Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

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Volume 21, issue 24, 2011

Turnover tax, transaction cost and stock trading volume revisited: investigation of the Japanese case pp. 1809-1817

Minoru Hayashida and Hiroyuki Ono

GJR-GARCH model in value-at-risk of financial holdings pp. 1819-1829

Y. C. Su, H. C. Huang and Y. J. Lin

Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach pp. 1831-1841

Zhuo Qiao, Yuming Li and Wing-Keung Wong

The bonus pool, mark to market and free cash flow: producer surplus and its vesting in the financial markets pp. 1843-1857

Roger J. Bowden and Peter Posch

The wealth effects of acquiring foreign government-owned corporations: evidence from US-listed acquirers in cross-border mergers and acquisitions pp. 1859-1872

Surendranath R. Jory and Thanh N. Ngo

A multidimensional framework for performance evaluation of forecasting models: context-dependent DEA pp. 1873-1890

Bing Xu and J. Ouenniche

Volume 21, issue 23, 2011

Project finance loan spreads and disaggregated political risk pp. 1725-1734

Claudia Girardone and Stuart Snaith

Stylized facts of money and credit over the business cycles pp. 1735-1755

Tryphon Kollintzas, Ioanna Konstantakopoulou and Mike Tsionas

The weekly structure of US stock prices pp. 1757-1764

Guglielmo Maria Caporale and Luis Gil-Alana

An empirical demonstration of classical comparative cost theory: a correction to Balassa (1963) pp. 1765-1767

Gawon Yoon

Net national savings and the Japanese long-term interest rate pp. 1769-1778

P. W. Jansen

Financial crisis and executive remuneration in banking industry - an analysis of five British banks pp. 1779-1791

Jean Jinghan Chen, Haitao Zhang, Xinrong Xiao and Weian Li

Modelling and trading the Greek stock market with mixed neural network models pp. 1793-1808

Christian L. Dunis, Jason Laws and Andreas Karathanassopoulos

Volume 21, issue 22, 2011

Family ownership, financing constraints and investment decisions pp. 1641-1659

Christian Andres

An empirical test of 'put call parity' pp. 1661-1664

Nissim Ben David and Tchai Tavor

Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets pp. 1665-1678

Warren Dean and Robert Faff

Estimating single factor jump diffusion interest rate models pp. 1679-1689

Ghulam Sorwar

Market volatility and hedge fund returns in emerging markets pp. 1691-1701

B. Cao and S. A. Jayasuriya

Are stock prices in the US nonstationary? Evidence from contemporary unit root tests pp. 1703-1709

Vasudeva Murthy, Kenneth Washer and John Wingender

On the relation between the market risk premium and market volatility pp. 1711-1723

Yufeng Han

Volume 21, issue 21, 2011

The empirical relationship between home equity borrowing and durable goods purchases pp. 1561-1570

Norbert Michel, John Lajaunie and Shari Lawrence

The impact of macroeconomic announcements on implied volatility pp. 1571-1580

Roland Fuss, Ferdinand Mager, Holger Wohlenberg and Lu Zhao

Cumulative prospect theory challenges traditional expected utility theory pp. 1581-1586

Saziye Gazioğlu and Nilifer Calıskan

Small sample properties of copula-GARCH modelling: a Monte Carlo study pp. 1587-1597

Carluccio Bianchi, Maria Elena De Giuli, Dean Fantazzini and Mario Maggi

Inflation illusion or no illusion: what did pre- and post-war data say? pp. 1599-1603

Chao Wei and Fred Joutz

The influence of geography on the success of private equity: investments in listed equity pp. 1605-1615

Olaf Stotz

In search of momentum profits: are they illusory? pp. 1617-1639

Ivelina Pavlova and A. M. Parhizgari

Volume 21, issue 20, 2011

The constant elasticity of variance model: calibration, test and evidence from the Italian equity market pp. 1479-1487

