The question of whether active trading strategies outperform the more naive approaches that are available to investors has returned to the research agenda. The topic had been hotly debated in the early and middle 1960s, but seemed to have been dispatched to the academic sidelines by proponents...

Over the last decade, a number of studies have examined the costs and benefits from investing in equities traded on emerging stock markets (ESMs). The general conclusion to emerge from these studies is that investors have been able to improve portfolio performance significantly by including an...

The framework presents how trading in the foreign commodity futures market and the forward exchange market can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both...

This paper investigates the impact of the Unremunerated Reserve Requirement (URR) measure recently imposed in Thailand by applying three quantitative techniques of Edison and Reinhart (2001). We find that the URR measure was not completely effective in stabilizing the exchange rate, which was...

The framework presents how trading in the foreign commodity futures market and the forward exchange market can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both...

Empirically, the covariance between stock returns varies with their volatility. We seek a robust theoretical explanation of this. With minimal assumptions, we model stochastic properties of equilibrium returns which result from the interaction between inter-temporal traders and noisy,...

Eckbo and Masulis (1992), Burton et al. (1999) and Armitage (1999) reported that the method used to issue new shares is one of the key determinants of the market reaction to seasoned equity offer announcements. This article develops this earlier line of research by examining a sample of 193...

This paper investigates the temporal stability of various dimensions of the returns of 16 European stock markets that are relevant to an analysis of international portfolio diversification. The basic data consist of daily stock market price indices for these markets. This group of indices...

This study investigates the manner in which the Irish stock market responds to company announcements about dividend payments. In particular, the paper examines whether the predictions of the 'signalling' hypothesis hold or if more recent findings (which suggest that there is little...