European Journal of Finance

1996 - 2009

Edited by Chris Adcock

from Taylor and Francis Journals
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Volume 15, issue 5-6, 2009

Preface pp. 445-445

Chris Adcock

Editorial pp. 447-449

Wolfgang Bessler and Wolfgang Drobetz

From Markowitz to modern risk management pp. 451-461

Gordon J. Alexander

Performance measures and incentives: loading negative coskewness to outperform the CAPM pp. 463-486

Alexandros Kostakis

Performance and characteristics of mutual fund starts pp. 487-509

Aymen Karoui and Iwan Meier

Long-horizon consumption risk and the cross-section of returns: new tests and international evidence pp. 511-532

Joachim Grammig, Andreas Schrimpf and Michael Schuppli

Diversification benefits for bond portfolios pp. 533-553

Wassim Dbouk and Lawrence Kryzanowski

International bond diversification strategies: the impact of currency, country, and credit risk pp. 555-583

Mats Hansson, Eva Liljeblom and Anders Loflund

Conditioning information in mutual fund performance evaluation: Portuguese evidence pp. 585-605

Paulo Armada Leite and Maria Ceu Cortez

Volume 15, issue 4, 2009

Short-term market timing using the bond-equity yield ratio pp. 365-384

Pierre Giot and Mikael Petitjean

The impact of board size on firm performance: evidence from the UK pp. 385-404

Paul Guest

Optimal allotment policy in central bank open market operations pp. 405-420

Christian Ewerhart, Nuno Cassola, Steen Ejerskov and Natacha Valla

UK IPO underpricing and venture capitalists pp. 421-435

Jerry Coakley, Leon Hadass and Andrew Wood

Forecasting the weekly time-varying beta of UK firms: GARCH models vs. Kalman filter method pp. 437-444

Taufiq Choudhry and Hao Wu

Volume 15, issue 3, 2009

Martingales in European emerging stock markets: Size, liquidity and market quality pp. 249-262

Graham Smith

International asset returns and exchange rates pp. 263-285

Yuming Li and Maosen Zhong

Conditional performance evaluation for German equity mutual funds pp. 287-316

Wolfgang Bessler, Wolfgang Drobetz and Heinz Zimmermann

Econometrical analysis of the sample efficient frontier pp. 317-335

Taras Bodnar and Wolfgang Schmid

Stochastic volatility and time-varying country risk in emerging markets pp. 337-363

Anders C. Johansson

Volume 15, issue 2, 2009

Preface pp. 103-103

Chris Adcock

Modelling the number of customers as a birth and death process pp. 105-118

Helena Pinto, Sydney Howell and Dean Paxson

Asset securitization: effects on value of banking institutions pp. 119-136

Martinez-Solano, Pedro, Yague-Guirao, Jose and Lopez-Martinez, Fulgencio

Earnings announcements by UK companies: Evidence of extreme events? pp. 137-156

Carlos Alegria, George McKenzie and Simon Wolfe

Durable vs. disposable equipment choice under interest rate uncertainty pp. 157-167

Jose Carlos Dias and Mark B. Shackleton

The relation between dividends and insider ownership in different legal systems: international evidence pp. 169-189

Jorge Farinha and Lopez-de-Foronda, Oscar

The performance of investment grade corporate bond funds: evidence from the European market pp. 191-209

Leif Holger Dietze, Oliver Entrop and Marco Wilkens

Corporate governance and dividend policy in Southeast Asia pre- and post-crisis pp. 211-230

Julia Sawicki

Competition and stock market development pp. 231-247

Sofia B Ramos

Volume 15, issue 1, 2009

In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors pp. 1-28

Helmut Herwartz and Morales-Arias, Leonardo

Earnings management around UK open offers pp. 29-51

Abdullah Iqbal, Susanne Espenlaub and Norman Strong

Comment on 'earnings management around UK open offers' pp. 53-60

Seth Armitage and John Capstaff

Datastream returns and UK open offers pp. 61-69

Susanne Espenlaub, Abdullah Iqbal and Norman Strong

Asset sales and firm strategy: an analysis of divestitures by UK companies pp. 71-87

David Hillier, Patrick McColgan and Samwel Werema

The determinants of trading volume for cross-listed Euribor futures contracts pp. 89-102

Owain ap Gwilym, Samir Aguenaou and Mark Rhodes

Volume 14, issue 8, 2008

International nonlinear causality between stock markets pp. 663-686

Michel Beine, Gunther CAPELLE-BLANCARD and Helene RAYMOND

Stock returns, inflation and interest rates in the United Kingdom pp. 687-699

Mohammad Hasan

Monetary disequilibria and the euro/dollar exchange rate pp. 701-716

Dieter Nautz and Karsten Ruth

Distribution-free upper bounds for spread options and market-implied antimonotonicity gap pp. 717-734

Peter Laurence and Wang, Tai-Ho

Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market pp. 735-753

Vassilios Babalos, Guglielmo Maria Caporale, Alexandros Kostakis and Nikolaos Philippas

