Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 20, issue 24, 2010

New evidence on value investing in emerging equity markets pp. 1839-1849

Zhipeng Yan and Yan Zhao

The profitability of banks in Japan pp. 1851-1866

Hong Liu and John Wilson

Product liability litigation: an issue of Merck and lawsuits over Vioxx pp. 1867-1878

Kurt Rotthoff

Evaluating Blue Chip forecasts of the trade-weighted dollar exchange rate pp. 1879-1889

Hamid Baghestani

Forecasting with distributional scaling pp. 1891-1892

Brian Jacobsen

The effect of performance on corporate disclosure: an empirical study of Taiwan banks pp. 1893-1899

Tseng-Chung Tang

Corporate operating characteristics and capital structure: causality testing in heterogeneous panel data pp. 1901-1922

E. Guo and Osman Suliman

Volume 20, issue 23, 2010

The impact of speculative trading activities on the speculative market: a case of Taiwan stock index futures market pp. 1761-1768

Chia-Pin Chen, Ying-Sing Liu and Chih-Wen Hsu

Disrupted links between credit default swaps, bonds and equities during the GM and Ford crisis in 2005 pp. 1769-1792

Virginie Coudert and Mathieu Gex

Financial panic and emerging market funds pp. 1793-1805

Yothin Jinjarak and Huanhuan Zheng

Size does matter! The intra-industry effect of bank loan ratings pp. 1807-1818

Wei-Huei Hsu, Abdullah Mamun and Lawrence Rose

The value relevance of earnings forecast disclosures: an investigation of forecast attributes and signalling in the Australian IPO context pp. 1819-1828

Neil Hartnett

Quarterly return patterns in the Spanish stock market pp. 1829-1838

Cristina Ortiz, Gloria Ramirez and Luis Vicente

Volume 20, issue 22, 2010

A dynamic analysis of the determinates of the US current account deficit pp. 1687-1695

Rajeev Sooreea and Mark Wheeler

An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear pp. 1697-1707

David McMillan and Mark Wohar

Testing persistence in the context of conditional heteroscedasticity errors pp. 1709-1723

Luis Gil-Alana

The evolution of inter-organizational networks in venture capital financing pp. 1725-1739

Christian Hopp

The relationship between the real estate and stock markets of China: evidence from a nonlinear model pp. 1741-1749

Yu-Shao Liu and Chi-Wei Su

Pricing efficiency of stock rights issues in Malaysia pp. 1751-1760

Mohd Edil Abd Sukor and Obiyathulla Bacha

Volume 20, issue 21, 2010

The institutional and macroeconomic determinants of stock market development in emerging economies pp. 1615-1625

Charles Amo Yartey

The asymmetric impact of firm-specific and of index returns on the volatility processes of individual stocks pp. 1627-1638

Nikolaos Voukelatos

Closed-end country fund premiums and economic freedom pp. 1639-1649

Samuel Kyle Jones and Michael Stroup

Momentum strategy and institutional investing in Taiwan stock market pp. 1651-1658

Ching-Ping Wang, Hung-Hsi Huang and Wei-Li Lin

Financial market reforms and corporate financing in Korea pp. 1659-1666

Tae-Joon Kim, Jai-Won Ryou and Shinji Takagi

Trading rules and stock returns: some further short run evidence from the Hang Seng 1997-2008 pp. 1667-1672

J. Andrew Coutts

Capital account liberalization and commercial bank interest rate margins pp. 1673-1685

Winston Moore

Volume 20, issue 20, 2010

The influence of time, seasonality and market state on momentum: insights from the Australian stock market pp. 1547-1563

Victor Phua, Howard Chan, Robert Faff and Robert Hudson

The lunar moon festival and the dark side of the moon pp. 1565-1575

Jing-Ming Kuo, Jerry Coakley and Andrew Wood

Economic versus financial integration or decoupling between the US and the GCC pp. 1577-1583

