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Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 24, issue 24, 2014

The reverse volatility asymmetry in Chinese financial market pp. 1555-1575 Downloads
Die Wan, Ke Cheng and Xiaoguang Yang
A study of salary satisfaction and job enthusiasm - mediating effects of psychological contract pp. 1577-1583 Downloads
Hung-Wen Lee and Mei-Chun Lin
The value of being systemically important: event study on regulatory announcements for banks pp. 1585-1604 Downloads
Jacob Kleinow, Tobias Nell, Silvia Rogler and Andreas Horsch
Financial development and local growth: evidence from highly disaggregated Italian data pp. 1605-1615 Downloads
Sergio Destefanis, Cristian Barra and Giuseppe Lubrano Lavadera
Exchange-traded funds, liquidity and volatility pp. 1617-1630 Downloads
Timothy Krause, Sina Ehsani and Donald Lien

Volume 24, issue 23, 2014

Re-examining the relationship between PIN and timely loss recognition pp. 1479-1489 Downloads
L.-C. Chan, E. Lee, J. Petaibanlue and C. Zeng
The linkage between aggregate stock market investor sentiment and commodity futures returns pp. 1491-1513 Downloads
Yao Zheng
The information content of accounting earnings, book values, losses and firm size vis-à-vis stocks: empirical evidence from an emerging stock market pp. 1515-1527 Downloads
Muhammad I. Chaudhry and Abdoul G. Sam
The role of institutional investors in market volatility during the subprime mortgage crisis pp. 1529-1536 Downloads
Tseng-Chan Tseng and Hung-Cheng Lai
A default prediction model for Italian SMEs: the relevance of the capital structure pp. 1537-1554 Downloads
M. Modina and F. Pietrovito

Volume 24, issue 22, 2014

Systematic trading behaviour and its informational effect: evidence from the OMXH pp. 1421-1427 Downloads
Annica Rose
Revisiting purchasing power parity in African countries: panel stationary test with sharp and smooth breaks pp. 1429-1438 Downloads
Mohsen Bahmani-Oskooee, Tsangyao Chang and Tsungpao Wu
Determinants of risk: electric utilities pre- and post-deregulation era pp. 1439-1448 Downloads
Helena Rados-Derr, Mukesh K. Chaudhry and Robert J. Boldin
Item response models to measure corporate social responsibility pp. 1449-1464 Downloads
Marco Nicolosi, Stefano Grassi and Elena Stanghellini
Sovereign risk and its changing effects on bond duration during financial crisis pp. 1465-1477 Downloads
Hei Wai Lee, Yan Alice Xie and Jot Yau

Volume 24, issue 21, 2014

A regime-switching model to evaluate bonds in a quadratic term structure of interest rates pp. 1361-1366 Downloads
Raphaël Homayoun Boroumand, Stéphane Goutte and Thomas Porcher
Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis pp. 1367-1373 Downloads
Hooi Hooi Lean and Duc Khuong Nguyen
How do income diversification, firm size and capital ratio affect performance? Evidence for bank holding companies pp. 1375-1392 Downloads
Paola Brighi and Valeria Venturelli
A note on gravity models and international investment patterns pp. 1393-1400 Downloads
Filippo Maria Pericoli, E. Pierucci and Luigi Ventura
SEO cost differences between Europe and the US pp. 1401-1420 Downloads
Svein Olav Krakstad and Peter Molnár

Volume 24, issue 20, 2014

High-yield versus investment-grade bonds: less risk and greater returns? pp. 1303-1312 Downloads
Hsi Li, Joseph McCarthy and Coleen Pantalone
Investor overreaction and unobservable portfolios: evidence from an emerging market pp. 1313-1322 Downloads
Hisham Farag
Conditional conservatism and underpricing in US corporate bond market pp. 1323-1334 Downloads
M. Liu and M. Magnan
How does market value earnings smoothing under uncertainty? pp. 1335-1345 Downloads
Minhua Yang and Hui Zhu
Dynamic interactions between Egyptian equity and currency markets prior to and during political unrest pp. 1347-1359 Downloads
Walid Ahmed

Volume 24, issue 19, 2014

The Euro and European stock market efficiency pp. 1235-1248 Downloads
Andrew Urquhart
Crowding-out or shying-away: impact of corporate income tax on capital structure choice of firms in Pakistan pp. 1249-1260 Downloads
Nadeem Ahmed Sheikh and Muhammad Azeem Qureshi
Volatility transmission across currencies and stock markets: GIIPS in crisis pp. 1261-1283 Downloads
Andreas Andrikopoulos, Aristeidis Samitas and Konstantinos Kougepsakis
The Black-Litterman model: the definition of views based on volatility forecasts pp. 1285-1296 Downloads
Andi Duqi, Leonardo Franci and Giuseppe Torluccio
An exploratory analysis of the impact of budget deficits and other factors on the ex post real interest rate yield on tax-free municipal bonds in the United States pp. 1297-1302 Downloads
Richard Cebula

