This article investigates the returns of acquirer companies in the wake of corporate takeovers. The study tests the post-takeover returns of Australian acquirer firms during the period 2001 to 2003, using two alternative benchmark models. We find evidence that acquirer companies outperform the...

The estimation of the parameters of logit model is mostly performed with method of maximum likelihood. However, the classical maximum likelihood estimators are biased and inefficient in appearance of small samples. The jackknife maximum likelihood estimator improves the above problems but still...

This empirical study examines the relation between the equity premium - the difference between the expected stock and risk-free return - and inflation in the major economies in the post-Bretton Woods era. We estimate a country-average level of the equity premium between 0.8% and 2%, confirming a...

In this article we investigate if stock market returns are related to temperature. Research in behavioural finance shows that lower temperature can lead to aggression, while higher temperature can lead to both apathy and aggression (Cao and Wei, 2005). Evidence from previous studies suggests...

The efficient market hypothesis (EMH) in the weak-form requires that there is no serial correlation between the returns at different times and successive price changes. On the contrary, stock returns displaying statistically significant autocorrelation between observations widely separated in...

We investigate the relationship between mood and UK equity pricing. Seven variables that are argued to proxy for mood are tested, including four weather variables (temperature, precipitation, wind speed and geomagnetic storms), and three biorhythm variables (Seasonal Affective Disorder, Daylight...

The present study adopts the framework of Lim et al. (2006) who conjectured that the existence of nonlinear serial dependencies is due to shocks that unsettled the market and caused large deviations from equilibrium. Specifically, this article extends the investigation to shed further light on...

Professional English football combines publicly traded ownership shares with an active and observable wagering market. This article utilizes the information from these markets, presenting a model that may be used to estimate the impact of matches on club values. Such information is potentially...

The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the...

We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is often adequate, but we do observe deviations from Gaussian noise for some...