The main purpose of this paper is to investigate the relation between oil price movements and stock returns in US transportation companies. We estimate oil price risk exposures of the US oil transport sector at the firm level as well as at the industry level over November 1999 to February 2008...

The main purpose of this paper is to provide evidence on some of the standard models of accounting earnings and returns relations mainly collected through the literature. Standard models such as earnings level and earnings changes, among others, have been investigated in this study. Models that...

The main purpose of this paper is to investigate the validity and predictability of technical analysis in the Taiwan stock market. Bootstrapped tests of White (2000) and of Hansen (2005) are employed to ascertain whether there exists a superior trading rule among two broadly used sets of...

The main purpose of this paper is to examine the impact that the introduction of exchange traded derivative warrants has on the underlying securities' price, volume and volatility in the Australian market. The impact that derivative trading has on the underlying security is essential to our...

The main purpose of this paper is to show that the lack of misreaction to common information in previous research may be due to methodological weakness. As of now, there is no evidence which suggests that stocks under-react to common information at short horizons and over-react at longer...

The main purpose of this paper is to explore a high-frequency tactical asset allocation strategy. In particular, we investigate the profitability of momentum trading and contrarian investment strategies for equities listed on the Australian Stock Exchange (ASX). In these two strategies we take...

The main purpose of this paper is to model bank spread behavior under capital regulation and deposit insurance. Comparative static results show that an increase in the capital-to-deposits ratio or the deposit insurance decreases the bank's interest margin or spread. It is also shown that an...

While there is a strong research tradition in exploring attitudes to and behavior in relation to retirement planning in Western countries, (e.g., Grable and Lytton, 1997; Jacobs-Lawson and Hershey, 2005) there is less research in Asian societies. Not only are we unaware of whether demographic...

The main purpose of this paper is to compare the performance of portfolio strategies, comprising investments in emerging markets alone, and those strategies of combining investment in emerging and developed markets. The major finding of this paper is: the portfolio strategy combining investment...

In this paper, we study the relation between order imbalances (buyer versus seller-initiated trades measured by a buy ratio) at an early trading hour and intraday price discovery in the Chinese stock markets. We find that the volatility of order imbalances is the highest around the open. There...