In this paper we provide an in‐depth comparative analysis of the shares of listed firms in three Southeast Asian stock markets, namely, Indonesia, Malaysia and Thailand, that had experienced the most violent fluctuations in the 1997 market crash. Our purpose is to present broad lessons from...

Forward rates in the money market are systematically higher than realised spot rates, reflecting an unobservable term premium. This paper uses a Kalman filter specification to produce time‐varying estimates of the term premia in New Zealand and Australia. Three time series specifications are...

Purpose – This paper aims to provide additional international evidence on the initial public offerings (IPOs) by examining the initial performance and two main determinants of short‐run underpricing of 169 IPOs listed on the Athens Stock Exchange (ASE) over the period 1997‐2002....

Purpose – The purpose of this paper is to investigate returns of initial public offerings (IPOs) in an emerging market and differences in the returns of privatized and non‐privatized offerings. Design/methodology/approach – Market‐adjusted return is computed as daily cumulative excess...

Purpose – Leasing evaluation is a subject that has drawn significant interest in economic circles for many years. The numerous models proposed in the literature have approached the topic from a variety of outlooks and approaches. The contributions made to date, however, all share what would...

Purpose – The purpose of this paper is to extend the models of Johnson and Stulz, Klein and Klein and lnglis to analyse the properties of vulnerable American options. Design/methodology/approach – The presented model allows default prior to the maturity of the option based on a barrier which...

Purpose – The purpose of this paper is to explore risk management models applied to electric power markets. Several Value‐at‐Risk (VaR) models are applied to day‐ahead forward contract electric power price data to see which, if any, could be best used in practice....

Purpose – The purpose of this paper is to determine if macroeconomic announcements affect the Fama‐French market, size, book‐to‐market risk factors and momentum factor. Design/methodology/approach – Using unexpected announcements of major macroeconomic indicators, a study is made of...