The European Journal of Finance

1995 - 2025

Current editor(s): Chris Adcock

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Volume 14, issue 8, 2008

International nonlinear causality between stock markets pp. 663-686

Michel Beine, Gunther Capelle-Blancard and Helene Raymond

Stock returns, inflation and interest rates in the United Kingdom pp. 687-699

Mohammad Hasan

Monetary disequilibria and the euro/dollar exchange rate pp. 701-716

Dieter Nautz and Karsten Ruth

Distribution-free upper bounds for spread options and market-implied antimonotonicity gap pp. 717-734

Peter Laurence and Tai-Ho Wang

Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market pp. 735-753

Vassilios Babalos, Guglielmo Maria Caporale, Alexandros Kostakis and Nikolaos Philippas

Recovery of hidden state participation effects on oil and gas asset values pp. 755-769

Gavin Kretzschmar and Axel Kirchner

Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques pp. 771-802

Sascha Mergner and Jan Bulla

Volume 14, issue 7, 2008

Financial reform in emerging markets pp. 541-544

Christopher Green

Banking in transition economies: does foreign ownership enhance profitability? pp. 545-562

Ilko Naaborg and Robert Lensink

Savings and financial sector development: panel cointegration evidence from Africa pp. 563-581

Roger Kelly and George Mavrotas

The impact of tax policy on corporate debt in a developing economy: a study of unquoted Indian companies pp. 583-607

Christopher Green and Victor Murinde

Capital financing behaviour: evidence from firms listed on the Nairobi Stock Exchange pp. 609-624

Rose Ngugi

The measurement and determinants of x-inefficiency in commercial banks in Sub-Saharan Africa pp. 625-639

C. Kirkpatrick, V. Murinde and M. Tefula

Flow of funds and the impact of financial controls on bank portfolio behaviour: a study of India pp. 641-661

Tomoe Moore and Christopher Green

Volume 14, issue 6, 2008

Forecasting inter-related energy product prices pp. 453-468

M. E. Malliaris and S. G. Malliaris

The effectiveness of dynamic hedging: evidence from selected European stock index futures pp. 469-488

Jahangir Sultan and Mohammad Hasan

Changing investors' risk appetite: Reality or fiction? pp. 489-501

Miroslav Misina

Trading futures spread portfolios: applications of higher order and recurrent networks pp. 503-521

Christian Dunis, Jason Laws and Ben Evans

Forecasting daily volatility with intraday data pp. 523-540

Bart Frijns and Dimitris Margaritis

Volume 14, issue 5, 2008

Forecasting credit migration matrices with business cycle effects—a model comparison pp. 359-379

Stefan Truck

Time-varying factor models for equity portfolio construction pp. 381-395

Markus Ebner and Thorsten Neumann

Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index pp. 397-408

Stelios Bekiros and Dimitris Georgoutsos

Return forecasts and optimal portfolio construction: a quantile regression approach pp. 409-425

Lingjie Ma and Larry Pohlman

A further extension of duration-dependent models pp. 427-449

Akifumi Isogai, Satoru Kanoh and Toshifumi Tokunaga

Volume 14, issue 4, 2008

Takeover defenses, golden parachutes, and bargaining over stochastic synergy gains: a note on optimal contracting pp. 273-280

Atreya Chakraborty, Abdikarim Farah and John Barkoulas

Trading strategies based on term structure model residuals pp. 281-298

Rainer Jankowitsch and Michaela Nettekoven

Size effect, methodological issues and 'risk-to-default': evidence from the UK stock market pp. 299-314

Panagiotis Andrikopoulos, Arief Daynes, David Latimer and Paraskevas Pagas

Reserve overstocking in a highly integrated world. New evidence from Asia and Latin America pp. 315-336

Giulio Cifarelli and Giovanna Paladino

Performance of closely held firms in Russia: evidence from firm-level data* pp. 337-358

Andrei Kuznetsov, Rostislav Kapelyushnikov and Natalya Dyomina

Volume 14, issue 3, 2008

A change of focus: Stock market reclassification in the UK pp. 179-193

Bryan Mase

Dividends, prices and the present value model: firm-level evidence pp. 195-210

John Goddard, David Mcmillan and John Wilson

Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange pp. 211-223

Panayiotis Andreou and Yiannos Pierides

Trading time and trading activity: evidence from extensions of the NYSE trading day pp. 225-242

Ebenezer Asem and Aditya Kaul

Hedging effectiveness of the Athens stock index futures contracts pp. 243-270

Manolis Kavussanos and Ilias Visvikis

Volume 14, issue 2, 2008

Preface pp. 71-71

Chris Adcock

Editorial pp. 73-73

Jan Annaert and Marc De Ceuster

Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation pp. 75-89

L. Vanessa Smith and Demosthenes Tambakis

Commodity volatility modelling and option pricing with a potential function approach pp. 91-113

Jasper Anderluh and Svetlana Borovkova

The stability of bank efficiency rankings when risk preferences and objectives are different pp. 115-135

Michael Koetter

Pricing Parisians and barriers by hitting time simulation pp. 137-156

J. H. M. Anderluh

Residual value risk in the leasing industry: A European case pp. 157-177

Hugues Pirotte Speder and Celine Vaessen

Volume 14, issue 1, 2008

Evidence of ex-dividend trading by investor tax category pp. 1-21

Karl Felixson and Eva Liljeblom

Stochastic volatility in the Spanish stock market: a long memory model with a structural break pp. 23-31

