The European Journal of Finance

1995 - 2025

Current editor(s): Chris Adcock

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Volume 16, issue 8, 2010

Numerical solution of the sequential investment model: a note on Dixit and Pindyck's (1994) analysis pp. 743-752

R. H. Berry and S. X. Zuo

Correlations and spillovers among three euro rates: evidence using realised variance pp. 753-767

David McMillan, Isabel Ruiz and Alan Speight

Determinants of the inflation compensation curve in the euro area pp. 769-783

Jerome Coffinet and Sébastien Frappa

Volume 16, issue 7, 2010

The informational impact of electronic trading systems on the FTSE 100 stock index and its futures contracts pp. 611-640

Helder Sebastião

UK stock price effects of permanent and transitory shocks pp. 641-656

Andrew Vivian and Mark Wohar

The information content of risk-neutral densities: tests based on Hungarian currency option-implied densities pp. 657-676

Csaba Csávás

Foreign debt as a hedging instrument of exchange rate risk: a new perspective pp. 677-710

Luis Otero Gonzalez, Milagros Vivel Bua, Sara Fernández-López and Pablo Duran Santomil

Efficient market hypothesis in European stock markets pp. 711-726

Maria Borges

The performance of the European stock markets: a time-varying Sharpe ratio approach pp. 727-741

José Soares da Fonseca

Volume 16, issue 6, 2010

Population age structure and household portfolio choices in Italy pp. 481-502

Marianna Brunetti and Costanza Torricelli

Utility-based pricing of weather derivatives pp. 503-525

Helene Hamisultane

A time-varying common risk factor affecting corporate yield spreads pp. 527-539

Yusho Kagraoka

Modelling and trading the EUR/USD exchange rate at the ECB fixing pp. 541-560

Christian Dunis, Jason Laws and Georgios Sermpinis

Option-based forecasts of volatility: an empirical study in the DAX-index options market pp. 561-586

Silvia Muzzioli

Mean-reversion properties of implied volatilities pp. 587-610

Florian Ielpo and Guillaume Simon

Volume 16, issue 5, 2010

Does the CFO matter in family firms? Evidence from Italy pp. 381-411

Stefano Caselli and Alberta Di Giuli

Liability-driven investment: multiple liabilities and the question of the number of moments pp. 413-435

Michael Theobald and Peter Yallup

Large debt financing: syndicated loans versus corporate bonds pp. 437-458

Yener Altunbas, Alper Kara and David Marques-Ibanez

Migration and the retail banking industry: an examination of immigrants' bank nationality choice in Germany pp. 459-480

Fabian Gleisner, Andreas Hackethal and Christian Rauch

Volume 16, issue 4, 2010

Are retail investors the culprits? Evidence from Australian individual stock price bubbles pp. 281-304

Julia Henker and Thomas Henker

Valuation of reverse mortgages under (limited) default risk pp. 305-327

Andreas Kolbe and Rudi Zagst

Individual home bias, portfolio churning and performance pp. 329-351

Lars Norden

Delegated portfolio management and risk-taking behavior pp. 353-372

Jose Luiz Barros Fernandes, Juan Ignacio Pena and Benjamin Tabak

On the dangers of a simplistic American option simulation valuation method pp. 373-379

Nelson Areal and Artur Rodrigues

Volume 16, issue 3, 2010

Unfunded pension liabilities and sponsoring firm credit risk: an international analysis of corporate bond spreads pp. 183-200

Ronan Gallagher and Donal McKillop

Corporate collaborative activity: exploratory evidence on the determinants of vehicle choice pp. 201-225

Bruce Burton

Long-run cash flow and discount-rate risks in the cross-section of US returns pp. 227-244

Michail Koubouros, Dimitrios Malliaropulos and Ekaterini Panopoulou

Sectorial differences in corporate financial behavior: an international survey pp. 245-262

Gil Cohen and Joseph Yagil

Size and book-to-market anomalies and omitted leverage risk pp. 263-279

Vineet Agarwal and Sunil Poshakwale

Volume 16, issue 2, 2010

Understanding analysts forecasts pp. 97-118

R. J. Louth, P. Joos, S. E. Satchell and G. Weyns

Book-to-market and size effects: compensations for risks or outcomes of market inefficiencies? pp. 119-136

Hossein Asgharian and Björn Hansson

Discrete-time implementation of continuous-time portfolio strategies pp. 137-152

Nicole Branger, Beate Breuer and Christian Schlag

Financing constraints and firms' cash policy in the euro area pp. 153-171

Rozalia Pal and Annalisa Ferrando

The Other January Effect: international evidence pp. 173-182

Martin Bohl and Christian Salm

Volume 16, issue 1, 2010

Taxable cash dividends - A money-burning signal pp. 1-26

Ken Bechmann and Johannes Raaballe

Implications of market microstructure for realized variance measurement pp. 27-43

Daniel Djupsjobacka

Do public banks have a competitive advantage? pp. 45-55

Astrid Matthey

Enterprise valuation with track-record ratios and rates of change pp. 57-78

Luis Gonzalez Jimenez and Luis Blanco Pascual

Breaking down the non-normality of stock returns pp. 79-95

Michail Karoglou

Volume 15, issue 7-8, 2009

Preface pp. 607-607

Chris Adcock

The Advent of Copulas in Finance pp. 609-618

Christian Genest, Michel Gendron and Michaël Bourdeau-Brien

Testing for structural changes in exchange rates' dependence beyond linear correlation pp. 619-637

