Applied Financial Economics Letters

2005 - 2008

Edited by Mark Taylor

from Taylor and Francis Journals

This journal is continued by Applied Economics Letters.
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Volume 3, issue 6, 2007

Valuation effects of international joint venture formation: Hong Kong listed companies pp. 349-357

Wing-Fai Leung and Fanny Cheung

Measuring the macroeconomic impact of workers' remittances in a data-rich environment pp. 359-363

Carlos Vargas-Silva

Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets pp. 365-371

Aktham Maghyereh

Firms' growth opportunities and profitability: a nonlinear relationship pp. 373-379

Zelia Serrasqueiro, Paulo Macas Nunes and Tiago Neves Sequeira

Structural breaks in financial ratios: evidence for nine international markets pp. 381-384

David McMillan

Time-varying nonlinear exchange rate exposure pp. 385-389

Renatas Kizys and Christian Pierdzioch

To be euro or not to be euro: a comparative analysis of banking systems pp. 391-396

Mark Bertus, John Jahera and Keven Yost

Assessing dependence changes using nonparametric methods pp. 397-401

Param Silvapulle and Xibin Zhang

A requiem for the use of the geometric mean in evaluating portfolio performance pp. 403-408

Spyros Missiakoulis, Dimitrios Vasiliou and Nikolaos Eriotis

A duration-based equity premium pp. 409-414

Samih Antoine Azar

Volume 3, issue 5, 2007

Stock market risk and dollarization in Ecuador pp. 281-286

Dennis W. Jansen and Maria Caridad Ortiz

ESOPs and earnings management: an empirical note pp. 287-293

Pornsit Jiraporn

The costs of raising equity capital for closed-end fund IPOs pp. 295-299

Bill Dimovski, Robert Brooks and Antonie van Eekelen

Stock price patterns pp. 301-306

Brian J. Jacobsen

An examination of conditional asset pricing models in the Australian equities market pp. 307-312

Annette Nguyen, Robert William Faff and Philip Gharghori

On the quadratic approximation to the value of American put options: a note pp. 313-317

Andreas Andrikopoulos

PPP over a century: cointegration and structural change pp. 319-325

Ekaterini Panopoulou

Sectoral cointegration and causality analyses of the UAE financial markets pp. 327-334

Jay Squalli

Multivariate test of Sharpe-Lintner CAPM with time-varying beta pp. 335-341

P.-S. Wu and J.-S. Chiou

Interest rate fluctuations and the UK financial services industry pp. 343-347

Panagiotis Artikis, Elena Kalotychou and Sotiris K. Staikouras

Volume 3, issue 4, 2007

Analysis of dependence in the G11 countries' financial markets: simulation and empirical evidence pp. 211-214

Param Silvapulle, Mohammad N. Azam and Mahbuba Yeasmin

Assessing the stability of Gaussian mixture models for monthly returns of the S&P 500 index pp. 215-220

Andreas Behr

The roles of the exchange rate and the foreign interest rate in Estonia's money demand function and policy implications pp. 221-224

Yu Hsing

Credit risk pricing with both expected and unexpected default pp. 225-230

Marco Realdon

Testing for stock market integration in a developing economy: Colombia pp. 231-236

Luis Hernando Gutiérrez and Jesus Otero

Portfolio allocation with heavy-tailed returns pp. 237-242

Arnab Kumar Laha, Divyajyoti Bhowmick and Bharathy Subramaniam

Threshold adjustment in the long-run relationship between stock prices and economic activity pp. 243-246

Steven Cook

An evaluation of professional forecasts of US corporate profits pp. 247-250

Hamid Baghestani

Bankruptcy and the Nash solution pp. 251-254

Jacques A. Schnabel

On the variance of the error associated to the squared return as proxy of volatility pp. 255-257

Umberto Triacca

Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks pp. 259-262

Andrew Charles Worthington and Mosayeb Pahlavani

Investment information content in Bollinger Bands? pp. 263-267

Camillo Lento, Nikola Gradojevic and C. S. Wright

Political orientation of government and stock market returns pp. 269-273

Jedrzej Pawel Bialkowski, Katrin Gottschalk and Tomasz Piotr Wisniewski

Underwriting spread and the investment of security company-affiliated venture capital pp. 275-278

Katsushi Suzuki

Volume 3, issue 3, 2007

Refunding efficiency: a generalized approach pp. 141-146

Andrew J. Kalotay, Deane Yang and Frank J. Fabozzi

Relationship between systematic-risk measured in the second-order and third-order co-moments in the downside framework pp. 147-153

Don U. A. Galagedera

Effects of the intended and unintended federal funds rates on the Treasury yield curve during the Greenspan era pp. 155-159

Yu Hsing

Transactions, volume and volatility: evidence from an emerging market pp. 161-164

Cetin Ciner and William H. Sackley

Project selection and equivalent CAPM-based investment criteria pp. 165-168

Carlo Alberto Magni

Investors reaction to dividend announcements: parametric versus nonparametric approach pp. 169-179

Walid Saleh

The determinants of cross-border equity flows: a dynamic panel data reassessment pp. 181-185

Pandej Chintrakarn

Prophets of future corporate profits: a role for leading indicators in the information sets of security analysts? pp. 187-190

Simon Hussain

Stock returns, exchange rate movements and central bank interventions pp. 191-195

Daniel Hartmann and Christian Pierdzioch

A global network of stock markets and home bias puzzle pp. 197-199

Masaru Konishi

Modelling financial observable-volatility using long memory models pp. 201-208

Chin Wen Cheong, Zaidi Isa and Abu Hassan Shaari Mohd Nor

Volume 3, issue 2, 2007

The risk-adjusted trading rule profits in currency spot cross-rates pp. 71-76

Terence T. L. Chong and Thomas Chun-Sing Shik

Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model pp. 77-83

Chikashi Tsuji

Examining the nature of the gains from investment in the emerging stock markets of the Central and Eastern European region pp. 85-90

Calum Middleton, Suzanne Fifield and David Power

The monetary approach to exchange rate determination for Malaysia pp. 91-94

Chin Lee, M. Azali and Kent Gerard Matthews

Financial impact of risk on municipal earnings pp. 95-98

Camilo Sarmiento

The decision to voluntarily provide an IPO prospectus earnings forecast pp. 99-102

Chris Bilson, Richard Heaney, John Powell and Jing Shi

Spurious results in testing mutual fund performance persistence: evidence from the Greek market pp. 103-108

Vassilios Babalos, Alexandros Kostakis and Nikolaos Philippas

Bond pricing and two unconditionally implied parameters inferred from option prices pp. 109-113

Nikolai Dokuchaev

Are limit hits industry-specific? pp. 115-119

Haitham Nobanee

An empirical study of realized and long-memory GARCH standardized stock-return pp. 121-127

Chin Wen Cheong, Abu Hassan Shaari Mohd Nor and Zaidi Isa

Are conditional Value-at-Risk models justifiable? pp. 129-132

A. Sfetsos and L. Kalyvas

The effect of US and European stock exchanges on Greece's stock market: a VAR approach pp. 133-136

Nikolaos Veraros and Evangelia Kasimati

Project valuation and investment decisions: CAPM versus arbitrage pp. 137-140

Carlo Alberto Magni

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

Marcos Alvarez-Diaz 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

Kian-Ping Lim 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