Showing papers in "Journal of Empirical Finance in 1999"

TL;DR: In this article, the authors provide a rationale for how hedge funds are organized and some insight on how hedge fund performance differs from traditional mutual funds, using statistical differences among hedge fund styles to supplement qualitative differences in hedge fund strategies.

TL;DR: In this article, the authors explore the return volatility predictability inherent in high-frequency speculative returns and show that the use of highfrequency returns significantly improves the longer run inter-daily volatility forecasts, both in theory and practice.

TL;DR: In this paper, the extent of stock market integration may depend upon certain macroeconomic variables that characterize and influence the degree of economic integration between two countries, and the authors empirically investigate this hypothesis by employing a two-step procedure to explore first, how the degreeof co-movement for a given pair of markets varies over time and second, why this interdependence varies in time.

TL;DR: In this paper, an estimator for the spectral measure associated with solutions of stochastic recurrence equations (SREs) was proposed and proved its consistency, which is the tail empirical measure of multivariate time series.

TL;DR: In this article, the authors examined the behavior of the London Financial Times Stock Exchange (FTSE) All Share, 100, 250 and 350 equity indices and showed that the FTSE stock index returns series is not truly random since some cycles or patterns show up more frequently than would be expected in a true random series.

TL;DR: In this article, the authors investigated the process determining mutual funds' conditional probability of closure, i.e., their hazard function, using a nonparametric approach to estimate the effects of a fund's age on its hazard rate.

TL;DR: In this article, the authors compare the value at risk with daily and high frequency data for the Deutsche mark-US dollar exchange rate for high frequency returns and compare deterministic and stochastic models for the filtering of high frequency return.

TL;DR: The authors assesses the predictable component of South East Asian stock markets using a bootstrap resampling method to estimate the small sample distributions of variance ratio statistics and find evidence of mean reversion in long-term dollar adjusted excess returns.

TL;DR: In this paper, the authors examined the relationship between the conditional volatility of target zone exchange rates and realignments of the system and found that conditional volatility is higher around the periods of realignment.

TL;DR: In this article, the authors study long-run comovements between real exchange rates and relative prices of nontradables and tradables and identify time periods, countries, and relative price measures for which comovement between real currency exchange rate and prices of tradables are observed.

TL;DR: In this paper, two new tests for linear and nonlinear lead/lag relationships between time series based on the concepts of cross-correlations and cross-bicorrelations are proposed.

TL;DR: The authors show that the increased power of multivariate tests stems from high correlations across series, and not necessarily from imposing a common speed of mean reversion, and find strong evidence in favor of long-run PPP which can be traced to the dollar vs. European currencies.

TL;DR: In this paper, the authors examined the dynamic relations among corporate dividends, earnings and prices, and the implications of these relations for dividend signaling and smoothing, and found that dividend changes frequently provide information about unexpected changes in future earnings for a little more than a year.

TL;DR: In this article, the authors present a complete solution to the estimation and testing of multi-beta models by providing a small sample likelihood ratio test when the usual normality assumption is imposed and an almost analytical GMM test for the normal assumption is relaxed.

TL;DR: In this article, a sequential mixture of normal distributions model of structural change is employed to estimate discrete change points in the time-series of volatility in either direction, and a joint model of time dependence and structural change was most likely.

TL;DR: In this paper, a mean variance analysis of the portfolio choice under constraints is proposed, where an efficient portfolio under constraint is called fitted, and the performance measures and associated statistics can be used to test the hypothesis of portfolio efficiency under constraint.

TL;DR: The authors evaluated the performance of the GLOBEX overnight trading system in absolute terms and relative to a liquid benchmark, the floor market of the Chicago Mercantile Exchange (CME).

TL;DR: In this article, the authors explicitly incorporate transaction costs in these models and analyze to what extent this extension is helpful in explaining the cross-section of expected returns, and find rather strong evidence of habit persistence in monthly consumption data.

TL;DR: In this paper, the authors investigated the multivariate intraday structure in interest rates, focusing on implied forward rates from Eurofutures contracts, and found that the decomposition rather stable over time.

TL;DR: In this paper, the authors developed a simple optimization model to characterize the behavior of market participants during currency attacks and tested it empirically, finding empirical support for a set of microeconomic determinants which include: daily order flow, inventory management, intra-day price volatility, and the forward intervention-price differential.

TL;DR: In this paper, the authors introduce an alternative methodology to test whether financial derivative introduction affects underlying stock return variance, based on utilizing the Generalized Autoregressive Conditional Heteroskedastic (GARCH) process to generate time-series measure of stock return volatility.

TL;DR: In this article, a nonparametric approach for testing whether an information set is useful for generating greater stock market returns is developed, which does not depend on the particular assumptions of an asset pricing model.

TL;DR: The authors showed that most of the stock price reactions to bad news management forecasts of annual earnings are reversed in the 60 days following the forecast, and that a significant amount of the price reaction to bad-news forecasts of quarterly earnings is reversed in market's reaction to the following quarterly earnings announcement.