Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 16, issue 18, 2006

The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach pp. 1317-1329

Antonios Antoniou, Emilios Galariotis and Spyros Spyrou

Long range dependence in stock market returns pp. 1331-1338

Christos Christodoulou-Volos and Fotios Siokis

Explaining mispricing of initial public offerings in Singapore pp. 1339-1353

Beat Reber and Caroline Fong

How risk averse are fund managers? Evidence from Irish mutual funds pp. 1355-1363

Thomas Flavin

A non-parametric assessment of weak-form efficiency in the UAE financial markets pp. 1365-1373

Jay Squalli

The predictive power of quarterly earnings per share based on time series and artificial intelligence model pp. 1375-1388

Syouching Lai and Hungchih Li

Volume 16, issue 17, 2006

Will retiring boomers really cause a stock market meltdown? pp. 1239-1250

William Shambora

Can fluctuations in the consumption-wealth ratio help to predict exchange rates? pp. 1251-1263

Jorge Selaive and Vicente Tuesta

Intra-regional integration of the GCC stock markets: the role of market liberalization pp. 1265-1272

Osamah Al-Khazali, Ali Darrat and Mohsen Saad

Efficiency tests of the UK financial futures markets and the impact of electronic trading systems pp. 1273-1283

Twm Evans

The impact of differing operating environments on US Credit Union Performance, 1993-2001 pp. 1285-1300

J. Colin Glass and Donal McKillop

Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework pp. 1301-1307

Daiki Maki

Variation of interest-rate parity and its asymmetry on stock return in a jump-diffusion process pp. 1309-1316

Jer-Shiou Chiou, Pei-Shan Wu and Ming-Chih Lee

Volume 16, issue 16, 2006

Investor overreaction to going concern audit opinion announcements pp. 1163-1170

Mark Schaub

International correlations across stock markets and industries: trends and patterns 1988-2002 pp. 1171-1183

Li Yang, Francis Tapon and Yiguo Sun

Pricing efficiency and arbitrage: Hong Kong derivatives markets revisited pp. 1185-1198

Zhihua Zhang and Rose Neng Lai

Does EVA beat earnings and cash flow in Japan? pp. 1199-1216

Chikashi Tsuji

Rate of subscription and after-market volatility in Hong Kong IPOs pp. 1217-1224

Anna Vong

Price determinants of American Depositary Receipts (ADR): a cross-sectional analysis of panel data pp. 1225-1237

Katty Perez Aquino and Sunil Poshakwale

Volume 16, issue 15, 2006

An empirical examination of the return distribution characteristics of agency mortgage pass-through securities pp. 1085-1094

Frank Fabozzi, Borjana Racheva-Iotova and Stoyan Stoyanov

Equity style timing using support vector regressions pp. 1095-1111

Georgi Nalbantov, Rob Bauer and Ida Sprinkhuizen-Kuyper

Investor awareness and the long-term impact of FTSE 100 index redefinitions pp. 1113-1118

Bryan Mase

The determinants of unsecured borrowing: evidence from the BHPS pp. 1119-1144

Ana Del Rio and Garry Young

Modelling and predicting market risk with Laplace-Gaussian mixture distributions pp. 1145-1162

Markus Haas, Stefan Mittnik and Marc Paolella

Volume 16, issue 14, 2006

Substitutes versus complements among credit risk management tools pp. 1007-1017

Matthew Sackett and Sherrill Shaffer

Do consumption-based asset pricing models explain return predictability? pp. 1019-1027

Wessel Marquering

Binomial pricing of fixed-income securities for increasing and decreasing interest rate cases pp. 1029-1046

R. Stafford Johnson, Richard Zuber and John Gandar

Risk-return relationships in the Hong Kong stock market: revisit pp. 1047-1058

Gordon Tang and Wai Cheong Shum

Structural breaks and common factors in the volatility of the Fama-French factor portfolios pp. 1059-1073

Claudio Morana and Andrea Beltratti

Tax loss carry-forwards and optimal leverage pp. 1075-1083

Pascal Francois

Volume 16, issue 13, 2006

Are emerging stock market price indices really stationary? pp. 931-939

Chanwit Phengpis

What determines the speed of adjustment to the target capital structure? pp. 941-958

Wolfgang Drobetz and Gabrielle Wanzenried

Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market pp. 959-972

David McMillan and Alan Speight

Is there an empirical link between the dollar price of the euro and the monetary fundamentals? pp. 973-980

Costas Karfakis

Is the risk-return relation positive? Further evidence from a stochastic volatility in mean approach pp. 981-992

Geoffrey Loudon

Economic variables and stock market returns: evidence from the Athens stock exchange pp. 993-1005

