The purpose of this paper is to examine the causality between DUST, CO2 and temperature for the Vostok ice core data series [Vostok Data Series], dating from 420 000 years ago, and the EPICA C Dome data going back 800 000 years. In addition, the time-varying volatility and coefficient of...

With unemployment in the Eurozone running at over 10%, with some countries like Spain and Greece experiencing in excess of 45% youth unemployment, the loss in potential economic growth is huge. This is coupled with high unemployment's damaging social cost which brings depravity to millions. The...

The purpose of this research note is to re-examine the link between economic freedom and economic growth because the connection has been massively over played in the past 35 years, using a sample of 175 countries. Answering this question has important socioeconomic policy implications as...

The purpose of this paper is to develop a valuation model for projects, explicitly taking into account the combined effects of taxation and the risk of obsolescence. In the modelling process it is assumed that a project's pre-tax net operating cash flows follow a geometric Brownian motion with a...

The paper features an analysis of causal relations between the VIX, S&P500, and the realised volatility (RV) of the S&P500 sampled at 5 minute intervals, plus the application of an Artificial Neural Network (ANN) model to forecast the VIX. Causal relations are analysed using the recently...

In this methodology case study, conjoint analysis is used to determine the importance of factors that influence international capital budgeting decisions by multinational corporations. Finance directors from some of the world's largest multinationals evaluated investment opportunities in...

Recent advances in covariance and variance estimators coupled with improvements in the quality of intra-day data have made possible more precise measurement of beta (systematic risk). In this paper we examine the forecastability of monthly betas for Dow Jones stocks. The out-of-sample...

The purpose of this paper is to compare a series of models to forecast beta, a fundamental parameter in finance. Realized measures of asset return covariance and variance are computed and applied to forecast beta following Andersen, Bollerslev, Diebold and Wu (2005a and 2005b). This approach is...

The purpose of this paper is to examine the effect of governance environments upon stock market risks and Appraisal ratios for developed and emerging stock markets over the time period January 1995 to December 2002. Using an augmented international capital asset pricing model (ICAPM) model and...

This paper compares the performance of 'good governance' and 'poor governance' portfolios at the country level for a time period spanning January 1st 1995 until 31st December 2002. Comparison between the two portfolio types are made on the basis of an equally weighted and value weighted...