Studies in Economics and Finance: Volume 33 Issue 1

Option replication and the performance of a market timer

Georges Hübner

The Treynor and Mazuy framework is a widely used return-based model of market timing. However, existing corrections to the regression intercept can be manipulated through…

Dependence and extreme correlation among US industry sectors

Kunlapath Sukcharoen, David J. Leatham

– The purpose of this paper is to examine the degree of dependence and extreme correlation (i.e. tail dependence) among US industry sectors.

A hybrid approach to exchange rates: How do macro news and order flow affect exchange rate volatility?

Guangfeng Zhang, Ian Marsh, Ronald MacDonald

– This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework.

Does idiosyncratic volatility predict future growth of the Australian economy?

Bin Liu, Amalia Di Iorio

– This paper aims to examine whether idiosyncratic volatility and other asset pricing factors predict growth rates of the ten Australian economic indicators.

The inverse of a terror event? Stock market response to pro-active action

Zvika Afik, Yaron Lahav, Lior Mandelzweig

This paper aims to study and document the effect of counter-terrorism on stock returns. The authors select a sample of pro-active defense operations, performed by the Israeli…

The manipulation of LIBOR and related interest rates

Harald Braml

The “London InterBank Offered Rate” (LIBOR) is one of the most important short-term interest rates with trillions of US dollar in financial products tied to it. Due to recent…

The impact of capital shocks on M & A transactions

Hongchao Zeng, Ying Huang

This paper aims to examine whether an exogenous shock to the supply of financial capital mitigates agency conflicts between managers and shareholders and incentivizes managers to…

Mergers and acquisitions: a review. Part 1

Reza Yaghoubi, Mona Yaghoubi, Stuart Locke, Jenny Gibb

This paper aims to review the relevant literature on mergers and acquisitions in an attempt to provide a comprehensive account of what we know about mergers and which parts of the…