International Review of Financial Analysis

1992 - 2025

Current editor(s): B.M. Lucey

From Elsevier
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Volume 14, issue 5, 2005

Security analysis, agency costs, and UK firm characteristics pp. 493-507

John Doukas, Phillip J. McKnight and Christos Pantzalis

Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market pp. 508-532

Marianna Brunetti and Costanza Torricelli

Group affiliation, identity of managers, and the relation between managerial ownership and performance pp. 533-558

Ming-Yuan Chen

The dynamics between stock returns and mutual fund flows: empirical evidence from the Greek market pp. 559-569

Christos Alexakis, Nikitas Niarchos, Theopfano Patra and Sunil Poshakwale

Exploratory analyses of dividend reinvestment plans and some comparisons pp. 570-586

Kevin Chiang, George M. Frankfurter and Arman Kosedag

The intraday behaviors and relationships with its underlying assets: evidence on option market in Taiwan pp. 587-603

Mingchih Lee and Chun-Da Chen

Volume 14, issue 4, 2005

Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests pp. 393-406

Raj Aggarwal and NyoNyo A. Kyaw

Estimation of expected return: CAPM vs. Fama and French pp. 407-427

Jan Bartholdy and Paula Peare

Derivative prices from interest rate models: results for Canada, Hong Kong, and United States pp. 428-438

K. Ben Nowman and Ghulam Sorwar

The early managed fund industry: Investment trusts in 19th century Britain pp. 439-454

Elaine Hutson

Portfolio diversification benefits within Europe: Implications for a US investor pp. 455-476

Nikiforos Laopodis

Correlation and return dispersion dynamics in Chinese markets pp. 477-491

Riza Demirer and Donald Lien

Volume 14, issue 3, 2005

Cost frontier efficiency and risk-return analysis in an emerging market pp. 283-303

Ananth Rao

The valuation relevance of R&D expenditures: Time series evidence pp. 304-325

Jeffrey L. Callen and Mindy Morel

Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets pp. 326-336

Gerard Gannon

Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence pp. 337-355

Michael Dowling and Brian Lucey

Macroeconomic announcements, volatility, and interrelationships: An examination of the UK interest rate and equity markets pp. 356-375

Brad Jones, Chien-Ting Lin and Abul Masih

Pricing counterparty default risks: Applications to FRNs and vulnerable options pp. 376-392

Jangkoo Kang and Hwa-Sung Kim

Volume 14, issue 2, 2005

Risk management under extreme events pp. 113-148

Viviana Fernandez

An analytical approximation to the option formula for the GARCH model pp. 149-164

Youngsoo Choi

Paramater estimation bias and volatility scaling in Black-Scholes option prices pp. 165-176

Jonathan Batten and Craig A. Ellis

Revenue and optimality in unequal-sized share auctions pp. 177-190

Kyu-Chul Jung and Kyoo H. Kim

Optimization of a firm's capital structure: A quantitative approach based on a probabilistic prognosis of risk and time of bankruptcy pp. 191-209

Leonid V. Philosophov and Vladimir L. Philosophov

Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997 pp. 211-246

Jeyanthi Karuppiah and Cornelis Los

Autoregressive conditional tail behavior and results on Government bond yield spreads pp. 247-261

Niklas Wagner

Value at risk methodology of international index portfolio under soft conditions (fuzzy-stochastic approach) pp. 263-275

Zdeněk Zmeškal

The use and abuse of the hedging effectiveness measure pp. 277-282

Donald Lien

Volume 14, issue 1, 2005

Trends in analyst earnings forecast properties pp. 1-22

Stephen J. Ciccone

Modeling conditional return autocorrelation pp. 23-42

Michael D. McKenzie and Robert Faff

The effect of ownership and control on market valuation: Evidence from initial public offerings in The Netherlands pp. 43-59

Peter Roosenboom and Tjalling van der Goot

Informed and uninformed trading on the Australian dollar pp. 61-75

Warren Hogan and Jonathan Batten

Stock market response to analysts' perceptions and earnings in a technology-intensive environment pp. 77-92

