Applied Financial Economics Letters

2006 - 2008

Current editor(s): Anita Phillips

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Volume 4, issue 6, 2008

Exchange rates and fractional integration revisited pp. 383-387

Peter Sephton

On the functional form of PPP: the case of nine new EU countries pp. 389-393

Yu Hsing

Style drift and fund performance in up and down markets: Australian evidence pp. 395-398

Kathryn Holmes and Robert Faff

Disaggregating ‘accounting earnings’ to better explain UK dividends pp. 399-401

Abdallah Atieh and Simon Hussain

Long-term asymmetry in the USD-DEM spot exchange rate volatility process pp. 403-407

Bernard Bollen

Generating innovations in economic variables pp. 409-415

Vitor Leone and Lawrence Leger

Erratum to ON the variance of the error associated to the squared return as proxy of volatility: [, 2007, 3, 255–7] pp. 417-417

Umberto Triacca

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework pp. 419-423

Stavros Degiannakis and Evdokia Xekalaki

Value-at-risk in US stock indices with skewed generalized error distribution pp. 425-431

Ming-Chih Lee, Jung-Bin Su and Hung-Chun Liu

Long memory in international equity markets: revisited pp. 433-437

Ata Assaf

The equity premium and inflation pp. 439-442

John Beirne and Gabe de Bondt

Size and stock market integration: a study of Canadian firms pp. 443-449

Lucie Samson

The impact of WTO on international interdependence degree among United States, Korea and China pp. 451-456

Chia-Hsing Huang and Shu-Shian Lin

Application of the auction theory to the overpricing phenomenon in a corporate bond underwriting market pp. 457-460

Kenji Matsui

Stock market returns and the temperature effect: new evidence from Europe pp. 461-467

Christos Floros

Volume 4, issue 5, 2008

The causal relationship between domestic and outward foreign investment: evidence for Italy pp. 307-310

Dierk Herzer

A nonparametric approach tothe noise density in stochastic volatility models pp. 311-314

Simone Alfarano, Friedrich Wagner and Mishael Milaković

Are stock repurchases more flexible than dividends? The caseof Japanese firms pp. 315-318

Naohiko Baba and Yoichi Ueno

Price matching for multiple rescindable options and European options pp. 319-325

Nikolai Dokuchaev

Efficiency of the South African equity market pp. 327-330

David McMillan and Pako Thupayagale

A note on the general elections and long memory: evidence from the London Stock Exchange pp. 331-335

Cheah Eng Tuck and Lee Yoong Hon

A threshold model for the Hong Kong warrant prices pp. 337-339

Kin Ming Wong and Terence Tai Leung Chong

An ordered probit model of Morningstar individual stock ratings pp. 341-345

Robert Brooks and Shelley Claire Naylor

Some properties of absolute returns as a proxy for volatility pp. 347-350

David Giles

Firm survival and time aggregation bias pp. 351-354

Costas Siriopoulos and Dionysis Antonios Lalountas

An alternative method for measuring risk compensation of event jumps pp. 355-361

Shu-Hsien Chen, Ming-Shann Tsai and Fang-Ling Liao

Decomposition of mutual fund underperformance pp. 363-367

Jin-Li Hu and Tzu-Pu Chang

The stock market's valuationof R&D externalities pp. 369-373

Hironobu Miyazaki and Hiroyuki Aman

Does the rule for voluntary disclosure induce truthful disclosure? pp. 375-377

Chen-Wen Chen and Victor Liu

Foreign exchange intervention and central bank independence: the Latin American experience pp. 379-382

Mauricio Nunes and Sergio Da Silva

Volume 4, issue 4, 2008

Mood and UK equity pricing pp. 233-240

Michael Dowling and Brian Lucey

Credit default swap rates and stock prices pp. 241-248

Marco Realdon

Econometric analysis of interest rate pass-through pp. 249-251

Steven Cook

Style analysis, customized benchmarks, and managed funds: new evidence pp. 253-258

Kathryn Holmes and Robert Faff

Do large hedgers and speculators react to events? A stability and events analysis pp. 259-267

Ikhlaas Gurrib

Fractional return and fractional CAPM pp. 269-275

Reza Raei and Shapour Mohammadi

Are stock returns related toshort-term and long-term past returns? Australian evidence pp. 277-282

Philip Gharghori, Ronald Lee and Madhu Veeraraghavan

Measuring the US social discount rate: reply to Azar pp. 283-285

Martin Lally

Demonstrating error-correction modelling for intraday statistical arbitrage pp. 287-292

Brian Jacobsen

Global takeover premiums – country vs. industry impact pp. 293-297

Andreas Dombret, Ferdinand Mager and Timo Reinschmidt

Estimating the value of victory: English football pp. 299-302

Kent Hickman, Stuart Cooper and Sam Agyei-Ampomah

Risk aversion, regional welfare state and private pension plans pp. 303-306

Marco Percoco

Volume 4, issue 3, 2008

Dynamic modelling of bank profits pp. 157-161

J. Mukuddem-Petersen, M. A. Petersen, I. M. Schoeman and B. A. Tau

Assessing Italian Government bonds’ term structure with CIR model in the aftermath of EMU pp. 163-170

