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Applied Financial Economics
1997 - 2012
Edited by Mark P. Taylor
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Volume 22, issue 19 , 2012
Identifying and evaluating horizontal support and resistance levels: an empirical study on US stock markets pp. 1571-1585
Achilleas Zapranis and Prodromos E. Tsinaslanidis
Price discovery for Chinese shares cross-listed in multiple markets pp. 1587-1601
Patricia Lorraine Chelley-Steeley and James M. Steeley
Volatility transmission across stock index futures when there are structural changes in return variance pp. 1603-1613
Po-Kai Huang
Output and stock prices: an examination of the relationship over 200 years pp. 1615-1629
David G. McMillan and Mark E. Wohar
Sentiment changes, stock returns and volatility: evidence from NYSE, AMEX and NASDAQ stocks pp. 1631-1646
Spyros Spyrou
Determinants of bank net interest margins in Fiji, a small island developing state pp. 1647-1654
Neelesh Gounder and Parmendra Sharma
Dynamic asset beta measurement pp. 1655-1664
Brandon Chen and Jonathan J. Reeves
Volume 22, issue 18 , 2012
Determinants of carry trades in Central and Eastern Europe pp. 1479-1490
A. Hoffmann
Interactive effect of changes in the shape of the yield curve and conditional term spread on expected equity returns pp. 1491-1500
David A. Volkman , Olivier J.P. Maisondieu Laforge and Mark Wohar
Forecasting with the Taylor rule pp. 1501-1510
Ivo Arnold and Evert Vrugt
Do socially responsible investment indexes outperform conventional indexes? pp. 1511-1527
Shunsuke Managi , Tatsuyoshi Okimoto and Akimi Matsuda
The role of ‘cornerstone’ investors and the Chinese state in the relative underpricing of state- and privately controlled IPO firms pp. 1529-1551
Paul B. McGuinness
Measuring operational risk in financial institutions pp. 1553-1569
Séverine Plunus , Georges Hübner and Jean-Philippe Peters
Volume 22, issue 17 , 2012
Dividend signalling and sustainability pp. 1395-1408
J. Hobbs and M. . Schneller
Bank holding company diversification and production efficiency pp. 1409-1428
Elyas Elyasiani and Yong Wang
The predictability of excess returns in the emerging bond markets pp. 1429-1451
Yin-Feng Gau and Wen-Ju Liao
Volatility in EMU sovereign bond yields: permanent and transitory components pp. 1453-1464
Simón Sosvilla-Rivero and Amalia Morales-Zumaquero
Efficiency convergence properties of Indonesian banks 1992--2007 pp. 1465-1478
Tiantian Zhang and Kent Matthews
Volume 22, issue 16 , 2012
Approximation of skewed and leptokurtic return distributions pp. 1305-1316
Matthias Scherer , Svetlozar T. Rachev , Young Shin Kim and Frank J. Fabozzi
Federal funds futures, risk premium and monetary policy actions pp. 1317-1330
Farrokh Nourzad , James Calhoun and Adam Kurkiewicz
The influence of direct cross-straits shipping on the smooth transition dynamics of stock volatilities of shipping companies pp. 1331-1342
Hsiang-Hsi Liu , Chun-Chou Wu and Yi Kai Su
Long-term investors and valuation-based asset allocation pp. 1343-1353
Wade D. Pfau
Supply and demand in the European credit market during the recent crisis pp. 1355-1366
Giovanni Verga and Maria-Gaia Soana
Dynamics of time-varying volatility in the dry bulk and tanker freight markets pp. 1367-1384
Wolfgang Drobetz , Tim Richter and Martin Wambach
Investment behaviours and IPO returns: evidence from Taiwan pp. 1385-1394
Jin-Ying Wang
Volume 22, issue 15 , 2012
The impact of banking and sovereign debt crisis risk in the eurozone on the euro/US dollar exchange rate pp. 1215-1232
Stefan Eichler
Liquidity stress-tester: do Basel III and unconventional monetary policy work? pp. 1233-1257
Jan Willem van den End
Financial liberalization, structural breaks and stock market volatility: evidence from South Africa pp. 1259-1273
Umar Bida Ndako
Capital structure adjustments in private business group companies pp. 1275-1288
