. We found that, for the Black–Scholes market model, the price of call options with this feature is the same as for European call, i.e. the additional flexibility costs nothing, similarly to the situation with American and European call options. For the market model with zero interest rate, the price of put options with this feature is also the same as for the standard European put options. Therefore, these options can be more competitive than standard American options. Journal: Applied Financial Economics Letters Pages: 319-325 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720626 File-URL: http://hdl.handle.net/10.1080/17446540701720626 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:319-325 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271974_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Dierk Herzer Author-X-Name-First: Dierk Author-X-Name-Last: Herzer Title: The causal relationship between domestic and outward foreign investment: evidence for Italy Abstract: This article examines the impact of outward foreign direct investment (OFDI) on domestic investment by applying cointegration techniques to macroeconomic time series data for Italy. We find that OFDI has negative short-run and positive long-run effects on domestic investment. Furthermore, our empirical results show that the long-run causality is bi-directional, suggesting that increased OFDI is both a cause and a consequence of increased domestic investment. Journal: Applied Financial Economics Letters Pages: 307-310 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720634 File-URL: http://hdl.handle.net/10.1080/17446540701720634 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:307-310 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271975_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Chen-Wen Chen Author-X-Name-First: Chen-Wen Author-X-Name-Last: Chen Author-Name: Victor Liu Author-X-Name-First: Victor Author-X-Name-Last: Liu Title: Does the rule for voluntary disclosure induce truthful disclosure? Abstract: This article demonstrates how Rule 10b-5 of the 1934 Securities and Exchange Act fails to induce voluntary disclosure. We show that company owners may deter the disclosure policy for their financing decisions. While there is a link between the way in which firms raise external capital and the information which their firms disclose, we show that the transformed reaction of disclosure is the signal for the company's financing policy. Journal: Applied Financial Economics Letters Pages: 375-377 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720642 File-URL: http://hdl.handle.net/10.1080/17446540701720642 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:375-377 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271976_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Cheah Eng Tuck Author-X-Name-First: Cheah Eng Author-X-Name-Last: Tuck Author-Name: Lee Yoong Hon Author-X-Name-First: Lee Yoong Author-X-Name-Last: Hon Title: A note on the general elections and long memory: evidence from the London Stock Exchange Abstract: The efficient market hypothesis (EMH) in the weak-form requires that there is no serial correlation between the returns at different times and successive price changes. On the contrary, stock returns displaying statistically significant autocorrelation between observations widely separated in time, or long memory, would weaken the properties derived from martingale models for pricing derivatives and other financial assets. Using spectral regression method, the fractional differencing parameter is estimated using 522 trading days (2 years post-UK general election day) in the London Stock Exchange (LSE). Evidence suggests that, regardless of the political party forming the government and consistent with findings for major capital markets, there is no evidence to suggest that the market is inefficient in the weak form of the efficient market hypothesis. Journal: Applied Financial Economics Letters Pages: 331-335 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720659 File-URL: http://hdl.handle.net/10.1080/17446540701720659 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:331-335 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271977_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Hironobu Miyazaki Author-X-Name-First: Hironobu Author-X-Name-Last: Miyazaki Author-Name: Hiroyuki Aman Author-X-Name-First: Hiroyuki Author-X-Name-Last: Aman Title: The stock market's valuationof R&D externalities Abstract: R&D, particularly basic research, is generally considered as a public good. It provides positive externalities to other firms. This article investigates rival firms' stock-price responses to an increase in the R&D expenditures of a firm. Examining firms in the pharmaceutical industry, we found that the market valuations of some rival firms benefit from R&D externalities. Moreover, the cross-sectional analysis indicated that R&D-intensive firms benefit immensely from them. From this result, investors might assess that these firms have the full potential to absorb new R&D knowledge. Journal: Applied Financial Economics Letters Pages: 369-373 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720667 File-URL: http://hdl.handle.net/10.1080/17446540701720667 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:369-373 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271978_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Jin-Li Hu Author-X-Name-First: Jin-Li Author-X-Name-Last: Hu Author-Name: Tzu-Pu Chang Author-X-Name-First: Tzu-Pu Author-X-Name-Last: Chang Title: Decomposition of mutual fund underperformance Abstract: This article follows a three-stage data envelopment analysis (DEA) approach proposed by Fried et al. (2002) to decompose mutual fund underperformance, in order to obtain pure managerial performance. In the first stage, DEA is used to compute each fund's performance. In the second stage, a stochastic frontier regression decomposes fund underperformance into characteristics (including fund and management attributes), managerial inefficiency, and statistical noise. In the third stage, DEA with slack-adjusted data is used to find out the pure performance. It is found that a fund's performance significantly increases with its