Luca Vincenzo Ballestra and Graziella Pacelli

The elusive marginal q pp. 1489-1493

Tom Berglund

The business cycle in Eurozone economies (1960 to 2009) pp. 1495-1513

Ioanna Konstantakopoulou and Mike Tsionas

Are dividend and investment decisions separable? pp. 1515-1524

P. S. Sanju, P. S. Nirmala and M Ramachandran

Heteroscedasticity and interval effects in estimating beta: UK evidence pp. 1525-1538

Seth Armitage and Janusz Brzeszczynski

Has 'inflation targeting' increased the predictive power of term structure about future inflation: evidence from Turkish experience? pp. 1539-1547

Huseyin Kaya and Ege Yazgan

Stock returns around nontrading periods: evidence from an emerging market pp. 1549-1560

Ali Akyol

Volume 21, issue 19, 2011

Speculative funding and its impact on subprime mortgage product pricing pp. 1397-1408

J. Mukuddem-Petersen, M. A. Petersen, T. Bosch and B. De Waal

Nonlinear mean-reversion in Southeast Asian real exchange rates pp. 1409-1421

Doo-Yull Choi, Bong-Han Kim and See-Won Kim

Option listing, returns and volatility: evidence from Greece pp. 1423-1435

George Filis, Christos Floros and Bruno Eeckels

Granger causal relations among Greater China stock markets: a nonlinear perspective pp. 1437-1450

Zhuo Qiao and Keith Lam

Are there bubbles in the REITs market? New evidence using regime-switching approach pp. 1451-1461

Ohannes George Paskelian, M. Kabir Hassan and Kathryn Whittaker Huff

Time variation of CAPM betas across market volatility regimes pp. 1463-1478

Azamat Abdymomunov and James Morley

Volume 21, issue 18, 2011

Analysts' awareness of systematic bias in management earnings forecasts pp. 1317-1330

Koji Ota

Robust and fragile firm-specific determinants of the capital structure of Chinese firms pp. 1331-1343

Imad Moosa, Larry Li and Tony Naughton

Risk aversion as a technology factor in the production function pp. 1345-1354

David Black and Michael Dowd

Stock and bond market interactions with two regime shifts: evidence from Turkey pp. 1355-1368

Pinar Evrim-Mandaci, Hakan Kahyaoglu and Efe Cagli

Is the 52-week high effect as strong as momentum? Evidence from developed and emerging market indices pp. 1369-1379

Graham Bornholt and Mirela Malin

The role of sorting portfolios in asset-pricing models pp. 1381-1396

J. Ernstberger, H. Haupt and O. Vogler

Volume 21, issue 17, 2011

The euro and the volatility of exchange rates pp. 1235-1253

Amalia Morales-Zumaquero and Simon Sosvilla-Rivero

Dynamic portfolio frontier in a mean-variance framework pp. 1255-1261

Ching-Ping Wang, Hung-Hsi Huang and David Jou

Is the US demand for money unstable? pp. 1263-1272

B. Rao and Saten Kumar

Can consumption-based asset pricing models explain the cross-section of investment funds returns? pp. 1273-1279

Benjamin Auer

Household portfolio behaviour: evidence from Middle East economies pp. 1281-1289

Bashar Al-Zu'bi and Victor Murinde

Fiscal variables and bond spreads - evidence from Eastern European countries and Turkey pp. 1291-1307

Christiane Nickel, Philipp Rother and Jan-Christoph Ruelke

The enigma of noninterest income convergence pp. 1309-1316

Angelos Antzoulatos, Ekaterini Panopoulou and Chris Tsoumas

Volume 21, issue 16, 2011

Estimating minimum and maximum fares of leased transport services pp. 1159-1162

Carlos Henrique Rocha, Luiz Ricardo Cavalcante and Luiz Guilherme Oliveira

Conditional strike prices of covered call and uncovered put strategies pp. 1163-1174

Olaf Stotz

Dividend smoothing when firms distribute most of their earnings as dividends pp. 1175-1183

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

Measuring mutual fund asymmetric performance in changing market conditions: evidence from a Bayesian threshold model pp. 1185-1204

