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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 2, issue 5, 2006

WTP--WTA disparity among competitive and non-competitive subjects -- an experimental study pp. 333-336 Downloads
Tal Shavit, Shosh Shahrabani and Uri Benzion
Nonlinear forecast of financial time series through dynamical calendar correction pp. 337-340 Downloads
Alexandros Leontitsis and Costas Siriopoulos

Volume 2, issue 4, 2006

Insurance intermediaries and contractual relations pp. 211-215 Downloads
Rajeev Goel
GARCH, heteroscedasticity-consistent covariance matrix estimation and (non)linear unit root testing pp. 217-222 Downloads
Steven Cook
A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis pp. 223-227 Downloads
Haitham Al-Zoubi, Dana A. Al-Zoubi and Aktham I. Maghyereh
Evidence on the relationship between Takaful insurance and fundamental perception of Islamic principles pp. 229-232 Downloads
Ramin Cooper Maysami and John Joseph Williams
Statistical analysis of municipal bond ratings under spatial correlation pp. 233-237 Downloads
Camilo Sarmiento
On signalling and debt maturity choice pp. 239-241 Downloads
Robert Lensink and Thi Thu Tra Pham
Hedging under price and output uncertainty: revisited pp. 243-245 Downloads
Moawia Alghalith
The impact of capital controls on Malaysian banking industry betas pp. 247-249 Downloads
Robert D. Brooks and Lye Chee Shoung
Security analysts and 'bad news’: a note on 9/11 pp. 251-256 Downloads
Simon Hussain
A micro-econometric model of the UK property-liability insurance industry pp. 257-260 Downloads
Emmanuel Mamatzakis and Christos Staikouras
The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test pp. 265-273 Downloads
Aktham Maghyereh
Floor information and common variations in liquidity pp. 275-278 Downloads
Mohsen M. Saad

Volume 2, issue 3, 2006

Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors pp. 141-146 Downloads
James Payne
Risk-return tradeoffs from investing in the Australian cash management industry pp. 147-150 Downloads
Jenny Diggle and Robert Brooks
Economic value added and systemic value added: symmetry, additive coherence and differences in performance pp. 151-154 Downloads
Roberto Ghiselli Ricci and Carlo Alberto Magni
Empirical relationship between the dividend and investment decision: do emerging market firms behave differently? pp. 155-158 Downloads
Saumitra Bhaduri and S. Raja Sethu Durai
The liquidity effect across the short end of the term structure pp. 159-163 Downloads
Garett Jones
Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence pp. 165-171 Downloads
Nevin Yörük, Cumhur Erdem and Meziyet Sema Erdem
The profitability of momentum strategies using stock futures contracts in small markets pp. 173-177 Downloads
Pilar Corredor, Luis Muga and Rafael Santamaria
The equity premium puzzle and decreasing relative risk aversion pp. 179-182 Downloads
Maurice Roche
A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH pp. 183-188 Downloads
Ming-Chih Lee, Jer-Shiou Chiou and Cho-Min Lin
Hedging or speculation in derivative markets: the case of energy futures contracts pp. 189-192 Downloads
Cetin Ciner
Testing for weekday anomaly in international stock index returns with non-normal errors pp. 193-197 Downloads
Mikael Linden and Mika Louhelainen
Two unconditionally implied parameters and volatility smiles and skews pp. 199-204 Downloads
Nikolai Dokuchaev
Option pricing: back to the thinking of Bachelier pp. 205-209 Downloads
Cokki Versluis

