Applied Financial Economics

1997 - 2014

Current editor(s): Anita Phillips

From Taylor & Francis Journals
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Volume 15, issue 18, 2005

Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence pp. 1251-1258

Robert Brooks, Robert Faff, Tim Fry and E. Bissoondoyal-Bheenick

Is the 52-week high momentum strategy profitable outside the US? pp. 1259-1267

Ben Marshall and Rachael Cahan

Determinants of profitability in European manufacturing and services: evidence from a dynamic panel model pp. 1269-1282

John Goddard, Manouche Tavakoli and John Wilson

Performance of Spanish firms going public: windows of opportunity and the informative effect pp. 1283-1297

Susana Alvarez and Victor Gonzalez

International indexing as a means of portfolio diversification pp. 1299-1304

Hakan Saritas and Hakan Aygoren

Performance persistence in Spanish equity funds pp. 1305-1313

Luis Vicente and Luis Ferruz

Volatility effect of ETFs on the constituents of the underlying Taiwan 50 Index pp. 1315-1322

Ching-Chung Lin and Min-Hsien Chiang

Volume 15, issue 17, 2005

Modelling heavy tails and skewness in film returns pp. 1181-1188

W. Walls

The size effect reversal in the USA pp. 1189-1197

Samer Al-Rjoub, Oscar Varela and M. Kabir Hassan

The informational content of article publication: the case of twin stocks pp. 1199-1202

Tamir Levy and Joseph Yagil

Enhancing returns on yen: minimizing risk reversal costs pp. 1203-1211

David VanderLinden and Kristijan Nikolov

Comparing returns of US treasuries versus equities: implications for market and portfolio efficiency pp. 1213-1218

Choong Tze Chua, Winston Koh and Krishna Ramaswamy

A re-examination of the predicting power of forward premia pp. 1219-1225

Peijie Wang

September 11 and time-varying beta of United States companies pp. 1227-1242

Taufiq Choudhry

US monetary policy announcements and Irish stock market volatility pp. 1243-1250

Don Bredin, Caroline Gavin and Gerard O'Reilly

Volume 15, issue 16, 2005

A re-examination of the holiday effect in stock returns: the case of Hong Kong pp. 1107-1123

Paul McGuinness

On the pricing of GDP-linked financial products pp. 1125-1133

Susanne Kruse, Matthias Meitner and Michael Schroder

Cointegrating behaviour between spot and forward exchange rates pp. 1135-1144

David McMillan

A different approach to estimating betas of securities subject to thin trading and serial correlation pp. 1145-1152

Peijie Wang and Trefor Jones

How to gauge the credit risk of guarantee issues in a Taiwanese bills finance company: an empirical investigation using a market-based approach pp. 1153-1164

Su-Lien Lu and Chau-Jung Kuo

Monetary policy rules and the exchange rate channel pp. 1165-1170

Kai Leitemo, Øistein Røisland and Ragnar Torvik

On the use and improvement of Hull and White's control variate technique pp. 1171-1179

San-Lin Chung and Mark Shackleton

Volume 15, issue 15, 2005

Financial development and economic growth in the Middle East pp. 1041-1051

Mouawiya Al-Awad and Nasri Harb

An analysis of the relevance of off-balance sheet items in explaining productivity change in European banking pp. 1053-1061

Barbara Casu and Claudia Girardone

International diversification, growth, and welfare with non-traded income risk and incomplete markets pp. 1063-1072

Egil Matsen

Risk adjusted returns from technical trading: a genetic programming approach pp. 1073-1077

Colin Fyfe, John Paul Marney and Heather Tarbert

Liquidity and price volatility of cross-listed French stocks pp. 1079-1094

Asli Bayar and Zeynep Onder

Estimation of Value-at-Risk under jump dynamics and asymmetric information pp. 1095-1106

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

Volume 15, issue 14, 2005

Are Spanish Ibex35 stock future index returns forecasted with non-linear models? pp. 963-975