Alexandra Dias and Paul Embrechts

Models for construction of multivariate dependence - a comparison study pp. 639-659

Kjersti Aas and Daniel Berg

Dependency without copulas or ellipticity pp. 661-674

William Shaw and Asad Munir

Copula goodness-of-fit testing: an overview and power comparison pp. 675-701

Daniel Berg

Asymmetric dependence patterns in financial time series pp. 703-719

Manuel Ammann and Stephan Suss

Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets pp. 721-750

Eric Bouyé and Mark Salmon

Risk and return of reinsurance contracts under copula models pp. 751-775

Martin Eling and Denis Toplek

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market pp. 777-795

Dominique Guegan and Jing Zang

Volume 15, issue 5-6, 2009

Preface pp. 445-445

Chris Adcock

Editorial pp. 447-449

Wolfgang Bessler and Wolfgang Drobetz

From Markowitz to modern risk management pp. 451-461

Gordon Alexander

Performance measures and incentives: loading negative coskewness to outperform the CAPM pp. 463-486

Alexandros Kostakis

Performance and characteristics of mutual fund starts pp. 487-509

Aymen Karoui and Iwan Meier

Long-horizon consumption risk and the cross-section of returns: new tests and international evidence pp. 511-532

Joachim Grammig, Andreas Schrimpf and Michael Schuppli

Diversification benefits for bond portfolios pp. 533-553

Wassim Dbouk and Lawrence Kryzanowski

International bond diversification strategies: the impact of currency, country, and credit risk pp. 555-583

Mats Hansson, Eva Liljeblom and Anders Loflund

Conditioning information in mutual fund performance evaluation: Portuguese evidence pp. 585-605

Paulo Armada Leite and Maria Ceu Cortez

Volume 15, issue 4, 2009

Short-term market timing using the bond-equity yield ratio pp. 365-384

Pierre Giot and Mikael Petitjean

The impact of board size on firm performance: evidence from the UK pp. 385-404

Paul Guest

Optimal allotment policy in central bank open market operations pp. 405-420

Christian Ewerhart, Nuno Cassola, Steen Ejerskov and Natacha Valla

UK IPO underpricing and venture capitalists pp. 421-435

Jerry Coakley, Leon Hadass and Andrew Wood

Forecasting the weekly time-varying beta of UK firms: GARCH models vs. Kalman filter method pp. 437-444

Taufiq Choudhry and Hao Wu

Volume 15, issue 3, 2009

Martingales in European emerging stock markets: Size, liquidity and market quality pp. 249-262

Graham Smith

International asset returns and exchange rates pp. 263-285

Yuming Li and Maosen Zhong

Conditional performance evaluation for German equity mutual funds pp. 287-316

Wolfgang Bessler, Wolfgang Drobetz and Heinz Zimmermann

Econometrical analysis of the sample efficient frontier pp. 317-335

Taras Bodnar and Wolfgang Schmid

Stochastic volatility and time-varying country risk in emerging markets pp. 337-363

Anders Johansson

Volume 15, issue 2, 2009

Preface pp. 103-103

Chris Adcock

Modelling the number of customers as a birth and death process pp. 105-118

Helena Pinto, Sydney Howell and Dean Paxson

Asset securitization: effects on value of banking institutions pp. 119-136

Pedro Martinez-Solano, Jose Yague-Guirao and Fulgencio Lopez-Martinez

Earnings announcements by UK companies: Evidence of extreme events? pp. 137-156

Carlos Alegria, George McKenzie and Simon Wolfe

Durable vs. disposable equipment choice under interest rate uncertainty pp. 157-167

Jose Carlos Dias and Mark Shackleton

The relation between dividends and insider ownership in different legal systems: international evidence pp. 169-189

Jorge Farinha and Lopez-de-Foronda Óscar

The performance of investment grade corporate bond funds: evidence from the European market pp. 191-209

Leif Holger Dietze, Oliver Entrop and Marco Wilkens

Corporate governance and dividend policy in Southeast Asia pre- and post-crisis pp. 211-230

Julia Sawicki

Competition and stock market development pp. 231-247

Sofia Ramos

Volume 15, issue 1, 2009

In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors pp. 1-28

Helmut Herwartz and Leonardo Morales-Arias

Earnings management around UK open offers pp. 29-51

Abdullah Iqbal, Susanne Espenlaub and Norman Strong

Comment on 'earnings management around UK open offers' pp. 53-60

Seth Armitage and John Capstaff

Datastream returns and UK open offers pp. 61-69

Susanne Espenlaub, Abdullah Iqbal and Norman Strong

Asset sales and firm strategy: an analysis of divestitures by UK companies pp. 71-87

David Hillier, Patrick McColgan and Samwel Werema

The determinants of trading volume for cross-listed Euribor futures contracts pp. 89-102

Owain ap Gwilym, Samir Aguenaou and Mark Rhodes