Volume 24, issue 18, 2014

The development of an indicator for measuring information quality of discretionary accruals pp. 1177-1186 Downloads
Shen-Ho Chang, Shaio Yan Huang, Teng-Shih Wang and Dennis B. K. Hwang
Bad news and bank performance during the 2008 financial crisis pp. 1187-1198 Downloads
Inga Chira
Short-sale constraints and short-selling strategies: the case of SEC's revocation of the uptick rule in 2007 pp. 1199-1213 Downloads
Kevin M. Zhao
Dynamic dependencies between the Tunisian stock market and other international stock markets: GARCH-EVT-Copula approach pp. 1215-1228 Downloads
A. Chebbi and A. Hedhli
Re-examining the efficiency of the Major League Baseball over-under betting market pp. 1229-1234 Downloads
J. Eric Bickel and Seong Dae Kim

Volume 24, issue 17, 2014

Volatility forecasting performance of two-scale realized volatility pp. 1111-1121 Downloads
S. Garg and Vipul
The long-run performance of IPOs: the case of the Stock Exchange of Mauritius pp. 1123-1145 Downloads
Ushad Subadar Agathee, Raja Vinesh Sannassee and Chris Brooks
Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models? pp. 1147-1157 Downloads
Rangan Gupta, Shawkat Hammoudeh, Beatrice Desiree Simo-Kengne and Soodabeh Sarafrazi
Predicting BRICS stock returns using ARFIMA models pp. 1159-1166 Downloads
Goodness C. Aye, Mehmet Balcilar, Rangan Gupta, Nicholas Kilimani, Amandine Nakumuryango and Siobhan Redford
Trading activity and Nifty index futures volatility: an empirical analysis pp. 1167-1176 Downloads
Sangram Keshari Jena and Ashutosh Dash

Volume 24, issue 16, 2014

Hedge funds and the housing bubble pp. 1063-1073 Downloads
Christos Giannikos, Hany Guirguis and Panagiotis Schizas
Dynamic impacts of market power and diversification on bank efficiencies in Taiwan pp. 1075-1082 Downloads
Ying-Hsiu Chen and Meng-Chun Kao
The Permanent Portfolio pp. 1083-1089 Downloads
Hamish Anderson, Ben Marshall and Jia Miao
Do IFRS and board of directors' independence affect accounting conservatism? pp. 1091-1102 Downloads
Tamer Elshandidy and Ahmed Hassanein
Clustering of shareholder annual meetings: a 'new anomaly' in stock returns pp. 1103-1110 Downloads
Weishen Wang and Frank Hefner

Volume 24, issue 15, 2014

The risk implication of Sarbanes-Oxley Act of 2002: an empirical examination of the US financial services industry pp. 1005-1015 Downloads
Mamiza Haq, Shams Pathan and Mohammad Hoque
The equilibrium level and forecasting performance of nominal effective exchange rate indexes using an export and import price-based relative PPP model pp. 1017-1030 Downloads
Axel Grossmann, Chris Paul and Marc W. Simpson
Sovereign credit risk dynamics in the European Monetary Union (EMU) pp. 1031-1041 Downloads
Theophano Patra, Sunil S. Poshakwale and Vassilis Thomas
Sovereign risk and the relationship between deposit rates and deposit holdings in the euro area pp. 1043-1049 Downloads
Ivo Arnold and Saskia van Ewijk
Unconstrained strategies and the variance-kurtosis trade-off pp. 1051-1061 Downloads
Andrew Kumiega, Ben Van Vliet and Apostolos Xanthopoulos

Volume 24, issue 14, 2014

Commodity futures price behaviour following large one-day price changes pp. 939-948 Downloads
Khelifa Mazouz and Jian Wang
Do alternative UCITS deliver what they promise? A comparison of alternative UCITS and hedge funds pp. 949-965 Downloads
Michael Busack, Wolfgang Drobetz and Jan Tille
Do domestic and cross-border M&As differ? Cross-country evidence from the banking sector pp. 967-981 Downloads
Stefano Caiazza, Alberto Pozzolo and Giovanni Trovato
Multiple directorships and board meeting frequency: evidence from France pp. 983-992 Downloads
S. Baccouche, M. Hadriche and A. Omri
Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model pp. 993-1004 Downloads
Adnen Ben Nasr, Ahdi Noomen Ajmi and Rangan Gupta

