Studies in Economics and Finance: Volume 36 Issue 3

The impact of major life events on household asset portfolio rebalancing

Tracey West, Andrew Worthington

This paper aims to model the asset portfolio rebalancing decisions of Australian households experiencing a severe life event shock.

Stock market, banking sector and economic growth: A cross-country analysis over different economic cycles

Soumya Guha Deb, Sibanjan Mishra, Pradip Banerjee

The purpose of this paper is to examine the causal relationship between economic development and financial sector development for 28 countries at different stages of their…

Bank-based and market-based development and economic growth: an international investigation

Isaac Boadi, Daniel Osarfo, Perpetual Boadi

The purpose of this paper is to investigate the relative impact of bank-based and market-based financial developments on economic growth from 1984 to 2015, using 60countries.

Hedging performance and the heterogeneity among market participants

Yihao Lai, Wei-Shih Chung, Jiaming Chen

This paper aims to apply the heterogeneous autoregressive model of realized volatility (HAR-RV) model to minimum-variance hedge ratio estimation and compares the hedging…

Price formation in call auctions with insider information

Tobias Brünner

This study aims to investigate – theoretically and empirically – if call auctions incorporate asymmetric information into prices.

Are hedge fund returns affected by media coverage of macroeconomic news?

Sandip Dutta, James Thorson

Extant literature suggests that the difficulty associated with the interpretation of macroeconomic news announcements by the market in general in different economic environments…

Portfolio optimization based on modified expected shortfall

Deepak Jadhav, T.V. Ramanathan

An investor is expected to analyze the market risk while investing in equity stocks. This is because the investor has to choose a portfolio which maximizes the return with a…