Ismail Genc, Abdullah Jubain and Abdullah Al-Mutairi

Determinants of financial performance in Chinese banking pp. 1585-1600

Shelagh Heffernan and Xiaoqing Fu

Intra-industry contagion effects of earnings surprises in the banking sector pp. 1601-1613

Marcel Prokopczuk

Volume 20, issue 19, 2010

Financial structure and economic growth: evidence from time series analyses pp. 1479-1492

Philip Arestis, Ambika Luintel and Kul Luintel

Stock returns and aggregate mutual fund flows: a system approach pp. 1493-1498

Heung-Joo Cha and Jaebeom Kim

The information content of analysts reports and bankruptcy risk measures pp. 1499-1513

Dror Parnes

World financial crisis and the rise of Chinese commercial banks: an efficiency analysis using DEA pp. 1515-1530

Dan Luo and Shujie Yao

Capital structures in an emerging market: a duration analysis of the time interval between IPO and SEO in China pp. 1531-1545

Yang Ni, Shasha Guo and David Giles

Volume 20, issue 18, 2010

Nonbank financing and performance of informationally opaque businesses pp. 1401-1413

Daisuke Tsuruta

Evaluating value at risk using selection criteria of the model and the information set pp. 1415-1428

Pilar Gargallo, Jesus Miguel, Pilar Olave and Manuel Salvador

Integer-valued moving average modelling of the number of transactions in stocks pp. 1429-1440

Kurt Brännäs and Shahiduzzaman Quoreshi

Pricing-to-market and the volatility of UK export prices pp. 1441-1460

Baoying Lai and Nathan Lael Joseph

What drives stock prices? Fundamentals, bubbles and investor behaviour pp. 1461-1477

Yen-Hsiao Chen and Patricia Fraser

Volume 20, issue 17, 2010

Using Engel curves to estimate CPI bias in a small, open, inflation-targeting economy pp. 1327-1335

John Gibson and Grant Scobie

The profitability, seasonality and source of industry momentum pp. 1337-1349

Xiuqing Ji and Christos Giannikos

Stock returns and foreign investment in Brazil pp. 1351-1361

Luciana Reis, Roberto Meurer and Sergio Da Silva

The efficiency of cooperative banks: the impact of environmental economic conditions pp. 1363-1376

Francesca Battaglia, Vincenzo Farina, Franco Fiordelisi and Ornella Ricci

Warrant introduction effects on stock return processes pp. 1377-1395

Jui-Jane Chang and Szu-Lang Liao

A study of REITs in the Asia-Pacific area: volatility characters and their long-term relationship with stock indices pp. 1397-1400

Ming-Shann Tsai, Sue-Jane Chiang and Chih-Hsun Lin

Volume 20, issue 16, 2010

Far tail or extreme day returns, mutual fund cash flows and investment behaviour pp. 1241-1256

David Burnie and Adri De Ridder

The effects of macroeconomic announcements on equity returns and their connections to Fama-French factors pp. 1257-1267

Bala Arshanapalli, William Nelson and Lorne Switzer

Volatility and causality in Asia Pacific financial markets pp. 1269-1292

Enzo Weber

Environmental incidents and firm value-international evidence using a multi-factor event study framework pp. 1293-1307

Tommy Lundgren and Rickard Olsson

Mutual funds biased preference for the parent's stock: evidence and explanation pp. 1309-1320

Carlos Alves and Victor Mendes

Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market pp. 1321-1326

Christos Alexakis, Theophano Patra and Sunil Poshakwale

Volume 20, issue 15, 2010

Macroeconomic uncertainty and credit default swap spreads pp. 1163-1171

Christopher Baum and Chi Wan

Do unobservable factors explain the disposition effect in emerging stock markets? pp. 1173-1183

Hisham Farag and Robert Cressy

Financial intermediation and macroeconomic efficiency pp. 1185-1193

Yves Kuhry and Laurent Weill

UK security analysts' idiosyncratic factors and predictive ability pp. 1195-1203

Simon Hussain

Misalignment of the real exchange rate in the African Financial Community (CFA zone) and its policy implications pp. 1205-1215