Volume 24, issue 13, 2014

Smaller portfolio returns and the risk-return trade-off for the whole market pp. 853-869 Downloads
Jeffrey Dorfman and Myung D. Park
Country factors in stock returns: reconsidering the basic method pp. 871-888 Downloads
Y. Bai
The US zero-coupon yield spread as a predictor of excess daily stock market volatility pp. 889-906 Downloads
Matthew C. Li
Real estate investment by Bank Holding Companies and their risk and return: nonparametric and GARCH procedures pp. 907-926 Downloads
Scott Deacle and Elyas Elyasiani
Interest-rate volatility and volatility transmission in nine Latin American countries pp. 927-937 Downloads
Scott Hegerty

Volume 24, issue 12, 2014

The relationship between oil prices and stock prices: a nonlinear asymmetric cointegration approach pp. 793-800 Downloads
Panagiotis Rafailidis and Constantinos Katrakilidis
Foreign direct investment spillovers and firms' access to credit pp. 801-809 Downloads
Vlad Manole and Mariana Spatareanu
Credit risk-free sovereign bonds under Solvency II: a cointegration analysis with consistently estimated structural breaks pp. 811-823 Downloads
Alexander Ludwig
Pricing gold options under Markov-modulated jump-diffusion processes pp. 825-836 Downloads
Shih-Kuei Lin, Yu-Min Lian and Szu-Lang Liao
Voluntary corporate governance with an empirical application pp. 837-851 Downloads
Rodrigo Zeidan

Volume 24, issue 11, 2014

When do pay spreads influence firm value? pp. 723-737 Downloads
Zenu Sharma and Weihua Huang
Government bond yield sensitivity to economic news at the zero lower bound in Canada in comparison with the UK and US pp. 739-751 Downloads
Richhild Moessner
Momentum strategy and credit risk pp. 753-762 Downloads
Su-Lien Lu, Kuo-Jung Lee and Chia-Chang Yu
Determinants of profitability in the EU-15 area pp. 763-775 Downloads
Pierpaolo Pattitoni, Barbara Petracci and Massimo Spisni
S&P 500 Index reconstitutions and information asymmetry pp. 777-791 Downloads
L. C. Baran and T. H. D. King

Volume 24, issue 10, 2014

A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve pp. 661-669 Downloads
James Steeley
Size and value effects in Suriname pp. 671-677 Downloads
Denice Bodeutsch and Philip Hans Franses
Do internationalized companies have better governance? Lessons from Brazil pp. 679-690 Downloads
Andre Carvalhal
Precious metal markets, stock markets and the macroeconomic environment: a FAVAR model approach pp. 691-703 Downloads
Nicholas Apergis, Christina Christou and James Payne
Adaptive and relative efficiency of stock markets from Southeastern Europe: a wavelet approach pp. 705-722 Downloads
B. Bogdanova and I. Ivanov

Volume 24, issue 9, 2014

Dividend, liquidity and firm valuation: evidence from China AB share markets pp. 587-603 Downloads
Mao Liang Li, Chin Man Chui and Chang Qing Li
An empirical analysis of dynamic dependences in the European corporate credit markets: bonds versus credit derivatives pp. 605-619 Downloads
Sergio Mayordomo and Juan Ignacio Peña
An emerging market perspective on peer group selection based on valuation fundamentals pp. 621-637 Downloads
Soon Nel, Wilna Bruwer and Niel le Roux
An investigation of the performances of regional centres and traditional branches: evidence from Taiwanese banks pp. 639-648 Downloads
Su-Lien Lu, Kuo-Jung Lee and Yung-Fu Huang
The value of operating cash flow in modelling credit risk for SMEs pp. 649-660 Downloads
Jairaj Gupta, Nicholas Wilson, Andros Gregoriou and Jerome Healy

Volume 24, issue 8, 2014

Information leakages and the costs of merging in Europe pp. 515-532 Downloads
Jeff Madura, Thanh Ngo and Jurica Susnjara
Analyst herding and investor protection: a cross-country study pp. 533-542 Downloads
A. G. Kerl and T. Pauls
Corporate governance, risk aversion and firm value pp. 543-556 Downloads
Ron Christian Antonczyk and Astrid Juliane Salzmann
Competition, specialization and bank--firm interaction: what happens in credit crunch periods? pp. 557-571 Downloads
Irma Malafronte, Stefano Monferrà, Claudio Porzio and Gabriele Sampagnaro
Impact of a dividend initiation wave on shareholder wealth pp. 573-586 Downloads
K. H. Nguyen

Volume 24, issue 7, 2014

One share--one vote: evidence from Europe pp. 453-464 Downloads
Johan Eklund and Thomas Poulsen
Does banking sector development affect economic growth and inflation? A panel cointegration and causality approach pp. 465-480 Downloads
Rudra P. Pradhan, Mak Arvin, Neville R. Norman and Yasuyuki Nishigaki
Technological-induced information asymmetry, M&As and earnouts: stock market evidence from Germany pp. 481-493 Downloads
E. Lukas and C. Heimann
Nonlinear decomposition analysis of risk aversion and stock-holding behaviour of US households pp. 495-503 Downloads
M. Humayun Kabir and Shamim Shakur
Testing the value of lead information in forecasting monthly changes in employment from the Bureau of Labor Statistics pp. 505-514 Downloads
Allan W. Gregory and Hui Zhu