Volume 2, issue 2, 2006

The response of sub-sector REIT returns to shocks in fundamental state variables pp. 71-75 Downloads
James Payne
Empirical investigation on the relationship between Japanese and Asian emerging equity markets pp. 77-86 Downloads
Ramaprasad Bhar and Shigeyuki Hamori
Chinese equity market and the efficient frontier pp. 87-94 Downloads
Radu Tunaru, Frank Fabozzi and Tony Wu
About the cost of portfolio financing in Black-Scholes call option valuation pp. 95-97 Downloads
Cokki Versluis
Market trader heterogeneity and high frequency volatility dynamics: further evidence from intra-day FTSE-100 futures data pp. 99-103 Downloads
David G. McMillan and Alan E. H. Speight
Stock return volatility and the internet phenomenon pp. 105-109 Downloads
Virginia Liu, Francis Tapon and Yiguo Sun
The measure of relative risk aversion in the consumption CAPM with power utility pp. 111-114 Downloads
Andrei Semenov
Overreactions in the options markets in Japan pp. 115-121 Downloads
Chikashi Tsuji
Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation pp. 123-130 Downloads
Monica Billio, Massimiliano Caporin and Michele Gobbo
The best-beta CAPM pp. 131-137 Downloads
Liang Zou

Volume 2, issue 1, 2006

Random walk versus multiple trend breaks in stock prices: evidence from 15 European markets pp. 1-7 Downloads
Paresh Narayan and Russell Smyth
Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques pp. 9-12 Downloads
Guglielmo Maria Caporale and Luis Gil-Alana
Modelling catastrophic risk in international equity markets: an extreme value approach pp. 13-17 Downloads
John Cotter
The influence of performance on the flows into Spanish equity funds pp. 19-23 Downloads
Luis Ferruz, Cristina Ortiz and Jose? L. Sarto
Long memory properties of real interest rates for 16 countries pp. 25-30 Downloads
Jeremy Couchman, Rukmani Gounder and Jen-Je Su
The application of an intervention model to the Taiwan stock exchange price limits policy pp. 31-36 Downloads
Min-Tsung Cheng and Yeong-Jia Goo
Domestic portfolio choice amid political instability pp. 37-41 Downloads
Shu-Hsien Chen, Ming-Shu Hua and Richard Stuetz
Liquidity, volume and volatility in US electricity futures: the case of Palo Verde pp. 43-46 Downloads
Barry Goss
The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note pp. 47-53 Downloads
Brian Lucey and Edel Tully
Asymmetric beta in bull and bear market conditions: evidences from India pp. 55-59 Downloads
Saumitra Bhaduri and S. Raja Sethu Durai
Diminishing marginal impatience: its promises for asset pricing pp. 61-64 Downloads
Hiranya Nath and Jayanta Sarkar
Do common variations in liquidity exhibit a U-shaped pattern across weekdays? pp. 65-68 Downloads
Mohsen M. Saad

Volume 1, issue 6, 2005

Consumption, investment and financial intermediation in a Ramsey model pp. 329-333 Downloads
Keshab Bhattarai
Purchasing Power Parity of Papua New Guinea: evidence from the floating exchange rate regime pp. 335-338 Downloads
Guneratne Wickremasinghe
On conditional volatility transmission among mutual fund portfolios pp. 339-342 Downloads
Samuel Kyle Jones and Mark A. Thompson
An alternative method to test for contagion with an application to the Asian financial crisis pp. 343-347 Downloads
Abdulnasser Hatemi-J and R Scott Hacker
Policy transmission and the consumption-wealth channel pp. 349-353 Downloads
Fotios M. Siokis
Capital structure and stock prices: additional evidence pp. 355-360 Downloads
Monica H. Maestro and Julio Pindado
European mutual funds: detecting recurrent differences in the taxation of their private unitholders pp. 361-368 Downloads
Luis Ferruz, Cristina Ortiz and Luis Vicente
Discount factor and conditional return volatility pp. 369-372 Downloads
Valerio Potì
Volatility changes caused by the trading system: a Markov switching application pp. 373-380 Downloads
Patricia Chelley-Steeley and Yan Li
On the relationship between central bank independence and inflation: some more bad news pp. 381-385 Downloads
Kees Bouwman, Richard Jong-A-Pin and Jakob de Haan
Out-of-sample forecasting performance of the QGARCH model pp. 387-392 Downloads
Yasemin Ulu