Juha Junttila, Juha-Pekka Kallunki, Aki Karja and Minna Martikainen

The index revision party pp. 93-112

Ronald Q. Doeswijk

Volume 13, issue 5, 2004

International equity market integration: Theory, evidence and implications pp. 571-583

Colm Kearney and Brian Lucey

The links between securities settlement systems: An oligopoly theoretic approach pp. 585-600

Karlo Kauko

Networks and equity market integration: European evidence pp. 601-619

Iftekhar Hasan and Heiko Schmiedel

Equity market integration in the Asia-Pacific region: A smooth transition analysis pp. 621-632

Patricia Chelley-Steeley

Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes pp. 633-647

Svitlana Voronkova

Equity market integration in Latin America: A time-varying integration score analysis pp. 649-668

Mahua Barari

International equity market integration in a small open economy: Ireland January 1990-December 2000 pp. 669-685

John Cotter

Volume 13, issue 4, 2004

Financial instability: Contagion effects, risk premiums, and returns in equity and currency markets pp. 367-380

L.P. Blenman

Looking for risk premium and contagion in Asia-Pacific foreign exchange markets pp. 381-409

Chu-Sheng Tai

Valuation impact of currency crises: Evidence from the ADR market pp. 411-432

Feng-Shun Bin, Lloyd P. Blenman and Dar-Hsin Chen

A multilateral approach to examining the comovements among major world equity markets pp. 433-462

Chin-Wen Hsin

Crisis transmission: Some evidence from the Asian financial crisis pp. 463-478

Shang-Chi Gong, Tsong-Pei Lee and Yea-Mow Chen

Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises pp. 479-515

Hue Hwa AuYong, Christopher Gan and Sirimon Treepongkaruna

WTO financial services commitments: Determinants and impact on financial stability pp. 517-541

Nico Valckx

U.S. monetary policy indicators and international stock returns: 1970-2001 pp. 543-558

Thomas Mann, Robert J. Atra and Richard Dowen

Credit distortion and financial crisis pp. 559-570

Jing Chen

Volume 13, issue 3, 2004

Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets pp. 245-263

Chanwit Phengpis and Vince P. Apilado

Long memory in the U.S. interest rate pp. 265-276

Luis Gil-Alana

Modeling Eurobond credit ratings and forecasting downgrade probability pp. 277-300

Katiuscia Manzoni

On the source of contrarian and momentum strategies in the Italian equity market pp. 301-331

Stefano Mengoli

European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods pp. 333-347

Raj Aroskar, Salil K. Sarkar and Peggy E. Swanson

Is idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange pp. 349-366

Michael Drew, Tony Naughton and Madhu Veeraraghavan

Volume 13, issue 2, 2004

Modelling the behaviour of the new issue market pp. 119-132

Tim Brailsford, Richard Heaney and Jing Shi

Managing extreme risks in tranquil and volatile markets using conditional extreme value theory pp. 133-152

Hans Byström

Why does book-to-market value of equity forecast cross-section stock returns? pp. 153-160

George Bulkley, Richard Harris and Renata Herrerias

New evidence on price impact of analyst forecast revisions pp. 161-190

Tiong Kiong Lim and Hwee Chi Kong

Long-run performance of Spanish seasoned equity issues with rights pp. 191-215

Maria Jesus Pastor-Llorca and Juan Francisco Martin-Ugedo

Technical analysis as the representation of typical cognitive biases pp. 217-225

Piotr Zielonka

Private benefits, block transaction premiums and ownership structure pp. 227-244

Giovanna Nicodano and Alessandro Sembenelli

Volume 13, issue 1, 2004

Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty pp. 1-12

Jussi Nikkinen and Petri Sahlstrom

The effectiveness of interest-rate futures contracts for hedging Japanese bonds of different credit quality and duration pp. 13-25

Martin Young, Warren Hogan and Jonathan Batten

Measuring financial risks with copulas pp. 27-45

Beatriz Vaz de Melo Mendes and Rafael Martins de Souza

Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing pp. 47-61

Franck Moraux

Another look at the forecast performance of ARFIMA models pp. 63-81

Craig Ellis and Patrick Wilson

Long-run abnormal return after IPOs and optimistic analysts' forecasts pp. 83-103

Salim Chahine

Scientific methods in finance pp. 105-118

Stephen Kane