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Essays on financial markets and the macroeconomy

Mönch, Emanuel - 2006

’ information set in tests of conditional asset pricing models. In particular, it advances the use of dynamic factors as … substantially reduces the pricing errors implied by conditional models with respect to traditional approaches that use individual … with respect to a number of benchmark models. The third essay analyzes the predictive information carried by the yield …

Persistent link: https://www.econbiz.de/10009467089

Can book-to-market and size be risk factors that predict economic growth in Asia's emerging economies?

Clements, Adam; Drew, Michael; Krpan, Ivan; … - 2009

We investigate whether the two 2 zero cost portfolios, SMB and HML, have the ability to predict economic growth for markets investigated in this paper. Our findings show that there are only a limited number of cases when the coefficients are positive and significance is achieved in an even more...

Persistent link: https://www.econbiz.de/10009483525

Agricultural Arbitrage, Adjustment Costs, and the Intensive Margin

Tack, Jesse B.; LaFrance, Jeffrey T. - 2010

intertemporal arbitrageequations that are similar in spirit to traditional finance models. The common assumptions that land …

Persistent link: https://www.econbiz.de/10009446523

Cost efficiency in Australian non-bank financial institutions: A non-parametric approach

Worthington, Andrew C. - 2000

A two-stage procedure is employed to evaluate non-bank financial institution cost efficiency. In the first stage, data envelopment analysis is used to calculate technical, allocative and cost efficiency indices using a sample of two hundred Australian credit unions. The results indicate that a...

Persistent link: https://www.econbiz.de/10009437438

Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis

Worthington, Andrew C.; Higgs, Helen - 2004

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia,...

Persistent link: https://www.econbiz.de/10009437447

Losing Sleep At The Market: An Empirical Note On The Daylight Saving Anomaly In Australia

Worthington, Andrew C. - 2003

The ‘daylight saving effect’ predicts that the mean weekend return following the spring and fall/autumn changes in daylight saving time is less than the mean weekend return throughout the rest of the year. With this market anomaly, the change in market participants’ behaviour is linked...

Persistent link: https://www.econbiz.de/10009437465

Technical Efficiency and Technological Change in Australian Building Societies

Worthington, Andrew C. - 2000

In this study the nature and extent of efficiency and productivity growth in deposit-taking institutions is investigated using nonparametric frontier techniques. Employing Malmquist indices, productivity growth is decomposed into technical efficiency change and technological change for a sample...

Persistent link: https://www.econbiz.de/10009437475

Technical and economic assessment of utility interactive PV systems for domestic applications in south-east Queensland

Khouzam, Kamel Y. - 1999

Electric utilities in Australia have been developing policies to stimulate interest and permit the purchase of electricity generated by renewable energy sources such as photovoltaic systems (PV). Studies show that under current conditions, it is technically feasible to introduce small-scale,...

Persistent link: https://www.econbiz.de/10009437742

Financing the Celtic Tigress: Venturing Financing and Informal Investment in Ireland

O'Gorman, Colm; Terjesen, Siri A. - 2006

This study explores gender differences in entrepreneurship and informal investment in Ireland, a country with one of the lowest rates of female entrepreneurship in the developed world. Females in Ireland are less likely than males to be engaged in either the demand for (as entrepreneurs), or the...

Persistent link: https://www.econbiz.de/10009437817

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Bollerslev, T.; Andersen, T.G.; Diebold, F.X. - 2005

The increasing availability of high-frequency asset return data has had a fundamental impacton empirical financial economics, focusing attention on asset return volatility and correlationdynamics, with key applications in portfolio and risk management. So-called "realized" volatilitiesand...

Persistent link: https://www.econbiz.de/10009475488