Jorge Pérez-Rodríguez, Salvador Torra and Julian Andrada-Felix

Interest rate linkages: identifying structural relations pp. 977-986

Marco Barassi, Guglielmo Maria Caporale and Stephen Hall

Effects of macroeconomic variables on Istanbul stock exchange indexes pp. 987-994

Cumhur Erdem, Cem Kaan Arslan and Meziyet Sema Erdem

Free trade agreements and equity market integration: the case of the US and Jordan pp. 995-1005

Aktham Maghyereh and Hiatham Al-Zuobi

Does patenting increase the probability of being acquired? Evidence from cross-border and domestic acquisitions pp. 1007-1017

Jyrki Ali-Yrkko, Ari Hyytinen and Mika Pajarinen

Dynamic volume-return relationship: evidence from an emerging capital market pp. 1019-1029

Bartosz Gebka

An empirical application of the clean-surplus valuation model: the case of the Athens Stock Exchange pp. 1031-1036

G. A. Karathanassis and Stella Spilioti

On investing in the long run when stock returns are mean-reverting pp. 1037-1040

Antoine Giannetti

Volume 15, issue 13, 2005

European public real estate market integration pp. 895-905

Jian Yang, James Kolari and Guozhong Zhu

An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case pp. 907-913

Joao Paulo Tome Calado, Maria Teresa Garcia and Sergio Emanuel Tome Mendes Pereira

Belgian railroad stock returns, 1836-1957 pp. 915-930

Frans Buelens and Julien van den Broeck

The effect of monetary policy on bank lending in Turkey pp. 931-934

Ahmet Sengonul and Willem Thorbecke

Diversification efficiency and deposit rates pp. 935-945

Mark Rhodes

Undervaluation, private information, agency costs and the decision to go private pp. 947-961

C. Weir, D. Laing and Mike Wright

Volume 15, issue 12, 2005

Portfolio diversification: a factor analysis approach pp. 821-834

Tak-Kee Hui

A critical investigation of the explanatory role of factor mimicking portfolios in multifactor asset pricing models pp. 835-847

Hossein Asgharian and Björn Hansson

Is the Fisher effect non-linear? some evidence for Spain, 1963-2002 pp. 849-854

Oscar Bajo-Rubio, Carmen Diaz-Roldan and Vicente Esteve

Stability of the S&P 500 futures market efficiency conditions pp. 855-866

William Crowder and Chanwit Phengpis

Asymmetric stochastic volatility in emerging stock markets pp. 867-874

Faruk Selcuk

Equity and debt valuation with default risk: a discrete structural model pp. 875-881

Marisa Cenci and Andrea Gheno

Interest rate volatility, exchange rates, and external contagion pp. 883-894

Osman Suliman

Volume 15, issue 11, 2005

Testing for symmetry and proportionality in a European panel pp. 745-752

Jerry Coakley and Stuart Snaith

Variance-in-mean effects of the long forward-rate slope pp. 753-755

Charlotte Christiansen

Third country news in the monetary model of the exchange rate pp. 757-764

John Jackson, Henry Thompson and Juliet Zheng

Exchange rate risk and Philippine stock returns: before and after the Asian financial crisis pp. 765-771

Rodolfo Aquino

Optimization of technical rules by genetic algorithms: evidence from the Madrid stock market pp. 773-775

Fernando Fernandez-Rodriguez, Christian Gonzalez-Martel and Simon Sosvilla-Rivero

Financial intermediation and economic growth: evidence from Western Africa pp. 777-790

Roger Atindehou, Jean Pierre Gueyie and Edoh Kossi Amenounve

Testing for market segmentation in the A and B share markets of China pp. 791-802

Patricia Chelley-Steeley and Weihua Qian

An empirical study of the impact of financial reporting disclosures on UK investment trusts pp. 803-807

Ian Fraser, Heather Tarbert and Kai Hong Tee

Trade, R&D spending and financial development pp. 809-819

Yuanchen Chang, Mao-Wei Hung and Chiuling Lu

Volume 15, issue 10, 2005

Expectations and the black market premium for foreign currency in Greece pp. 667-677