Nico Dewaelheyns and Cynthia Van Hulle
Board structure, corporate governance and firm value: evidence from Hong Kong pp. 1289-1303
Adrian C. H. Lei and Frank M. Song
Volume 22, issue 14 , 2012
Volume and volatility in foreign exchange market microstructure: a Markov switching approach pp. 1121-1133
Rim Khemiri
Optimally weighting higher-moment instruments to deal with measurement errors in financial return models pp. 1135-1146
François-Éric Racicot and Raymond Théoret
The extreme-value dependence between the Chinese and other international stock markets pp. 1147-1160
Qian Chen , David E. Giles and Hui Feng
The determinants of cross-sectional liquidity in the IPO aftermarket pp. 1161-1173
Yen-Sheng Lee
A formal methodology for aggregating multiple market views pp. 1175-1179
Joseph Simonian
Operating procedures and the expectations theory of the term structure of interest rates: the New Zealand experience from 1989 to 2008 pp. 1181-1192
Alfred V. Guender and Allan G. J. Wu
Board composition, corporate ownership and market performance: evidence from Taiwan pp. 1193-1206
Yi-Mien Lin , Yen-Yu Liu , Shwu-Jen You and Jung-Yuan Shiu
Using stochastic dominance criterion to examine the day-of-the-week effect pp. 1207-1213
C.-S. Hsieh and C.-T. Chen
Volume 22, issue 13 , 2012
Can macroeconomic factors explain equity returns in the long run? The case of Jordan pp. 1029-1041
Gazi Mainul Hassan and Hisham M. Al refai
Influence of debt financing on the effectiveness of the finite duration investment project pp. 1043-1052
Peter Brusov , Tatiana Filatova , Mukhadin Eskindarov , Pavel Brusov , Natali Orehova and Anastasia Brusova
Measuring the success of fiscal consolidations pp. 1053-1061
António Afonso and João Tovar Jalles
Does firm governance affect institutional investment? Evidence from real estate investment trusts pp. 1063-1078
Lisa A. C. Frank and Chinmoy Ghosh
Determinants of corporate dividend policy in Greece pp. 1079-1087
Theophano Patra , Sunil Poshakwale and Kean Ow-Yong
Dynamic correlations between REIT sub-sectors and the implications for diversification pp. 1089-1109
James Chong , Alexandra Krystalogianni and Simon Stevenson
Using the autoregressive conditional duration model to analyse the process of default contagion pp. 1111-1120
Heng-Chih Chou
Volume 22, issue 12 , 2012
Equity, credit and the business cycle pp. 939-954
Florian Ielpo
Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market pp. 955-965
Yi-Chein Chiang , Mei-Chu Ke , Tung Liang Liao and Cin-Dian Wang
Heterogeneous behaviours and the effectiveness of central bank intervention in the yen/dollar exchange market pp. 967-975
Chung-Wei Kao and Jer-Yuh Wan
Applying recurrent event analysis to understand the causes of changes in firm credit ratings pp. 977-988
Yan-Shing Chen , Po-Hsin Ho , Chih-Yung Lin and Wei-Che Tsai
Copula contagion index and its efficiency pp. 989-1002
Ke Cheng , Fengbin Lu and Xiaoguang Yang
Determinants of profit efficiency: evidence from Korean savings banks pp. 1003-1016
Yongseung Han , Myeong Hwan Kim and Won-Joong Kim
Evaluating catastrophe reinsurance contracts: an option pricing approach with extreme risk pp. 1017-1028
Wen-Chang Lin and Yi-Hsun Lai
Volume 22, issue 11 , 2012
Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach pp. 849-862
Yuki Toyoshima and Shigeyuki Hamori
On the quality of Taylor approximations to expected utility pp. 863-876
Georgios Skoulakis
Financial payment instruments and corruption pp. 877-886
Rajeev K. Goel and Aaron N. Mehrotra
How to gauge credit risk: an investigation based on data envelopment analysis and the Markov chain model pp. 887-897
Su-Lien Lu , Kuo-Jung Lee and Ming-Lun Zou
Intertemporal relations between the market volatility index and stock index returns pp. 899-909
Ghulam Sarwar
Noise trader risk: the case of Jewish Colonial Trust and Bank Leumi Stocks pp. 911-922
Tamir Levy and Joseph Yagil
The effects of capital inflows on South Africa's economy pp. 923-938
