Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 19, issue 24, 2009

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices pp. 1925-1945

Ingo Fender and Martin Scheicher

Does the stock market react to unexpected inflation differently across the business cycle? pp. 1947-1959

Chao Wei

Structural breaks and the Fisher hypothesis in bond and stock markets pp. 1961-1973

Sung Bae and Taihyeup David Yi

Ownership structure and corporate financing pp. 1975-1986

Nedal Al-Fayoumi and Bana Abuzayed

The choice of IPO versus M&A: evidence from banking industry pp. 1987-2007

Bill Francis, Iftekhar Hasan and Dona Siregar

Volume 19, issue 23, 2009

Linkages between Shanghai and Hong Kong stock indices pp. 1847-1857

Shenqiu Zhang, Ivan Paya and David Peel

Panel cointegration of Chinese A and B shares pp. 1859-1871

Niklas Ahlgren, Bo Sjo and Jianhua Zhang

Can political factors explain the behaviour of stock prices beyond the standard present value models? pp. 1873-1884

Tomasz Wisniewski

The structure of retail markets: what do we learn from bank-specific rates? pp. 1885-1898

Shelagh Heffernan and Xiaoqing Fu

Time-variation in the value premium and the CAPM: evidence from European markets pp. 1899-1914

Spyros Spyrou and K. Kassimatis

The efficiency of the stock market in the CARICOM sub-region: an empirical study pp. 1915-1924

Patrick Kent Watson

Volume 19, issue 22, 2009

Earnings management practices among growth and value firms pp. 1767-1778

Pawan Madhogarhia, Ninon Sutton and Theodor Kohers

Oops, we should have diversified! pp. 1779-1785

Shamila Jayasuriya and William Shambora

The impact of foreign equity investment flows on global linkages of the Asian emerging equity markets pp. 1787-1802

Sunil Poshakwale and Chandra Thapa

Transfiguration of the foreign exchange market since the Euro introduction pp. 1803-1812

Liu Zhentao and Kazumi Asako

Interest-rate risk factor and stock returns: a time-varying factor-loadings model pp. 1813-1824

Peng Huang and C. Hueng

Using the artificial neural network to assess bank credit risk: a case study of Indonesia pp. 1825-1846

Maximilian Hall, Dadang Muljawan and Lolita Moorena

Volume 19, issue 21, 2009

Ownership structure and the likelihood of financial distress in the Netherlands pp. 1687-1696

Han Donker, Bernard Santen and Saif Zahir

Output versus salient impact in financial economics pp. 1697-1704

Rose Prasad and S. Benjamin Prasad

An analysis of the price dynamics between the Turkish and the international paintings markets pp. 1705-1714

Erdal Atukeren and Aylin Seckin

The dual-tranche offer mechanism in Hong Kong and the characteristics of IPO subscription demand and initial return levels pp. 1715-1736

Paul McGuinness

Trading volume and information asymmetry: routine versus nonroutine earnings announcements in Australia pp. 1737-1752

Thusitha Mahipala, Howard Chan and Robert Faff

The ex-interest behaviour of UK gilt prices pp. 1753-1760

Lynn Hodgkinson and Jo Wells

Multiperiod dynamic investment for a generalized situation pp. 1761-1766

Hung-Hsi Huang and David Jou

Volume 19, issue 20, 2009

Seasonality in stock returns pp. 1605-1610

Eric Bentzen

Firms' investment under financial constraints: a euro area investigation pp. 1611-1624

Rozalia Pal and Roman Kozhan

Liberalization of capital controls and interest rates restrictions in the EU-15: did it affect economic growth? pp. 1625-1648

Diego Romero-Ávila

Herding behaviour in strategic asset allocations: new approaches on quantitative and intertemporal imitation pp. 1649-1659

Laura Andreu, Cristina Ortiz and Jose Luis Sarto

Competitive investors, trade timing and price discovery pp. 1661-1674

Jung-Juei Lee, Lon-Ping Zu, Ming-Chang Wang and Chau-Jung Kuo

NYSE Rule 80A restrictions on index arbitrage and market linkage pp. 1675-1685

A. Tolga Ergun

Volume 19, issue 19, 2009

Takeovers of newly public targets pp. 1523-1530

Aigbe Akhigbe, Surendranath Jory and Jeff Madura

Efficiency of transition banks: inter-country banking industry trends pp. 1531-1546

