Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 12, issue 12, 2002

The relationship between dividend policy, financial structure, profitability and firm value pp. 843-849

Sami Ben Naceur and Mohamed Goaied

Testing for cointegration between international stock prices pp. 851-861

Niklas Ahlgren and Jan Antell

The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997 pp. 863-871

J. Andrew Coutts and Mohamed Sheikh

Tests of international asset pricing model with and without a riskless asset pp. 873-883

Pin-Huang Chou and Mei-Chen Lin

Common features between stock returns and trading volume pp. 885-893

Marta Regulez and Ainhoa Zarraga

Credit risk and efficiency in the European banking system: A three-stage analysis pp. 895-911

José Pastor

An empirical investigation of the premium for volatility risk in currency options for the British pound pp. 913-921

Ghulam Sarwar

Macroeconomic factors and international industry returns pp. 923-931

Manolis Kavussanos, Stelios Marcoulis and Angelos Arkoulis

Volume 12, issue 11, 2002

SeptemBear - A seasonality puzzle in the German stock index DAX pp. 765-769

Michael Reutter, Jakob von Weizsäcker and Frank Westermann

Calculating the misspecification in beta from using a proxy for the market portfolio pp. 771-781

Soosung Hwang and Stephen Satchell

Inter-market spread trading: evidence from UK index futures markets pp. 783-790

Darren Butterworth and Phil Holmes

Evaluating the hedging performance of the constant-correlation GARCH model pp. 791-798

Donald Lien, Y. K. Tse and Albert Tsui

The Forward Rate Unbiasedness Hypothesis revisited pp. 799-804

Tsung-Wu Ho

Large changes in major exchange rates: a chronicle of the 1990s pp. 805-811

B. J. Lobo

On the predictive ability of several common models of volatility: an empirical test on the FOX index pp. 813-826

Marko Maukonen

Effects of financial constraints on research and development investment: an empirical investigation pp. 827-834

Neslihan Ozkan

Returns and the interest rate: a non-linear relationship in the Bogotastock market pp. 835-842

Luis Arango Thomas, Andres Gonzalez and Carlos Posada

Volume 12, issue 10, 2002

Some answers to puzzles in testing unbiasedness in the foreign exchange market pp. 687-696

Scott Barnhart, Robert McNown and Myles Wallace

The short-run price performance of investment trust IPOs on the UK main market pp. 697-706

Arif Khurshed and Ram Mudambi

Return-volume dynamics in UK futures pp. 707-713

David McMillan and Alan Speight

The predictability of futures returns: rational variation in required returns or market inefficiency? pp. 715-724

Joelle Miffre

Long memory in stock returns: some international evidence pp. 725-729

Ólan Henry

Intra- and inter-continental transmission of inflation in Africa pp. 731-741

Jin-Gil Jeong, Philip Fanara and Charlie Mahone

Mutual funds as an alternative to direct stock investment: A cointegration approach pp. 743-750

Juan Carlos Matallin and Luisa Nieto

Testing the univariate conditional CAPM in thinly traded markets pp. 751-763

Per Bjarte Solibakke

Volume 12, issue 9, 2002

The time profile of risk in banking crises: evidence from Scandinavian banking sectors pp. 613-623

Ari Hyytinen

Purchasing power parity in the long-run: evidence from Australia's recent float pp. 625-631

George Tawadros

Identifying irregularities in a financial market pp. 633-637

David Paton and Leighton Vaughan Williams

Technical trading strategies and return predictability: NYSE pp. 639-653

Ki-Yeol Kwon and Richard Kish

Determinants of capital structure choice: a study of the Indian corporate sector pp. 655-665

Saumitra Bhaduri

The effect of interest rate volatility on treasury yields pp. 667-672

Sudipto Sarkar and Mohamed Ariff

Have unincorporated businesses in the UK been constrained in their ability to obtain bank lending? pp. 673-680

David Barlow and Martin Robson

Why investors should be cautious of the academic approach to testing for stock market anomalies pp. 681-686

Robert Hudson, Kevin Keasey and Kevin Littler

Volume 12, issue 8, 2002

Do forecasters use monetary models? an empirical analysis of exchange rate expectations pp. 535-543

Michael Schroder and Robert Dornau

Korean stock prices under price limits: variance ratio tests of random walks pp. 545-553

Hyun-Jung Ryoo and Graham Smith

Generalized asymmetric power ARCH modelling of exchange rate volatility pp. 555-564

Michael McKenzie and Heather Mitchell

Share returns and the Fisher hypothesis reconsidered pp. 565-574

Jakob Madsen

Predictability of stock returns: is it rational? pp. 575-580

Samih Antoine Azar

Do venture capitalists add value? A comparative study between Singapore and US pp. 581-588

Clement Wang, Kangmao Wang and Qing Lu

Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates pp. 589-600

Michel Beine, Sébastien Laurent and Christelle Lecourt

A solution to the equity premium and riskfree rate puzzles: an empirical investigation using Japanese data pp. 601-612

Atsushi Maki and Tadashi Sonoda

Volume 12, issue 7, 2002

Aggregate market returns and UK unit trust net acquisitions pp. 457-467

Andrew Clare and Philip Moschetti

The stock market rumours and stock prices: a test of price pressure and size effect in an emerging market pp. 469-474

Halil Kiymaz

African stock markets: multiple variance ratio tests of random walks pp. 475-484

Graham Smith, Keith Jefferis and Hyun-Jung Ryoo

An Empirical analysis of cancelled mergers, board composition and ownership structure pp. 485-491

