Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 17, issue 18, 2007

Security transaction taxes and financial volatility: Athens stock exchange pp. 1455-1467

Kate Phylaktis and Antonis Aristidou

Improving the accuracy of forward exchange rate forecasts by correcting for prior bias pp. 1469-1478

Robert Kremer and Sherrill Shaffer

A rolling MTAR model to test for efficient stock pricing and asymmetric adjustment pp. 1479-1487

Andreas Behr

The economic and predictive value of trading volume growth: a tale of three moments pp. 1489-1509

Boyce Watkins

Testing the performance of value strategies in the Athens Stock Exchange pp. 1511-1528

Dimitris Kyriazis and George Diacogiannis

Testing financial liberalization hypothesis with ARDL modelling approach pp. 1529-1540

Min Shrestha and Khorshed Chowdhury

Volume 17, issue 17, 2007

Interest rate pass through and asymmetries in adjustable rate mortgages pp. 1369-1376

James Payne

A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s pp. 1377-1387

Nikola Gradojevic

A naturally controlled experiment of managerial transition: sprint corporation's transfer of Len Lauer from President of FON to President of PCS pp. 1389-1392

Karyl Leggio and Stephen Pruitt

Time-varying volatility and equity returns in Bangladesh stock market pp. 1393-1407

Syed Basher, M. Kabir Hassan and Anisul Islam

International momentum effects: a reappraisal of empirical evidence pp. 1409-1420

Ming-Shiun Pan and L. Paul Hsueh

Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence pp. 1421-1430

Twm Evans and David McMillan

Has entry to the European Union altered the dynamic links of stock returns for the emerging markets? pp. 1431-1446

Tomoe Moore

The day-of-the-week effect in the Athens Stock Exchange (ASE) pp. 1447-1454

Nickolaos Tsangarakis

Volume 17, issue 16, 2007

International linkages of the Chinese futures markets pp. 1275-1287

Renhai Hua and Baizhu Chen

The effect of country risk ratings on market returns pp. 1289-1299

Oliver Schnusenberg, Jeff Madura and Kimberly Gleason

Are mutual fund investors in jail? pp. 1301-1312

Carlos Alves and Victor Mendes

Testing for stock market bubbles using nonlinear models and fractional integration pp. 1313-1321

Juncal Cuñado, Luis Gil-Alana and Fernando Pérez de Gracia

Ownership structure, control and firm performance: the effects of vote-differentiated shares pp. 1323-1334

Per-Olof Bjuggren, Johan Eklund and Daniel Wiberg

Shell companies as IPO alternatives: an analysis of trading activity around reverse mergers pp. 1335-1347

Murat Aydogdu, Chander Shekhar and Violet Torbey

On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares pp. 1349-1357

Qian Su, Terence Tai Leung Chong and Kit Ming Yan

Measuring investment skills of fund managers pp. 1359-1368

Choong Tze Chua and Winston Koh

Volume 17, issue 15, 2007

Price clustering in the CAC 40 index options market pp. 1201-1210

Gunther Capelle-Blancard and Mo Chaudhury

Returns to trading portfolios of FTSE 100 index options pp. 1211-1225

Xiaoquan Liu

Computing the divisional cost of capital using the pure-play method pp. 1227-1231

Henry Collier, Timothy Grai, Steve Haslitt and Carl McGowan

Strategic objectives, industry structure and the long-term stock price performance of acquiring and rival firms pp. 1233-1244

M. Mark Walker and Chi-Sheng Hsu

Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility pp. 1245-1250

Abdulnasser Hatemi-J and Bryan Morgan

Optimal forecasting model selection and data characteristics pp. 1251-1264

Robert Fildes, Gary Madden and Joachim Tan

Holding periods, illiquidity and disposition effect in the Chinese stock markets pp. 1265-1274

Nuttawat Visaltanachoti, Robin Hang Luo and Lin Lu

Volume 17, issue 14, 2007

Reconsidering the impossibility of informationally efficient markets pp. 1113-1122