Theophano Patra and Sunil Poshakwale

Volume 16, issue 12, 2006

Pricing of non-ferrous metals futures on the London Metal Exchange pp. 853-880

Clinton Watkins and Michael McAleer

Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework pp. 881-892

Jonathan Batten and Francis In

A TARCH examination of the return volatility-volume relationship in electricity futures pp. 893-901

Lester Hadsell

Trading futures spreads: an application of correlation and threshold filters pp. 903-914

C. L. Dunis, Jason Laws and Ben Evans

Rationality of analysts' earnings forecasts: evidence from dow 30 companies pp. 915-929

Sunil Mohanty and Edward Aw

Volume 16, issue 11, 2006

Volatility relationship between stock performance and real output pp. 777-784

Eun Ahn and Jin Man Lee

Resource discovery and stock market hysteresis pp. 785-788

Saziye Gazioglu and W. David McCausland

Competition and structure of South Asian banking: a revenue behaviour approach pp. 789-801

Shrimal Perera, Michael Skully and Jayasinghe Wickramanayake

Evaluation of performance and conditional information: the case of Spanish mutual funds pp. 803-817

Luis Ferruz Agudo, Maria Vargas Magallon and Jose Sarto

A systematic modelling strategy for futures markets volatility pp. 819-833

Ana Filipa Carvalho, Jose Sa da Costa and Jose Assis Lopes

Liquidity adjusted value-at-risk based on the components of the bid-ask spread pp. 835-851

Timotheos Angelidis and Alexandros Benos

Volume 16, issue 10, 2006

Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets pp. 707-716

C. Hueng

Dependence patterns across financial markets: a mixed copula approach pp. 717-729

Ling Hu

Technical trading strategies and cross-national information linkage: the case of Taiwan stock market pp. 731-743

Yung-Ho Chang, Massoud Metghalchi and Chia-Chung Chan

Deviations from uncovered interest parity in Malaysia pp. 745-759

Soo Khoon Goh, Guay Lim and Nilss Olekalns

Policy instruments to avoid output collapse: an optimal control model for India pp. 761-776

Sushanta Mallick

Volume 16, issue 9, 2006

The dynamic relationship between real exchange rates, real interest rates and foreign exchange reserves: empirical evidence from China pp. 639-651

Paresh Narayan and Russell Smyth

Economic reforms and bank efficiency in developing countries: the case of the Indian banking industry pp. 653-663

Ali Ataullah and Hang Le

A threshold uncertainty investment model for the Netherlands pp. 665-673

Hong Bo, Jan Jacobs and Elmer Sterken

Information transmission between Eurocurrency and domestic interest rates: evidence from the UK pp. 675-685

Jian Yang

Irish stock returns and inflation: a long span perspective pp. 699-706

Geraldine Ryan

Volume 16, issue 8, 2006

Does foreign bank entry really stimulate gross domestic investment? pp. 569-582

Robert Lensink and Victor Murinde

Modelling credit spreads on yen Eurobonds within an equilibrium correction framework pp. 583-606

Seppo Pynnonen, Warren Hogan and Jonathan Batten

Variance ratio tests for a unit root in the presence of a mean shift: small sample properties and an application to purchasing power parity pp. 607-615

Daiki Maki

Evidence on the Irish stock market's reaction to dividend announcements pp. 617-628

T. McCluskey, Bruce Burton, D. M. Power and C. D. Sinclair

Impact of managerial control on IPO performance: the case of mutual holding companies pp. 629-637

Jarrod Johnston and Jeff Madura

Volume 16, issue 7, 2006

Monetary aggregation, inflation, and welfare pp. 499-512

Apostolos Serletis and Jagat Jit Virk

Do emerging financial markets react to monetary policy announcements? Evidence from Poland pp. 513-523

Dobromił Serwa

Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns pp. 525-533

Matteo Manera, Michael McAleer and Margherita Grasso

Corporate scandals and the market response of dividend payout changes pp. 535-549

Taeyoon Sung, Daehwan Kim and Ludwig Chincarini

Launching a corporate website and market efficiency pp. 551-559

Daphna Shwarts-Asher, Uri Ben-zion, Shaul Gabbay and Joseph Yagil

Testing purchasing power parity hypothesis for transition economies pp. 561-568

Ebru Guven Solakoglu

Volume 16, issue 6, 2006

The stock market behaviour prior and subsequent to new highs pp. 429-438

Oliver Schnusenberg

Short and long term components of volatility in Hong Kong stock returns pp. 439-460

Thierry Ane

A test of US equity market reaction to surprises in an era of high trading volume pp. 461-469

Richard Ajayi, Seyed Mehdian and Mark Perry

Seasonality as an unobservable component: the case of Kuwait stock market pp. 471-478

