Prior research documented that the US stock prices tend to grow faster during the Democratic than the Republican administrations. This article examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets and 173...

This article shows that the Capital Asset Pricing Model-based capital budgeting criteria proposed by Tuttle and Litzenberger (1968), Mossin (1969), Hamada (1969), Stapleton (1971), Rubinstein (1973), Bierman and Hass (1973) and Bogue and Roll (1974) are equivalent. They all state that a project...

We show that the one-year-ahead forecast of growth in US corporate profits from the Survey of Professional Forecasters, for 1983-2004, is unbiased and superior to the random walk forecast. Survey respondents, however, generally predicted positive growth and thus failed to accurately predict...

This article proposes a generalized long persistence observable volatility model which comprises of leverage effect autoregressive fractionally integrated moving average model with time-varying volatility and the inclusion of heterogeneous autoregressive components as the contemporaneous...

We study stock option and bond pricing problems for a case when the short-term interest rate and the volatility of the stock are random processes. The option prices are generated by a risk-neutral valuation method and they are correlated with the short-term interest rate generating the bond...

The difference between systematic risk measured in terms of the third-order and second-order co-moment of returns in the downside framework is influenced by a factor associated with the market portfolio returns. Empirical evidence reveals that the smaller the spread in the returns in the market...

The present study shows that failing to adjust for known risk factors in measuring fund performance can lead to spurious results in testing the persistence hypothesis. We support this argument by providing evidence from the Greek fund industry, examining also the performance persistence in this...

This article uses alternative versions of the monetary approach to exchange rate determination to explain the Malaysian-ringgit-USD exchange rate during the recent past. The result shows that in general the estimated coefficients of money and income differentials are consistent with all variants...

This article examines the linkage between two parallel stock exchanges trading the same shares in Colombia, namely the Bogota Stock Exchange and the Medellin Stock Exchange. We provide empirical evidence to support the hypothesis that these two markets can be best described as fully integrated...

Although the geometric mean procedure is very popular among financial analysts, it is shown that when it is applied on rates of returns for evaluating portfolio performance it does not produce efficient results. Valuable past performance information is ignored since the geometric mean procedure...