Showing papers in "Journal of Empirical Finance in 2001"

TL;DR: In this article, the authors proposed a monthly measure of the intensity of capital controls across 29 emerging markets, based on restrictions on foreign ownership of equities, which provides information on the extent and evolution of financial liberalization.

TL;DR: In this article, the authors compare the performance of a daily ARCH type model (which uses daily returns) with a model based on the daily realized volatility when the 1-day ahead value-at-risk (VaR) is to be computed.

TL;DR: In this paper, different specifications of conditional expectations are compared with nonparametric techniques that make no assumptions about the distribution of the data, and the conditional mean and variance of the NYSE market return are examined.

TL;DR: In this article, the authors developed a framework for testing that the value-at-risk (VaR) measure at hand is properly specified, and second for picking the best among two models in a statistically meaningful way.

TL;DR: In this paper, the authors present a survey on the various approaches that can be used to test whether the mean-variance frontier of a set of assets spans or intersects the frontier of larger sets of assets.

TL;DR: In this paper, the authors show that when there is a persistent predictable component in the return, an increase in the horizon may increase the R 2 statistic of the regression and the approximate slope of a predictability test.

TL;DR: In this paper, the authors used Garch models to estimate the objective and risk-neutral density functions of financial asset prices and by comparing their shapes, recover detailed information on economic agents' attitudes toward risk.

TL;DR: This article used a four-moment model and by sampling 28 futures contracts and nine market proxies to investigate the contribution of the third and fourth moments in explaining the return-generating process in futures markets.

TL;DR: This paper examined the empirical feasibility of the second and third explanations, as well as whether combining explanations can fully account for home asset bias, and found that no single set of adjustments can explain home-asset bias by itself.

TL;DR: This article examined the relation between layoffs and stockholders' wealth, and corporate performance subsequent to layoffs, finding that layoffs are preceded by a period of poor stock market and earnings performance, and are followed by significant improvements in both.

TL;DR: In this paper, the authors employ a Monte Carlo study to analyze the size and shape of the look-ahead bias in performance persistence that arise when a survivorship free sample is used with standard techniques.

TL;DR: In this article, the authors integrate models of atemporal risk preference that relax the independence axiom into a recursive intertemporal asset-pricing framework and find that a model incorporating risk preferences that exhibit first-order risk aOersion accounts for significantly more of the mean and autocorrelation properties of the data than models that exhibit only secondorder risk aversion.

TL;DR: In this article, the authors compared the Danish stock and bond markets with the US stock markets and found that news about higher future inflation leads to an increase in expected future stock returns, and that excess stock return news and excess bond return news are negatively correlated.

TL;DR: This paper investigated the dependence of option prices on autoregressive dynamics under stylized facts of stock returns, i.e. conditional heteroskedasticity, leverage effect, and conditional leptokurtosis.

TL;DR: The authors showed that the sampling distribution of the regression estimator of this coefficient is upward-biased relative to unity and strongly skewed to the right, and that the estimator is biased in a direction opposite to what is observed.

TL;DR: In this article, the authors examine the pricing of initial public offering (IPO) and seasoned equity offering (SEO) firms using a stochastic frontier methodology, and find that commonly used pricing factors do indeed influence valuation.

TL;DR: The power of mean reversion tests has long been a tacit issue of the market efficiency literature as mentioned in this paper, and several attempts have been made to develop tests that would have greater power against AfadsB hypotheses such as Summers'.

TL;DR: In this article, the authors investigate whether the intertemporal tradeoff between risk and return is responsible for the reported evidence of mean reversion in stock prices, and they find that price movements not related to the effects of Markov-switching market volatility are largely unpredictable over long horizons.

TL;DR: In this paper, the authors use a splitpopulation duration model that provides useful information regarding factors that could lead to a second bankruptcy and find that the probability of a firm re-entering bankruptcy is lower for firms that take a long time to reorganize, reduce their debt-to-assets ratio, do not divest, belong to an industry that has low capacity utilization and low demand growth.

TL;DR: In this paper, the authors present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves, which yields more realistic spreads than traditionally obtained spread curves that result from subtracting independently estimated government and corporate term structures.

TL;DR: In this paper, the authors compare the standard test results with those of the GMM-based J test and bootstrap-based tests and find that the test results are robust to violations of the i-id-normality assumption.

TL;DR: In this paper, the authors used daily price and volume data on 112 of the largest takeover targets in Australia during the period from 1985 to 1993, and found that conditional price volatility declines after the takeover announcement.

TL;DR: This paper examined the impact of changes in margin requirements on returns, transaction volume, and price volatility of the Nikkei 225 futures traded on the Osaka Securities Exchange (OSE) and the Singapore International Monetary Exchange (SIMEX).

TL;DR: In this article, the forward foreign exchange market is modelled within the framework of a limited participation two-country model and then simulated using the artificial economy methodology, and the model goes some distance in explaining the forward discount bias puzzle but falls short of resolving it.

TL;DR: In this article, a vector autoregression (VAR) is represented in terms of the eigenvalues and eigenvectors of its companion matrix, which is used to impose the exact restrictions implied by the expectations hypothesis on the VAR for short and long term interest rates and calculate the restricted maximum likelihood estimates.

TL;DR: In this article, the authors re-examine volatility tests of the expectations model of the term structure of interest rates and find that the long-term interest rate overreacts to all transitory shocks, and underreact to all permanent shocks.