Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 23, issue 24, 2013

Evidence for state and time nonseparable preferences: the case of Finland pp. 1821-1838

Nader Shahzad Virk

Consumption, change in expectations and equity returns pp. 1839-1851

Margot Quijano

Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis pp. 1853-1863

C. Pederzoli and Costanza Torricelli

Achieving superior performance with the Morningstar's Tortoise and Hare portfolios pp. 1865-1870

Peppi M. Kenny, Don T. Johnson and Robert A. Kunkel

The effect of political connections on acquisition-evidence from Chinese nonSOEs pp. 1871-1890

Jun Su, Min Zhang and Wen Zhang

Volume 23, issue 23, 2013

Bank characteristics and stock reactions to federal funds rate target changes pp. 1755-1764

Haiyan Yin and Yang

Shareholders wealth effects and intra-industry signals from European financial institution consolidation announcements pp. 1765-1782

Nickolaos V. Tsangarakis, Hlias K. Tsirigotakis and Emmanuel Tsiritakis

The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules pp. 1783-1795

Stefano d'Addona and Ilaria Musumeci

A study of the solution to the Riccati equation in term structure modelling pp. 1797-1803

Januj Juneja

Dependence structure among international stock markets: a GARCH--copula analysis pp. 1805-1817

Lu Yang and Shigeyuki Hamori

Volume 23, issue 22, 2013

Examining volatility spillover in Asian REIT markets pp. 1701-1705

Pin-te Lin

Modelling long-run money demand: a panel data analysis on nine developed economies pp. 1707-1719

Pasquale Foresti and Oreste Napolitano

The stock performance of family firms in the Portuguese market pp. 1721-1732

Jos� Luis Miralles-Marcelo, Mar�a del Mar Miralles-Quir�s and Ines Lisboa

Foreign banks, profits, market power and efficiency in PICs: some evidence from Fiji pp. 1733-1744

Parmendra Sharma, Neelesh Gounder and Dong Xiang

Improved alternatives to price multiple and earnings growth ratios used by bottom-up investors pp. 1745-1754

David DeBoeuf, Hongbok Lee and Alex Stanley

Volume 23, issue 21, 2013

Improving the CARR model using extreme range estimators pp. 1635-1647

Jos� Luis Miralles-Marcelo, Jos� Luis Miralles-Quir�s and Mar�a del Mar Miralles-Quir�s

Adaptive market hypothesis: evidence from the REIT market pp. 1649-1662

Jian Zhou and Jin Man Lee

Does the Latin model of corporate governance perform worse than other models in preventing earnings management? pp. 1663-1673

Carlos Alves and Ernesto Fernando R. Vicente

Forecasting volatility in developing countries' nominal exchange returns pp. 1675-1691

Nikolaos Antonakakis and Julia Darby

Financial deepening and business cycle volatility in Korea pp. 1693-1700

Jinyoung Hwang and Jong Ha Lee

Volume 23, issue 20, 2013

Financial permeation as a role of microfinance: has microfinance actually been a viable financial intermediary for helping the poor? pp. 1567-1578

Takeshi Inoue and Shigeyuki Hamori

What determines microcredit interest rates? pp. 1579-1597

Gregor Dorfleitner, Michaela Leidl, Christopher Priberny and Jakob von Mosch

Post-crisis cost efficiency of Jamaican banks pp. 1599-1607

Jenifer Daley, Kent Matthews and Tiantian Zhang

European sovereign bond spreads: financial integration and market conditions pp. 1609-1621

Dimitris Georgoutsos and Petros Migiakis

Another look at the holiday effect pp. 1623-1633

Paulo M. Gama and Elisabete F. S. Vieira

Volume 23, issue 19, 2013

Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange? pp. 1497-1508

Antonina Waszczuk

Explaining related party transactions in commercial banking: looted lending and information-based investments pp. 1509-1530

David Tennant and Marlon Tracey

The stock price effect of the introduction of exchange-traded credit derivatives pp. 1531-1539

Lisa A. Schwartz, Kristin Stowe and Wayne Tarrant

Initial public offerings: an asset allocation decision based on nonnormal returns pp. 1541-1552

