Applied Financial Economics Letters

2005 - 2007

Edited by Mark Taylor

from Taylor and Francis Journals
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Volume 1, issue 6, 2005

Consumption, investment and financial intermediation in a Ramsey model pp. 329-333

Keshab Bhattarai

Purchasing Power Parity of Papua New Guinea: evidence from the floating exchange rate regime pp. 335-338

Guneratne Banda Wickremasinghe

On conditional volatility transmission among mutual fund portfolios pp. 339-342

Samuel Kyle Jones and Mark A. Thompson

An alternative method to test for contagion with an application to the Asian financial crisis pp. 343-347

Prof. Abdulnasser Hatemi-J and R Scott Hacker

Policy transmission and the consumption-wealth channel pp. 349-353

Fotios M. Siokis

Capital structure and stock prices: additional evidence pp. 355-360

Monica H. Maestro and Julio Pindado

European mutual funds: detecting recurrent differences in the taxation of their private unitholders pp. 361-368

Luis Ferruz, Cristina Ortiz and Luis Vicente

Discount factor and conditional return volatility pp. 369-372

Valerio Potì

Volatility changes caused by the trading system: a Markov switching application pp. 373-380

Patricia L. Chelley-Steeley and Yan Li

On the relationship between central bank independence and inflation: some more bad news pp. 381-385

Kees Bouwman, Richard Jong-A-Pin and Jakob de Haan

Out-of-sample forecasting performance of the QGARCH model pp. 387-392

Yasemin Ulu

Volume 1, issue 5, 2005

Does the credit risk premium lead the stock market? pp. 263-268

Gabe de Bondt

The common trend and the cross-section of expected returns pp. 269-271

Kurz-Kim, Jeong-Ryeol

Regime switching in the dynamic relationship between stock returns and inflation pp. 273-277

Dandan Liu, Dennis W. Jansen and Qi Li

Property networks of corporations as cause of abusive behaviour: a stock market analysis based on institutional economics pp. 279-283

El-Shagi, Makram

Nonlinear co-trending and the Fisher relationship in Japan: a note pp. 285-287

Hiroshi Yamada

Analysis of exchange rate fluctuations for Slovakia: application of an extended Mundell--Fleming model pp. 289-292

Yu Hsing

Bank sales, spread and profitability: an empirical analysis pp. 293-296

George Emm. Halkos and M. N. Georgiou

Default dependence among corporate bond issuers: empirical evidence from time series data pp. 297-302

Natalia Puzanova and Sikandar Siddiqui

Intertemporal cross-border investment structures subjected to the equity holding constraint pp. 303-307

Hsu Ku, Yuan-Hung and Jai Jen Wang

Hedging under price and output uncertainty: estimation methodology pp. 309-312

Alghalith Moawia

Bayesian robust estimation of systematic risk using product partition models pp. 313-320

Fernando A. Quintana, Pilar L. Iglesias and Galea-Rojas, Manuel

Tests of the CAPM with structural instability and asymmetry pp. 321-327

(River) Huang, Ho-Chuan and Wu, Pei-Shan

Volume 1, issue 4, 2005

The shareholder wealth effects of voluntary foreign delistings: an empirical analysis pp. 199-204

Shinhua Liu and John D. Stowe

Forecast performance of neural networks and business cycle asymmetries pp. 205-210

Khurshid M. Kiani, Prasad V. Bidarkota and Terry L. Kastens

Internal corporate governance mechanisms and corporate performance: evidence for UK firms pp. 211-216

Chrisostomos Florackis

Dynamic relationship between interest rate and inflation: the case of Korea pp. 217-221

Seungryul Ma and Sangbum Park

Consensus among FX forecasters? pp. 223-227

Stefan Reitz and Georg Stadtmann

Is non-linearity a permanent feature? Evidence from recursive and rolling estimation pp. 229-232

David G. McMillan

New insights on the importance of agency costs for corporate debt maturity decisions pp. 233-238

Yilmaz Guney and Aydin Ozkan

Inconsistency of HAC standard errors in event studies with i.i.d. errors pp. 239-242

Thomas B. Fomby and Justin R. Murfin

Trading frequency and noise pp. 243-247

Hu, Shing-yang and Chang Chan

Does the term structure predict real economic activity in Japan? pp. 249-257

Chikashi Tsuji

Applying event study analysis to assess the impact of marketing communication strategies: the case of sponsorship pp. 259-262