Maru Etta-Nkwelle, Jin-Gil Jeong and Philip Fanara

On the future contract quality option: a new look pp. 1217-1229

Alejandro Balbas and Susana Reichardt

The security market plane pp. 1231-1240

Bernard Bollen

Volume 20, issue 14, 2010

Short horizon liquidity and trading activity in the US Treasury market: do inventory holding costs matter? pp. 1085-1098

Kenneth Khang and Tao-Hsien Dolly King

Modelling bank lending in the euro area: a nonlinear approach pp. 1099-1112

Leonardo Gambacorta and Carlotta Rossi

The performance and impact of stock picks mentioned on 'Mad Money' pp. 1113-1124

Bryan Lim and Joao Rosario

The determinates of equity portfolio holdings pp. 1125-1132

Jonathan Batten and Xuan Vinh Vo

The Q theory of investment, the capital asset pricing model and the capitalization rate in real estate valuation pp. 1133-1143

John McDonald

The long-run performance of firms emerging from Chapter 11 bankruptcy pp. 1145-1161

Surendranath Jory and Jeff Madura

Volume 20, issue 13, 2010

Investor perceptions and volatility within a risk-return framework pp. 1003-1010

Dave Berger

Modelling size and illiquidity in West African equity markets pp. 1011-1030

Bruce Hearn and Jenifer Piesse

Asset pricing, size and North American stock market integration pp. 1031-1039

Lucie Samson

General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets pp. 1041-1049

Manabu Asai and Angelo Unite

An alternative methodology for testing currency crises resulting from imbalances in macroeconomic fundamentals pp. 1051-1056

Fernando A. Ribeiro Soares, Mauricio Barata de Paula Pinto and Tito Moreira

Temporal information gaps and market efficiency: a dynamic behavioural analysis pp. 1057-1070

Bjorn-Christopher Witte

Exchange rate volatility and export trade in Nigeria: an empirical investigation pp. 1071-1084

Shehu Aliyu

Volume 20, issue 12, 2010

How accounting fraud has changed merger valuation pp. 923-940

Jeff Madura and Thanh Ngo

Extreme value analysis of daily Canadian crude oil prices pp. 941-954

Feng Ren and David Giles

Measuring bond market liquidity: devising a composite aggregate liquidity score pp. 955-973

Moorad Choudhry

The roles of stock market in the finance-growth nexus: time series cointegration and causality evidence from Taiwan pp. 975-981

Han Hou and Su-Yin Cheng

Order imbalances from after-hours trading pp. 983-987

I-Chun Tsai

Realized mean-variance efficient portfolio selection and euro area stock market integration pp. 989-1001

Claudio Morana

Volume 20, issue 11, 2010

Can firms do well while doing good? pp. 845-860

Parvez Ahmed, Sudhir Nanda and Oliver Schnusenberg

Sector classification through non-Gaussian similarity pp. 861-878

M. Vermorken, Ariane Szafarz and Hugues Pirotte Speder

Implications of financial statement restatements of different items pp. 879-890

Katsiaryna Salavei

The investor recognition hypothesis: the New Zealand case pp. 891-898

Daniel Chai and Daniel Choi

An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility pp. 899-910

YongChern Su, MingDa Chen and HanChing Huang

On the exploitability of the turn-of-the-month effect-an international perspective pp. 911-922

Bernhard Zwergel

Volume 20, issue 10, 2010

Recovering the moments of information flow and the normality of asset returns pp. 761-769

Anthony Murphy and Marwan Izzeldin

Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios pp. 771-783

Jie Ding and Nigel Meade

Testing the effects of capital structure on entrepreneurial effort pp. 785-794

Yan Wendy Wu

The price gold shareholders place on market risks pp. 795-802

Les Coleman

Testing market efficiency in the EU carbon futures market pp. 803-809

Roselyne Joyeux and George Milunovich

The market for ADRs: does depositary bank reputation matter? pp. 811-825

Gilberto Loureiro

Are firms hedging or speculating? The relationship between financial derivatives and firm risk pp. 827-843