Karligash Kenjegalieva, Richard Simper and Thomas Weyman-Jones

Pricing of liquidity risk: empirical evidence from Finland pp. 1547-1557

Mika Vaihekoski

Stock portfolio selection with full-scale optimization and differential evolution pp. 1559-1571

Bjorn Hagstromer and Jane Binner

Idiosyncratic volatility and security returns: Australian evidence pp. 1573-1579

Bernard Bollen, Anthony Skotnicki and Madhu Veeraraghavan

Board structure, ownership structure and firm performance: evidence from banking pp. 1581-1593

Mohamed Belkhir

Spillovers and correlations between US and major European stock markets: the role of the euro pp. 1595-1604

Christos Savva, Denise Osborn and Len Gill

Volume 19, issue 18, 2009

Is there a puzzle in the failure of venture capital backed portfolio companies? pp. 1439-1452

Khaled Abdou and Oscar Varela

Ownership structure and the separation of voting and cash flow rights-evidence from Switzerland pp. 1453-1476

Markus Schmid

The value of a merger and its optimal timing pp. 1477-1485

Masaya Okawa and Motoh Tsujimura

Market power versus efficient-structure in Arab GCC banking pp. 1487-1496

Saeed Al-Muharrami and Kent Matthews

Central bank intervention and exchange rate volatility in Pakistan: an analysis using GARCH-X model pp. 1497-1508

Muhammad Kashif Ali Shah, Zulfiqar Hyder and Muhammad Khalid Pervaiz

Spillover effects from London and Frankfurt to Central and Eastern European stock markets pp. 1509-1521

Barry Harrison and Winston Moore

Volume 19, issue 17, 2009

The 'other' January effect and the presidential election cycle pp. 1355-1363

Ray Sturm

Does pecking order theory explain leverage behaviour in Pakistan? pp. 1365-1370

Muhammad Azeem Qureshi

Realized betas and the cross-section of expected returns pp. 1371-1381

Claudio Morana

Myopic loss aversion, bond returns and the equity premium puzzle pp. 1383-1390

Philip Jagd and Jakob Madsen

Order imbalance, market returns and volatility: evidence from Thailand during the Asian crisis pp. 1391-1399

Nuttawat Visaltanachoti and Robin Hang Luo

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions pp. 1401-1416

Jochen Papenbrock, Svetlozar Rachev, Markus Hochstotter and Frank Fabozzi

Central bank intervention and foreign exchange markets pp. 1417-1432

Dave Seerattan and Nicola Spagnolo

Do the financial statements of intangible-intensive companies hold less information content for investors? pp. 1433-1438

Ian Fraser, Heather Tarbert and Kai Hong Tee

Volume 19, issue 16, 2009

Idiosyncratic volatility and stock returns: a cross country analysis pp. 1269-1281

Kuntara Pukthuanthong-Le and Nuttawat Visaltanachoti

Corporate social responsibility and stock market performance pp. 1283-1293

Leonardo Becchetti and Rocco Ciciretti

Decisions of domestic equity fund investors: determinants and search costs pp. 1295-1304

Luis Ferruz, Cristina Ortiz and Jose Sarto

Modelling skewness and elongation in financial returns: the case of exchange-traded funds pp. 1305-1316

Sanjiv Jaggia and Alison Kelly

Efficiency and productivity of Greek banks in the EMU era pp. 1317-1328

Georgios Chortareas, Claudia Girardone and Alexia Ventouri

Essay in dividend modelling and forecasting: does nonlinearity help? pp. 1329-1343

Fredj Jawadi

Pragmatic problems in using beta for managerial finance applications pp. 1345-1354

Elvan Aktas and Wm McDaniel

Volume 19, issue 15, 2009

Equities, liquidity and consumption: does the stock market matter? pp. 1187-1196

Sohrab Abizadeh and Dennis Ng

Common volatility across Latin American foreign exchange markets pp. 1197-1211

Isabel Ruiz

Is technical analysis profitable on US stocks with certain size, liquidity or industry characteristics? pp. 1213-1221

