This study documents how China's stock market is able to contribute differently and substantially to the diversification benefits of international investment portfolios. Moreover, allowing exposure to the stock market in China allows international investors to span combinations in the...

This paper investigates the profitability of non-traditional momentum strategies using stock futures contracts. The results lead to the conclusion that these strategies dominate those implemented using stocks. Despite this, however, no positive returns are found during the sample period after...

In previous research it has been shown that while the Dickey--Fuller unit root test exhibits oversizing in the presence of GARCH, this is reduced via the application of White's heteroscedasticity-consistent covariance matrix (HCCM). These findings provide the motivation for the present study. It...

Because the Federal Reserve is constantly responding to developments in the economy, it has been difficult to come up with convincing estimates of the effects of exogenous shifts in money supply on interest rates. This study uses exogenous, well-identified reserve supply shocks to estimate how...

The study shows that in the consumption CAPM with power utility the Arrow--Pratt measure of relative risk aversion differs from the utility curvature parameter when the lottery an individual faces is not actuarially neutral. This implies that the measure of relative risk aversion in the CCAPM...

Minimum Absolute Deviation (MAD) estimation method is used to examine weekday anomaly in 18 international stock exchanges between 1990 and 2003. Weekday return anomaly is found with OLS method in two and with MAD method in eight stock exchanges. Empirical test distributions of F -type test for...

This study provides an emerging economy perspective towards the Miller and Modigliani (1961) separation principle. Applying a panel Granger causality test proposed by Hurlin and Venet (2004) to the dividend and investment data of 265 Indian manufacturing firms for 1992--2004, the M--M hypothesis...

Recent studies have questioned the existence and interpretation of a possible gap between Willingness-To-Pay (WTP) and Willingness-To-Accept (WTA). The study analyses the bidding patterns in buying and selling lottery tickets that represent financial assets using second price auction, and then...

This note examines the transmission of shocks across REIT sub-sector returns: apartments, industrial, lodging, manufactured homes, office, and regional malls. Though the respective return indices are integrated of order one, Johansen--Juselius cointegration tests suggest that REIT sub-sectors...

The theory of Black and Scholes is the basis for all contemporary financial option valuation methods. The theory is based on a portfolio consisting of stocks and options on that stock. The composition of the portfolio is renewed after a short time interval. The Black-Scholes method for valuing...