Panayiotis Diamandis, Georgios Kouretas and Leonidas Zarangas

Long-run post-merger stock performance of UK acquiring firms: a stochastic dominance perspective pp. 679-690

Abhay Abhyankar, Keng-Yu Ho and Huainan Zhao

A Kalman filter approach to characterizing the Canadian term structure of interest rates pp. 691-705

Toni Gravelle and James Morley

Market capitalization and efficiency. Does it matter? Evidence from the Athens Stock Exchange pp. 707-713

Theodore Panagiotidis

Concurrent capital expenditure and the stock market reaction to corporate alliance announcements pp. 715-729

Bruce Burton

Factors influencing the profits and size of Greek banks operating abroad: a pooled time-series study pp. 731-738

Kyriaki Kosmidou, Fotios Pasiouras and Angelos Tsaklanganos

Implied derivative security prices based two-factor interest model: a UK application pp. 739-744

Ghulam Sorwar

Volume 15, issue 9, 2005

A signal of imperfect portfolio capital adjustments from the domestic and foreign Colombian debt pp. 587-597

Luis Arango Thomas and Yanneth Betancourt-Garcia

Government bond market linkages: evidence from Europe pp. 599-610

Jian Yang

Firm characteristics, market conditions, and the pattern of performance after seasoned equity offers pp. 611-622

Mark Bayless, Kelly Price and Margaret Monroe Smoller

Empirical evidence on the determinants of the stock market reaction to product and market diversification announcements pp. 623-629

Edward Jones and Jo Danbolt

Efficiency, endogenous and exogenous credit risk in the banking systems of the Euro area pp. 631-649

José Pastor and Lorenzo Serrano Martinez

Measuring credit spreads: evidence from Australian Eurobonds pp. 651-666

Jonathan Batten, Warren Hogan and Gady Jacoby

Volume 15, issue 8, 2005

Can the Balassa-Samuelson theory explain long-run real exchange rate movements in OECD countries? pp. 519-530

Imed Drine and Christophe Rault

Measuring equity market contagion in multiple financial events pp. 531-538

Daryl Collins and Shana Gavron

Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries pp. 539-546

Abdulnasser Hatemi-J and Eduardo Roca

Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models pp. 547-556

Paresh Narayan and Russell Smyth

The term structure of interest rates in Australia: an application of long run structural modelling pp. 557-573

A. Mansur, Abul Masih and Vicky Ryan

Firm resources and quality signalling: evidence from UK initial public offerings pp. 575-586

Beat Reber, Bob Berry and Steven Toms

Volume 15, issue 7, 2005

Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis pp. 439-446

Emmanuel Davradakis

Assessing the role of financial deepening in business cycles: the experience of the United Arab Emirates pp. 447-453

Ali Darrat, Salah Abosedra and Hassan Aly

Determinants of corporate debt structure in a privately dominated debt market: a study of the Spanish capital market pp. 455-468

Kalu Ojah and Justo Manrique

Exchange rate and stock prices in Japan pp. 469-478

Tetsushi Homma, Yoshiro Tsutsui and Uri Benzion

Inferring option-implied investors' risk preferences pp. 479-488

Daniel Giamouridis

The Portuguese equity risk premium: what we know and what we don't know pp. 489-498

Rui Alpalhao and Paulo Alves

Equity returns of financial institutions and the pricing of interest rate risk pp. 499-508

Sotiris Staikouras

Market valuation of the analysts' recommendations: the Spanish stock market pp. 509-518

Susana Menendez-Requejo

Volume 15, issue 6, 2005

European venture capital markets: fund providers and investment characteristics pp. 367-380

Andrea Schertler

Are local or international influences responsible for the pre-holiday behaviour of Irish equities? pp. 381-389

Brian Lucey

Financial decisions and growth opportunities: a Spanish firm's panel data analysis pp. 391-407