size, previous performance, manager's tenure and education, while it decreases with the age of the fund and number of managed funds. Journal: Applied Financial Economics Letters Pages: 363-367 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720675 File-URL: http://hdl.handle.net/10.1080/17446540701720675 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:363-367 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271979_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Shu-Hsien Chen Author-X-Name-First: Shu-Hsien Author-X-Name-Last: Chen Author-Name: Ming-Shann Tsai Author-X-Name-First: Ming-Shann Author-X-Name-Last: Tsai Author-Name: Fang-Ling Liao Author-X-Name-First: Fang-Ling Author-X-Name-Last: Liao Title: An alternative method for measuring risk compensation of event jumps Abstract: The portfolio management strategy can gain additional wealth from measuring the cost of accounting for events jumps. This study captures the characteristic of jumps on international equities return in the real world. This frame work follows the Das and Uppal (2004) and bridges the gap on the p. 2817. We find, in their study, the problem that exists an expected term in the final solution of compensating wealth. This article also finds some relationship between the jump size and portfolio weights on the risk compensation. Journal: Applied Financial Economics Letters Pages: 355-361 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720683 File-URL: http://hdl.handle.net/10.1080/17446540701720683 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:355-361 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271980_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Costas Siriopoulos Author-X-Name-First: Costas Author-X-Name-Last: Siriopoulos Author-Name: Dionysis Antonios Lalountas Author-X-Name-First: Dionysis Antonios Author-X-Name-Last: Lalountas Title: Firm survival and time aggregation bias Abstract: This note provides some evidence of the sensitivity of firm survival duration dependence to time aggregation, when durations are Weibull distributed. The results indicate that estimates of duration dependence are always positively biased: This bias increases with the width of time aggregation window and decreases with the length of expected durations. On the other hand, time aggregation does not seem to have drastic effect on the regression parameter estimates. These results are unaffected by the time aggregation mechanism. Journal: Applied Financial Economics Letters Pages: 351-354 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720691 File-URL: http://hdl.handle.net/10.1080/17446540701720691 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:351-354 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271981_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: David Giles Author-X-Name-First: David Author-X-Name-Last: Giles Title: Some properties of absolute returns as a proxy for volatility Abstract: We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns. Journal: Applied Financial Economics Letters Pages: 347-350 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720709 File-URL: http://hdl.handle.net/10.1080/17446540701720709 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:347-350 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_271982_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: David McMillan Author-X-Name-First: David Author-X-Name-Last: McMillan Author-Name: Pako Thupayagale Author-X-Name-First: Pako Author-X-Name-Last: Thupayagale Title: Efficiency of the South African equity market Abstract: The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the market. The results show that volatility exhibits a predictable component in both sample periods, while returns in both sample periods do not. This suggests that equity market reforms had a benign impact on the market. Journal: Applied Financial Economics Letters Pages: 327-330 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701720717 File-URL: http://hdl.handle.net/10.1080/17446540701720717 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:327-330 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_273542_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Mauricio Nunes Author-X-Name-First: Mauricio Author-X-Name-Last: Nunes Author-Name: Sergio Da Silva Author-X-Name-First: Sergio Author-X-Name-Last: Da Silva Title: Foreign exchange intervention and central bank independence: the Latin American experience Abstract: Employing data from 13 Latin American countries, we find that greater central bank independence is associated with lesser intervention in the foreign exchange market, and also with leaning-against-the-wind intervention. We also find that the structural reforms that occurred in Latin America mostly in the 1990s helped to reduce the need for foreign exchange intervention. Journal: Applied Financial Economics Letters Pages: 379-382 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701735996 File-URL: http://hdl.handle.net/10.1080/17446540701735996 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:379-382 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_273543_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Robert Brooks Author-X-Name-First: Robert Author-X-Name-Last: Brooks Author-Name: Shelley Claire Naylor Author-X-Name-First: Shelley Claire Author-X-Name-Last: Naylor Title: An ordered probit model of Morningstar individual stock ratings Abstract: This article analyses the overall ratings given to individual companies listed in the ‘Morningstar Stocks 2005’, using information provided on the company in that publication. We conduct our analysis using an ordered probit model. We find that the moat size and business risk variables identified by Morningstar are important determinants of ratings. However, we find that the style box variables are insignificant. Journal: Applied Financial Economics Letters Pages: 341-345 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701736002 File-URL: http://hdl.handle.net/10.1080/17446540701736002 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:341-345 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_273544_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Simone Alfarano Author-X-Name-First: Simone Author-X-Name-Last: