Purpose – The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs) is lower in highly volatile periods, and to shed more light on the factors behind the tracking error. Design/methodology/approach – The authors apply the Error Correction...

This study investigates the causal relationship between the Volatility Index (VIX), as an indicator of fear sentiment, and the price of gold futures. We apply tests of causality in-mean and in-variance to recent data about US gold futures and find bidirectional causality in-mean and in-variance...

This study demonstrates how the predicted frequency of a limit hit can assist in designing an optimal futures contract with regard to two issues — the cost of trading and the construction of an optimal limit regime. Using a logit function, we present an initial attempt to estimate the...

Employing implicit discount rates (derived from subjects' cash-flow responses) previous experimental studies find that the order of magnitude of the implicit rates is higher than actual capital-market rates, and that the impact of time (t) and (S) of the cash-flow on discount rates (R) is...

Using an event study analysis, this paper investigates the effect of launching a website on corporate stock returns. We find that for domestic firms (traded in the US) the effect on returns is not statistically significant. However, for foreign stocks traded on US capital markets the effect is...

This paper estimates the degree of the exponential-function misvaluation, its variation with given product price level, and its expected growth rate. The paper examines whether other mathematical functions, such as linear, quadratic and cubic functions, conform to the discounting and compounding...

In this study we use a sample of 334 S&P500 companies to examine the extent to which financially distressed firms pay dividends in order to attract investors. We find a higher dividend yield and a higher pay-out ratio for financially distressed firms than for financially stable firms. We also...