Hoa Nguyen and Robert Faff

Volume 20, issue 9, 2010

Comparing constraints to economic stabilization in Macedonia and Slovakia: macroestimates with micronarratives pp. 681-699

Martin Melecký and Evgenij Najdov

With good reputation size does not matter: issue frequency and the determinants of debt maturity pp. 701-718

Nikolas Rokkanen

Behaviour finance and estimation risk in stochastic portfolio optimization pp. 719-738

Jose Luiz Barros Fernandes, Juan Ignacio Pena and Benjamin Tabak

Market and idiosyncratic volatility: high frequency dynamics pp. 739-751

Nick Taylor

Traditional view or revisionist view? The effects of monetary policy on exchange rates in Asia pp. 753-760

Peng Huang, C. Hueng and Ruey Yau

Volume 20, issue 8, 2010

Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity pp. 601-626

Maurizio Michael Habib and Mark Joy

Estimating optimal hedge ratio: a multivariate skew-normal distribution approach pp. 627-636

Donald Lien and Keshab Shrestha

Banking environment and loan syndicate structure: a cross-country analysis pp. 637-648

Christophe Godlewski

The market and operating performance of Chinese seasoned equity offerings pp. 649-657

Ohannes George Paskelian and Stephen Bell

Business cycles in insurance and reinsurance: international diversification effects pp. 659-668

Ursina Meier and J. Francois Outreville

Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions pp. 669-680

Fredj Jawadi, Mohamed Arouri and Duc Khuong Nguyen

Volume 20, issue 7, 2010

Does training on behavioural finance influence fund managers' perception and behaviour? pp. 515-528

Marina Nikiforow

A research note on the determinants of UK corporate share repurchase decisions pp. 529-541

Zoubeida Benhamouda and Robert Watson

M&A success of German acquisitions in the US-evidence from capital market and survey data pp. 543-559

Alexander Bassen, Dirk Schiereck and Bernd Wubben

Dependence structures in Chinese and US financial markets: a time-varying conditional copula approach pp. 561-583

Jian Hu

Modelling commodity value at risk with higher order neural networks pp. 585-600

Christian Dunis, Jason Laws and Georgios Sermpinis

Volume 20, issue 6, 2010

Do credit default swaps predict currency values? pp. 439-458

Gaiyan Zhang, Jot Yau and Hung-Gay Fung

How do we pay with euro notes when some notes are missing? Empirical evidence from Monopoly® experiments pp. 459-464

Philip Hans Franses and Jeanine Kippers

Speculative strategies in the foreign exchange market based on genetic programming predictions pp. 465-476

Marcos Alvarez Diaz

Financial liberalization and stock market volatility: the case of Indonesia pp. 477-486

Gregory James and Michail Karoglou

Is there long memory in financial time series? pp. 487-500

Luiz Lima and Zhijie Xiao

Empirical performance of affine option pricing models: evidence from the Australian index options market pp. 501-514

Timothy Sharp, Steven Li and David Allen

Volume 20, issue 5, 2010

Style consistency of hedge fund indexes across providers pp. 355-369

Peter Kugler, Jacqueline Henn-Overbeck and Heinz Zimmermann

Applying the Inclan-Tsiao breakpoint algorithm in the search for the flight-to-safety phenomenon pp. 371-380

Kenneth Smith and Joe Brocato

Multivariate tests of asset pricing: simulation evidence from an emerging market pp. 381-395

Javed Iqbal, Robert Brooks and Don Galagedera

A test of the news model of stock price determination in an emerging market: the case of Kuwait pp. 397-405

Imad Moosa and Sulaiman Al-Abduljader

The relative influence of the East and the West on Middle Eastern emerging stock markets: an empirical investigation pp. 407-415

Richard Ajayi, Seyed Mehdian and Mark Perry

Identifying shifts in spread using the Cauchy CUSUM: an application to the Japanese yen/US dollar exchange rate pp. 417-424