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

What a delta hedge really does - a theoretical and pedagogical note pp. 33-47

S. D. Howell

Will we pay in the same way? pp. 49-67

Sandra Deungoue

Volume 13, issue 8, 2007

Modeling Conditional Skewness in Stock Returns pp. 691-704

Markku Lanne and Pentti Saikkonen

Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities pp. 705-715

Simon Stevenson, Patrick Wilson and Ralf Zurbruegg

Algorithmic Trading Patterns in Xetra Orders pp. 717-739

Johannes Prix, Otto Loistl and Michael Huetl

Asymmetric Mean Reversion in European Interest Rates: A Two-factor Model pp. 741-750

Gregory Koutmos and George Philippatos

Anyone for Tennis (Betting)? pp. 751-768

David Forrest and Ian Mchale

Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience pp. 769-793

Ron Bird and Lorenzo Casavecchia

Volume 13, issue 7, 2007

Lognormal Approximation of Complex Path-Dependent Pension Scheme Payoffs pp. 595-619

Peter Jørgensen

Volatility as an Asset Class: European Evidence pp. 621-644

Reinhold Hafner and Martin Wallmeier

Factor-based, Non-parametric Risk Measurement Framework for Hedge Funds and Fund-of-Funds pp. 645-655

T. R. J. Goodworth and Charles Jones

Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden pp. 657-667

Sven-Olov Daunfeldt

Nonlinear Effects of Debt on Investment: Evidence from Dutch Listed Firms pp. 669-687

Hong Bo

Volume 13, issue 6, 2007

Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach pp. 503-522

Maik Eisenbeiss, Goran Kauermann and Willi Semmler

Skew Brownian Motion and Pricing European Options pp. 523-544

T. R. A. Corns and S. E. Satchell

A Technique for Reducing Discretization Bias from Monte Carlo Simulations: Option Pricing under Stochastic Interest Rates pp. 545-564

Snorre Lindset and Arne-Christian Lund

Determinants of Leverage and Agency Problems: A Regression Approach with Survey Data pp. 565-593

Abe De Jong and Ronald Van Dijk

Volume 13, issue 5, 2007

Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors pp. 397-404

Kais Dachraoui and Georges Dionne

Trading Activity, Trade Costs and Informed Trading for Acquisition Targets and Acquirers pp. 405-439

Lawrence Kryzanowski and Skander Lazrak

Multivariate Shrinkage for Optimal Portfolio Weights pp. 441-458

Vasyl Golosnoy and Yarema Okhrin

The Use of Collateral in Gross and Net Payment Systems pp. 459-481

Francisco Callado-Muñoz

Who Transfers Credit Risk? Determinants of the Use of Credit Derivatives by Large US Banks pp. 483-500

Dawood Ashraf, Yener Altunbas and John Goddard

Volume 13, issue 4, 2007

Is Momentum Due to Data-snooping? pp. 301-318

Johan Parmler and Andres Gonzalez

Cross-correlation Measures in the High-frequency Domain pp. 319-331

Ovidiu V. Precup and Giulia Iori

The Economic Value of Advanced Time Series Methods for Modelling and Trading 10-year Government Bonds pp. 333-352

Christian L. Dunis and Vincent Morrison

On the Numerical Evaluation of Option Prices in Jump Diffusion Processes pp. 353-372

Peter Carr and Anita Mayo

Extreme Risk and Value-at-Risk in the German Stock Market pp. 373-395

Konstantinos Tolikas, Athanasios Koulakiotis and Richard A. Brown

Volume 13, issue 3, 2007

Deviations from Fundamentals in US and EU Stock Markets: A Comparative Analysis pp. 195-226

Leonardo Becchetti and Stefania Di Giacomo

Conducting Event Studies on a Small Stock Exchange pp. 227-252

Jan Bartholdy, Dennis Olson and Paula Peare

The Relevance of Accounting Data in the Measurement of Credit Risk pp. 253-268

Amer Demirovic and Dylan Thomas

Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns pp. 269-282

Frank Fabozzi, Omar Masood and Radu Tunaru

A Comparison of Measures of Earnings Per Share pp. 283-298

Peter Casson and George Mckenzie

Volume 13, issue 2, 2007

Earning Forecast Error in US and European Stock Markets pp. 105-122

Michele Bagella, Leonardo Becchetti and Rocco Ciciretti

Efficiency of Banks: Recent Evidence from the Transition Economies of Europe, 1993-2000 pp. 123-143

H. Semih Yildirim and George Philippatos

Explaining the Cross-section of Stock Returns in France: Characteristics or Risk Factors? pp. 145-158

Souad Lajili-Jarjir

A Note on the Predictability of UK Stock Returns pp. 159-164

David Lovatt, Andrew Boswell and Reza Noor

Impact of Analysts' Recommendations on Stock Performance pp. 165-179

Valentyn Panchenko

The Bank Lending Channel Transmission of Monetary Policy in the EMU: A Case Study of Portugal pp. 181-193

Candida Ferreira

Volume 13, issue 1, 2007

Sources of Predictability of European Stock Markets for High-technology Firms pp. 1-27

Christian Pierdzioch and Andrea Schertler

Agency Problems and the Performance of Venture-backed IPOs in Germany: Exit Strategies, Lock-up Periods, and Bank Ownership pp. 29-63

Wolfgang Bessler and Andreas Kurth

A Better Asymmetric Model of Changing Volatility in Stock and Exchange Rate Returns: Trend-GARCH pp. 65-87

Christian Bauer

Stochastic Dominance Analysis of iShares pp. 89-101

Dominic Gasbarro, Wing-Keung Wong and J. Kenton Zumwalt