A five-factor asset-pricing model is employed to estimate the systematic financial risk exposure of airlines in North America, Europe and Asia between 1990 and 2010. Our panel data reveal that the risk to North America airlines is positively related to operating leverage and profitability, but...

Behavioral models suggest that momentum and contrarian effects are linked. We examine the two effects in the Chinese stock market over an 18-year period. The findings reveal that there is no momentum effect in China. Nevertheless, contrarian portfolio yields significant returns. In other words,...

Does exchange rate volatility affect world and bilateral trade flows of SAARC countries? Based on conditional exchange rate volatility generated from an asymmetric exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model, the results of the export demand function...

This paper applies a heuristic decision-making approach to a heterogeneous agent model with two types of investors and tests the model using historical observations of CSI 300. In this heuristic HAM, we use simple moving averages instead of complex capital asset pricing models to assess the...