Sean Joss Gossel and Nicholas Biekpe
Volume 22, issue 10 , 2012
Multinationality and the performance of IPOs pp. 763-776
Ram Mudambi , Susan M. Mudambi , Arif Khurshed and Marc Goergen
Multistage investment, systematic risk premium and CAPM beta: empirical evidence from product development pp. 777-790
Zaur Rzakhanov
Technical trading with open interest: evidence from the German market pp. 791-809
Thorben Manfred Lubnau and Neda Todorova
Broker beauty and boon: a study of physical attractiveness and its effect on real estate brokers’ income and productivity pp. 811-825
Sean P. Salter , Franklin G. Mixon and Ernest W. King
The structure of REIT-beta pp. 827-836
-Chun Tsai , Tien Foo Sing , Ming-Chi Chen and Tai Ma
Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE pp. 837-848
A. Maghyereh and B. Awartani
Volume 22, issue 9 , 2012
Size and liquidity effects in African frontier equity markets pp. 681-707
Bruce Hearn
Have leveraged and traditional ETFs impacted the volatility of real estate stock prices? pp. 709-722
Richard J. Curcio , Randy . Anderson , Hany Guirguis and Vaneesha Boney
An analysis of the extreme returns distribution: the case of the Istanbul Stock Exchange pp. 723-732
A. Goncu , A. Karaman Akgul , O. Imamoğlu , M. Tiryakioğlu and M. Tiryakioğlu
Estimating volatility from ATM options with lognormal stochastic variance and long memory pp. 733-748
Alessandro Cardinali
Inflation targeting and financial market volatility pp. 749-762
O'sullivan, Roisin and Marc Tomljanovich
Volume 22, issue 8 , 2012
Pre-trade transparency and trade size pp. 597-609
Maria Elena Bontempi and Caterina Lucarelli
Institutional investment horizons and open-market stock repurchases: evidence from the Taiwan stock market pp. 611-623
Lee-Young Cheng and Yu-En Lin
Does trading activity contain information to predict stock returns? Evidence from Euronext Paris pp. 625-632
Wael Louhichi
The uptick rule and stock returns: an analysis of Regulation SHO on the NYSE pp. 633-649
(Min) Zhao, Kevin
Testing linearity in term structures pp. 651-666
Chiara Peroni
Exploiting default probabilities in a structural model with nonconstant barrier pp. 667-679
Arianna Agosto and Enrico Moretto
Volume 22, issue 7 , 2012
Data snooping and the global accrual anomaly pp. 509-535
Markus Leippold and Harald Lohre
Can retail investors exploit stock market anomalies? pp. 537-547
Antonios Siganos
Explaining house price changes in Greece pp. 549-561
Dimitrios Gounopoulos , Andreas G. Merikas , Anna A. Merika and Anna Triantafyllou
An empirical study of the returns on defaulted debt pp. 563-579
Michael Jacobs
Rational speculative bubbles and commodities markets: application of duration dependence test pp. 581-596
Riza Emekter , Benjamas Jirasakuldech and Peter Went
Volume 22, issue 6 , 2012
Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana pp. 427-435
Shehu Usman Rano Aliyu
Opinion polls and the stock market: evidence from the 2008 US presidential election pp. 437-443
Demissew Diro Ejara , Raja Nag and Kamal P. Upadhyaya
The effect of Bank of Japan's commitment and the expectation form pp. 445-460
Kunihiro Hanabusa
Forecasting volatility using range data: analysis for emerging equity markets in Latin America pp. 461-470
Manabu Asai and Iván Brugal
GCC equity market indices integration pp. 471-478
Mukesh Chaudhry and Robert J. Boldin
A full jump switching level GARCH model for short-term interest rate pp. 479-489
Her-Jiun Sheu and Hsiang-Tai Lee
Big players’ aggregated trading and market returns in Istanbul Stock Exchange pp. 491-508
Numan Ülkü
Volume 22, issue 5 , 2012
Actual and potential market risks during the stock market turmoil 2007--2008 pp. 339-349
Mikael Bask and Anna Widerberg
Information as an explanatory variable pp. 351-356
Alvaro Montenegro
The impact of overnight returns on realized volatility pp. 357-364
Tseng-Chan Tseng , Hung-Cheng Lai and Cha-Fei Lin