Ben Marshall, Sun Qian and Martin Young

A nonparametric general equilibrium estimation of covered interest rate arbitrage for western European countries during the pre-euro period: a behavioural perspective pp. 1223-1237

Hsiou-Wei Lin and Yun Chiang Tai

Intraday characteristics of stock price crashes pp. 1239-1255

Manuel Ammann and Stephan Markus Kessler

An empirical extension of Rock's IPO underpricing model to three distinct groups of investors pp. 1257-1268

Anna Vong and Duarte Trigueiros

Volume 19, issue 14, 2009

Intraday evidence of the informational efficiency of the yen/dollar exchange rate pp. 1103-1115

Kentaro Iwatsubo and Yoshihiro Kitamura

Monetary models of exchange rates and sweep programs pp. 1117-1129

Rakesh Bissoondeeal, Jane Binner and Thomas Elger

The predictive power of the term spread revisited: a change in the sign of the predictive relationship pp. 1131-1142

Javier Gomez-Biscarri

Macroeconomic considerations in regional reserve pooling pp. 1143-1157

Leong Fee Wan and Yen Li Chee

Optimal modelling frequency for foreign exchange volatility forecasting pp. 1159-1162

Vincent Hooper, Jonathan Reeves and Xuan Xie

Optimal market indices using value-at-risk: a first empirical approach for three stock markets pp. 1163-1170

Jordi Andreu and Salvador Torra

A study of the predictive performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange: sensitivity analysis and implications for weak-form market efficiency testing pp. 1171-1186

Alexandros Milionis and Evangelia Papanagiotou

Volume 19, issue 13, 2009

Extreme dependence in the NASDAQ and S&P 500 composite indexes pp. 1019-1028

John Galbraith and Serguei Zernov

The size and composition of corporate boards in Hong Kong, Malaysia and Singapore pp. 1029-1041

Richard Heaney

Capital market integration: evidence from the G7 countries pp. 1043-1057

David Morelli

An out-of-sample comparative analysis of hedging performance of stock index futures: dynamic versus static hedging pp. 1059-1072

Ming Jing Yang and Yi-Chuan Lai

Divestitures: wealth transfers or real economic gains? pp. 1073-1081

Abdul-Magid Gadad, Andrew Stark and Hardy Thomas

Distribution of extreme changes in Asian currencies: tail index estimates and value-at-risk calculations pp. 1083-1102

Raj Aggarwal and Min Qi

Volume 19, issue 12, 2009

Momentum profits, nonnormality risks and the business cycle pp. 935-953

Ana-Maria Fuertes, Joëlle Miffre and Wooi-Hou Tan

Concentrated control and corporate value: a comparative analysis of single and dual class structures in Canada pp. 955-974

Brian Frederick Smith, Ben Amoako-Adu and Madhu Kalimipalli

Did capital market convergence lower the effectiveness of monetary policy? pp. 975-984

Pieter Jansen

Are the Basel II requirements justified in the presence of structural breaks? pp. 985-998

Par Sjolander

Financial development and economic growth: evidence from transition economies pp. 999-1008

Alexandr Akimov, Albert Wijeweera and Brian Dollery

Evidence on inefficiency of the Euribor option market pp. 1009-1017

I.-Doun Kuo and Yueh-Neng Lin

Volume 19, issue 11, 2009

Systematic liquidity, characteristic liquidity and asset pricing pp. 853-868

Duong Nguyen and Tribhuvan Puri

Uncollateralized overnight lending in Canada pp. 869-880

Scott Hendry and Nadja Kamhi

Calendar anomolies and stock market volatility in selected Arab stock exchanges pp. 881-892

Ahmed Kamaly and Eskandar Tooma

Effect of wind on stock market returns: evidence from European markets pp. 893-904

Hui-Chu Shu and Mao-Wei Hung

Volatility changes in drachma exchange rates pp. 905-916

Patricia Chelley-Steeley and Nikolaos Tsorakidis

Integration at a cost: evidence from volatility impulse response functions pp. 917-933

