Applied Financial Economics

1997 - 2012

Edited by Mark P. Taylor

from Taylor and Francis Journals
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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