Purpose – The purpose of this paper is to find and describe some stylized facts for foreign exchange and stock market returns, which are explored using statistical methods. Design/methodology/approach – Formal statistics for testing presence of autocorrelation, asymmetry, and other...

Purpose – The purpose of this paper is to explore the effect of leverage mimicking factor portfolios in explaining stock return variations. This paper broadens the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor. Design/methodology/approach –...

Purpose – The purpose of this paper is to investigate the effect of leverage on Malaysian listed firms' value and the optimal level of debt at which a firm could maximize its value. Design/methodology/approach – The authors employ an advanced panel threshold regression estimation developed...

Purpose – This paper aims to examine the controversial issue of the extent to which Federal Reserve monetary policy may have contributed to the recent housing crisis and subsequent adverse macroeconomic developments. Design/methodology/approach – The authors develop a small model that...

Purpose – This paper aims to test the finite sample properties of the automatic variance ratio (AVR) test and suggest suitable measure to improve its small sample properties under conditional heteroskedasticity and apply it to test the martingale hypothesis in the stock prices of the Portugal,...

Purpose – The purpose of this paper is to investigate the performance of the trade-weighted US dollar from 1973 to 2011 as a result of monetary policy. Design/methodology/approach – Relevant time series variables – the money supply, the federal funds rate, general financial conditions,...

Purpose – The purpose of this study is to investigate the effects of increased fund commitments on portfolio size and subsequent effects on portfolio success rates. This paper empirically analyzes the changes in average portfolio size over a 20-year time period and how these changes affect the...

Purpose – The current paper contributes to the vigorous debate about policies and regulations that would shield financial markets' participants from future events of the financial turmoil. In doing so, the paper aims to broaden the picture of the financial crisis contagion and set it against...

Purpose – The purpose of this paper is to investigate the effect of corporate governance mechanisms on the financial performance of the United Arab Emirates (UAE) listed firms. Design/methodology/approach – Relying on a sample of 95 UAE listed firms affiliated to financial and non-financial...

Purpose – The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to various...