Karl Ludwig Keiber

Using volume to forecast stock market volatility around the time of the 1929 crash pp. 1123-1128

Bradley Ewing, Mark Thompson and Mark Yanochik

Financial structure and economic growth: the role of heterogeneity pp. 1129-1139

Karl Pinno and Apostolos Serletis

An empirical analysis of structural models of corporate debt pricing pp. 1141-1165

Joao Teixeira

Portfolio performance: factors or benchmarks? pp. 1167-1178

Juan Matallin-Saez

SEOs in a 'Hot Market': evidence of timing pp. 1179-1190

Sandra Cohen, Afroditi Papadaki and Georgia Siougle

Investment and cash flow: evidence for asymmetries in European manufacturing pp. 1191-1200

Konstantinos Drakos and Christos Kallandranis

Volume 17, issue 13, 2007

Tax-loss selling and seasonal effects in the UK pp. 1027-1035

Qiwei Chen, Lisa Jack and Andrew Wood

The volatility effects of nontrading for stock market returns pp. 1037-1041

Tyler J. VanderWeele

Are economic tracking portfolios useful for forecasting output and inflation in Austria? pp. 1043-1049

Burkhard Raunig

Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions pp. 1051-1060

I.-Yuan Chuang, Jin-Ray Lu and Pei-Hsuan Lee

Are credit ratings valuable information? pp. 1061-1070

Dirk Czarnitzki and Kornelius Kraft

Using financial ratios to differentiate domestic and multinational corporations pp. 1071-1074

Carl B. McGowan

Nonfundamentals and value returns pp. 1075-1083

Kevin C. H. Chiang, Kirill Kozhevnikov and Craig H. Wisen

What macro-innovation risks really are priced in Japan? pp. 1085-1099

Chikashi Tsuji

The overreaction hypothesis in the UK market: empirical analysis pp. 1101-1111

Khelifa Mazouz and Xiafei Li

Volume 17, issue 12, 2007

Monetary policy rules under a fixed exchange rate regime: empirical evidence from China pp. 941-950

Shengzu Wang and Jagdish Handa

Testing for infrequent permanent shocks: is the US inflation rate stationary? pp. 951-960

Roger A. Fujihara and Mbodja Mougoue

Does downside beta matter in asset pricing? pp. 961-978

Christian S. Pedersen and Soosung Hwang

Disentangling the signalling and liquidity effects of stock splits pp. 979-987

Sunil Mohanty and Doocheol Moon

Capital structure choice in European Union: evidence from the construction industry pp. 989-1002

Andreas Feidakis and Antonios Rovolis

An alternative test for weak form efficiency based on technical analysis pp. 1003-1012

Elaine Loh

The cash flow sensitivity of cash: evidence from Taiwan pp. 1013-1024

Yi-Chen Lin

Volume 17, issue 11, 2007

Designing deposit insurance scheme under asymmetric information with double liability option pp. 855-870

Rafiqul Bhuyan and Yuxing Yan

The relationship between capital investment and R&D spending: a panel cointegration analysis pp. 871-880

Pieter de Jong

Does foreign ownership foster bank performance? pp. 881-885

Robert Lensink and Ilko Naaborg

Bid-ask spread, strike prices and risk-neutral densities pp. 887-900

Xiaoquan Liu

Assessments of the program for financial revival of the Japanese banks pp. 901-912

Tatsuyoshi Miyakoshi and Yoshihiko Tsukuda

Intraday pattern in liquidity covariation: evidence from NYSE listed firms pp. 913-919

Mohsen M. Saad and Ali F. Darrat

Implicit bands in the Spanish peseta/Deutschmark exchange rate, 1965-1998 pp. 921-932

Francisco Ledesma, Manuel Navarro-Ibáñez, Jorge Pérez-Rodríguez and Simon Sosvilla-Rivero

Asset pricing models: a comparison pp. 933-940

Edward R. Lawrence, John Geppert and Arun Prakash

Volume 17, issue 10, 2007

Are commodity prices mean reverting? pp. 769-783

Henrik Andersson

The impact of family ownership and dual class shares on takeover risk pp. 785-804

