The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines whether any contagion effect occurred...

Traditionally, market imperfections are measured separately. In dealing with the impacts of market imperfections on a financial theory, financial researchers often modify the theory by incorporating one type of market imperfections into the theory, one by one, and then derive a new modified...

The main purpose of the paper is applying filter rules to examine the efficiency of foreign exchange. This paper uses three strategies of filter rules (buy long, sell short, buy long and sell short strategies) to test the performance of the transaction for EUR, JPY, GBP. The findings show that...

This study aims to investigate the timescale effects of the corporate governance measure on predicting financial distress of corporations. A new corporate governance measure is adopted in the logistic regression model. Historical data of the companies listed on the Taiwan Stock Exchange...

The purpose of this study is to apply polynomial goal programming to establish a new portfolio selection model that considers the tradeoffs between expected return and Value-at-Risk (VaR) of portfolios and the flexibility of incorporating investor's preferences. The historical data of 10...

Fund managers highly prioritize selecting portfolios with a high Sharpe ratio. Traditionally, this task can be achieved by revising the objective function of the Markowitz mean-variance portfolio model and then resolving quadratic programming problems to obtain the maximum Sharpe ratio...