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Stock market returns and the temperature effect: new evidence from Europe 股市回报和温度效应:来自欧洲的新证据
Applied Financial Economics Letters Pub Date : 2008-10-17 DOI: 10.1080/17446540801998585
Christos Floros
{"title":"Stock market returns and the temperature effect: new evidence from Europe","authors":"Christos Floros","doi":"10.1080/17446540801998585","DOIUrl":"https://doi.org/10.1080/17446540801998585","url":null,"abstract":"In this article we investigate if stock market returns are related to temperature. Research in behavioural finance shows that lower temperature can lead to aggression, while higher temperature can lead to both apathy and aggression (Cao and Wei, 2005). Evidence from previous studies suggests that the temperature anomaly is characterized by a negative relationship between stock market returns and temperature. We consider daily financial and temperature data from five European countries: Austria, Belgium, France, Greece and UK. Using a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) method, we find a negative relationship between temperature and stock market returns for Austria, Belgium and France only. Greece and UK show a positive but not significant correlation between temperature and stock market returns. These findings are strongly recommended to financial managers and investors dealing with European stock indices.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"153 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132925431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 41
Application of the auction theory to the overpricing phenomenon in a corporate bond underwriting market 拍卖理论在公司债券承销市场定价过高现象中的应用
Applied Financial Economics Letters Pub Date : 2008-10-17 DOI: 10.1080/17446540801982662
K. Matsui
{"title":"Application of the auction theory to the overpricing phenomenon in a corporate bond underwriting market","authors":"K. Matsui","doi":"10.1080/17446540801982662","DOIUrl":"https://doi.org/10.1080/17446540801982662","url":null,"abstract":"This short article demonstrates an application of price auction theory to a securities underwriting market, which is characterized by the competitive behaviours of investment houses. An investigation of newly issued Japanese straight bonds, reported in a letter by Matsui (2006), provided statistical evidence that issue yields tend to be set significantly lower than equilibrium yields. Consistent with that finding, the model presented in this letter demonstrates theoretically that increased underwriting competition reduces issue yields and that the degree of overpricing is positively correlated with the credit quality of the issuer.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116269443","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Exchange rates and fractional integration revisited 重新审视汇率和分数积分
Applied Financial Economics Letters Pub Date : 2008-10-17 DOI: 10.1080/17446540801998593
P. Sephton
{"title":"Exchange rates and fractional integration revisited","authors":"P. Sephton","doi":"10.1080/17446540801998593","DOIUrl":"https://doi.org/10.1080/17446540801998593","url":null,"abstract":"Jin, et al. (2006) relied on a semi-parametric wavelet estimator of the degree of fractional integration and its associated t-statistic to conclude that many exchange rates appear to be fractionally integrated. This note demonstrates that several recent tests for fractional integration provide a much different view of the temporal properties of many exchange rates.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"473 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128209438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Disaggregating ‘accounting earnings’ to better explain UK dividends 分解“会计收益”以更好地解释英国股息
Applied Financial Economics Letters Pub Date : 2008-10-17 DOI: 10.1080/17446540701765266
Abdallah Atieh, Simon Hussain
{"title":"Disaggregating ‘accounting earnings’ to better explain UK dividends","authors":"Abdallah Atieh, Simon Hussain","doi":"10.1080/17446540701765266","DOIUrl":"https://doi.org/10.1080/17446540701765266","url":null,"abstract":"The aim of our article is to investigate whether corporate cash flow and accruals data have a role to play in explaining dividends for a sample of nonfinancial UK firms between 1994 and 2004. We employ a cash flow variant of Lintner's (1956) dividend model similar to those used in prior research such as Brittain (1964) and Simons (1994). However, we examine the role of cash flows together with long- and short-term accruals components of ‘accounting earnings’. Several studies have shown that disaggregated earnings components have greater explanatory power for future cash flows than either current cash flows or earnings data (Barth et al., 2001; Al-Attar and Hussain, 2004). We find similar explanatory gains within the Lintner model framework for dividends.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"21 9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122117424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Long memory in international equity markets: revisited 国际股票市场的长期记忆:重访
Applied Financial Economics Letters Pub Date : 2008-10-17 DOI: 10.1080/17446540701765282
A. Assaf