Volume 1, issue 5, 2005

Does the credit risk premium lead the stock market? pp. 263-268 Downloads
Gabe de Bondt
The common trend and the cross-section of expected returns pp. 269-271 Downloads
Jeong-Ryeol Kurz-Kim
Regime switching in the dynamic relationship between stock returns and inflation pp. 273-277 Downloads
Dandan Liu, Dennis Jansen and Qi Li
Property networks of corporations as cause of abusive behaviour: a stock market analysis based on institutional economics pp. 279-283 Downloads
Makram El-Shagi
Nonlinear co-trending and the Fisher relationship in Japan: a note pp. 285-287 Downloads
Hiroshi Yamada
Analysis of exchange rate fluctuations for Slovakia: application of an extended Mundell--Fleming model pp. 289-292 Downloads
Yu Hsing
Bank sales, spread and profitability: an empirical analysis pp. 293-296 Downloads
George Halkos and M. N. Georgiou
Default dependence among corporate bond issuers: empirical evidence from time series data pp. 297-302 Downloads
Natalia Puzanova and Sikandar Siddiqui
Intertemporal cross-border investment structures subjected to the equity holding constraint pp. 303-307 Downloads
Yuan-Hung Hsu Ku and Jai Jen Wang
Hedging under price and output uncertainty: estimation methodology pp. 309-312 Downloads
Alghalith Moawia
Bayesian robust estimation of systematic risk using product partition models pp. 313-320 Downloads
Fernando A. Quintana, Pilar L. Iglesias and Manuel Galea-Rojas
Tests of the CAPM with structural instability and asymmetry pp. 321-327 Downloads
Ho-Chuan Huang and Pei-Shan Wu

Volume 1, issue 4, 2005

The shareholder wealth effects of voluntary foreign delistings: an empirical analysis pp. 199-204 Downloads
Shinhua Liu and John Stowe
Forecast performance of neural networks and business cycle asymmetries pp. 205-210 Downloads
Khurshid Kiani, Prasad Bidarkota and Terry L. Kastens
Internal corporate governance mechanisms and corporate performance: evidence for UK firms pp. 211-216 Downloads
Chris Florackis
Dynamic relationship between interest rate and inflation: the case of Korea pp. 217-221 Downloads
Seungryul Ma and Sangbum Park
Consensus among FX forecasters? pp. 223-227 Downloads
Stefan Reitz and Georg Stadtmann
Is non-linearity a permanent feature? Evidence from recursive and rolling estimation pp. 229-232 Downloads
David G. McMillan
New insights on the importance of agency costs for corporate debt maturity decisions pp. 233-238 Downloads
Yilmaz Guney and Aydin Ozkan
Inconsistency of HAC standard errors in event studies with i.i.d. errors pp. 239-242 Downloads
Thomas Fomby and Justin R. Murfin
Trading frequency and noise pp. 243-247 Downloads
Shing-yang Hu and Chang Chan
Does the term structure predict real economic activity in Japan? pp. 249-257 Downloads
Chikashi Tsuji
Applying event study analysis to assess the impact of marketing communication strategies: the case of sponsorship pp. 259-262 Downloads
Rodoula Tsiotsou and Dionysis Lalountas

