Applied Financial Economics Letters

2005 - 2007

Edited by Mark Taylor

from Taylor and Francis Journals
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Volume 3, issue 1, 2007

The analysis of interest rate swap spreads in Japan pp. 1-4

Takayasu Ito

Forecasting exchange rates using an evolutionary neural network pp. 5-9

Alvarez-Diaz, Marcos and Alberto Alvarez

On central bank interventions and transaction taxes pp. 11-14

Frank Westerhoff

New vs. used capital investment decisions under liquidity constraints pp. 15-18

Konstantinos Drakos, Eleftherios Goulas and Christos Kallandranis

Is George Bailey Dead? pp. 19-24

Jessica A. Holmes, Jonathan Isham and Paul M. Sommers

Nonlinear mean reversion in stock prices: evidence from Asian markets pp. 25-29

Lim, Kian-Ping and Venus Khim-Sen Liew

Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes pp. 31-37

Stavros Degiannakis and Evdokia Xekalaki

The effects of the exchange rate movements on the Istanbul stock exchange pp. 39-46

Nukhet Dogan and Yeliz Yalcin

Corporate valuations and the Merton model pp. 47-50

Andrea Gheno

Analysis of exchange rate fluctuations in Estonia: test of the interest parity condition and the open economy model pp. 51-54

Yu Hsing

Multi-factor SUR in event study analysis: evidence from M&A in Singapore's financial industry pp. 55-62

Enrico Tanuwidjaja

Measuring the US social discount rate pp. 63-66

Samih Antoine Azar

The market impact of corporate alliance announcements: value-weighted versus equally weighted portfolio returns pp. 67-70

Bruce Burton

Volume 2, issue 5, 2006

WTP--WTA disparity among competitive and non-competitive subjects -- an experimental study pp. 333-336

Tal Shavit, Shosh Shahrabani and Uri Benzion

Nonlinear forecast of financial time series through dynamical calendar correction pp. 337-340

Alexandros Leontitsis and Costas P. Siriopoulos

Volume 2, issue 4, 2006

Insurance intermediaries and contractual relations pp. 211-215

Rajeev K. Goel

GARCH, heteroscedasticity-consistent covariance matrix estimation and (non)linear unit root testing pp. 217-222

Steven Cook

A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis pp. 223-227

Haitham A. Al-Zoubi, Al-Zoubi, Dana A. and Aktham . Maghyereh

Evidence on the relationship between Takaful insurance and fundamental perception of Islamic principles pp. 229-232

Ramin Cooper Maysami and John Joseph Williams

Statistical analysis of municipal bond ratings under spatial correlation pp. 233-237

Camilo Sarmiento

On signalling and debt maturity choice pp. 239-241

Robert Lensink and Tra Thi Thu Pham

Hedging under price and output uncertainty: revisited pp. 243-245

Moawia Alghalith

The impact of capital controls on Malaysian banking industry betas pp. 247-249

Robert D. Brooks and Lye Chee Shoung

Security analysts and 'bad news’: a note on 9/11 pp. 251-256

Simon Hussain

A micro-econometric model of the UK property-liability insurance industry pp. 257-260

Emmanouel Mamatzakis and Christos Staikouras

The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test pp. 265-273

Aktham Maghyereh

Floor information and common variations in liquidity pp. 275-278

Mohsen M. Saad

Volume 2, issue 3, 2006

Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors pp. 141-146

James E. Payne

Risk-return tradeoffs from investing in the Australian cash management industry pp. 147-150

Jenny Diggle and Robert Brooks

Economic value added and systemic value added: symmetry, additive coherence and differences in performance pp. 151-154

Roberto Ghiselli Ricci and Carlo Alberto Magni

Empirical relationship between the dividend and investment decision: do emerging market firms behave differently? pp. 155-158

Saumitra N. Bhaduri and S. Raja Sethu Durai

The liquidity effect across the short end of the term structure pp. 159-163

Garett Jones

Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence pp. 165-171

Nevin Yörük, Cumhur Erdem and Meziyet Sema Erdem

The profitability of momentum strategies using stock futures contracts in small markets pp. 173-177

Pilar Corredor, Luis Muga and Rafael Santamaria

The equity premium puzzle and decreasing relative risk aversion pp. 179-182

Maurice John Roche

A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH pp. 183-188

Lee, Ming-Chih, Chiou, Jer-Shiou and Lin, Cho-Min

Hedging or speculation in derivative markets: the case of energy futures contracts pp. 189-192

Cetin Ciner

Testing for weekday anomaly in international stock index returns with non-normal errors pp. 193-197

Mikael Linden and Mika Louhelainen

Two unconditionally implied parameters and volatility smiles and skews pp. 199-204

Nikolai Dokuchaev

Option pricing: back to the thinking of Bachelier pp. 205-209

Cokki Versluis

Volume 2, issue 2, 2006

The response of sub-sector REIT returns to shocks in fundamental state variables pp. 71-75

James E. Payne

Empirical investigation on the relationship between Japanese and Asian emerging equity markets pp. 77-86

Ramaprasad Bhar and Shigeyuki Hamori

Chinese equity market and the efficient frontier pp. 87-94

Radu Tunaru, Frank Fabozzi and Tony Wu

About the cost of portfolio financing in Black-Scholes call option valuation pp. 95-97

Cokki Versluis

Market trader heterogeneity and high frequency volatility dynamics: further evidence from intra-day FTSE-100 futures data pp. 99-103

David G. McMillan and Alan E. H. Speight

Stock return volatility and the internet phenomenon pp. 105-109

Virginia Liu, Francis Tapon and Yiguo Sun

The measure of relative risk aversion in the consumption CAPM with power utility pp. 111-114

Andrei Semenov

Overreactions in the options markets in Japan pp. 115-121

Chikashi Tsuji

Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation pp. 123-130

Monica Billio, Massimiliano Caporin and Michele Gobbo

The best-beta CAPM pp. 131-137

Liang Zou

Volume 2, issue 1, 2006

Random walk versus multiple trend breaks in stock prices: evidence from 15 European markets pp. 1-7

Paresh Kumar Narayan and Russell Smyth

Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques pp. 9-12

Guglielmo Maria Caporale and Gil-Alana, Luis A.

Modelling catastrophic risk in international equity markets: an extreme value approach pp. 13-17

John Cotter

The influence of performance on the flows into Spanish equity funds pp. 19-23

Luis Ferruz, Cristina Ortiz and Sarto, Jose? L.

Long memory properties of real interest rates for 16 countries pp. 25-30

Jeremy Couchman, Rukmani Gounder and Su, Jen-Je

The application of an intervention model to the Taiwan stock exchange price limits policy pp. 31-36

Cheng, Min-Tsung and Goo, Yeong-Jia

Domestic portfolio choice amid political instability pp. 37-41

Chen, Shu-Hsien, Hua, Ming-Shu and Richard Stuetz

Liquidity, volume and volatility in US electricity futures: the case of Palo Verde pp. 43-46

Barry Goss

The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note pp. 47-53

Brian M. Lucey and Edel Tully

Asymmetric beta in bull and bear market conditions: evidences from India pp. 55-59

Saumitra N. Bhaduri and S. Raja Sethu Durai

Diminishing marginal impatience: its promises for asset pricing pp. 61-64

Hiranya Nath and Jayanta Sarkar

Do common variations in liquidity exhibit a U-shaped pattern across weekdays? pp. 65-68

Mohsen M. Saad