Beat Reber

Should gold be included in institutional investment portfolios? pp. 1553-1565

Ole Emmrich and Francis Joseph McGroarty

Volume 23, issue 18, 2013

Interest rate and stock return volatility indices for the Eurozone. Investors' gauges of fear during the recent financial crisis pp. 1419-1432

R. L�pez and E. Navarro

The twin faces of emerging Asia's currency forward markets in an imperfect setting pp. 1433-1446

Suresh Ramanathan and Kian Teng Kwek

A simple approach to valuing a multinational firm's tax shields pp. 1447-1455

Axel Pierru and T. Atallah

Can you capitalize on the turn-of-the-year effect? pp. 1457-1468

S. Beyer, L. Garcia-Feijoo and G. R. Jensen

Market overreaction and underreaction: tests of the directional and magnitude effects pp. 1469-1482

Frank Fabozzi, Chun-Yip Fung, Kin Lam and Wing-Keung Wong

Principal component measures of exchange market pressure: comparisons with variance-weighted measures pp. 1483-1495

Scott Hegerty

Volume 23, issue 17, 2013

A Basel perspective on bank leverage pp. 1361-1369

M. A. Petersen, J. B. Maruping, J. Mukuddem-Petersen and L. N. P. Hlatshwayo

Street-smart asset pricing pp. 1371-1381

Vinay Asthana

Change in governance environment and firm performance: evidence from foreign firms deregistering from the US pp. 1383-1391

Ting Yang

Market closings and concentration of stock trading: an empirical analysis pp. 1393-1398

P.V. (Sundar) Balakrishnan, A. Steven Holland, James M. Miller and S. Gowri Shankar

Testing purchasing power parity in a DFA rolling Hurst framework: the case of 23 OECD countries pp. 1399-1406

Periklis Gogas, Theophilos Papadimitriou and Georgios Sarantitis

Inefficient pricing from holdover bias in NFL point spread markets pp. 1407-1418

Andy Fodor, Michael DiFilippo, Kevin Krieger and Justin Davis

Volume 23, issue 16, 2013

The influence of blockownership level and identity on board composition: evidence from the New Zealand market pp. 1287-1299

Bruce Burton, Abeyratna Gunasekarage and Jayanthi Kumarasiri

Investor sentiment and stock prices in the subprime mortgage crisis pp. 1301-1309

Alexander F. Wolff

Does federal funds futures rate contain information about the treasury bill rate? pp. 1311-1324

N Kishor and Hardik Marfatia

Detecting financial predators ahead of time: a two-group longitudinal study pp. 1325-1336

Olivier Mesly

AIG's announcements, Fed's innovation, contagion and systemic risk in the financial industries pp. 1337-1348

M. Faisal Safa, M. Kabir Hassan and Neal C. Maroney

The impact of double taxation on small firms' cash holdings pp. 1349-1359

Hui Di and Steven Allen Hanke

Volume 23, issue 15, 2013

Valuation of liabilities in hybrid pension plans pp. 1215-1229

Dirk Broeders, An Chen and David Rijsbergen

Option pricing with time-changed L�vy processes pp. 1231-1238

Sven Klingler, Young Shin Kim, Svetlozar T. Rachev and Frank Fabozzi

The effects of good governance on foreign direct investment inflows in Arab countries pp. 1239-1247

Alamedin Bannaga, Yagoub Gangi, Rafid Abdrazak and Bashar Al-Fakhry

Assessing the effect of tail dependence in portfolio allocations pp. 1249-1256

R. P. C. Leal and B. V. M. Mendes

Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets pp. 1257-1271

Aneta Dyakova and Graham Smith

Volatility links between US industries pp. 1273-1286

Bernard Ben Sita

Volume 23, issue 14, 2013

Divestitures and value creation: does leverage matter? pp. 1145-1154

Pascal Nguyen

Time-varying betas of sectoral returns to market returns and exchange rate movements pp. 1155-1168