Chih-Chiang Wu

Cross-border bank lending versus FDI in Africa's growth story pp. 1205-1213

Jose Brambila-Macias, Isabella Massa and Victor Murinde

Hedging performance of the Libor market model: the cap market case pp. 1215-1223

Sami Attaoui

Hedge fund activism: insights from a French clinical study pp. 1225-1234

Véronique Bessière, Michael Kaestner and Anne-Laurence Lafont

Volume 21, issue 15, 2011

Structural breaks in volatility: the case of UK sector returns pp. 1079-1093

David McMillan and Mark Wohar

A comparison of ARIMA forecasting and heuristic modelling pp. 1095-1102

Chi-Chen Wang, Yun-Sheng Hsu and Cheng-Hwai Liou

Analysing scale and scope specialization efficiencies of US agricultural and nonagricultural banks using the Fourier flexible functional form pp. 1103-1116

Yingzhuo Yu, Cesar Escalante, Xiaohui Deng, Jack Houston and Lewell Gunter

Time series analysis of the relationships among (macro) economic variables, the dividend yield and the price level of the S&P 500 Index pp. 1117-1134

Matthew Serfling and Dragan Miljkovic

Intellectual capital and analyst forecast: evidence from the high-tech industry in Taiwan pp. 1135-1143

Wen-Hsin Hsu and Yao-Ling Chang

Regime switching fractional cointegration and futures hedging pp. 1145-1157

Hsiang-Tai Lee

Volume 21, issue 14, 2011

Economics, politics and the federal funds markets: does the Fed play politics? pp. 1005-1019

O Gulley and Jahangir Sultan

The long-run relation among financial development, technology and GDP: a panel cointegration study pp. 1021-1034

A. G. Zagorchev, G. Vasconcellos and Y. Bae

Money supply endogeneity and bank stock returns pp. 1035-1048

Z. E. Badarudin, Mohamed Ariff and Ahmed Khalid

Risk preference and trading motivation measurement due to moneyness: evidence from the S&P 500 Index option market pp. 1049-1057

Ting-Huan Chang

The performance of popular stochastic volatility option pricing models during the subprime crisis pp. 1059-1068

Thibaut Moyaert and Mikael Petitjean

Estimation of one-, two- and three-factor generalized Vasicek term structure models for Japanese interest rates using monthly panel data pp. 1069-1078

K. Ben Nowman

Volume 21, issue 13, 2011

Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen pp. 917-929

Paul McGuinness and Richard Harris

Informal collateral and default risk: do 'Grameen-like' banks work in high-income countries? pp. 931-947

Leonardo Becchetti and Maria Melody Garcia

Strategic risk aversion pp. 949-956

Sherrill Shaffer

Value relevance of R&D in the UK after IFRS mandatory implementation pp. 957-967

F. Tsoligkas and Ioannis Tsalavoutas

The impact of stock spams on volatility pp. 969-977

Taoufik Bouraoui

Effect of regulation FD on disclosures of information by firms pp. 979-996

Edward Lawrence, Gordon Karels, Arun Prakash and Siddharth Shankar

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis pp. 997-1003

Emawtee Bissoondoyal-Bheenick, Robert Brooks, Samantha Hum and Sirimon Treepongkaruna

Volume 21, issue 12, 2011

Sum of the parts stock return forecasting: international evidence pp. 837-845

David McMillan and Mark Wohar

Productivity changes and risk management in Indonesian banking: a Malmquist analysis pp. 847-861

Muliaman Hadad, Maximilian Hall, Karligash Kenjegalieva, Wimboh Santoso and Richard Simper

International sports and investor sentiment: do national team matches really affect stock market returns? pp. 863-880

Jeffrey Gerlach

Are seasoned equity offerings made in response to weak operating performance? pp. 881-895

Mark Bayless and Nancy Jay

The effect of family control on investment-cash flow sensitivity pp. 897-904

Jung-Hua Hung and Yi-Ping Kuo

Is the stock market efficient in bad times and inefficient in good times? pp. 905-915

Yacine Hammami

Volume 21, issue 11, 2011

Optimal portfolios: are they optimal for the long run? pp. 763-770

R. Aroskar and W. A. Ogden

The horizon effect of stock return predictability and model uncertainty on portfolio choice: UK evidence pp. 771-787

