Showing papers in "Journal of Empirical Finance in 2003"

TL;DR: In this paper, the covariance matrix of stock returns is estimated by an optimally weighted average of two existing estimators: the sample covariance and single-index covariance matrices.

TL;DR: In this paper, the authors explore the financial effects of market integration as well as the impact on the real economy in emerging markets, including contagion, corporate finance, market microstructure and stock selection.

TL;DR: In this article, a Maximum Likelihood (ML) approach based upon an Efficient Importance Sampling (EIS) procedure is used to estimate several extensions of the standard Stochastic Volatility (SV) model for daily financial return series.

TL;DR: The authors found that stronger creditor rights and a better judicial system in the country increase the likelihood of bankruptcy filing, controlling for some firm characteristics, and found that bankruptcy filing is lower for bank-owned and group-affiliated firms.

TL;DR: In this article, the authors examined the profitability of a broad range of stock selection strategies in 32 emerging markets over the period 1985-1999 and found that value, momentum and earnings revisions strategies are most successful and generate significant excess returns, in contrast to strategies based on size, liquidity and mean reversion.

TL;DR: In this paper, the authors examined the international diversification benefits of investing in emerging markets subject to short-sale constraints and showed that the international diversity benefits remain substantial for U.S. equity investors when they are prohibited from short selling in the emerging markets.

TL;DR: In this article, the authors study the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data and calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or high.

TL;DR: In this article, a statistically and economically significant tendency for stock prices to accelerate toward the upper bound and weak evidence of acceleration toward the lower bound as the price approaches the bounds was found.

TL;DR: In this article, the authors used a database consisting of daily stock-market returns for 20 countries to test for similarities between the left and right tails of returns, as well as across countries.

TL;DR: In this article, the authors analyzed model-free measures of futures return volatility, focusing on the temporal characteristics and distributional properties of daily returns, return volatilities, (log of) standard deviations, standardized returns and pairwise correlations.

TL;DR: In this paper, a 7-year sample of continuously recorded US equity transactions is used to demonstrate how high-frequency data may be used in more effectively measuring and modeling the systematic risk(s) in factor pricing models.

TL;DR: The authors proposed a nonparametric test for market timing ability and applied the analysis to a large sample of mutual funds that have different benchmark indices, and found that the test statistic is formed to proxy the probability that a manager loads on more market risk when the market return is relatively high.

TL;DR: This article employed a neural network (NN) to study the nonlinear predictability of exchange rates for four currencies at the 1-, 6-and 12-month forecast horizons, and found that the model with market fundamentals cannot beat the random walk (RW) in out-of-sample forecast accuracy, although it occasionally shows a limited market-timing ability.

TL;DR: In this paper, the authors estimate the incremental financing decision for a sample of some 150 Dutch companies for the years 1984 through 1997, thereby distinguishing internal finance and three types of external finance: bank borrowing, bond issues, and share issues.

TL;DR: This article found that income share growth accrued almost wholly to the top quintile of the income distribution at the expense of a "middle class" that they defined as the three middle quintiles of the distribution.

TL;DR: In this paper, the authors estimate ARFIMA-FIGARCH models for the major exchange rates (against the US dollar) which have been subject to direct central bank interventions in the last decades.

TL;DR: In this article, trade frequency and average trade size impact price volatility for small trades (i.e. trades of one normal market size (NMS) or less) and for large trades, only trade frequency affects price volatility.

TL;DR: In this article, the authors present a study of extreme interest rate movements in the US federal funds market over almost a half century of daily observations from the mid 1950s through the end of 2000.

TL;DR: This article investigated volatility clustering using a modeling approach based on the temporal aggregation results for generalized autoregressive conditional heteroscedasticity (GARCH) models in Drost and Nijman [Econometrica 61 (1993) 909].

TL;DR: In this paper, a data set from the Casablanca stock exchange containing all the transaction records over a long span is studied. But the results do not support the conventional wisdom that market transparency and trading costs enhance, at least directly, the emergence of a market.

TL;DR: In this article, the authors use a robust econometric methodology to find evidence that stock splits cause an increase in market maker costs that are passed along to investors or provide a mechanism for market makers to increase profits.

TL;DR: In this paper, the authors re-examine the empirical evidence concerning a well-known class of one-factor models for the short rate process and some recent extensions allowing for a nonlinear drift and for changing parameters with a new statistical methodology based on robust statistics, the Robust Generalized Method of Moments (RGMM).

TL;DR: In this article, the authors apply Bayesian methods to study a common vector autoregression (VAR)-based approach for decomposing the variance of excess stock returns into components reflecting news about future excess stock return, future real interest rates, and future dividends.

TL;DR: In this paper, the relative contribution of floor brokers and local floor members (locals) towards the price discovery process was studied. But the authors did not consider the role of brokers in price discovery.

TL;DR: In this article, the authors employ a simultaneous equations model with two endogenous variables: (1) the binary decision of own account trading (or not), and (2) the trading profit resulting from his own-account trading, and find no evidence of significant correlation between a dual trader's private information and his abnormal profit.