Hyunjoo Kim Karlsson and R. Scott Hacker

The tax burden of listed companies in China pp. 1169-1183

Der-Fen Huang, Ni-Yun Chen and Ko-Wei Gao

Forecasting Eurozone real-estate returns pp. 1185-1196

Christian Pierdzioch and Daniel Hartmann

Capital structure and stock returns: evidence from an emerging market with unique financing arrangements pp. 1197-1203

Khamis Al-Yahyaee, Toan M. Pham and Terry Walter

Did the Bank of Mexico follow a systematic behaviour in its transition to an inflation targeting regime? pp. 1205-1213

Jesus M. Garcia-Iglesias, Rebeca Muñoz Torres and George Saridakis

Volume 23, issue 13, 2013

A note on decoupling, recoupling and speculative bubble: some empirical evidence for Latin America pp. 1057-1065

Renatas Kizys and Christian Pierdzioch

What drives international equity and bond holdings? An empirical study pp. 1067-1082

Lieven De Moor and Rosanne Vanp�e

The impact of firm-specific information during the registration period on initial public offering pricing pp. 1083-1096

William R. Sodjahin and Marie-Claude Beaulieu

Taylor rule equilibrium exchange rates and nonlinear mean reversion pp. 1097-1107

Joscha Beckmann and Wolfram Wilde

Why do banks ask for collateral in SME lending? pp. 1109-1122

Régis Blazy and Laurent Weill

Stock returns and inflation risk: economic versus statistical evidence pp. 1123-1136

Tomek Katzur and Laura Spierdijk

The impact of mandatory IFRS adoption on the earnings--returns relation pp. 1137-1143

Wensheng Kang

Volume 23, issue 12, 2013

Impact of sector versus security choice on equity portfolios pp. 991-1004

Jason Hall and Ben McVicar

Long-term dependence of popular and neglected stocks pp. 1005-1015

Aiwu Zhao, Spencer Cheng and Zhixin Kang

Customer relationships and the provision of trade credit during a recession pp. 1017-1031

Daisuke Tsuruta

Crude oil hedging strategy: new evidence from the data of the financial crisis pp. 1033-1041

Yuki Toyoshima, Tadahiro Nakajima and Shigeyuki Hamori

UK stock market predictability: evidence of time variation pp. 1043-1055

David McMillan and Mark Wohar

Volume 23, issue 11, 2013

Stock market information and the relationship between real exchange rate and real interest rates pp. 901-920

Juha Junttila and Marko Korhonen

Time varying equity market beta as an index of financial openness? pp. 921-928

S. K. A. Rizvi, B. Naqvi and C. Bordes

A multi-country analysis of the 2007--2009 financial crisis: empirical results from discrete and continuous time models pp. 929-950

P. Dontis-Charitos, S. R. Jory, T. N. Ngo and K. B. Nowman

Currency option pricing in a credible exchange rate target zone pp. 951-962

Dirk Veestraeten

Board independence, executive compensation and restatement pp. 963-975

Teng-Shih Wang, Yi-Mien Lin and Chin-Fang Chao

Investment distortions and the value of the government's tax claim pp. 977-989

Daniel Kreutzmann, Soenke Sievers and Christian Mueller

Volume 23, issue 10, 2013

Financial education and investment attitudes in high schools: evidence from a randomized experiment pp. 817-836

Leonardo Becchetti, Stefano Caiazza and Decio Coviello

An analysis of nonlinearity of the Brazilian Central Bank reaction function pp. 837-845

Jose Rossi and Terence Pagano

The role of the state, ownership structure, and the performance of real estate firms in China pp. 847-859

Wei Huang and Agyenim Boateng

Valuation and choice of convertible bonds based on MCDM pp. 861-868

Wen Shiung Lee and Ya Ting Yang

Idiosyncratic risk and expected returns: a panel data model with random effects pp. 869-880

Mu-Shun Wang

Efficiency and competition in Korean banking pp. 881-890

Maximilian Hall and Richard Simper

Shareholder wealth creation following M&A: evidence from European utility sectors pp. 891-900

Sanjukta Datta, Devendra Kodwani and Howard Viney

Volume 23, issue 9, 2013

Information technology sector and equity markets: an empirical investigation pp. 729-737

