The mortgage banking environment in Hong Kong is quite different from that in the U.S. For example, the secondary mortgage market and mortgage insurance only started after 1997. Using a large data set on mortgages, we examine empirically how mortgage rates in this market vary with various...

We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang (2004). This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits still exist conditional on past...

We show that sorting reveals the time-varying market risk exposures of the firm-specific investment opportunity set. Sorting on the basis of firm characteristics uncovers information on firm-specific distress or growth, and this leads to more efficient estimation of conditional risk sensitivity....

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multistep ahead characteristics of a non-parametric estimate of the...

In this note, we study parallel machine scheduling problem with past-sequence-dependent delivery times and a deterioration effect. We present polynomial algorithms for the problem with the total workload, the total completion time, the total absolute differences in completion times objectives.

Batch processing machine scheduling in uncertain environment attracts more and more attention in the last decade. This paper deals with semi-online scheduling on two parallel batch processing machines with non-decreasing processing time of job. Jobs arrive over time in the online paradigm, and...

We study an online scheduling problem on a single machine with delivery times. The problem is online in the sense that all jobs arrive over time. Each job's characteristics, such as processing time and delivery time, become known at its arrival time. Preemption is not allowed and once the...