Serious concerns have been raised that false positive findings are widespread in empirical research in business research including finance. This is largely because researchers almost exclusively adopt the ``p-value less than 0.05" criterion for statistical significance; and they are often not...

We conduct the extreme bounds analysis (EBA) to evaluate the robustness or fragility of a range of stock market anomalies, using U.S. daily data from 1960. The EBA is a large-scale sensitivity analysis, able to isolate the effects of potential data-mining or p-hacking under model uncertainty....

This paper re-evaluates the key past results of unit root tests, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The decision-based significance levels for popular unit root tests, chosen using the line of enlightened...

We decompose exchange rate exposure into systematic and partial parts. The former is the product of the exposure of the market portfolio and a firm’s market beta, reflecting the risk of the exchange rate to a macroeconomy. The latter is the residual one that most previous studies have...

Precious metals (gold, silver, and platinum) have become an important part of investment portfolios for individuals as well as for institutions. A key question is whether investors should actively trade these metals to time the market or whether they should take a buy-and-hold strategy. This...

The aim of this paper is to examine the positive and negative impacts of stock exchange mergers on the informational efficiency of the markets. We consider a range of factors in relation to the stock exchange merger, that can potentially affects market efficiency, after a merger. These factors...

This paper examines the linkage of real interest rates of a group of Pacific-Basin countries with a focus on East Asia. We consider monthly real interest rates of US, Japan, Korea, Singapore, and Thailand from 1980 to 2006. The impulse response analysis and half-life estimation are conducted in...