Rodoula Tsiotsou and Dionysis Lalountas

Volume 1, issue 3, 2005

Stochastic behaviour of risk-weighted bank assets under the Basel II capital accord pp. 133-138

M. A. Petersen and Mukuddem-Petersen, Janine

Dividend forecasts and dividend payments of initial public offerings -- when zero means zero and no comment most likely also means zero pp. 139-141

Bill Dimovski and Robert Brooks

What causes the hidden economy in Spain? pp. 143-150

José M. Serrano Sanz and María Dolores Gadea

An affine three-factor model of the German term structure of interest rates with macroeconomic content pp. 151-156

Ralf Fendel

The impact of financial deregulation on monetary aggregates and interest rates in Australia pp. 157-163

Mosayeb Pahlavani, Abbas Valadkhani and Andrew C. Worthington

Style analysis of Chinese funds pp. 165-168

Gao Zhangpeng and Shahidur Rahman

Are investors rational in international bond markets? pp. 169-175

Chikashi Tsuji

Stochastic market volatility models pp. 177-188

Truc Le

Extending the variance ratio test to visualize structure in data: an application to the S&P 100 Index pp. 189-197

Andreas Lindemann, Christian L. Dunis and Paulo Lisboa

Volume 1, issue 2, 2005

REIT markets: periodically collapsing negative bubbles? pp. 65-69

James E. Payne and George A. Waters

The nonlinear dynamics of interest rates pp. 71-74

Philip A. Shively

Ranking economics research output by Econbase downloads: a comparison to publication based measures pp. 75-78

Robert Brooks

Twenty-two years of Japanese institutional forecasts pp. 79-84

Masahiro Ashiya

Empirical evidence of performance persistence in a relatively unexplored market: the case of Spanish investment funds pp. 85-88

Luis Ferruz Agudo and María Vargas Magallón

A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers pp. 89-93

Sheng-Yung Yang

The Spanish peseta versus the pound sterling, the French franc and the US dollar (1870--1935). A long floating experience pp. 95-99

Marcela Sabate, María Dolores Gadea and José M. Serrano Sanz

Trading volume, volatility and bank of Japan intervention pp. 101-104

Yuanchen Chang

Does volume provide information? Evidence from the Irish Stock Market pp. 105-109

Brian M. Lucey

Volatility filters for dynamic portfolio optimization pp. 111-119

Jia Miao and Christian L. Dunis

A simplified approach to demonstrating the irrelevance of dividend policy to the value of the firm pp. 121-124

Carl B. McGowan

An alternative approach in investigating lead--lag relationships between stock and stock index futures markets -- comment pp. 125-130

Mohammad Hasan

Volume 1, issue 1, 2005

Measuring half-lives: using a non-parametric bootstrap approach pp. 1-4

Guglielmo Maria Caporale, Mario Cerrato and Nicola Spagnolo

Threshold adjustment in spot-futures metals prices pp. 5-8

David G. McMillan

Speculation or hedging in the Irish stock exchange pp. 9-14

Brian M. Lucey

On the presence of unspanned volatility in European interest rate options pp. 15-18

Roberto Renò and Adamo Uboldi

Do stock prices contain predictive information on business turning points? A wavelet analysis pp. 19-23

Hiroshi Yamada and Yuzo Honda

An investigation of the relationship between bond market volatility and trading activities: Korea treasury bond futures market pp. 25-29

Joocheol Kim

Temporal stability of estimates of risk aversion pp. 31-35

Glenn W. Harrison, Eric Johnson, Melayne M. McInnes and E. Elisabet Rutström

Competition, risk taking, and governance structures in retail banking pp. 37-40

Luis M. Granero and Juan Carlos Reboredo

Empirical identification of currency crises: differences and similarities between indicators pp. 41-46

J. Pérez

The disposition effect - empirical evidence on purchases of investor magazines pp. 47-51

Dirk Czarnitzk and Georg Stadtmann

Determinants of bank net interest margins in southeast asia pp. 53-57

Jude S. Doliente

Effect of S&P500's return on emerging markets: Turkish experience pp. 59-64

Hakan Berument and Onur Ince