Talla Al-Deehani

Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model pp. 479-490

Nunzio Cappuccio, Diego Lubian and Davide Raggi

Testing for bubbles: an application of tests for change in persistence pp. 491-498

Robert Sollis

Volume 16, issue 5, 2006

The reaction of stock returns to Department of Homeland Security threat level changes pp. 361-369

Dennis Mooney, Richard Zuber, John Gandar and Reinhold Lamb

Dynamic relationship between stock and property markets pp. 371-376

Kim Liow

Macroeconomic news effects on conditional volatilities in the bond and stock markets pp. 377-384

Bala Arshanapalli, Edmond d'Ouville, Frank Fabozzi and Lorne Switzer

Short selling restrictions and market completeness: the Malaysian experience pp. 385-393

Asjeet Lamba and Mohamed Ariff

Behavioural and fundamental explanations of discounts on closed end funds: an empirical analysis pp. 395-404

George Halkos and Theodore Krintas

The relationship between the S&P 500 spot and futures indices: brothers or cousins? pp. 405-412

Chien-Liang Chiu, Shu-Mei Chiang and Feng Kao

Duration dependence in real estate investment trusts pp. 413-423

James Payne and Thomas Zuehlke

Optimal use of futures contracts for the competitive firm pp. 425-427

Antoine Giannetti

Volume 16, issue 4, 2006

Disappearing anomalies: a dynamic analysis of the persistence of anomalies pp. 291-302

Wessel Marquering, Johan Nisser and Toni Valla

Do mutual funds styles reflect a country-specific investment philosophy? The Italian case pp. 303-318

Roberto Savona

Seasonality, risk and return in daily COMEX gold and silver data 1982-2002 pp. 319-333

Brian Lucey and Edel Tully

Interactions between mortgage and other capital markets in the USA: has financial deregulation made a difference? pp. 335-345

Ali Darrat, Ross Dickens and Osamah Al-Khazali

Mean reversion and structural breaks in real exchange rates: South African evidence pp. 347-358

Oludele Akinloye Akinboade and Daniel Makina

Volume 16, issue 3, 2006

09/11 on the USD/EUR foreign exchange market pp. 213-222

Alexander Mende

Evidence on the issuer effect in warrant overpricing pp. 223-232

Geoffrey Loudon and Kien Nguyen

Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies pp. 233-243

Benjamas Jirasakuldech, Riza Emekter and Peter Went

Degree of market imperfection and the pricing of stock index futures pp. 245-258

Janchung Wang and Hsinan Hsu

Hedging with zero-value at risk hedge ratio pp. 259-269

Jui-Cheng Hung, Chien-Liang Chiu and Ming-Chih Lee

On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns pp. 271-289

Yannick Malevergne, V. Pisarenko and D. Sornette

Volume 16, issue 1-2, 2006

Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought pp. 1-17

Mark Taylor

A simple test for PPP among traded goods pp. 19-27

Philip Hans Franses and Dick van Dijk

Testing for Purchasing Power Parity using stationary covariates pp. 29-39

Jomana Amara and David Papell

Explaining the persistence of deviations from PPP: a non-linear Harrod-Balassa-Samuelson effect? pp. 41-61

Michael Sager

Testing for symmetry and proportionality in a European panel pp. 63-71

Jerry Coakley and Stuart Snaith

Panel data tests of PPP: a critical overview pp. 73-91

Guglielmo Maria Caporale and Mario Cerrato

PPP: a disaggregated view pp. 93-108

Christoph Fischer

Purchasing Power Parity as a long-term memory process: evidence from Canada pp. 109-117

Jean-Francois Villeneuve and Jagdish Handa

The Purchasing Power Parity puzzle: a sudden nonlinear perspective pp. 119-125

Marcus Lahtinen

Exchange rate misalignment: a new test of long-run PPP based on cross-country data pp. 127-134

Pan Yotopoulos and Yasuyuki Sawada

Purchasing Power Parity in economies in transition: evidence from Central and East European countries pp. 135-143

Dimitrios Sideris

A century of Purchasing Power Parity: evidence from Canada and Australia pp. 145-156

Mohammad Hasan

Purchasing Power Parity versus the EU in the Mediterranean countries pp. 157-167

Mariam Camarero, Juan Cuestas and Javier Ordóñez

Purchasing Power Parity and real exchange rate behaviour in Africa pp. 169-183

Joseph Kargbo

Structural changes and deviations from the Purchasing Power Parity within the euro area pp. 185-198

Daniele Antonucci and Alessandro Girardi

The real exchange rate and the Purchasing Power Parity puzzle: further evidence pp. 199-211

Sofiane Sekioua and Menelaos Karanasos