Guangjie Li

Dynamic correlation between stock prices and exchange rates pp. 789-800

Chia-Hao Lee, Shuh-Chyi Doong and Pei-I Chou

On the importance of asymmetries for dynamic hedging during the subprime crisis pp. 801-813

Yu-Sheng Lai and Her-Jiun Sheu

Weighted average cost of capital in the theory of Modigliani-Miller, modified for a finite lifetime company pp. 815-824

Peter Brusov, Tatiana Filatova, Natali Orehova and Nastia Brusova

Price transmission between stocks of European countries and their American depositary receipts pp. 825-835

Weiju Young and Chun-An Li

Volume 21, issue 10, 2011

The effect of Santa Ana wind conditions and cloudiness on Southern California stock returns pp. 683-694

Andy Saporoschenko

Creating a synthetic after-tax zero-coupon bond using US Treasury STRIP bonds: implications for the true after-tax spot rate pp. 695-705

Phillip Daves and Michael Ehrhardt

Is exchange-market pressure contagious among transition economies? pp. 707-716

Scott Hegerty

Time-varying price discovery in fragmented markets pp. 717-734

Nick Taylor

Risk-return relationships and asymmetric adjustment in the UK housing market pp. 735-742

Bruce Morley and Dennis Thomas

Foreign shareholding: a decomposition analysis pp. 743-746

Ajay Shah and Ila Patnaik

Pricing Taiwan option market with GARCH and stochastic volatility pp. 747-754

Hung-Hsi Huang, Ching-Ping Wang and Shiau-Hung Chen

The basis under negative shock and the price discovery in futures market pp. 755-761

Chiao-Yi Chang

Volume 21, issue 9, 2011

Is the finance led growth hypothesis robust to alternative measures of financial development? pp. 601-623

Rumi Masih and Suhair Khan

Testing the CAPM across observed and fundamental returns pp. 625-636

Dave Berger

Offshore versus local listings of Taiwanese firms: evidence from London, New York and Taipei pp. 637-649

Richard Burdekin and Hsin-hui Whited

Do banks respond to capital requirements? Evidence from Indonesia pp. 651-663

Rasyad Parinduri and Yohanes Riyanto

Volatility forecasting in emerging markets with application of stochastic volatility model pp. 665-681

Alex Huang

Volume 21, issue 8, 2011

Oil prices and the greenback: it takes two to tango pp. 519-528

Brahim Razgallah and Kamal Smimou

Finance-growth nexus: evidence from a top global reformer pp. 529-544

Jose Brambila-Macias and Isabella Massa

Estimating the impact of good news on stock market volatility pp. 545-554

Farooq Malik

The smooth transition GARCH model: application to international stock indexes pp. 555-562

Rim Khemiri

Existence and extent of impact of individual stock derivatives on spot market volatility in India pp. 563-600

Abhilash Nair

Volume 21, issue 7, 2011

Cost efficiency, technological progress and productivity growth of Chinese banking pre- and post-WTO accession pp. 437-454

Rasoul Rezvanian, Rima Turk Ariss and Seyed Mehdian

Economy-wide corruption and bad loans in banking: international evidence pp. 455-461

Rajeev Goel and Iftekhar Hasan

Discrete time linear-quadratic pricing of bonds and options pp. 463-467

Marco Realdon

Shifting sentiments in firm investment: an application to the oil industry pp. 469-479

Klaus Mohn and Bård Misund

Behavioural patterns as determinants of market movements: evidence from an emerging market pp. 481-491

Timotej Jagric and Sebastjan Strasek

Evaluating hedging strategies in the foreign exchange market with the stochastic dominance approach pp. 493-503

Yi-Chein Chiang, Tung Liang Liao and Tse-An Hsiao

Applying simulation optimization to dynamic financial analysis for the asset-liability management of a property-casualty insurer pp. 505-518

Tzu-Yi Yu, Chenghsien Tsai, Hsiao-Tzu Huang and Chuen-Lung Chen

Volume 21, issue 6, 2011

A dynamic analysis of stock price ratios pp. 353-368

Antoine Giannetti and Ariel Viale

Treating cross-dependence in event studies: the Canadian income trust leak pp. 369-377