Bernardo Maggi and Fabrizio Infortuna

Provincial co-movement in Chinese stock returns pp. 171-176

Udomsak Wongchoti and Fei Wu

The future of credit unions in the United States: evidence from quantitative extrapolations pp. 177-182

Kostantinos Nikolopoulos and Michael C. Handrinos

Financial distress, relative performance and takeovers as drivers for abnormal accruals pp. 183-186

Lingyan Zuo and Simon Hussain

Systematic liquidity in the long run pp. 187-191

Charly Sujoto, Petko Kalev and Robert Faff

Deregulation and productivity changes in banking: evidence from European unification pp. 193-197

Alexander G. Kondeas, Steven B. Caudill, Daniel M. Gropper and Jennie E. Raymond

Credit risk and Basel II: are nonprofit firms financially different? pp. 199-203

Barbara Luppi, Massimiliano Marzo and Antonello E. Scorcu

Fixed income securities with a zero Macaulay duration: senior life settlements pp. 205-207

Carlos E. Ortiz, Charles A. Stone and Anne Zissu

The Bootstrap Maximum Likelihood Estimator: the case of logit pp. 209-212

Athanasios Tsagkanos

Test of a quadratic relationship between the yield of TIPS and the federal funds rate pp. 213-216

Yu Hsing

Value-neutral tradeoffs between failure risk and growth pp. 217-219

Sherrill Shaffer

Does foreign exchange intervention reduces the exchange rate volatility? pp. 221-224

Takeshi Hoshikawa

Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange pp. 225-231

Christos Alexakis and Dimitris Balios

Volume 4, issue 2, 2008

A note on the effects of debt buybacks in the MM world pp. 77-79

Mark Schaub

Incomplete temporal overlap and cross-sectional independence in event studies pp. 81-86

Imre Karafiath

Firm size, sector and market valuation of R&D expenditures pp. 87-91

Syed Zulfiqar Ali Shah, Andrew W. Stark and Saeed Akbar

The oil price exposure of global oil companies pp. 93-96

Perry Sadorsky

The usual suspects: the effects of attention on journalists’ stock recommendations pp. 97-101

Alexander G. Kerl and Andreas Walter

The Buncefield oil depot explosion: where there's smoke, there's (stock market) fire? pp. 103-107

Gunther Capelle-Blancard and Marie-Aude Laguna

Money market fund investors’ response to fund company mergers pp. 109-113

Luis Ferruz, Cristina Ortiz and Luis Vicente

Day of the week seasonality in African stock markets pp. 115-120

Paul Alagidede

Productivity in the retail industry: does insider ownership of shares matter? pp. 121-125

Vasanthakumar N. Bhat

What determines the forward exchange rate of the euro? pp. 127-131

Costas Karfakis

The effects of asymmetries and regime switching on optimal futures hedging pp. 133-136

Hsiang-Tai Lee

The minimum required rate of return pp. 137-139

Samih Antoine Azar

Optimal mortgage refinancing: application of bond valuation tools to household risk management pp. 141-149

Andrew J. Kalotay, Deane Yang and Frank J. Fabozzi

Asymmetry in the price–volume relation: evidence based on individual company stocks traded in an emerging stock market pp. 151-155

Khalid Al-Saad and Imad A. Moosa

Volume 4, issue 1, 2008

Find a penny and pick it up: capitalizing on mutual fund rounding pp. 1-3

Lee Redding

Underpricing of initial public offerings in Bangladesh pp. 5-8

Tanweer Hasan and Shakil Quayes

Comovement in the FTSE 100 Index pp. 9-12

Bryan Mase

Consumption, wealth and expected stock returns in Australia: some further results pp. 13-18

Lance A. Fisher

The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM pp. 19-24

Hui-Na Lin, Shu-Mei Chiang and Kun-Hong Chen

Estimating the uncertainty of relative risk aversion pp. 25-27

Karl-Heinz Tödter

Pensions in a perfect storm: financial behaviour of Dutch pension funds (2002–2005) pp. 29-33

Jan Kakes

Sectoral impact of shocks: empirical evidence from the Malaysian stock market pp. 35-39

Kian-Ping Lim

Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis pp. 41-44

Robert D. Brooks, Elizabeth A. Maharaj and Breanna Pellegrini

Long memory and nonlinearity in stock markets pp. 45-48

Derek Bond and Kenneth A. Dyson

Signalling and jump bidding in takeover auctions pp. 49-51

Anna Dodonova

Emerging markets mutual funds: regional exposure and stock selection ability pp. 53-57

Javier Rodriguez and Jimmy Torrez

Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests pp. 59-63

Steven Cook

Do acquirer company returns improve after a takeover? Empirical evidence for Australia pp. 65-69

Stuart Dullard and Kim Hawtrey

Transmission of shocks among health care stock index returns pp. 71-75

Bradley T. Ewing, Jamie B. Kruse and Mark A. Thompson