This study examines differences in the extent of predictability in the pricing of the two main classes of equity traded in China, namely: A shares (available to Chinese investors) and B shares (traditionally available only to non‐Chinese investors). The study extends previous work by...

The paper investigates relative efficiency of the banking industry in Bahrain by employing a panel of 31 banks for the years 1998 and 2000. We employ non‐parametric (Data Envelopment Analysis) to examine five efficiency measures, namely, cost, allocative, technical, pure technical and scale...

We investigate the empirical characteristics of firms resuming cash dividends to determine if dividend resumption is most like dividend initiation, a large dividend increase, or a completely unique event. Firms that resume dividends earn considerably larger returns than firms initiating or...

This paper attempts to reconcile an apparent contradiction between short‐run and long‐run movements in the price of gold. The theoretical model suggests a set of conditions under which the price of gold rises over time at the general rate of inflation and hence be an effective hedge against...

The mutualisation of two English third division football clubs in 2001 and the creation of a large number of supporters' trusts make it timely to consider whether there is a case for mutualisation of football clubs. This paper assesses whether mutuality would be of economic benefit for clubs,...

This study examines the cross‐autocorrelation of size‐based portfolio returns in a sample of 15 major European markets using daily data from January 1990 through December 1999. Previous studies have primarily used U.S. data. This study extends previous research by considering results in...

Data envelopment analysis (DEA) and window analysis are used to follow the changes in Australian trading banks' pure technical efficiency, scale efficiency, and the nature of returns to scale. The main findings indicate declining average efficiency scores until 1991, followed by a steady rise...

In most portfolio performance studies, a reference portfolio is used to assess the performance of a portfolio manager. The choice of an appropriate reference portfolio is essential to yield a fair and unbiased evaluation of the manager. In the following analyses, category‐based benchmarks are...

We argue that uninformed subscribers to an initial public offering (IPO) of common stocks are exposed to greater ex ante risk of trading against informed traders in the secondary market because the advent of public trading conveys hitherto private information and thereby mitigates adverse...

This paper examines bilateral and multilateral cointegration properties of the German stock market and the three most credible Central European candidates for membership in the European Union. The cointegration tests cover the time period of July 5, 1995, to March 27, 2002. The DAX is used to...