Ekaterini Panopoulou and Theologos Pantelidis

Volume 19, issue 10, 2009

Highs and lows: a behavioural and technical analysis pp. 767-777

Bruce Mizrach and Susan Weerts

Defining the level of abnormal return underperformance that exists for issuers of high-yield bonds pp. 779-794

David Wolfe

The myth of executive compensation: do shareholders get what they pay for? pp. 795-808

Mark Bayless

Financial liberalization, stock market volatility and outliers in emerging economies pp. 809-823

Juncal Cuñado, Javier Gómez Biscarri and Fernando Pérez de Gracia

To be good or to be better: asset managers' attitudes towards herding pp. 825-839

Torben Lutje

ATM networks and cash usage pp. 841-851

Heli Snellman and Matti Viren

Volume 19, issue 9, 2009

Seasonality tests on the Shanghai and Shenzhen stock exchanges: an empirical analysis pp. 681-692

Asli Ogunc, Srinivas Nippani and Kenneth Washer

Impact of bond index revisions pp. 693-702

Wassim Dbouk and Lawrence Kryzanowski

Corporate ownership and the information content of earnings in Poland pp. 703-717

Adriana Korczak and Piotr Korczak

Disaggregating marketplace attitudes toward risk: a contingent-claim-based model pp. 719-733

Edwin Neave and Jun Yang

Examining market efficiency for large- and small-capitalization of TOPIX and FTSE stock indices pp. 735-744

Jui-Cheng Hung, Yen-Hsien Lee and Tung-Yueh Pai

Tranquil and crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of the DCC procedure pp. 745-752

Victor Pontines and Reza Siregar

Uncertainty and total factor productivity in the Taiwanese banking industry pp. 753-766

Cliff Huang and Tsu-Tan Fu

Volume 19, issue 8, 2009

Momentum trading, disposition effects and prediction of future share prices: an experimental study of multiple reference points in responses to short- and long-run return trends pp. 595-610

Henrik Svedsater, Niklas Karlsson and Tommy Garling

Intra-day volatility forecasts pp. 611-623

David McMillan and Raquel Quiroga-Garcia

Wealth effects to bidding companies from regulatory interventions in the UK pp. 625-634

Edward Jones and Jonathan Crook

Valuation effects of new equity issues by banks: evidence from Japan pp. 635-645

Hiroyuki Aman and Hironobu Miyazaki

Monetary policy and interest rate rigidity in China pp. 647-657

M. -H. Liu, D. Margaritis and Alireza Tourani-Rad

Cross-ownership, takeover threat and control benefit pp. 659-667

Daehwan Kim and Taeyoon Sung

Partial auction, pricing information and price adjustment in the IPO's aftermarket: an empirical study of TAIEX-listing firms pp. 669-680

Gili Yen and Ching-Lung Chen

Volume 19, issue 7, 2009

Industry-level stock returns volatility and aggregate economic activity in Australia pp. 509-525

Md. Arifur Rahman

Investment success and the value of investment opportunities: evidence from the biotech industry pp. 527-537

Bixia Xu

Explaining the US bond yield conundrum pp. 539-550

Harm Bandholz, Jorg Clostermann and Franz Seitz

Dividends, earnings volatility and information pp. 551-562

Ben Howatt, Richard Zuber, John Gandar and Reinhold Lamb

An empirical study of Taiwan's bond market based on the nonlinear dynamic model pp. 563-574

Chi-Wei Su

The benefits and obstacles of internet-based Commercial Paper issuance in Europe-a survey pp. 575-594

Andreas Trauten and Thomas Langer

Volume 19, issue 6, 2009

On tests of the conditional relationship between beta and returns pp. 427-432

Ian Cooper

Extreme equity valuation ratios and stock market investments pp. 433-438

Andreas Reschreiter

Testing for causality in the transmission of Eurodollar and US interest rates pp. 439-443

Richard Ajayi and Apostolos Serletis

Pricing efficiency of the 3-month KLIBOR futures contracts: an empirical analysis pp. 445-462

