This paper employs a variance ratio test to reexamine the random walk hypothesis for the Canadian dollar, French franc, Deutsche mark, Japanese yen and British pound. In addition to standard normal test statistics, the bootstrap resampling technique is used to calculate the significance levels...

We examine the informational role of options across exercise prices under different market conditions. We analyze the influence of options' leverage effect, and market cycles on the cause-effect relation between stock and options markets based on an emerging options market--the Taiwan stock...

We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the US from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that...

Using data from MSCI Taiwan Index adjustments, we study analyst responses to stock additions from 1999 to 2007. The empirical results show that the magnitudes of changes in analysts' earnings-per-share forecasts are similar to those of their two benchmarks for new additions to the index....

Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the...

This study explores how information costs, proxied by characteristics of credit reporting systems, affect the foreign expansion of the top 100 multinational banks. We find that banks prefer to expand operations in countries where private credit bureaus exist or where the credit reporting system...