Martin Holmen and Eugene Nivorozhkin

Stock return dynamics and stock market interdependencies pp. 805-825

Ekaterini Tsouma

Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners pp. 827-835

Abdulnasser Hatemi-J and Eduardo Roca

Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities pp. 837-853

Sheng-Yung Yang

Volume 17, issue 9, 2007

Hedging effectiveness and futures contract maturity: the case of NYMEX crude oil futures pp. 683-689

Ronald Ripple and Imad A. Moosa

Does market maker competition affect the response to insider trading? pp. 691-700

Katherine Gleason

Momentum returns and size of winner and loser portfolios pp. 701-708

Antonios Siganos

Fractional integration in the equity markets of MENA region pp. 709-723

A. Assaf

Bivariate and higher-order terms in models of international equity returns pp. 725-737

Kirt Butler and Katsushi Okada

Spanning tests for options using principal components methods pp. 739-746

Charlotte Hansen and Bjorn E. Tuypens

REIT markets and rational speculative bubbles: an empirical investigation pp. 747-753

George A. Waters and James Payne

A reassessment of market power among credit card banks pp. 755-767

Sherrill Shaffer and Lorein Thomas

Volume 17, issue 8, 2007

The disappearance of style in the US equity market pp. 597-613

Soosung Hwang and Stephen E. Satchell

The target cash rate and its impact on investment asset returns in Australia pp. 615-633

Jenny Diggle and Robert Brooks

The causal modelling on equity market innovations: fit or forecast? pp. 635-646

Jin Woong Kim and David Bessler

Discretized time and conditional duration modelling for stock transaction data pp. 647-658

Kurt Brännäs and Ola Simonsen

Volatility transmission across markets: a Multichain Markov Switching model pp. 659-670

Giampiero Gallo and Edoardo Otranto

Sampling properties of criteria for evaluating GARCH volatility forecasts pp. 671-681

Yasemin Ulu

Volume 17, issue 7, 2007

How do you straddle hogs and pigs? Ask the Greeks! pp. 511-520

Andrew McKenzie, Michael Thomsen and Josh Phelan

Determinants of the underpricing of new shares during the subscription period: empirical evidence from the Spanish stock exchange pp. 521-540

Consuelo Riano, Fco. Javier Ruiz and Rafael Santamaria

The substitutability of REITs and value stocks pp. 541-557

Stephen Lee and Simon Stevenson

Private placements of common equity and the industry rival response pp. 559-568

Scott Besley, Ninon Kohers and Tanja Steigner

Are implied volatilities more informative? The Brazilian real exchange rate case pp. 569-576

Eui Jung Chang and Benjamin Tabak

Takeover-divestiture combinations and shareholder wealth pp. 577-586

Christopher J. Marquette and Thomas G. E. Williams

Random walks in Middle Eastern stock markets pp. 587-596

Graham Smith

Volume 17, issue 6, 2007

Shrunken interest rate forecasts are better forecasts pp. 425-430

Reid Dorsey-Palmateer and Gary Smith

Efficiency in the eurobond market: application of nonparametric techniques pp. 431-444

Maria Bonilla-Musoles, Leandro Garcia-Menendez and Ma Luisa Marti-Selva

Compromise programming calibration for financial analysis of firms of a common sector of business, case study for a set of Spanish banks in 1995 pp. 445-461

Jose Anton, Juan Grau and Elena Sanchez

A structural time series test of the P-star model: evidence from the middle east pp. 463-467

George Tawadros

The stock market crisis and momentum. Some evidence for the Spanish stock market during the 1990s pp. 469-486

Luis Muga and Rafael Santamaria

Interest rate margins: a decomposition of dynamic oligopolistic conduct and market fundamentals pp. 487-499

Emanuel Barnea and Moshe Kim

The price effects of FTSE 100 index revision: what drives the long-term abnormal return reversal? pp. 501-510

Khelifa Mazouz and Brahim Saadouni

Volume 17, issue 5, 2007

Execution edge of pit traders and intraday price ranges of soft commodities pp. 343-350

