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Applied Financial Economics Letters

2005 - 2008

Continued by Applied Economics Letters.

Current editor(s): Mark Taylor

From Taylor and Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

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Volume 4, issue 6, 2008

Exchange rates and fractional integration revisited pp. 383-387 Downloads
Peter Sephton
On the functional form of PPP: the case of nine new EU countries pp. 389-393 Downloads
Yu Hsing
Style drift and fund performance in up and down markets: Australian evidence pp. 395-398 Downloads
Kathryn Holmes and Robert Faff
Disaggregating 'accounting earnings' to better explain UK dividends pp. 399-401 Downloads
Abdallah Atieh and Simon Hussain
Long-term asymmetry in the USD-DEM spot exchange rate volatility process pp. 403-407 Downloads
Bernard Bollen
Generating innovations in economic variables pp. 409-415 Downloads
Vitor Leone and Lawrence Leger
Erratum to ON the variance of the error associated to the squared return as proxy of volatility: [Applied Financial Economics Letters, 2007, 3, 255-7] pp. 417-417 Downloads
Umberto Triacca
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework pp. 419-423 Downloads
Stavros Degiannakis and Evdokia Xekalaki
Value-at-risk in US stock indices with skewed generalized error distribution pp. 425-431 Downloads
Ming-Chih Lee, Jung-Bin Su and Hung-Chun Liu
Long memory in international equity markets: revisited pp. 433-437 Downloads
Ata Assaf
The equity premium and inflation pp. 439-442 Downloads
John Beirne and Gabe de Bondt
Size and stock market integration: a study of Canadian firms pp. 443-449 Downloads
Lucie Samson
The impact of WTO on international interdependence degree among United States, Korea and China pp. 451-456 Downloads
Chia-Hsing Huang and Shu-Shian Lin
Application of the auction theory to the overpricing phenomenon in a corporate bond underwriting market pp. 457-460 Downloads
Kenji Matsui
Stock market returns and the temperature effect: new evidence from Europe pp. 461-467 Downloads
Christos Floros

Volume 4, issue 5, 2008

The causal relationship between domestic and outward foreign investment: evidence for Italy pp. 307-310 Downloads
Dierk Herzer
A nonparametric approach tothe noise density in stochastic volatility models pp. 311-314 Downloads
Simone Alfarano, Friedrich Wagner and Mishael Milaković
Are stock repurchases more flexible than dividends? The caseof Japanese firms pp. 315-318 Downloads
Naohiko Baba and Yoichi Ueno
Price matching for multiple rescindable options and European options pp. 319-325 Downloads
Nikolai Dokuchaev
Efficiency of the South African equity market pp. 327-330 Downloads
David McMillan and Pako Thupayagale
A note on the general elections and long memory: evidence from the London Stock Exchange pp. 331-335 Downloads
Jeremy Eng Tuck Cheah and Hon Lee
A threshold model for the Hong Kong warrant prices pp. 337-339 Downloads
Kin Ming Wong and Terence Tai Leung Chong
An ordered probit model of Morningstar individual stock ratings pp. 341-345 Downloads
Robert Brooks and Shelley Claire Naylor
Some properties of absolute returns as a proxy for volatility pp. 347-350 Downloads
David Giles
Firm survival and time aggregation bias pp. 351-354 Downloads
Costas Siriopoulos and Dionysis Antonios Lalountas
An alternative method for measuring risk compensation of event jumps pp. 355-361 Downloads
Shu-Hsien Chen, Ming-Shann Tsai and Fang-Ling Liao
Decomposition of mutual fund underperformance pp. 363-367 Downloads
Jin-Li Hu and Tzu-Pu Chang
The stock market's valuationof R&D externalities pp. 369-373 Downloads
Hironobu Miyazaki and Hiroyuki Aman
Does the rule for voluntary disclosure induce truthful disclosure? pp. 375-377 Downloads
Chen-Wen Chen and Victor Liu
Foreign exchange intervention and central bank independence: the Latin American experience pp. 379-382 Downloads
Mauricio Nunes and Sergio Da Silva

Volume 4, issue 4, 2008

Mood and UK equity pricing pp. 233-240 Downloads
Michael Dowling and Brian Lucey
Credit default swap rates and stock prices pp. 241-248 Downloads
Marco Realdon
Econometric analysis of interest rate pass-through pp. 249-251 Downloads
Steven Cook
Style analysis, customized benchmarks, and managed funds: new evidence pp. 253-258 Downloads
Kathryn Holmes and Robert Faff
Do large hedgers and speculators react to events? A stability and events analysis pp. 259-267 Downloads
Ikhlaas Gurrib
Fractional return and fractional CAPM pp. 269-275 Downloads
Reza Raei and Shapour Mohammadi
Are stock returns related toshort-term and long-term past returns? Australian evidence pp. 277-282 Downloads
Philip Gharghori, Ronald Lee and Madhu Veeraraghavan
Measuring the US social discount rate: reply to Azar pp. 283-285 Downloads
Martin Lally
Demonstrating error-correction modelling for intraday statistical arbitrage pp. 287-292 Downloads
Brian Jacobsen
Global takeover premiums - country vs. industry impact pp. 293-297 Downloads
Andreas Dombret, Ferdinand Mager and Timo Reinschmidt
Estimating the value of victory: English football pp. 299-302 Downloads
Kent Hickman, Stuart Cooper and Sam Agyei-Ampomah
Risk aversion, regional welfare state and private pension plans pp. 303-306 Downloads
Marco Percoco