Alfarano Author-Name: Friedrich Wagner Author-X-Name-First: Friedrich Author-X-Name-Last: Wagner Author-Name: Mishael Milaković Author-X-Name-First: Mishael Author-X-Name-Last: Milaković Title: A nonparametric approach tothe noise density in stochastic volatility models Abstract: We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is often adequate, but we do observe deviations from Gaussian noise for some assets, for instance gold. Journal: Applied Financial Economics Letters Pages: 311-314 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701736010 File-URL: http://hdl.handle.net/10.1080/17446540701736010 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:311-314 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_273545_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Naohiko Baba Author-X-Name-First: Naohiko Author-X-Name-Last: Baba Author-Name: Yoichi Ueno Author-X-Name-First: Yoichi Author-X-Name-Last: Ueno Title: Are stock repurchases more flexible than dividends? The caseof Japanese firms Abstract: This article investigates the flexibility hypothesis of stock repurchases relative to dividends using the panel data of 577 Japanese firms. The estimation result of the partial adjustment model shows that the coefficient of adjustment speed towards the target payouts is higher for total payouts defined as the sum of dividends and stock repurchases (62.4%) than dividends only (34.3%). This result suggests that stock repurchases are more flexible than dividends in Japan. Journal: Applied Financial Economics Letters Pages: 315-318 Issue: 5 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701736028 File-URL: http://hdl.handle.net/10.1080/17446540701736028 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:315-318 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_274860_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Vitor Leone Author-X-Name-First: Vitor Author-X-Name-Last: Leone Author-Name: Lawrence Leger Author-X-Name-First: Lawrence Author-X-Name-Last: Leger Title: Generating innovations in economic variables Abstract: Stock prices should respond only to unpredictable components of economic news (‘innovations’) in efficient markets. While innovations used in empirical investigations of the economic underpinnings of stock market risk should at least satisfy this basic requirement, this may not guarantee satisfactory research results. Three methods of generating innovations are evaluated for a variety of economic variables. First differencing produces unsatisfactory, serially correlated innovations in general. Both ARIMA and Kalman Filter innovations are unpredictable, but in a further evaluation the component scores from Principal Components Analysis are regressed against economic innovations using PcGets. The results are far less noisy when Kalman Filter innovations are used. Journal: Applied Financial Economics Letters Pages: 409-415 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701748965 File-URL: http://hdl.handle.net/10.1080/17446540701748965 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:409-415 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_276510_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Yu Hsing Author-X-Name-First: Yu Author-X-Name-Last: Hsing Title: On the functional form of PPP: the case of nine new EU countries Abstract: This article applies the extended Box–Cox model to test functional forms of purchasing power parity (PPP) for nine new EU countries. It finds that the widely used double-log form for PPP can be rejected for eight countries except for the Czech Republic and that the unitary elasticity can be rejected for eight countries except for Slovenia. Hence, most countries have a nonlinear functional form of PPP and exhibit a nonunitary elasticity. Journal: Applied Financial Economics Letters Pages: 389-393 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701765225 File-URL: http://hdl.handle.net/10.1080/17446540701765225 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:389-393 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_276511_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Umberto Triacca Author-X-Name-First: Umberto Author-X-Name-Last: Triacca Title: Erratum to ON the variance of the error associated to the squared return as proxy of volatility: [, 2007, 3, 255–7] Journal: Applied Financial Economics Letters Pages: 417-417 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701765233 File-URL: http://hdl.handle.net/10.1080/17446540701765233 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:417-417 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_276512_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Bernard Bollen Author-X-Name-First: Bernard Author-X-Name-Last: Bollen Title: Long-term asymmetry in the USD-DEM spot exchange rate volatility process Abstract: This study proposes a new approach to the specification of the volatility process for the USD-DEM spot exchange rate. This new specification incorporates long-term asymmetric effects. Although asymmetry in the volatility process is well-documented, existing models have typically modelled the impact of the previous trading day's return upon contemporaneous volatility. In this study, it is demonstrated empirically that the historical return over the previous 8 months of trading has a significant impact upon contemporaneous volatility. The methodology employed in this study draws on recent research into realized volatility. By utilizing the concept of realized volatility, simple regression techniques can be implemented to develop an econometric model of long-term asymmetry in the volatility process for the USD-DEM spot exchange rate. Journal: Applied Financial Economics Letters Pages: 403-407 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701765241 File-URL: http://hdl.handle.net/10.1080/17446540701765241 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:403-407 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_276513_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 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: SPEC model selection algorithm for ARCH models: an options pricing evaluation framework Abstract: A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki's (2005) poly-model standardized