Recovery of hidden state participation effects on oil and gas asset values pp. 755-769

Gavin Kretzschmar and Axel Kirchner

Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques pp. 771-802

Sascha Mergner and Jan Bulla

Volume 14, issue 7, 2008

Financial reform in emerging markets pp. 541-544

Christopher J. Green

Banking in transition economies: does foreign ownership enhance profitability? pp. 545-562

Ilko Naaborg and Robert Lensink

Savings and financial sector development: panel cointegration evidence from Africa pp. 563-581

Roger Kelly and George Mavrotas

The impact of tax policy on corporate debt in a developing economy: a study of unquoted Indian companies pp. 583-607

Christopher J. Green and Victor Murinde

Capital financing behaviour: evidence from firms listed on the Nairobi Stock Exchange pp. 609-624

Rose Ngugi

The measurement and determinants of x-inefficiency in commercial banks in Sub-Saharan Africa pp. 625-639

C. Kirkpatrick, V. Murinde and M. Tefula

Flow of funds and the impact of financial controls on bank portfolio behaviour: a study of India pp. 641-661

Tomoe Moore and Christopher J. Green

Volume 14, issue 6, 2008

Forecasting inter-related energy product prices pp. 453-468

M. E. Malliaris and S. G. Malliaris

The effectiveness of dynamic hedging: evidence from selected European stock index futures pp. 469-488

Jahangir Sultan and Mohammad Hasan

Changing investors' risk appetite: Reality or fiction? pp. 489-501

Miroslav Misina

Trading futures spread portfolios: applications of higher order and recurrent networks pp. 503-521

Christian Dunis, Jason Laws and Ben Evans

Forecasting daily volatility with intraday data pp. 523-540

Bart Frijns and Dimitris Margaritis

Volume 14, issue 5, 2008

Forecasting credit migration matrices with business cycle effects—a model comparison pp. 359-379

Stefan Truck

Time-varying factor models for equity portfolio construction pp. 381-395

Markus Ebner and Thorsten Neumann

Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index pp. 397-408

Stelios Bekiros and Dimitris Georgoutsos

Return forecasts and optimal portfolio construction: a quantile regression approach pp. 409-425

Lingjie Ma and Larry Pohlman

A further extension of duration-dependent models pp. 427-449

Akifumi Isogai, Satoru Kanoh and Toshifumi Tokunaga

Volume 14, issue 4, 2008

Takeover defenses, golden parachutes, and bargaining over stochastic synergy gains: a note on optimal contracting pp. 273-280

Atreya Chakraborty, Abdikarim Farah and John Barkoulas

Trading strategies based on term structure model residuals pp. 281-298

Rainer Jankowitsch and Michaela Nettekoven

Size effect, methodological issues and 'risk-to-default': evidence from the UK stock market pp. 299-314

Panagiotis Andrikopoulos, Arief Daynes, David Latimer and Paraskevas Pagas

Reserve overstocking in a highly integrated world. New evidence from Asia and Latin America pp. 315-336

Giulio Cifarelli and Giovanna Paladino

Performance of closely held firms in Russia: evidence from firm-level data* pp. 337-358

Andrei Kuznetsov, Rostislav Kapelyushnikov and Natalya Dyomina

Volume 14, issue 3, 2008

A change of focus: Stock market reclassification in the UK pp. 179-193

Bryan Mase

Dividends, prices and the present value model: firm-level evidence pp. 195-210

John Goddard, David Mcmillan and John Wilson

Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange pp. 211-223

Panayiotis Andreou and Yiannos Pierides

Trading time and trading activity: evidence from extensions of the NYSE trading day pp. 225-242

Ebenezer Asem and Aditya Kaul

Hedging effectiveness of the Athens stock index futures contracts pp. 243-270

Manolis Kavussanos and Ilias Visvikis

Volume 14, issue 2, 2008

Preface pp. 71-71

Chris Adcock

Editorial pp. 73-73

Jan Annaert and Marc De Ceuster

Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation pp. 75-89

L. Vanessa Smith and Demosthenes N. Tambakis

Commodity volatility modelling and option pricing with a potential function approach pp. 91-113

Jasper Anderluh and Svetlana Borovkova

The stability of bank efficiency rankings when risk preferences and objectives are different pp. 115-135

Michael Koetter

Pricing Parisians and barriers by hitting time simulation pp. 137-156

J. H. M. Anderluh

Residual value risk in the leasing industry: A European case pp. 157-177

Hugues E. Pirotte Speder and Céline Vaessen

Volume 14, issue 1, 2008

Evidence of ex-dividend trading by investor tax category pp. 1-21

Karl Felixson and Eva Liljeblom

Stochastic volatility in the Spanish stock market: a long memory model with a structural break pp. 23-31

Luis Alberiko Gil-Alana, Juncal Cuñado and Fernando Pérez de Gracia

What a delta hedge really does - a theoretical and pedagogical note pp. 33-47

S. D. Howell

Will we pay in the same way? pp. 49-67

Sandra Deungoue