Purpose: The purpose of this paper is to increase the accuracy of the efficient portfolios frontier and the capital market line using the Riskiness Index. Design/methodology/approach: This paper will develop the mean-riskiness model for portfolio selection using the Riskiness Index. Findings:...

Purpose: This paper aims to clarify the relationship between corporate capital investments and business cycles. Specifically, a major purpose of this paper is to investigate whether there are inherent differences in corporate investment patterns and whether the stock market exhibits different...

Purpose: The purpose of this paper is, to study macroeconomic risk factors driving the expected stock returns of listed private equity (LPE). The authors use LPE indices divided into different styles and regions from January 2004 to December 2016 and a set of country stock indices to estimate...

Purpose: The purpose of this paper is two-fold: first, to introduce an innovative model of financial order book, less simplified than the existing literature and still able to replicate all statistical features of true markets; second, to simulate realistically the effects of policies aimed to...

Purpose: The purpose of this paper is to predict real gross domestic product (GDP) growth and business cycles by using information from both liquidity and volatility measures. Design/methodology/approach: The paper estimates liquidity and volatility measures from over 5,000 NYSE rms and...

Purpose: Community banks were affected distinctly by changes in banking regulation in the 1990s when compared with large commercial banks. These banks offer non-traditional finance items, presumably to compete with these financial institutions. This study aims to examine the importance of...

Purpose: Retail investors use information provided by mutual fund rating agencies to make investment decisions. This paper aims to examine whether the ratings provide useful information to retail investors by analyzing the rating migration and closure risk of mutual funds that received...

Purpose: This paper aims to investigate the causes of mergers and acquisitions (M&A) deals that acquiring firms pay excess premium beyond the market-expected level and examine the relation between the announcement return and long-term performance of the acquiring firms....

Purpose: This paper aims to examine the influence of key macroeconomic factors on the inward and outward acquisition activities of six ASEAN (ASEAN: Association of Southeast Asian Nations) countries, namely, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam, over the...

Purpose: This paper aims to investigate the determinants of bilateral exports of India to the USA by taking the non-linearity issue in export demand equations which is neglected so far in the empirical work. The study tries to know the reaction of change in exports to exchange rate changes in a...