Marina Abdul Razak and Obiyathulla Bacha

What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model pp. 463-488

Massimo Guidolin and Stuart Hyde

Macroeconomic and market determinants of interest rate spreads in low- and middle-income countries pp. 489-507

David Tennant and Abiodun Folawewo

Volume 19, issue 5, 2009

NASDAQ-listed European and Asia Pacific ADRs: does market-timing affect long-term performance? pp. 339-345

Mark Schaub

Nonlinear mean reversion in the G7 stock markets pp. 347-355

Hyeongwoo Kim, Liliana Stern and Michael Stern

Anger, sadness and bear markets pp. 357-369

Robert Durand, Marta Simon and Alex Szimayer

Distribution switching of stock returns: international evidence pp. 371-377

Kosei Fukuda

A value-at-risk approach with kernel estimator pp. 379-395

Alex Huang

The operating performance of preferred stock issuers pp. 397-407

Hongbok Lee and Don Johnson

Russian financial crisis, US financial stock returns and the IMF pp. 409-426

M. Humayun Kabir and M. Kabir Hassan

Volume 19, issue 4, 2009

Semiparametric estimation of asset pricing kernel pp. 257-272

Jun Yang

Estimation of dynamic asymmetric tail dependences: an empirical study on Asian developed futures markets pp. 273-290

Qing Xu and Xiao-Ming Li

Crude oil shocks and stock market returns pp. 291-303

Babatunde Olatunji Odusami

Modelling the longitudinal properties of financial ratios pp. 305-318

Stuart McLeay and Maxwell Stevenson

Earnings announcement timing and earnings management pp. 319-326

Ho-Young Lee and Myungsoo Son

Backtesting the tail risk of VaR in holding US dollar pp. 327-337

Woon Wong

Volume 19, issue 3, 2009

Regime changes in sub-prime margins under the US housing bubble pp. 175-182

Camilo Sarmiento

A duration analysis of the time from prospectus to listing for Australian initial public offerings pp. 183-190

Robert Brooks, Tim Fry, Bill Dimovski and Sandra Mihajilo

Evaluating cost and profit efficiency: a comparison of parametric and nonparametric methodologies pp. 191-202

Manthos Delis, Anastasia Koutsomanoli-Fillipaki, Christos Staikouras and Gerogiannaki Katerina

Does options listing impact on the time-varying risk characteristics of the underlying stocks? Evidence from NYSE stocks listed on the CBOE pp. 203-212

Khelifa Mazouz and Michael Bowe

Changing credit rating standards in the UK: empirical evidence from 1999 to 2004 pp. 213-225

Eleimon Gonis and Peter Taylor

The valuation of special purpose vehicles by issuing structured credit-linked notes pp. 227-256

Chia-Chien Chang, Chou-Wen Wang and Szu-Lang Liao

Volume 19, issue 2, 2009

Hedging with weather derivatives: a role for options in reducing basis risk pp. 87-97

Mark Manfredo and Timothy Richards

The stock market and the Fed pp. 99-110

Fabrizio Mattesini and Leonardo Becchetti

Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan pp. 111-119

Andreas Humpe and Peter Macmillan

Structural breaks in the real exchange rate adjustment mechanism pp. 121-134

Laurence Copeland and Saeed Heravi

The effect of group affiliation on the risk-taking of Japanese firms pp. 135-146

Pascal Nguyen and Sophie Nivoix

Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests pp. 147-155

Kian-Ping Lim and Robert Brooks

The equity premium puzzle and the ex post bias pp. 157-174

Jakob Madsen and Ratbek Dzhumashev

Volume 19, issue 1, 2009

The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices pp. 1-15

Kirt Butler and Katsushi Okada

American depository receipts and calendar anomalies pp. 17-25

Janie Casello Bouges, Ravi Jain and Yash Puri

Do Australian hedge fund managers possess timing abilities? pp. 27-38

Minh Do, Robert Faff and Madhu Veeraraghavan

Monetary policy implementation and the Euro area money market pp. 39-57

Julius Moschitz

Strategic auditor switch and financial distress prediction-empirical findings from the TSE-listed firms pp. 59-72

Ching-Lung Chen, Gili Yen and Fu-Hsing Chang