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Can Multiyear Rollover Hedging Increase Mean Returns?
Yoon, Byung-Sam; Brorsen, B. Wade - 2005
Both market advisors and researchers have often suggested multiyear rollover hedging as a way to increase producer returns. This study determines whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a...
Persistent link: https://www.econbiz.de/10009445662
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Market efficiency and the Euro: the case of the Athens Stock Exchange
Panagiotidis, T - 2003
The efficient market hypothesis (EMH) is tested in the case of the AthensStock Exchange (ASE) after the introduction of the euro. The underlyingassumption is that stock prices would be more transparent; their performanceeasier to compare; the exchange rate risk eliminated and as a result we...
Persistent link: https://www.econbiz.de/10009465449
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Asset Pricing bei heterogenen Erwartungen : Analyse der Auswirkungen von heterogenen Erwartungen auf Wertpapierpreise und Wertpapierpreisbewegungen
Schnelle, Pascal - 2009
Die neoklassische Kapitalmarkttheorie und die ihr zugeordneten Standard-Asset-Pricing-Modelle gehen grundsätzlich von … neoklassischen Kapitalmarkttheorie erscheint es als logische Konsequenz, dass sich in einigen Bereichen der Kapitalmarktforschung … wissenschaftlichen Schrifttum aber an einem Rahmenwerk, welches sich dem gesamten Forschungsbereich Kapitalmarkttheorie bei …
Persistent link: https://www.econbiz.de/10009448906
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Cost efficiency in Australian non-bank financial institutions: A non-parametric approach
Worthington, Andrew C. - 2000
A two-stage procedure is employed to evaluate non-bank financial institution cost efficiency. In the first stage, data envelopment analysis is used to calculate technical, allocative and cost efficiency indices using a sample of two hundred Australian credit unions. The results indicate that a...
Persistent link: https://www.econbiz.de/10009437438
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Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis
Worthington, Andrew C.; Higgs, Helen - 2004
This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia,...
Persistent link: https://www.econbiz.de/10009437447
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Losing Sleep At The Market: An Empirical Note On The Daylight Saving Anomaly In Australia
Worthington, Andrew C. - 2003
The ‘daylight saving effect’ predicts that the mean weekend return following the spring and fall/autumn changes in daylight saving time is less than the mean weekend return throughout the rest of the year. With this market anomaly, the change in market participants’ behaviour is linked...
Persistent link: https://www.econbiz.de/10009437465
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Technical Efficiency and Technological Change in Australian Building Societies
Worthington, Andrew C. - 2000
In this study the nature and extent of efficiency and productivity growth in deposit-taking institutions is investigated using nonparametric frontier techniques. Employing Malmquist indices, productivity growth is decomposed into technical efficiency change and technological change for a sample...
Persistent link: https://www.econbiz.de/10009437475
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Technical and economic assessment of utility interactive PV systems for domestic applications in south-east Queensland
Khouzam, Kamel Y. - 1999
Electric utilities in Australia have been developing policies to stimulate interest and permit the purchase of electricity generated by renewable energy sources such as photovoltaic systems (PV). Studies show that under current conditions, it is technically feasible to introduce small-scale,...
Persistent link: https://www.econbiz.de/10009437742
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Financing the Celtic Tigress: Venturing Financing and Informal Investment in Ireland
O'Gorman, Colm; Terjesen, Siri A. - 2006
This study explores gender differences in entrepreneurship and informal investment in Ireland, a country with one of the lowest rates of female entrepreneurship in the developed world. Females in Ireland are less likely than males to be engaged in either the demand for (as entrepreneurs), or the...
Persistent link: https://www.econbiz.de/10009437817
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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil - 2001
Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability...
Persistent link: https://www.econbiz.de/10009441451