Volume 24, issue 6, 2014

Financial instability and the short-term dynamics of volatility expectations pp. 377-395 Downloads
Nabil Maghrebi, Mark Holmes and Kosuke Oya
The impact of guarantees on bank loan interest rates pp. 397-412 Downloads
Giorgio Calcagnini, Fabio Farabullini and Germana Giombini
Main bank relationships and underwriter choice pp. 413-423 Downloads
Sumiko Takaoka and Colin McKenzie
Extreme returns in emerging stock markets: evidence of a MAX effect in South Korea pp. 425-435 Downloads
Gilbert V. Nartea, Ji Wu and Hong Tao Liu
A comparison of FX exposure estimates with different control variables pp. 437-451 Downloads
Alain Krapl and Thomas J. O'Brien

Volume 24, issue 5, 2014

New insights on the US OIS spreads term structure during the recent financial turmoil pp. 291-317 Downloads
Claudio Morana
Revisiting serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece pp. 319-331 Downloads
Paulo Ferreira and Andreia Dionísio
The assets and liabilities gap management of conventional and Islamic banks in the organization of Islamic cooperation (OIC) countries pp. 333-346 Downloads
Poi Hun Sun, M. Kabir Hassan, Taufiq Hassan and Shamsher Mohamed Ramadilli
Forecasting stock return volatility at the quarterly frequency: an evaluation of time series approaches pp. 347-356 Downloads
Jonathan J. Reeves and Xuan Xie
The Arrow--Lind theorem revisited: ownership concentration and valuation pp. 357-375 Downloads
Ziemowit Bednarek and Marian Moszoro

Volume 24, issue 4, 2014

Job insecurity and financial distress pp. 219-233 Downloads
Caterina Giannetti, Marianna Madia and Luigi Moretti
Demand for investment advice over time: the disposition effect revisited pp. 235-240 Downloads
Carsten Croonenbroeck and Roman Matkovskyy
Insurance fraud and corruption in the United States pp. 241-246 Downloads
Rajeev Goel
Gender diversity in the boards and the pricing of publicly traded corporate debt: evidence from Japan pp. 247-258 Downloads
Takanori Tanaka
Cross-border sentiment: an empirical analysis on EU stock markets pp. 259-290 Downloads
Ye Bai

Volume 24, issue 3, 2014

The determinants of board compensation in SOEs: an application to Italian local public utilities pp. 145-159 Downloads
Anna Menozzi, Fabrizio Erbetta, Giovanni Fraquelli and Davide Vannoni
Seasonal processes in the Euro--US Dollar daily exchange rate pp. 161-174 Downloads
Roberto Cellini and Tiziana Cuccia
The impacts of stock characteristics and regulatory change on mutual fund herding in Taiwan pp. 175-186 Downloads
Tony Chieh-Tse Hou, Phillip J. McKnight and Charlie Weir
The role of corporate governance in foreign investments pp. 187-201 Downloads
Praveen Das
Do the effects of private equity investments on firm performance persist over time? pp. 203-218 Downloads
Antonio Meles, Stefano Monferrà and Vincenzo Verdoliva

Volume 24, issue 2, 2014

Estimating the Lerner index for the banking industry: a stochastic frontier approach pp. 73-88 Downloads
Paolo Coccorese
The effects of microfinance on child schooling: a retrospective approach pp. 89-106 Downloads
Leonardo Becchetti and Pierluigi Conzo
An analysis of persistence in analyst's relative forecast accuracy pp. 107-120 Downloads
Andreas Simon
Bank performance and the financial crisis: evidence from Kazakhstan pp. 121-138 Downloads
Anthony J. Glass, Karligash Kenjegalieva and Thomas Weyman-Jones
Nonlinear adjustment between the Eonia and Euribor rates: a two-regime threshold cointegration analysis pp. 139-143 Downloads
Go Tamakoshi and Shigeyuki Hamori

Volume 24, issue 1, 2014

Characteristics of takeover targets that trigger insider trading investigations pp. 1-18 Downloads
Jeff Madura and Marek Marciniak
Board response to majority outsider regulation pp. 19-29 Downloads
Steven Schmeiser
Growth and finance constraints in Indian manufacturing firms pp. 31-40 Downloads
Vikash Gautam and Rajendra Vaidya
Gold prices and exchange rates: a time-varying copula analysis pp. 41-50 Downloads
Lu Yang and Shigeyuki Hamori
Financial restatements, litigation and implied cost of equity pp. 51-71 Downloads
Katsiaryna Salavei Bardos and Dev Mishra
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