Purpose: The purpose of this paper is to examine whether superior risk-adjusted returns can be generated using monthly covered call option strategies in large capitalized Australian equity portfolios and across varying market volatility conditions. Design/methodology/approach: The authors...

Purpose: This study aims to examine the relation between population composition and financial market variables in post-war Japan. Design/methodology/approach: Cointegration and Granger causality tests are applied to annual data for the period 1948-2015. Findings: Accounting for nonstationarity,...

Purpose: This study aims to examine the presence of the day-of-the-week (DOW), January and turn-of-month (TOM) effect in 20 currency pairs against the US dollar, from January, 1995 to December, 2014. Design/methodology/approach: Ordinary least square with GARCH (1,1) framework is used to...

Purpose: The purpose of this paper is to test whether the qualitative variables regarding the territory and the firm–territory relationship can improve the accuracy rates of small business default prediction models. Design/methodology/approach: The authors apply a logistic regression to a...

Purpose: This study aims to implement a novel approach of using the Realized generalized autoregressive conditional heteroskedasticity (GARCH) model within the conditional extreme value theory (EVT) framework to generate quantile forecasts. The Realized GARCH-EVT models are estimated with...

Purpose: This paper aims to assess the effects of housing market shocks on real output in South Africa, by focusing on the real private consumption channel. Design/methodology/approach: It measures housing market shocks as non-monetary housing shocks, uses a data set covering the period...

Purpose: This study aims to examine the behavior of cash raised through market timing efforts and the success of such efforts in creating value to shareholders. Design/methodology/approach: It is shown that in two quarters, subsequent to raising equity, cash balance of market timers is higher...

Purpose: This paper aims to study whether the industry indexes predict the evolution of the broad stock market in the USA. Design/methodology/approach: The study uses industry indexes to predict the equity premium in the USA. It considers several types of predictive models: constant...

Purpose: This paper aims to test the extent to which downward bias due to a floating-point exception in probability of informed trading (PIN) estimates obtained using the Easley, Hvidkjaer and O’Hara (EHO; 2002) method is remedied using the Yan and Zhang (YZ; 2012) method. The paper also aims...

Purpose: Whereas much of previous literature focuses upon the impact on yields from the Federal Reserve’s large-scale asset purchases (LSAPs), the purpose of this paper is to study the changes to expected returns. Design/methodology/approach: This empirical investigation offers support for...