The value of the customer has been widely recognized in terms of financial planning and efficient resource allocation including the financial service industry. Previous studies have shown that directly observable information can be used in order to make reasonable predictions of customer...

Country risk assessment is central to the international investment, which recently has increasingly focused on emerging markets (EM). In this paper we proxy for country risk in EM by using time-varying beta. We extend existing literature by applying a dynamic conditional correlation GARCH model....

This paper investigates the effect of including the customer loan approval process to the estimation of loan performance and explores the influence of sample selection bias in predicting the probability of default. The bootstrap variable reduction technique is applied to reduce the variable...

We explore the extent to which the decisions of participants in a speculative market effectively account for information contained in prices and price movements. The horse race betting market is an ideal environment to explore these issues. A conditional logit model is constructed to determine...

In this paper, we examine the role played by the holders of privileged information (insiders) in stimulating trading volume which adds explanatory power to a price-based model of returns in a market where the actions of insiders can be isolated - a pari-mutuel betting market. We conduct...

Recently there have been a number of differing findings in the empirical evidence on fund performance. In this paper we suggest this difference could be explained by the treatment of the regression assumptions. The crucial question in this paper for investors is whether the presence of...

This paper investigates the impact of news announcements on foreign exchange (FX) implied volatility (IV) for four major FX rates for the 12-year period 1998–2009. The news announcements examined are 16 scheduled US macroeconomic announcements, the release of the minutes of the Federal Open...

The dispersion of racial incomes in South Africa has been declining since the mid 1970s. This has been accompanied by rising within-group inequality, especially amongst blacks, driven by growing unemployment. In this study, it is argued that labour market changes resulting from the breakdown of...