Volume 1, issue 3, 2005

Stochastic behaviour of risk-weighted bank assets under the Basel II capital accord pp. 133-138 Downloads
M. A. Petersen and Janine Mukuddem-Petersen
Dividend forecasts and dividend payments of initial public offerings -- when zero means zero and no comment most likely also means zero pp. 139-141 Downloads
Bill Dimovski and Robert Brooks
What causes the hidden economy in Spain? pp. 143-150 Downloads
José Serrano Sanz and María Gadea
An affine three-factor model of the German term structure of interest rates with macroeconomic content pp. 151-156 Downloads
Ralf Fendel
The impact of financial deregulation on monetary aggregates and interest rates in Australia pp. 157-163 Downloads
Mosayeb Pahlavani, Abbas Valadkhani and Andrew Worthington
Style analysis of Chinese funds pp. 165-168 Downloads
Gao Zhangpeng and Shahidur Rahman
Are investors rational in international bond markets? pp. 169-175 Downloads
Chikashi Tsuji
Stochastic market volatility models pp. 177-188 Downloads
Truc Le
Extending the variance ratio test to visualize structure in data: an application to the S&P 100 Index pp. 189-197 Downloads
Andreas Lindemann, Christian L. Dunis and Paulo Lisboa

Volume 1, issue 2, 2005

REIT markets: periodically collapsing negative bubbles? pp. 65-69 Downloads
James Payne and George Waters
The nonlinear dynamics of interest rates pp. 71-74 Downloads
Philip A. Shively
Ranking economics research output by Econbase downloads: a comparison to publication based measures pp. 75-78 Downloads
Robert Brooks
Twenty-two years of Japanese institutional forecasts pp. 79-84 Downloads
Masahiro Ashiya
Empirical evidence of performance persistence in a relatively unexplored market: the case of Spanish investment funds pp. 85-88 Downloads
Luis Ferruz Agudo and María Vargas Magallón
A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers pp. 89-93 Downloads
Sheng-Yung Yang
The Spanish peseta versus the pound sterling, the French franc and the US dollar (1870--1935). A long floating experience pp. 95-99 Downloads
Marcela Sabate, María Gadea and José Serrano Sanz
Trading volume, volatility and bank of Japan intervention pp. 101-104 Downloads
Yuanchen Chang
Does volume provide information? Evidence from the Irish Stock Market pp. 105-109 Downloads
Brian Lucey
Volatility filters for dynamic portfolio optimization pp. 111-119 Downloads
Jia Miao and Christian L. Dunis
A simplified approach to demonstrating the irrelevance of dividend policy to the value of the firm pp. 121-124 Downloads
Carl B. McGowan
An alternative approach in investigating lead--lag relationships between stock and stock index futures markets -- comment pp. 125-130 Downloads
Mohammad Hasan

Volume 1, issue 1, 2005

Measuring half-lives: using a non-parametric bootstrap approach pp. 1-4 Downloads
Guglielmo Maria Caporale, Mario Cerrato and Nicola Spagnolo
Threshold adjustment in spot-futures metals prices pp. 5-8 Downloads
David G. McMillan
Speculation or hedging in the Irish stock exchange pp. 9-14 Downloads
Brian Lucey
On the presence of unspanned volatility in European interest rate options pp. 15-18 Downloads
Roberto Renò and Adamo Uboldi
Do stock prices contain predictive information on business turning points? A wavelet analysis pp. 19-23 Downloads
Hiroshi Yamada and Yuzo Honda
An investigation of the relationship between bond market volatility and trading activities: Korea treasury bond futures market pp. 25-29 Downloads
Joocheol Kim
Temporal stability of estimates of risk aversion pp. 31-35 Downloads
Glenn Harrison, Eric Johnson, Melayne McInnes and Elisabet Rutstrom
Competition, risk taking, and governance structures in retail banking pp. 37-40 Downloads
Luis M. Granero and Juan Reboredo
Empirical identification of currency crises: differences and similarities between indicators pp. 41-46 Downloads
J. Pérez
The disposition effect - empirical evidence on purchases of investor magazines pp. 47-51 Downloads
Dirk Czarnitzk and Georg Stadtmann
Determinants of bank net interest margins in southeast asia pp. 53-57 Downloads
Jude S. Doliente
Effect of S&P500's return on emerging markets: Turkish experience pp. 59-64 Downloads
Hakan Berument and Onur Ince
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