The GEL estimates resolve the risk-free rate puzzle in Japan pp. 365-374
Mikio Ito and Akihiko Noda
The failure of Lehman Brothers and its impact on other financial institutions pp. 375-385
Mark Anthony Johnson and Abdullah Mamun
Firm debt structure, firm size and risk volatility in US industrial firms pp. 387-393
James P. Gander
How has financial deepening affected poverty reduction in India? Empirical analysis using state-level panel data pp. 395-408
Takeshi Inoue and Shigeyuki Hamori
The effects of financial and real wealth on consumption: new evidence from OECD countries pp. 409-425
Riccardo De Bonis and Andrea Silvestrini
Volume 22, issue 4 , 2012
Evaluating spread models with a basket security pp. 259-283
Patricia Chelley-Steeley and Keebong Park
Asymmetric and cross-sectional effects of inflation on stock returns under varying monetary conditions pp. 285-298
Marc W. Simpson and Sanjay Ramchander
Business confidence and stock returns in the USA: a time-varying Markov regime-switching model pp. 299-312
Emrah İ. Çevik , Turhan Korkmaz and Erdal Atukeren
Withdrawals of mergers involving private targets pp. 313-320
Jeff Madura and Thanh N. Ngo
Accounting information and excess stock returns: the role of the cost of capital -- new evidence from US firm-level data pp. 321-329
Nicholas Apergis , George Artikis , Sofia Eleftheriou and John Sorros
Determinants of interest rate swap spreads in the US: bounds testing approach to cointegration pp. 331-338
Yuki Toyoshima
Volume 22, issue 3 , 2012
WTO membership, ownership deregulation, and market efficiency: evidence from China pp. 177-195
Rima Turk Ariss , Rasoul Rezvanian and Seyed M. Mehdian
Forecast of stock market based on nonharmonic analysis used on NASDAQ since 1985 pp. 197-208
Takafumi Ichinose , Shigeki Hirobayashi , Tadanobu Misawa and Toshio Yoshizawa
Firm-specific factors as determinants of capital structure in the absence of taxes pp. 209-213
Wafaa M. Sbeti and Imad Moosa
Volatility estimators based on daily price ranges versus the realized range pp. 215-229
Neda Todorova
The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan pp. 231-242
Jérôme Vandenbussche , Szabolcs Blazsek and Stanley Watt
The role of the economic environment on mortgage defaults during the Great Recession pp. 243-250
Camilo Sarmiento
On the risk-neutral value of debt tax shields pp. 251-258
Massimiliano Barbi
Volume 22, issue 2 , 2012
Asset correlations for credit card defaults pp. 87-95
J. Crook and T. Bellotti
Realized volatility and jumps in the Athens Stock Exchange pp. 97-112
Dimitrios . Vortelinos and Dimitrios D. Thomakos
Extreme risk measures for REITs: a comparison among alternative methods pp. 113-126
Jian Zhou
Do natural phenomena affect stocks’ yield in Israel? pp. 127-133
Ben David Nissim , Levkovitch Liran and Skalka Eshel
Analyst coverage and market reaction around stock split announcements pp. 135-145
Deborah A. Ford , Hoang H. Nguyen and Van T. Nguyen
The valuation effects of military contract awards surrounding 11th September pp. 147-164
Darshana D. Palkar , Stephen J. Larson and Robert B. Larson
New evidence of the expectation hypothesis of interest rates: a flexible nonlinear approach pp. 165-176
Medhi Mili , Jean-Michel Sahut and Fredéric Teulon
Volume 22, issue 1 , 2012
Disposition effect and mutual fund performance pp. 1-19
Manuel Ammann , Alexander Ising and Stephan Kessler
Does market power influence bank profits in Mexico? A study on market power and efficiency pp. 21-32
Jesus Gustavo Garza-Garcia
Do venture capitalists reduce underpricing and underperformance of IPOs? pp. 33-44
Yacine Belghitar and Rob Dixon
Financial market spillovers around the globe pp. 45-57
Thomas Dimpfl and Robert C. Jung
Implied risk aversion and volatility risk premiums pp. 59-70
Sun-Joong Yoon and Suk Joon Byun
The quiet period has something to say pp. 71-86
Patrick A. Lach , Michael J. Highfield and Stephen D. Treanor