Igor Kliakhandler

Measurement of insider trading in wagering markets pp. 351-356

Les Coleman

Is volatility risk priced after all? Some disconfirming evidence pp. 357-368

Geoffrey Loudon and Alan Rai

Dynamic analysis between the US stock returns and the macroeconomic variables pp. 369-377

Orawan Ratanapakorn and Subhash Sharma

Execution costs of dual listed Australian stocks pp. 379-389

Subhrendu Rath

The monetary model of the exchange rate and equities: an ARDL bounds testing approach pp. 391-397

Bruce Morley

Are international equity markets really asymmetric? pp. 399-411

Colm Kearney and Margaret Lynch

The impact of stock incremental information on the volatility of the Athens stock exchange pp. 413-424

Panayiotis Diamandis, Anastasios Drakos and Argyrios Volis

Volume 17, issue 4, 2007

Dynamic interactions between private investment and the stock market: evidence from cointegration and error correction models pp. 257-269

Nikiforos Laopodis and Bansi Sawhney

Information asymmetry and valuation uncertainty, the determination of China's IPO allocation procedures pp. 271-284

Shiguang Ma

International linkages of the Chinese stock exchanges: a multivariate GARCH analysis pp. 285-297

Hong Li

Market vs. analysts reaction: the effect of aggregate and firm-specific news pp. 299-312

Michele Bagella, Leonardo Becchetti and Rocco Ciciretti

Estimates of the ICAPM with regime-switching betas: evidence from four pacific rim economies pp. 313-327

Shyh-Wei Chen and Nai-Chuan Huang

Financial characteristics of banks involved in acquisitions: evidence from Asia pp. 329-341

Fotios Pasiouras and Chrysovalantis Gaganis

Volume 17, issue 3, 2007

Daily weather effects on the returns of Australian stock indices pp. 173-184

Stephen Keef and Melvin Roush

Domestic mergers in the Austrian banking sector: a performance analysis pp. 185-196

Franz Hahn

Contagion in emerging markets: the Russian crisis pp. 197-213

Elvira Sojli

Cross-autocorrelation in the New Zealand stock market pp. 215-219

Daniel Choi and Xin Zhao

Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange pp. 221-235

Spyros Spyrou, Konstantinos Kassimatis and Emilios Galariotis

Significance of risk modelling in the term structure of interest rates pp. 237-247

George Halkos and Stephanos Papadamou

Trading foreign exchange portfolios with volatility filters: the carry model revisited pp. 249-255

Christian Dunis and Jia Miao

Volume 17, issue 2, 2007

Trade intensity in the Russian stock market: dynamics, distribution and determinants pp. 87-104

Stanislav Anatolyev and Dmitry Shakin

On the relationship between nominal exchange rates and domestic and foreign prices pp. 105-117

Ivan Paya and David Peel

Banks' riskiness over the business cycle: a panel analysis on Italian intermediaries pp. 119-138

Mario Quagliariello

The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market pp. 139-148

Evangelos Drimbetas, Nikolaos Sariannidis and Nicos Porfiris

Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models pp. 149-171

Stavros Degiannakis and Evdokia Xekalaki

Volume 17, issue 1, 2007

Monetary policy rules in practice: evidence from Turkey and Israel pp. 1-8

Ege Yazgan and Hakan Yilmazkuday

Euro area inflation: long-run determinants and short-run dynamics pp. 9-24

Melisso Boschi and Alessandro Girardi

The internal and cross market efficiency in index option markets: an investigation of the Italian market pp. 25-33

Marianna Brunetti and Costanza Torricelli

An analysis of private investors' stock market return forecasts pp. 35-43

Erik Theissen

Overreaction: the sensitivity of defining the duration of the formation period pp. 45-61

Walid Saleh

Banking regulation, information asymmetries and industry growth: new evidence pp. 63-76

Natalia Utrero-González

Forecasting the term structure of interest rates for Turkey: a factor analysis approach pp. 77-85

C. Emre Alper, Kazim Kazimov and A. Akdemir