Wallace Davidson, Stuart Rosenstein and Sridhar Sundaram

Can forward rates be used to improve interest rate forecasts? pp. 493-504

Emilio Domínguez Irastorza and Alfonso Novales

Competition and efficiency in the Spanish banking sector: the importance of specialization pp. 505-516

Joaquin Maudos, José Pastor and Francisco Perez

The nearest neighbour method as a test for detecting complex dynamics in financial series. An empirical application pp. 517-525

Teresa Aparicio, Eduardo Pozo and Dulce Saura

International capital standards, bank portfolios and bank stock risk pp. 527-534

Sunil Mohanty and Frank Song

Volume 12, issue 6, 2002

Asymmetric dynamics in UK real interest rates pp. 379-387

Jerry Coakley and Ana-Maria Fuertes

Financial liberalization and stock market volatility in selected developing countries pp. 389-394

Konstantinos Kassimatis

Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan pp. 395-403

Toshiaki Watanabe

Liquidity effects and precautionary saving in the Czech Republic pp. 405-413

Don Bredin and Keith Cuthbertson

Stock market integration: evidence on price integration and return convergence pp. 415-429

Kari Heimonen

Product mix clubs, divergence and inequality of Spanish banking firms pp. 431-445

Francisco Perez and Emili Tortosa-Ausina

Tests for interest rate convergence and structural breaks in the EMS: further analysis pp. 447-456

Mariam Camarero, Javier Ordon Ez and Cecilio Tamarit

Volume 12, issue 5, 2002

SFA, TFA and a new thick frontier: graphical and analytical comparisons pp. 309-317

Steven B Caudill

Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents pp. 319-329

Bevan Blair, Ser-Huang Poon and Stephen Taylor

Fractional cointegration: Monte Carlo estimates of critical values, with an application pp. 331-335

Peter Sephton

Bank solvency evaluation with a Markov model pp. 337-345

Juan Reboredo

The differential effects of agency costs on multinational corporations pp. 347-359

Francis Wright, Jeff Madura and Kenneth Wiant

The world price of exchange risk in the Pacific Basin equity markets pp. 361-370

Peter Shyan-Rong Chou, Yin-Ching Jan and Mao-Wei Hung

New product innovations, information signalling and industry competition pp. 371-378

Aigbe Akhigbe

Volume 12, issue 4, 2002

The impact of federal reserve intervention on exchange rate volatility: evidence from the futures markets pp. 231-240

Sanjay Ramchander and R. Raymond Sant

Hedging interest rate risk with multivariate GARCH pp. 241-251

Eduardo Rossi and Claudio Zucca

Asset price reactions to RPI announcements pp. 253-270

Michael Joyce and Vicky Read

A comparative multiproduct cost study of foreign-owned and domestic-owned US banks pp. 271-284

Elyas Elyasiani and Rasoul Rezvanian

The transmission of shocks among S&P indexes pp. 285-290

Bradley Ewing

Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis pp. 291-299

Stilianos Fountas and Konstantinos Segredakis

Old volatility - ARCH effects in 19th century consol data pp. 301-307

Heather Mitchell, Rob Brown and Stephen Easton

Volume 12, issue 3, 2002

An unbiased variance estimator for overlapping returns pp. 155-158

Pauline Bod, David Blitz, Philip Hans Franses and Roy Kluitman

Capital structure and its determinants in the UK - a decompositional analysis pp. 159-170

Alan Bevan and Jo Danbolt

The long-term performance of parent and units following equity carve-outs pp. 171-181

Jeff Madura and Terry Nixon

Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH pp. 183-192

Pierluigi Bologna and Laura Cavallo

Forecasting volatility in the New Zealand stock market pp. 193-202

Jun Yu

Measuring growth opportunities pp. 203-212

Jo Danbolt, Ian Hirst and Edward Jones

Emerging stock markets: a more realistic assessment of the gains from diversification pp. 213-229

S. G. M. Fifield, D. M. Power and C. D. Sinclair

Volume 12, issue 2, 2002

The impact of the movements in US threemonth Treasury bill yields on the equity markets in Latin America pp. 77-84

Gokce Soydemir

Stock splits and stock return behaviour: how Germany tries to improve the attractiveness of its stock market pp. 85-93

Jorg Bley

The disclosure of directors' share option information in UK companies pp. 95-103

Martin Conyon, Christine Mallin and Graham Sadler

Relationship between debt, R&D and physical investment, evidence from US firm-level data pp. 105-121

Chaoshin Chiao

Strategic parameters for capital budgeting when abandonment value is stochastic pp. 123-130

Ephraim Clark and Patrick Rousseau

Foreign exchange market efficiency and cointegration pp. 131-139

Montserrat Ferré and Stephen Hall

Anomalies in US equity markets: a re-examination of the January effect pp. 141-145

Seyed Mehdian and Mark Perry

The effects of news on exchange rates when the risk premium is considered pp. 147-153

Van Newby

Volume 12, issue 1, 2002

Imaginary moneys as international units of account pp. 1-8

Holger Wolf

Mean aversion and return predictability in currency futures pp. 9-18

Tribhuvan Puri, Elyas Elyasiani and Jilleen Westbrook

The determinants of corporate debt maturity: evidence from UK firms pp. 19-24

Aydin Ozkan

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets? pp. 25-31

Chris Brooks and Ian Garrett

Is one price enough to value a state-contingent asset correctly? Evidence from a gambling market pp. 33-38

Michael Cain, David Law and David Peel

A note on foreign bank investment in the USA pp. 39-46

Jose Paulo Esperanca and Mohamed Azzim Gulamhussen

Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange pp. 47-55

Gregorios Siourounis

Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds pp. 57-75

Bing-Huei Lin