Fredj Jawadi, Nabila Jawadi, Duc Khuong Nguyen and Hassan Obeid

Long-run neutrality and superneutrality of money in South American economies pp. 739-747

Robert Hiscock and Jagdish Handa

Beating the random walk: a performance assessment of long-term interest rate forecasts pp. 749-765

Frank Den Butter and Pieter W. Jansen

Competition and the performance of microfinance institutions pp. 767-782

Esubalew Assefa, Niels Hermes and Aljar Meesters

Leverage effects in a multiasset framework pp. 783-787

R. Sufana

Implied volatility smiles in the Nikkei 225 options pp. 789-804

Yuichi Fukuta and Wenjie Ma

The evolution of stock market predictability in Bulgaria pp. 805-816

Aneta Dyakova and Graham Smith

Volume 23, issue 8, 2013

Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model pp. 629-647

Vassilios Babalos, Emmanuel Mamatzakis and Nikolaos Philippas

Asset demand in the financial AIDS portfolio model -- evidence from a major tax reform pp. 649-670

Richard Ochmann

Nonparametric conditional density estimation of short-term interest rate movements: procedures, results and risk management implications pp. 671-684

Ankit Kalda and Sikandar Siddiqui

Integrating analysts’ forecasts in the security screening process: empirical evidence from the Eurostoxx 50 pp. 685-699

Panos Xidonas and Haris Doukas

Are liquidity costs higher in options markets or in futures markets? pp. 701-708

Samarth Shah and B Brorsen

New performance-vested stock option schemes pp. 709-727

An Chen, Markus Pelger and Klaus Sandmann

Volume 23, issue 7, 2013

Leasing by small enterprises pp. 535-549

Doris Neuberger and Solvig Räthke-Döppner

Momentum in stock market returns: implications for risk premia on foreign currencies pp. 551-560

Thomas Nitschka

Economic significance of oil price changes on Russian and Chinese stock markets pp. 561-571

Michael Soucek and Neda Todorova

Relationship lending, default rate and loan portfolio quality pp. 573-587

Matteo Cotugno, Valeria Stefanelli and Giuseppe Torluccio

Economic reforms, business groups and changing pattern of distribution of profitability across corporate firms in India: a semi-parametric analysis pp. 589-602

Indrani Chakraborty

Corporate restructuring and product market behaviour pp. 603-617

Yilei Zhang and Song Wang

Informed and uninformed trading in the EUR/PLN spot market pp. 619-628

Katarzyna Bień-Barkowska

Volume 23, issue 6, 2013

Financial development and TFP growth: cross-country and industry-level evidence pp. 433-448

Francisco Arizala, Eduardo Cavallo and Arturo Galindo

Long-term stock returns after a substantial increase in the debt ratio pp. 449-460

Hsu-Huei Huang and Min-Lee Chan

Setting the optimal make-whole call premium pp. 461-473

Eric A. Powers and Sudipto Sarkar

An asymmetric DCC analysis of correlations among bank CDS indices pp. 475-481

Go Tamakoshi and Shigeyuki Hamori

Testing the efficiency of the aluminium market: evidence from London metal exchange pp. 483-493

Mohamed El Hedi Arouri, Fredj Jawadi and Prosper Mouak

Market value and corporate debt: the 2006--2010 international evidence pp. 495-504

A. Dell’Acqua, L. L. Etro, E. Teti and P. Barbalace

Forecasting US housing starts under asymmetric loss pp. 505-513

Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann

Interaction between monetary policy and stock prices: a comparison between the Caribbean and the US pp. 515-534

Emma Iglesias and Andre Haughton

Volume 23, issue 5, 2013

Bank-characteristics, lending channel and monetary policy in emerging markets: bank-level evidence from Malaysia pp. 347-362

Muhamed Zulkhibri

What is the shape of real exchange rate nonlinearity? pp. 363-375

Stephen Norman and Kerk Phillips

On China's monetary policy and asset prices pp. 377-392

Shujie Yao, Dan Luo and Lixia Loh

SEO underpricing in China's stock market: a stochastic frontier approach pp. 393-402