Pablo de Andrés Alonso, Félix López-Iturriaga and Juan A. Rodriguez Sanz

The leverage effect in the UK stock market pp. 409-423

Patricia Chelley-Steeley and James Steeley

Impacts of equity financing on liquidity position of a firm pp. 425-438

Muhammad Ayub Mehar

Volume 15, issue 5, 2005

An empirical analysis of corporate takeover defences and earnings management: evidence from the US pp. 293-303

Pornsit Jiraporn

Investor-fans? An examination of the performance of publicly traded English Premier League teams pp. 305-313

Richard Zuber, Patrick Yiu, Reinhold Lamb and John Gandar

Can mergers in Europe help banks hedge against macroeconomic risk? pp. 315-326

Pierre-Guillaume Méon and Laurent Weill

Why are some corporate earnings restatements more damaging? pp. 327-336

Aigbe Akhigbe, Ronald Kudla and Jeff Madura

Is debt a substitute of equity? Relevancy of financial policy in current economic scenarios pp. 337-366

Muhammad Ayub Mehar

Volume 15, issue 4, 2005

The impact of Switzerland's money laundering law on capital flows through abnormal pricing in international trade pp. 217-230

Maria de Boyrie, Simon Pak and John Zdanowicz

The ownership structure of listed Chinese State-owned enterprises and its relation to corporate performance pp. 231-246

Paul McGuinness and Michael Ferguson

On the size and power of testing for no autocorrelation under weak assumptions pp. 247-257

Jen-Je Su

The financial repercussion of cost, revenue and profit: an extension in the BEP and CVP analysis pp. 259-271

Muhammad Ayub Mehar

Removal of an investment restriction: the 'B' share experience from China's stock markets pp. 273-285

Chien-Liang Chiu, Mingchih Lee and Chun-Da Chen

Recursive measures of total wealth and portfolio return pp. 287-291

Michel Normandin and Pascal St-Amour

Volume 15, issue 3, 2005

In search of the source of informed trader information in the college football betting market pp. 143-152

William Dare, John Gandar, Richard Zuber and Robert Pavlik

International financial contagion: evidence from the Argentine crisis of 2001-2002 pp. 153-163

Melisso Boschi

Why investors should not be cautious about the academic approach to testing for stock market anomalies pp. 165-171

Brian Lucey and Angel Pardo

Information transmission around block trades on the Spanish stock exchange pp. 173-186

M. A. Martinez, M. Tapia and J. Yzaguirre

Price transmission dynamics between informationally linked securities pp. 187-201

Kate Phylaktis and Gikas Manalis

GARCH model with cross-sectional volatility: GARCHX models pp. 203-216

Soosung Hwang and Steve Satchell

Volume 15, issue 2, 2005

Long swings in the Canadian dollar pp. 73-76

Karl Pinno and Apostolos Serletis

Interest rate pass-through and financial crises: do switching regimes matter? the case of Argentina pp. 77-94

Alberto Humala

Analysing one-month Euro-market interest rates by fractionally integrated models pp. 95-106

Emma Iglesias and Garry Phillips

Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index pp. 107-119

Stephen Keef and Melvin Roush

Stochastic volatility forecasting and risk management pp. 121-135

Perry Sadorsky

Sources of shareholders' wealth gains from asset sales pp. 137-141

Abdul Magid Gadad and Hardy Thomas

Volume 15, issue 1, 2005

On the size and power of normalized autocorrelation coefficients pp. 1-11

Andy Kwan, Ah-Boon Sim and Yangru Wu

Further analysis of mergers and shareholder wealth effects in European banking pp. 13-30

Ahmad Ismail and Ian Davidson

The stock market impact of German reunification: international evidence pp. 31-42

Robert Brooks, Robert Faff and David Sokulsky

A simple graphical method to explore tail-dependence in stock-return pairs pp. 43-51

Klaus Abberger

Price limits and overreaction in the Athens stock exchange pp. 53-61

George Diacogiannis, Nikolaos Patsalis, Nickolaos Tsangarakis and Emmanuel Tsiritakis

Seasonality in stock returns: evidence from an emerging market pp. 63-71

Khalid Al-Saad and Imad Moosa