Volume 4, issue 3, 2008

Dynamic modelling of bank profits pp. 157-161 Downloads
J. Mukuddem-Petersen, M. A. Petersen, I. M. Schoeman and B. A. Tau
Assessing Italian Government bonds' term structure with CIR model in the aftermath of EMU pp. 163-170 Downloads
Bernardo Maggi and Fabrizio Infortuna
Provincial co-movement in Chinese stock returns pp. 171-176 Downloads
Udomsak Wongchoti and Fei Wu
The future of credit unions in the United States: evidence from quantitative extrapolations pp. 177-182 Downloads
Konstantinos Nikolopoulos and Michael Handrinos
Financial distress, relative performance and takeovers as drivers for abnormal accruals pp. 183-186 Downloads
Lingyan Zuo and Simon Hussain
Systematic liquidity in the long run pp. 187-191 Downloads
Charly Sujoto, Petko Kalev and Robert Faff
Deregulation and productivity changes in banking: evidence from European unification pp. 193-197 Downloads
Alexander Kondeas, Steven B Caudill, Daniel Gropper and Jennie Raymond
Credit risk and Basel II: are nonprofit firms financially different? pp. 199-203 Downloads
Barbara Luppi, Massimiliano Marzo and Antonello Scorcu
Fixed income securities with a zero Macaulay duration: senior life settlements pp. 205-207 Downloads
Carlos Ortiz, Charles Stone and Anne Zissu
The Bootstrap Maximum Likelihood Estimator: the case of logit pp. 209-212 Downloads
Athanasios Tsagkanos
Test of a quadratic relationship between the yield of TIPS and the federal funds rate pp. 213-216 Downloads
Yu Hsing
Value-neutral tradeoffs between failure risk and growth pp. 217-219 Downloads
Sherrill Shaffer
Does foreign exchange intervention reduces the exchange rate volatility? pp. 221-224 Downloads
Takeshi Hoshikawa
Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange pp. 225-231 Downloads
Christos Alexakis and Dimitris Balios

Volume 4, issue 2, 2008

A note on the effects of debt buybacks in the MM world pp. 77-79 Downloads
Mark Schaub
Incomplete temporal overlap and cross-sectional independence in event studies pp. 81-86 Downloads
Imre Karafiath
Firm size, sector and market valuation of R&D expenditures pp. 87-91 Downloads
Syed Zulfiqar Ali Shah, Andrew Stark and Saeed Akbar
The oil price exposure of global oil companies pp. 93-96 Downloads
Perry Sadorsky
The usual suspects: the effects of attention on journalists' stock recommendations pp. 97-101 Downloads
Alexander Kerl and Andreas Walter
The Buncefield oil depot explosion: where there's smoke, there's (stock market) fire? pp. 103-107 Downloads
Gunther Capelle-Blancard and Marie-Aude Laguna
Money market fund investors' response to fund company mergers pp. 109-113 Downloads
Luis Ferruz, Cristina Ortiz and Luis Vicente
Day of the week seasonality in African stock markets pp. 115-120 Downloads
Imhotep Alagidede
Productivity in the retail industry: does insider ownership of shares matter? pp. 121-125 Downloads
Vasanthakumar Bhat
What determines the forward exchange rate of the euro? pp. 127-131 Downloads
Costas Karfakis
The effects of asymmetries and regime switching on optimal futures hedging pp. 133-136 Downloads
Hsiang-Tai Lee
The minimum required rate of return pp. 137-139 Downloads
Samih Antoine Azar
Optimal mortgage refinancing: application of bond valuation tools to household risk management pp. 141-149 Downloads
Andrew Kalotay, Deane Yang and Frank Fabozzi
Asymmetry in the price-volume relation: evidence based on individual company stocks traded in an emerging stock market pp. 151-155 Downloads
Khalid Al-Saad and Imad Moosa

Volume 4, issue 1, 2008

Find a penny and pick it up: capitalizing on mutual fund rounding pp. 1-3 Downloads
Lee Redding
Underpricing of initial public offerings in Bangladesh pp. 5-8 Downloads
Tanweer Hasan and Shakil Quayes
Comovement in the FTSE 100 Index pp. 9-12 Downloads
Bryan Mase
Consumption, wealth and expected stock returns in Australia: some further results pp. 13-18 Downloads
Lance Fisher
The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM pp. 19-24 Downloads
Hui-Na Lin, Shu-Mei Chiang and Kun-Hong Chen
Estimating the uncertainty of relative risk aversion pp. 25-27 Downloads
Karl-Heinz Todter
Pensions in a perfect storm: financial behaviour of Dutch pension funds (2002-2005) pp. 29-33 Downloads
Jan Kakes
Sectoral impact of shocks: empirical evidence from the Malaysian stock market pp. 35-39 Downloads
Kian-Ping Lim
Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis pp. 41-44 Downloads
Robert Brooks, Elizabeth Maharaj and Breanna Pellegrini
Long memory and nonlinearity in stock markets pp. 45-48 Downloads
Derek Bond and Kenneth Dyson
Signalling and jump bidding in takeover auctions pp. 49-51 Downloads
Anna Dodonova
Emerging markets mutual funds: regional exposure and stock selection ability pp. 53-57 Downloads
Javier Rodriguez and Jimmy Torrez
Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests pp. 59-63 Downloads
Steven Cook
Do acquirer company returns improve after a takeover? Empirical evidence for Australia pp. 65-69 Downloads
Stuart Dullard and Kim Hawtrey
Transmission of shocks among health care stock index returns pp. 71-75 Downloads
Bradley Ewing, Jamie Kruse and Mark Thompson
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