{"title":"Long memory in international equity markets: revisited","authors":"A. Assaf","doi":"10.1080/17446540701765282","DOIUrl":"https://doi.org/10.1080/17446540701765282","url":null,"abstract":"This study provides empirical evidence of the long-range behaviour in international equity markets. We test for long memory in the daily returns using the modified rescaled range statistic R/S proposed by Lo (1991) and the rescaled variance V/S statistic developed by Giraitis et al. (2003). Long memory is found to be weak in the return series when using R/S but some evidence of long memory is found in USA and Germany based on V/S analysis. Our results confirm those reported by Lo (1991) using only the rescaled range analysis and should be useful to regulators, practitioners and derivative market participants, whose success depends on the ability to forecast stock price movements.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121659428","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Firm survival and time aggregation bias 企业生存和时间聚集偏差
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720691
C. Siriopoulos, D. Lalountas
{"title":"Firm survival and time aggregation bias","authors":"C. Siriopoulos, D. Lalountas","doi":"10.1080/17446540701720691","DOIUrl":"https://doi.org/10.1080/17446540701720691","url":null,"abstract":"This note provides some evidence of the sensitivity of firm survival duration dependence to time aggregation, when durations are Weibull distributed. The results indicate that estimates of duration dependence are always positively biased: This bias increases with the width of time aggregation window and decreases with the length of expected durations. On the other hand, time aggregation does not seem to have drastic effect on the regression parameter estimates. These results are unaffected by the time aggregation mechanism.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125241895","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The causal relationship between domestic and outward foreign investment: evidence for Italy 国内和对外投资之间的因果关系:意大利的证据
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720634
D. Herzer
{"title":"The causal relationship between domestic and outward foreign investment: evidence for Italy","authors":"D. Herzer","doi":"10.1080/17446540701720634","DOIUrl":"https://doi.org/10.1080/17446540701720634","url":null,"abstract":"This article examines the impact of outward foreign direct investment (OFDI) on domestic investment by applying cointegration techniques to macroeconomic time series data for Italy. We find that OFDI has negative short-run and positive long-run effects on domestic investment. Furthermore, our empirical results show that the long-run causality is bi-directional, suggesting that increased OFDI is both a cause and a consequence of increased domestic investment.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129751458","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Decomposition of mutual fund underperformance 共同基金表现不佳的分解
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701720675
Jin-Li Hu, Tzu-Pu Chang
{"title":"Decomposition of mutual fund underperformance","authors":"Jin-Li Hu, Tzu-Pu Chang","doi":"10.1080/17446540701720675","DOIUrl":"https://doi.org/10.1080/17446540701720675","url":null,"abstract":"This article follows a three-stage data envelopment analysis (DEA) approach proposed by Fried et al. (2002) to decompose mutual fund underperformance, in order to obtain pure managerial performance. In the first stage, DEA is used to compute each fund's performance. In the second stage, a stochastic frontier regression decomposes fund underperformance into characteristics (including fund and management attributes), managerial inefficiency, and statistical noise. In the third stage, DEA with slack-adjusted data is used to find out the pure performance. It is found that a fund's performance significantly increases with its size, previous performance, manager's tenure and education, while it decreases with the age of the fund and number of managed funds.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130262799","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
Are stock repurchases more flexible than dividends? The caseof Japanese firms 股票回购是否比派息更灵活?日本公司的案例
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701736028
N. Baba, Yoichi Ueno
{"title":"Are stock repurchases more flexible than dividends? The caseof Japanese firms","authors":"N. Baba, Yoichi Ueno","doi":"10.1080/17446540701736028","DOIUrl":"https://doi.org/10.1080/17446540701736028","url":null,"abstract":"This article investigates the flexibility hypothesis of stock repurchases relative to dividends using the panel data of 577 Japanese firms. The estimation result of the partial adjustment model shows that the coefficient of adjustment speed towards the target payouts is higher for total payouts defined as the sum of dividends and stock repurchases (62.4%) than dividends only (34.3%). This result suggests that stock repurchases are more flexible than dividends in Japan.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116590446","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
An ordered probit model of Morningstar individual stock ratings 晨星个股评级的有序概率模型
Applied Financial Economics Letters Pub Date : 2008-09-26 DOI: 10.1080/17446540701736002
R. Brooks, S. Naylor
{"title":"An ordered probit model of Morningstar individual stock ratings","authors":"R. Brooks, S. Naylor","doi":"10.1080/17446540701736002","DOIUrl":"https://doi.org/10.1080/17446540701736002","url":null,"abstract":"This article analyses the overall ratings given to individual companies listed in the ‘Morningstar Stocks 2005’, using information provided on the company in that publication. We conduct our analysis using an ordered probit model. We find that the moat size and business risk variables identified by Morningstar are important determinants of ratings. However, we find that the style box variables are insignificant.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122623823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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