Kenneth Stewart and L. Zheng

The determinants of capital structure choice: evidence from Greek listed companies pp. 379-387

A. Noulas and G. Genimakis

Asymmetric correlations in equity returns: a fundamental-based explanation pp. 389-399

Liang Ding, Hiroyoki Miyake and Hao Zou

The oil industry's response to new avenues in futures trading pp. 401-413

Kenneth Hunsader and Ross Dickens

Systematic factors, information release and market volatility pp. 415-420

Elvan Aktas

A test of significance of the predictive power of the moving average trading rule of technical analysis based on sensitivity analysis: application to the NYSE, the Athens Stock Exchange and the Vienna Stock Exchange. Implications for weak-form market efficiency testing pp. 421-436

A. E. Milionis and Evangelia Papanagiotou

Volume 21, issue 5, 2010

Staggered boards, accounting discretion and firm value pp. 271-285

Pornsit Jiraporn and Yixin Liu

Booms and busts in China's stock market: estimates based on fundamentals pp. 287-300

Gabe de Bondt, Tuomas Peltonen and Daniel Santabárbara

Insider trading during the 2008 financial crisis pp. 301-307

Naser Abumustafa and Salah Nusair

Study on the tracking errors and their determinants: evidence from Hong Kong exchange traded funds pp. 309-315

Patrick Kuok-Kun Chu

Stock characteristics and herding in financial analyst recommendations pp. 317-331

Wen-Yi Lin, Po-Jung Chen and Sheng-Syan Chen

The liquidity effects of revisions to the CAC40 stock index pp. 333-341

Andros Gregoriou

The impact of firm strategies on stock market value in the biotechnology industry pp. 343-352

Noah Patrick Stefanec

Volume 21, issue 4, 2011

Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states pp. 195-206

Dimitrios Sideris

Global financing conditions and sovereign debt yields of emerging market countries pp. 207-215

Evrim İmer-Ertunga

The real options content of oil producer stocks pp. 217-231

Andrew Carver and Matthew Ennis

The impact of the macroeconomic environment on merger activity: evidence from US time-series data pp. 233-249

Seung Hee Choi and Bang Jeon

A simple model of retail banking: a liquidity-providing perspective pp. 251-260

Jyh-Horng Lin, Chuen-Ping Chang and Rosemary Jou

Pricing credit default swap with nonlinear dependence pp. 261-269

Shwu-Jane Shieh and Chih-Yung Lin

Volume 21, issue 3, 2011

Savings selectivity bias, subjective expectations and stock market participation pp. 119-130

Yosef Bonaparte and Frank Fabozzi

Changes in euro area monetary transmission? pp. 131-145

Axel Weber, Rafael Gerke and Andreas Worms

Building proxies that capture time-variation in expected returns using a VAR approach pp. 147-163

Ricardo Sousa

Related party transactions as a source of earnings management pp. 165-181

Jean Jinghan Chen, Peng Cheng and Xinrong Xiao

Behaviour of stock markets' memories pp. 183-194

Shapour Mohammadi and Ahmad Pouyanfar

Volume 21, issue 1-2, 2011

Special issue in honour of Clive Granger pp. 1-2

Mark Taylor

The Applied Economics journals: a personal reflection pp. 3-5

Clive Granger

Modelling the Phillips curve with unobserved components pp. 7-17

Andrew Harvey

Revisiting UK consumers' expenditure: cointegration, breaks and robust forecasts pp. 19-32

David Hendry

Combining forecasts - forty years later pp. 33-41

Kenneth Wallis

Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators pp. 43-60

Nii Ayi Armah and Norman Swanson

Does news on real Chinese GDP growth impact stock markets? pp. 61-66

Philip Hans Franses and Heleen Mees

Stylized facts of return series, robust estimates and three popular models of volatility pp. 67-94

Timo Teräsvirta and Zhenfang Zhao

The euro introduction and noneuro currencies pp. 95-116

Dick van Dijk, Haris Munandar and Christian Hafner