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Signalling and jump bidding in takeover auctions 收购拍卖中的信号和跳投
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701367469
Anna Dodonova
{"title":"Signalling and jump bidding in takeover auctions","authors":"Anna Dodonova","doi":"10.1080/17446540701367469","DOIUrl":"https://doi.org/10.1080/17446540701367469","url":null,"abstract":"This article generalizes the model of Dodonova and Khoroshilov (2006) who argues that there are no signalling equilibria in takeover auctions.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122109489","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
Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis 用小波分析估计和分析澳大利亚股票的赫斯特指数
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701367444
R. Brooks, E. Maharaj, B. Pellegrini
{"title":"Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis","authors":"R. Brooks, E. Maharaj, B. Pellegrini","doi":"10.1080/17446540701367444","DOIUrl":"https://doi.org/10.1080/17446540701367444","url":null,"abstract":"This article presents an estimation and analysis of the Hurst exponent for Australian stocks using the wavelet technique. Consistent with Mulligan's (2004) study of US technology stocks, we find that the Hurst exponent varies over the cross-section of stocks. We also analyse Mulligan's (2004) and our data and find that beta can explain some of the cross-sectional variation in the Hurst exponents. However, we find that our results are not robust to filtering out the short range dependence in the data.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134553910","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: 9
Consumption, wealth and expected stock returns in Australia: some further results 澳大利亚的消费、财富和预期股票回报:一些进一步的结果
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701262843
L. Fisher
{"title":"Consumption, wealth and expected stock returns in Australia: some further results","authors":"L. Fisher","doi":"10.1080/17446540701262843","DOIUrl":"https://doi.org/10.1080/17446540701262843","url":null,"abstract":"This article re-examines the evidence that cay, the residual from a cointegrating regression of consumption on labour income and household wealth, is a useful predictor of excess stock returns in Australian data. In recursive samples beginning in 1976:q4 and ending from 1990:q1 to 2003:q1, cay is a strong predictor of excess returns. In samples that end thereafter, cay loses its predictive power for returns. This is due to a break-down in the cointegrating relation among consumption, labour income and household wealth following recent developments in the housing and stock markets.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130934840","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
Do acquirer company returns improve after a takeover? Empirical evidence for Australia 收购后收购方公司的收益是否有所改善?澳大利亚的经验证据
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701367493
Stuart Dullard, K. Hawtrey
{"title":"Do acquirer company returns improve after a takeover? Empirical evidence for Australia","authors":"Stuart Dullard, K. Hawtrey","doi":"10.1080/17446540701367493","DOIUrl":"https://doi.org/10.1080/17446540701367493","url":null,"abstract":"This article investigates the returns of acquirer companies in the wake of corporate takeovers. The study tests the post-takeover returns of Australian acquirer firms during the period 2001 to 2003, using two alternative benchmark models. We find evidence that acquirer companies outperform the market benchmark in the three years following the takeover. We also find that takeovers improve the share price performance of such companies relative to their pre-takeover history.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124078992","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
Estimating the uncertainty of relative risk aversion 估计相对风险厌恶的不确定性
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701335474
Karl-Heinz Tödter
{"title":"Estimating the uncertainty of relative risk aversion","authors":"Karl-Heinz Tödter","doi":"10.1080/17446540701335474","DOIUrl":"https://doi.org/10.1080/17446540701335474","url":null,"abstract":"This note reports estimates of the coefficient of relative risk aversion, using a method recently proposed by Azar (2006). In contrast to his work, the complete information of US stock return data over the period 1926 to 2002 is utilized. Moreover, a bootstrap procedure is applied to estimate the associated uncertainty. Point estimates close to 3.5 are obtained. However, ranging from 1.4 to 7.1, the 95% confidence interval is wide.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131174540","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
Transmission of shocks among health care stock index returns 传导冲击中医疗保健类股票指数回升
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701416399
B. Ewing, Jamie B. Kruse, M. A. Thompson
{"title":"Transmission of shocks among health care stock index returns","authors":"B. Ewing, Jamie B. Kruse, M. A. Thompson","doi":"10.1080/17446540701416399","DOIUrl":"https://doi.org/10.1080/17446540701416399","url":null,"abstract":"This article examines the transmission of shocks among different sectors of the health care industry using financial market data in an excess-return model. As suggested by the nature of the reimbursement schemes, we find a significant linkage between the payor and product sectors. A significant and stronger linkage between the payor and provider sector exists. Given its competitive and well-diversified operating environment, the product sector may be better positioned to absorb shocks from the other health care sectors.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130305192","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
The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM 黄金期货市场之间的动态关系:来自COMEX和TOCOM的证据
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701262868
Hui-Na Lin, Shu-Mei Chiang, Kun-Hong Chen
{"title":"The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM","authors":"Hui-Na Lin, Shu-Mei Chiang, Kun-Hong Chen","doi":"10.1080/17446540701262868","DOIUrl":"https://doi.org/10.1080/17446540701262868","url":null,"abstract":"This study employs a bivariate GARCH model to examine the dynamic relationships between two gold futures markets (COMEX and TOCOM) before and during gold's recent uptrend of the past few years. Results show that the performance of COMEX is better than TOCOM. However, TOCOM leads COMEX in the mean return. Volatility transmission effects exist in both COMEX and TOCOM. While the responses to good news and bad news are symmetrical in TOCOM, they are asymmetric in COMEX.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126666787","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: 22
Underpricing of initial public offerings in Bangladesh 孟加拉国首次公开募股定价过低
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701222383
T. Hasan, Shakil Quayes
{"title":"Underpricing of initial public offerings in Bangladesh","authors":"T. Hasan, Shakil Quayes","doi":"10.1080/17446540701222383","DOIUrl":"https://doi.org/10.1080/17446540701222383","url":null,"abstract":"The present study provides a comprehensive analysis of the short-run underpricing of initial public offerings (IPO) in Bangladesh and attempts to identify the factors which contribute to such underpricing in this heavily regulated underwriting market. Using a sample of 90 IPOs issued during the short-lived stock market boom in the mid-nineties, we show that increased ownership stake and foreign participation lowers the magnitude of underpricing.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115650686","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
Emerging markets mutual funds: regional exposure and stock selection ability 新兴市场共同基金:区域敞口与选股能力
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701367477
Javier Rodríguez, J. Torrez
{"title":"Emerging markets mutual funds: regional exposure and stock selection ability","authors":"Javier Rodríguez, J. Torrez","doi":"10.1080/17446540701367477","DOIUrl":"https://doi.org/10.1080/17446540701367477","url":null,"abstract":"The regional exposure and stock-selection ability of emerging markets mutual funds is empirically examined during the 2001 to 2005 time period. This sample of funds shows a clear preference towards the Asian markets and as a group show evidence of poor stock-selection ability. When the sample is partitioned between surviving and nonsurviving funds, only the subgroup of surviving funds show evidence of positive stock-selection ability.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122211497","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 and nonlinearity in stock markets 股票市场的长记忆与非线性
Applied Financial Economics Letters Pub Date : 2008-01-01 DOI: 10.1080/17446540701367451
D. Bond, K. Dyson
{"title":"Long memory and nonlinearity in stock markets","authors":"D. Bond, K. Dyson","doi":"10.1080/17446540701367451","DOIUrl":"https://doi.org/10.1080/17446540701367451","url":null,"abstract":"In this article the long memory and nonlinear properties of share prices in the UK's stock exchange and alternative investment markets are explored. The results suggest that the most commonly traded shares exhibit long memory. Thus, the validity of market efficiency is questioned.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129113113","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
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