Applied Financial Economics Letters

2006 - 2008

Current editor(s): Anita Phillips

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 2, issue 6, 2006

The impact of the Sarbanes-Oxley Act: early evidence from earnings management pp. 347-351

Craig A. Depken II and Bo Ouyang

Does investors’ sentiment predict stock price changes? With analyses of naive extrapolation and the salience hypothesis in Japan pp. 353-359

Chikashi Tsuji

Estimating long memory in the mark–dollar exchange rate with high frequency data pp. 361-364

Claudio Morana

The centre and periphery relations in international stock markets pp. 365-370

Hakan Berument, Nazire Nergiz Dincer and Hasan Olgun

Speculative opportunities for currency exchange under soft peg pp. 371-374

Nikolai Dokuchaev

Testing for the existence of the ‘January effect’ in transition economies pp. 375-381

Dimitrios Asteriou and Georgios Kavetsos

Open market share repurchases in the UK: evidence on the agency theory of free cash flow pp. 383-387

Magnus Hjelmstad, Andrew Marshall and Thomas Walmsley

Volatility filters for FX portfolios trading: the impact of alternative volatility models pp. 389-394

Jia Miao and Christian L. Dunis

Integration of smaller European equity markets: a time-varying integration score analysis pp. 395-400

Gregory Birg and Brian Lucey

Profitability of the Directional Indicators pp. 401-406

Wing-Shing Lam and Terence Tai Leung Chong

A sectoral efficiency analysis of the Amman Stock Exchange pp. 407-411

Mufeed Rawashdeh and Jay Squalli

Volume 2, issue 5, 2006

The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment? pp. 279-284

James Payne

The behaviour of share prices in the run-up to and aftermath of stock splits: evidence for ‘share subdivisions’ in Hong Kong 2003–2005 pp. 285-293

Paul B. McGuinness and Thomas Birtch

The role of internal financing in a Ramsey model with financial intermediation pp. 295-299

Karl-Heinz Tödter

What liquidity do hypothetical price impact curves measure? pp. 301-303

Matei Demetrescu

Determinants of UK swap spreads pp. 305-309

Andrew Marshall and Chai Ni Ho

Explaining aggregate private saving behaviour: new evidence from a panel of OECD countries pp. 311-315

Julian Ramajo, Agustín García and Montserrat Ferré

Mutual fund performance and benchmark choice: the Spanish case pp. 317-321

Jorge Sainz, Pilar Grau and Luis Miguel Doncel

Overpricing of new issues in the Japanese straight bond market pp. 323-327

Kenji Matsui

Do Federal Reserve policy surprises affect the risk perception in the emerging markets? pp. 329-332

Onur Ince and Umit Ozlale

WTP–WTA disparity among competitive and non-competitive subjects – an experimental study pp. 333-336

Tal Shavit, Shosh Shahrabani and Uri Benzion

Nonlinear forecast of financial time series through dynamical calendar correction pp. 337-340

Alexandros Leontitsis and Costas Siriopoulos

Measuring relative risk aversion pp. 341-345

Samih Antoine Azar

Volume 2, issue 4, 2006

Insurance intermediaries and contractual relations pp. 211-215

Rajeev Goel

GARCH, heteroscedasticity-consistent covariance matrix estimation and (non)linear unit root testing pp. 217-222

Steven Cook

A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis pp. 223-227

Haitham A. Al-Zoubi, Dana A. Al-Zoubi and Aktham Maghyereh

Evidence on the relationship between Takaful insurance and fundamental perception of Islamic principles pp. 229-232

Ramin Cooper Maysami and John Joseph Williams

Statistical analysis of municipal bond ratings under spatial correlation pp. 233-237

Camilo Sarmiento

On signalling and debt maturity choice pp. 239-241

Robert Lensink and Thi Thu Tra Pham

Hedging under price and output uncertainty: revisited pp. 243-245

Moawia Alghalith

The impact of capital controls on Malaysian banking industry betas pp. 247-249

Robert D. Brooks and Lye Chee Shoung

Security analysts and ‘bad news’: a note on 9/11 pp. 251-256

Simon Hussain

A micro-econometric model of the UK property-liability insurance industry pp. 257-260

Emmanouel Mamatzakis and Christos Staikouras

The impact of portfolio re-financing on Black–Scholes call option valuation pp. 261-263

Cokki Versluis and Tom Hillegers

The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test pp. 265-273

Aktham Maghyereh

Floor information and common variations in liquidity pp. 275-278

Mohsen M. Saad

Volume 2, issue 3, 2006

Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors pp. 141-146

James Payne

Risk-return tradeoffs from investing in the Australian cash management industry pp. 147-150

Jenny Diggle and Robert Brooks

Economic value added and systemic value added: symmetry, additive coherence and differences in performance pp. 151-154

Roberto Ghiselli Ricci and Carlo Alberto Magni

Empirical relationship between the dividend and investment decision: do emerging market firms behave differently? pp. 155-158

Saumitra Bhaduri and S. Raja Sethu Durai

The liquidity effect across the short end of the term structure pp. 159-163

Garett Jones

Testing for linear and nonlinear Granger Causality in the stock price–volume relation: Turkish banking firms’ evidence pp. 165-171

Nevin Yörük, Cumhur Erdem and Meziyet Sema Erdem

The profitability of momentum strategies using stock futures contracts in small markets pp. 173-177

Pilar Corredor, Luis Muga and Rafael Santamaria

The equity premium puzzle and decreasing relative risk aversion pp. 179-182

Maurice Roche

A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH pp. 183-188

Ming-Chih Lee, Jer-Shiou Chiou and Cho-Min Lin

Hedging or speculation in derivative markets: the case of energy futures contracts pp. 189-192

Cetin Ciner

Testing for weekday anomaly in international stock index returns with non-normal errors pp. 193-197

Mikael Linden and Mika Louhelainen

Two unconditionally implied parameters and volatility smiles and skews pp. 199-204

Nikolai Dokuchaev

Option pricing: back to the thinking of Bachelier pp. 205-209

Cokki Versluis