John Dukich and Douglas Hawkins

Banks as firms' blockholders: a study in Spain pp. 425-438

Josep Tribó and Maria Jose Casasola Martinez

Volume 20, issue 4, 2010

The effect on the Swedish real economy of the financial crisis pp. 265-274

Pär Österholm

Passive shareholders and active managers: an empirical test of Admati and Pfleiderer's hypothesis pp. 275-291

Steffen Brenner

Style analysis and dominant index timing: an application to Australian multi-sector managed funds pp. 293-301

Kathryn Holmes, Robert Faff and Iain Clacher

The impact of the closing call auction: an examination of effects in London pp. 303-315

Christopher Battig and Patricia Chelley-Steeley

Determinants of the component structure of intraday return distributions pp. 317-322

Charlie Xiaowu Cai, Kevin Keasey and Gaoliang Tian

Explaining mispricing with Fama-French factors: new evidence from the multiscaling approach pp. 323-330

Francis In, Sangbae Kim and Robert Faff

Ambiguity aversion and rational herd behaviour pp. 331-343

Zhiyong Dong, Qingyang Gu and Xu Han

Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil pp. 345-354

Matthew Yiu, Wai-Yip Alex Ho and Daniel Choi

Volume 20, issue 3, 2010

Sources of output volatility from financial crisis in emerging markets pp. 183-199

Kritchaya Pattanachak and Jin Man Lee

Misvaluation and UK mergers 1986-2002 pp. 201-211

Jerry Coakley, Lei Fu and Hardy Thomas

Is the crisis treatment exacerbating cautiousness or risk-taking? pp. 213-218

Olivier Damette and Philippe Froute

To have a target debt ratio or not: what difference does it make? pp. 219-226

Abe de Jong and Patrick Verwijmeren

Global liquidity and commodity prices-a cointegrated VAR approach for OECD countries pp. 227-242

Ansgar Belke, Ingo Bordon and Torben Hendricks

Endogenous mergers: bidder momentum and market reaction pp. 243-254

Gerhard Kling and Utz Weitzel

An empirical analysis of calendar anomalies in the Malaysian stock market pp. 255-264

Shiok Ye Lim, Chong Mun Ho and Brian Dollery

Volume 20, issue 1-2, 2010

Introduction to Applied Financial Economics Volume 20, 2010 pp. 1-1

Mark Taylor

The global financial crisis: introduction and overview pp. 3-5

Mark Taylor

What were they thinking? Reports from interviews with senior finance executives in the lead-up to the GFC pp. 7-14

Les Coleman and Sean Pinder

How did the Fed do? An empirical assessment of the Fed's new initiatives in the financial crisis pp. 15-30

Abdullah Mamun, M. Kabir Hassan and Mark Johnson

The put problem with buying toxic assets pp. 31-35

Linus Wilson

Global financial crisis and US interest rate swap spreads pp. 37-43

Takayasu Ito

Were there warning signals from banking sectors for the 2008/2009 global financial crisis? pp. 45-61

John Simpson

Extreme value modelling for forecasting market crisis impacts pp. 63-72

Xin Zhao, Carl Scarrott, Les Oxley and Marco Reale

The correlation structure of FX option markets before and since the financial crisis pp. 73-84

George Chalamandaris and Andrianos Tsekrekos

Global capital market interdependence and spillover effect of credit risk: evidence from the 2007-2009 global financial crisis pp. 85-103

William Cheung, Scott Fung and Shih-Chuan Tsai

A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? pp. 105-135

Massimo Guidolin and Francesca Rinaldi

Comparing the performance of relative stock return differential and real exchange rate in two financial crises pp. 137-150

Douglas Wong and Kui-Wai Li

Permanent and transitory dynamics in house prices and consumption: some implications for the real effects of the financial crisis pp. 151-170

Fabio Bagliano and Claudio Morana

Another consequence of the economic crisis: a decrease in migrants' remittances pp. 171-182

Isabel Ruiz and Carlos Vargas-Silva