This study proves mathematically that in any bank if the growth rate of sales is higher than the absolute growth rate of bank's lending rate, then bank's profits will not decrease. This mathematical expression can be considered as the condition for keeping a bank profitable. An econometric...

This paper investigates the determinants of net interest margins (NIM) of banks in four Southeast Asian countries using the dealer model ( Ho and Saunders, The Journal of Financial and Quantitative Analysis , 16 (4), pp 581-600, 1981 ) and by running two-step regressions. Results of the first...

This paper tests the expectations hypothesis of the term structure of interest rates in seven major international markets from the perspective of behavioural finance. Using a cointegration and error correction approach, we find significant empirical support for the expectations hypothesis for...

This study provides some evidence on the speulation or hedging motives of traders as extracted from the recent Llorente et al . (2002) model, for the Irish stock exchange. It is clear that the findings of Llorente et al. and Ciner (2003) do not transfer well to the Irish case. The more complex...

This study examines nonlinear dynamic relationships between stock returns and inflation in ten major stock markets. Using Hansen and Seo's (2002) threshold error correction model to allow for possible regime shifts in the dynamic relationship between the two variables, threshold effects are...

This study investigates the relationship between internal corporate governance mechanisms and corporate performance for a large sample of UK firms. The aim is to extend the existing literature on firm performance by empirically investigating the role of debt-maturity structure of firms and...

Careless users of software with HAC adjustment should beware. In particular, in event study models with pulse dummies included as explanatory variables, the study shows that, in the presence of i.i.d. errors, HAC-adjusted t -statistics on the event dummies have divergent distributions and can,...

In order to explain the variation of the cross-section of expected returns, we consider a long-run beta which takes account of the common stochastic trends between stock prices. Using the same data as those used by Fama and French (1992), it is found that the long-run beta shows an explanatory...

This study examines the relationship between JPY/USD futures trading activities and foreign exchange intervention by the Bank of Japan from 1991 through 2000. It finds that there is a positive relationship between JPY/USD futures volume and volatility as predicted by the mixture of distribution...

This study shows that the extent to which the asset returns of different obligors are correlated is of vital importance for a realistic assessment credit portfolio risk. The high empirical relevance of this phenomenon is demonstrated by applying a likelihood-based estimation procedure to time...