International Review of Financial Analysis

1992 - 2025

Current editor(s): B.M. Lucey

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Volume 16, issue 5, 2007

Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments pp. 412-433

John-Peter D. Chateau

Ratings-based credit risk modelling: An empirical analysis pp. 434-451

Pamela Nickell, William Perraudin and Simone Varotto

Hedging emerging market bonds and the rise of the credit default swap pp. 452-470

Frank S. Skinner and Julinda Nuri

A credit scoring model for Vietnam's retail banking market pp. 471-495

Thi Huyen Thanh Dinh and Stefanie Kleimeier

Proportionate consolidation versus the equity method: Additional evidence on the association with bond ratings pp. 496-507

Mark P. Bauman

A simple continuous measure of credit risk pp. 508-523

Hans Byström and Oh Kang Kwon

Volume 16, issue 4, 2007

Introduction to the special issue on privatization pp. 301-303

William L. Megginson

The dynamics of privatization, the legal environment and stock market development pp. 304-331

Narjess Boubakri and Olfa Hamza

The performance of newly privatized firms in selected MENA countries: The role of ownership structure, governance and liberalization policies pp. 332-353

Sami Ben Naceur, Samir Ghazouani and Mohammed Omran

The productivity effects of privatization: The case of Polish cooperatives pp. 354-366

Kevin Amess and Barbara Roberts

Operating and stock market performance of state-owned enterprise privatizations: The Spanish experience pp. 367-389

Jose E. Farinos, C. Jose Garcia and Ana Ma Ibanez

The Spanish privatisation process: Implications on the performance of divested firms pp. 390-409

Laura Cabeza Garcia and Silvia Gómez Ansón

Volume 16, issue 3, 2007

Debt-equity choice in Europe pp. 201-222

Philippe Gaud, Martin Hoesli and Andre Bender

New evidence on the price and liquidity effects of the FTSE 100 index revisions pp. 223-241

Khelifa Mazouz and Bharim Saadouni

Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis pp. 242-261

Taufiq Choudhry, Lin Lu and Ke Peng

The identification of acquisition targets in the EU banking industry: An application of multicriteria approaches pp. 262-281

Fotios Pasiouras, Sailesh Tanna and Constantin Zopounidis

Volatility in stock returns for new EU member states: Markov regime switching model pp. 282-292

Tomoe Moore and Ping Wang

Statistical properties of post-sample hedging effectiveness pp. 293-300

Donald Lien

Volume 16, issue 2, 2007

The use of the comparable firm approach in valuing Australian IPOs pp. 99-115

Janice How, Jennifer Lam and Julian Yeo

Investor interest, trading volume, and the choice of IPO mechanism in France pp. 116-135

Salim Chahine

Approval of shareholder-sponsored proposals: Evidence from Canada pp. 136-151

Angela Morgan and Jack Wolf

The behavior of government of Canada real return bond returns pp. 152-171

David W. Peters

The comovement of US and German bond markets pp. 172-182

Tom Engsted and Carsten Tanggaard

Is the long-run underperformance of seasoned equity issues irrational? Evidence from Spain pp. 183-199

Jose E. Farinos, C. Jose Garcia and Ana M. Ibanez

Volume 16, issue 1, 2007

Basel-2 capital adequacy: Computing the `fair' capital charge for loan commitment `true' credit risk pp. 1-21

J.-P. Chateau and JunJie Wu

Evidence of an asymmetry in the relationship between volatility and autocorrelation pp. 22-40

Michael D. McKenzie and Suk-Joong Kim

Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? pp. 41-60

Theodore Syriopoulos

Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited pp. 61-80

Abhay Abhyankar and Keng-Yu Ho

Does ownership structure affect value? A panel data analysis for the Spanish market pp. 81-98

Antonio Minguez-Vera and Juan Francisco Martin-Ugedo

Volume 15, issue 4-5, 2006

Asian market microstructure pp. 288-290

David Ding and Charlie Charoenwong

Index inclusion and commonality in liquidity: Evidence from the Stock Exchange of Hong Kong pp. 291-305

Paul Brockman and Dennis Y. Chung

Common factors in liquidity: Evidence from Taiwan's OTC stock market pp. 306-327

Jie-Haun Lee, Shu-Ying Lin, Wan-Chen Lee and Chueh-Yung Tsao

The intraday effect and the extension of trading hours for Taiwanese securities pp. 328-347

Yu-Ju Fan and Hung-Neng Lai

A simple estimate of noise and its determinant in a call auction market pp. 348-362

Shing-yang Hu

Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading pp. 363-376

Pin-Huang Chou, Wen-Shen Li, Jun-Biao Lin and Jane-Sue Wang

The intraday price behaviour of Australian and New Zealand cross-listed stocks pp. 377-397

Emily Lok and Petko S. Kalev

An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets pp. 398-414

Seung Oh Nam, SeungYoung Oh, Hyun Kyung Kim and Byung Chun Kim

Intra-night trading behaviour of Australian treasury-bond futures overnight options pp. 415-433

Liping Zou, Lawrence Rose and John Pinfold

Were bid-ask spreads in the FX market excessive during the Asian crisis? pp. 434-449

Torbjörn Becker and Amadou Sy

Insider ownership, bid-ask spread, and stock splits: Evidence from the Stock Exchange of Thailand pp. 450-461

Maneeporn Gorkittisunthorn, Seksak Jumreornvong and Piman Limpaphayom

Volume 15, issue 3, 2006

The CAPM and value at risk at different time-scales pp. 203-219

Viviana Fernandez

Are corporates' target leverage ratios time-dependent? pp. 220-236

C.H. Hui, C.F. Lo and M.X. Huang

Asymmetric risk premium in value and growth stocks pp. 237-246

Angela Black and David G. McMillan

Do option markets substitute for stock markets? Evidence from trading on anticipated tender offer announcements pp. 247-255

Tom Arnold, Gayle Erwin, Lance Nail and Terry Nixon

Financial statement data in assessing the future potential of a technology firm: The case of Nokia pp. 256-286

Erkki K. Laitinen

Volume 15, issue 2, 2006

Stock market dynamics in a regime-switching asymmetric power GARCH model pp. 109-129

Thierry Ane and Loredana Ureche-Rangau

The Theory of Fair Markets (TFM) toward a new finance paradigm pp. 130-144

George M. Frankfurter

Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options pp. 145-178

Gianluca Cassese and Massimo Guidolin

Are options redundant? Further evidence from currency futures markets pp. 179-188

Leo Chan and Donald Lien

Performance aspects of Greek bond mutual funds pp. 189-202

Nikolaos Dritsakis, Christos Grose and Lampros Kalyvas

Volume 15, issue 1, 2006

The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE pp. 1-20

Khelifa Mazouz and Michael Bowe

Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy pp. 21-38

Ben Marshall

A test of risk arbitrage profitability pp. 39-56

Ben Branch and Taewon Yang

A note on the long-run benefits from international equity diversification for a Taiwan investor diversifying in the US equity market pp. 57-67

Tsangyao Chang and Steven B Caudill

Futures trading volume as a determinant of prices in different momentum phases pp. 68-85

Allan Hodgson, A. Mansur M. Masih and Rumi Masih

An unobserved component model of asset pricing across financial markets pp. 86-107

Adrian M. Cowan and Fred Joutz