C. Liu and C. Y. Chung

Calibrated GARCH models and exotic options pp. 403-414

Juho Kanniainen and Tero Halme

Does business networking boost firms’ external financing opportunities? Evidence from Central and Eastern Europe pp. 415-432

Oluwarotimi Owolabi and Sarmistha Pal

Volume 23, issue 4, 2013

Market efficiency in the ASEAN region: evidence from multivariate and cointegration tests pp. 265-274

Francesco Guidi and Rakesh Gupta

Applying the CAPM and the Fama--French models to the BRVM stock market pp. 275-285

Issouf Soumar�, Edoh Kossi Am�nounv�, Ousmane Diop, Dramane M�it� and Yao Djifa N'sougan

Nonlinearity in the reaction of the foreign exchange market to interest rate differentials: evidence from a small open economy with a long-term peg pp. 287-296

Mahalia Jackman, Roland Craigwell and Michelle Doyle-Lowe

Performance of Spanish pension funds: robust evidence from alternative models pp. 297-314

Mercedes Alda, Luis Ferruz and Liam Gallagher

Value premium in the Chinese stock market: free lunch or paid lunch? pp. 315-324

Yujia Huang, Jiawen Yang and Yongji Zhang

Private information, overconfidence and intraday trading behaviour: empirical study of the Taiwan stock market pp. 325-345

Chi Ming Ho

Volume 23, issue 3, 2013

Middle Eastern stock markets: absolute, evolving and relative efficiency pp. 181-198

Kinga Niemczak and Graham Smith

Diversification potential of ADRs, country funds and underlying stocks across economic conditions pp. 199-219

Stanley Peterburgsky and Yini Yang

Lockup clauses in Italian IPOs pp. 221-232

Dmitri Boreiko and Stefano Lombardo

Revisiting the pricing of commodity futures and forwards pp. 233-240

Marco Realdon

The failure of risk management for nonfinancial companies in the context of the financial crisis: lessons from Aracruz Celulose and hedging with derivatives pp. 241-250

Rodrigo Zeidan and Bruno Rodrigues

Financial turbulence and beta estimation pp. 251-263

Dave Berger

Volume 23, issue 2, 2013

Extreme risk spillover among international REIT markets pp. 91-103

Jian Zhou

Evaluating forecast performances of the quantile autoregression models in the present global crisis in international equity markets pp. 105-117

Qing Xu and Terry Childs

Optimal diversification across mutual funds pp. 119-122

David Moreno and Rosa Rodr�guez

A reassessment of stock market integration in SADC: the determinants of liquidity and price discovery in Namibia pp. 123-138

Bruce Hearn and Jenifer Piesse

What caused the equity withdrawal mechanism? An investigation using threshold cointegration and error correction pp. 139-148

Antonio Paradiso

The ex-date effect of rights issues: evidence from the Italian stock market pp. 149-164

Enrica Bolognesi and Angela Gallo

The impact of hedging with derivative instruments on reported earnings volatility pp. 165-179

N. Beneda

Volume 23, issue 1, 2013

Are bank mergers procyclical or countercyclical? Theory and evidence from Taiwan pp. 1-14

Wen-Chung Guo and Chih-Ching Yang

Testing for contagion in US industry portfolios -- a four-factor pricing approach pp. 15-26

George Milunovich and Antony Tan

Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’ pp. 27-40

Takashi Miyazaki and Shigeyuki Hamori

Foreign ownership and firm performance: evidence from Japan's electronics industry pp. 41-50

Makoto Nakano and Pascal Nguyen

Momentum investing across economic states: evidence of market inefficiency in good times pp. 51-56

Yacine Hammami

Realized volatility forecasting: empirical evidence from stock market indices and exchange rates pp. 57-69

Linlan Xiao

Sustainability membership and stock price: an empirical study using the Morningstar-SRI Index pp. 71-77

Miwa Nakai, Keiko Yamaguchi and Kenji Takeuchi

Are commodity markets characterized by herd behaviour? pp. 79-90

Marie Steen and Ole Gjolberg