prediction error criterion (SPEC) algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that traders using the SPEC for deciding which model's forecasts to use at any given point in time achieve the highest profits. Journal: Applied Financial Economics Letters Pages: 419-423 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701765258 File-URL: http://hdl.handle.net/10.1080/17446540701765258 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:419-423 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_276514_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Abdallah Atieh Author-X-Name-First: Abdallah Author-X-Name-Last: Atieh Author-Name: Simon Hussain Author-X-Name-First: Simon Author-X-Name-Last: Hussain Title: Disaggregating ‘accounting earnings’ to better explain UK dividends Abstract: The aim of our article is to investigate whether corporate cash flow and accruals data have a role to play in explaining dividends for a sample of nonfinancial UK firms between 1994 and 2004. We employ a cash flow variant of Lintner's (1956) dividend model similar to those used in prior research such as Brittain (1964) and Simons (1994). However, we examine the role of cash flows together with long- and short-term accruals components of ‘accounting earnings’. Several studies have shown that disaggregated earnings components have greater explanatory power for future cash flows than either current cash flows or earnings data (Barth et al., 2001; Al-Attar and Hussain, 2004). We find similar explanatory gains within the Lintner model framework for dividends. Journal: Applied Financial Economics Letters Pages: 399-401 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701765266 File-URL: http://hdl.handle.net/10.1080/17446540701765266 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:399-401 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_276515_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Ming-Chih Lee Author-X-Name-First: Ming-Chih Author-X-Name-Last: Lee Author-Name: Jung-Bin Su Author-X-Name-First: Jung-Bin Author-X-Name-Last: Su Author-Name: Hung-Chun Liu Author-X-Name-First: Hung-Chun Author-X-Name-Last: Liu Title: Value-at-risk in US stock indices with skewed generalized error distribution Abstract: This investigation proposes a composite Simpson's rule, a numerical integral method, for estimating quantiles on the skewed generalized error distribution (SGED). Daily spot prices of S&P500 and Dow-Jones stock indices are used as data to examine the one-day-ahead VaR (Value at Risk) forecasting performance of the GARCH-N and GARCH-SGED models. Empirical results show that the GARCH-SGED models provide more accurate VaR forecasts than the GARCH-N models for both low and high confidence levels. These findings demonstrate that the use of SGED distribution, which explicitly accommodates both skewness and kurtosis, is essential for out-of-sample VaR forecasting in US stock markets. Journal: Applied Financial Economics Letters Pages: 425-431 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701765274 File-URL: http://hdl.handle.net/10.1080/17446540701765274 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:425-431 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_276516_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Ata Assaf Author-X-Name-First: Ata Author-X-Name-Last: Assaf Title: Long memory in international equity markets: revisited Abstract: This study provides empirical evidence of the long-range behaviour in international equity markets. We test for long memory in the daily returns using the modified rescaled range statistic R/S proposed by Lo (1991) and the rescaled variance V/S statistic developed by Giraitis et al. (2003). Long memory is found to be weak in the return series when using R/S but some evidence of long memory is found in USA and Germany based on V/S analysis. Our results confirm those reported by Lo (1991) using only the rescaled range analysis and should be useful to regulators, practitioners and derivative market participants, whose success depends on the ability to forecast stock price movements. Journal: Applied Financial Economics Letters Pages: 433-437 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540701765282 File-URL: http://hdl.handle.net/10.1080/17446540701765282 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:433-437 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_293704_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: John Beirne Author-X-Name-First: John Author-X-Name-Last: Beirne Author-Name: Gabe de Bondt Author-X-Name-First: Gabe Author-X-Name-Last: de Bondt Title: The equity premium and inflation Abstract: This empirical study examines the relation between the equity premium – the difference between the expected stock and risk-free return – and inflation in the major economies in the post-Bretton Woods era. We estimate a country-average level of the equity premium between 0.8% and 2%, confirming a shrinking premium. Regressions and impulse responses show that the equity premium significantly positively adjusts to inflation. Inflation is thus essential in explaining the level of the equity premium and provides a partial resolution to the equity premium puzzle. Journal: Applied Financial Economics Letters Pages: 439-442 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540801935389 File-URL: http://hdl.handle.net/10.1080/17446540801935389 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:439-442 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_295142_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Lucie Samson Author-X-Name-First: Lucie Author-X-Name-Last: Samson Title: Size and stock market integration: a study of Canadian firms Abstract: In this article the restrictions imposed on excess returns by a dynamic optimization model are tested on stock market data from the Toronto Stock Exchange (TSE), from which ten size-portfolios have been formed. The model implies that all excess returns should move proportionately if assets are perfectly integrated. The restriction that all size portfolios are governed by one single latent variable is rejected over the sample period 1961–2002. It is established that this rejection is due to the presence of the smallest size portfolio, especially during