Managerial Finance: Volume 31 Issue 12

A Puzzle of Emerging Markets: A Systemic ‘Surprisingability’

Zeljko Sevic

Since the early 1980s when the term ‘emerging markets’ was first coined by the IMF and World Bank to describe the performance in countries with changing institutional framework…

Asset Management Companies, State‐Owned Commercial Bank Debt Transfers and Contingent Claims: Issues in the Valuation of China’s Non‐Performing Loans

Ron McIver

This article outlines contingent claims created as a result of the arrangements underlying the transfer of state‐owned commercial banks’ non‐performing loans to asset management…

Long‐Term Interdependence between Hedge Fund Strategy and Stock Market Indices

Roland Füss, Frank Herrmann

This study presents an investigation of the long and short‐term co‐movements between different hedge fund strategy indices and the stock markets of France, Germany, Japan, North…

Pricing of Equities in China: Evidence from the Shanghai Stock Exchange

Michael E. Drew, Tony Naughton, Madhu Veeraragavan

In this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We…

Market Microstructure Study on Seven US Stock Exchanges: Panel vs. VAR Methodology

Chandrasekhar Krishnamurti, Aleksandar Sevic, Zeljko Sevic

This article questions the validity of regression models when high correlations exist between independent variables and presents the application of VAR as an alternative technique…

The Cross‐Section of Expected Stock Returns: An Empirical Study in the Athens Stock Exchange

Nikolaos G. Theriou, Dimitrios I. Maditinos, Prodromos Chadzoglou, Vassilios Anggelidis

This paper explores the ability of the capital asset pricing model, as well as the firm specific factors, to explain the cross‐sectional relationship between average stock returns…