the second half of the sample period. The uncertainties of the late 1980s and 1990s appear to require the presence of a second latent variable. No definite conclusions can be drawn regarding these sources of risk even if the return on the market portfolio and exchange rate fluctuations play an important role. Journal: Applied Financial Economics Letters Pages: 443-449 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540801949760 File-URL: http://hdl.handle.net/10.1080/17446540801949760 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:443-449 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_296601_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Chia-Hsing Huang Author-X-Name-First: Chia-Hsing Author-X-Name-Last: Huang Author-Name: Shu-Shian Lin Author-X-Name-First: Shu-Shian Author-X-Name-Last: Lin Title: The impact of WTO on international interdependence degree among United States, Korea and China Abstract: This article examined the interrelationships between the United States, Korea compared with China and Korea. We used the daily stock index among these three markets from 1 January 1999 to 31 October 2005. Our article found that, following China entered WTO, there is insignificant relationship between China and Korea stock markets, however, significant interrelationship between the United States and S. Korea. But in late 2002, there are structural change of economy among China, Korea and the United States. Korea stock market was influenced by China gradually, and there existed insignificant interrelate between the United States and Korea. Journal: Applied Financial Economics Letters Pages: 451-456 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540801964355 File-URL: http://hdl.handle.net/10.1080/17446540801964355 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:451-456 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_296609_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 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 Title: Style drift and fund performance in up and down markets: Australian evidence Abstract: We examine the impact of style drift on the fund performance measures of selectivity and market timing. We find that style drift is positively related to selectivity performance, only when the market is in decline. Flow volatility is positively related to market timing ability during upmarket conditions. In addition, we find that larger funds are superior at stock selection, regardless of market conditions. Journal: Applied Financial Economics Letters Pages: 395-398 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540801964439 File-URL: http://hdl.handle.net/10.1080/17446540801964439 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:395-398 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_298432_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Kenji Matsui Author-X-Name-First: Kenji Author-X-Name-Last: Matsui Title: Application of the auction theory to the overpricing phenomenon in a corporate bond underwriting market Abstract: This short article demonstrates an application of price auction theory to a securities underwriting market, which is characterized by the competitive behaviours of investment houses. An investigation of newly issued Japanese straight bonds, reported in a letter by Matsui (2006), provided statistical evidence that issue yields tend to be set significantly lower than equilibrium yields. Consistent with that finding, the model presented in this letter demonstrates theoretically that increased underwriting competition reduces issue yields and that the degree of overpricing is positively correlated with the credit quality of the issuer. Journal: Applied Financial Economics Letters Pages: 457-460 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540801982662 File-URL: http://hdl.handle.net/10.1080/17446540801982662 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:457-460 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_300024_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: Christos Floros Author-X-Name-First: Christos Author-X-Name-Last: Floros Title: Stock market returns and the temperature effect: new evidence from Europe Abstract: In this article we investigate if stock market returns are related to temperature. Research in behavioural finance shows that lower temperature can lead to aggression, while higher temperature can lead to both apathy and aggression (Cao and Wei, 2005). Evidence from previous studies suggests that the temperature anomaly is characterized by a negative relationship between stock market returns and temperature. We consider daily financial and temperature data from five European countries: Austria, Belgium, France, Greece and UK. Using a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) method, we find a negative relationship between temperature and stock market returns for Austria, Belgium and France only. Greece and UK show a positive but not significant correlation between temperature and stock market returns. These findings are strongly recommended to financial managers and investors dealing with European stock indices. Journal: Applied Financial Economics Letters Pages: 461-467 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540801998585 File-URL: http://hdl.handle.net/10.1080/17446540801998585 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:461-467 Template-Type: ReDIF-Article 1.0 # input file: RAFL_A_300025_O.xml processed with: repec_from_tfja.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20 Author-Name: P. Sephton Author-X-Name-First: P. Author-X-Name-Last: Sephton Title: Exchange rates and fractional integration revisited Abstract: Jin, et al. (2006) relied on a semi-parametric wavelet estimator of the degree of fractional integration and its associated t-statistic to conclude that many exchange rates appear to be fractionally integrated. This note demonstrates that several recent tests for fractional integration provide a much different view of the temporal properties of many exchange rates. Journal: Applied Financial Economics Letters Pages: 383-387 Issue: 6 Volume: 4 Year: 2008 X-DOI: 10.1080/17446540801998593 File-URL: http://hdl.handle.net/10.1080/17446540801998593 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:383-387