The use of conventional augmented CAPM specification in estimating the exchange rate exposure may result in less reliable estimates for, at least, two reasons. First, it does not take into account a few important stylized facts associated with financial time series. Second, one cannot estimate...

The noticeable dichotomy between the research and practice of exchange rate exposure management may be partly due to the fact that the degree, the direction and the significance of the exposure to currency risk vastly depend on the method of estimation and the proxies used. In this paper, we...

This paper examines the benefits of regionally and globally diversified portfolios from the perspective of investors holding domestic-only portfolios from different Asia-Pacific countries. Three groups of regional portfolio are constructed, with sorting based on relative strength ranking...

The bitter experience of the subprime crisis of 2007, the Global Financial crisis of 2008, and the extremely slow and painful ensuing recovery, has raised systemic risk to the center stage of global economic discourses. The crisis has brought home the urgent need for a thorough assessment of the...

Objective - The vital role of entrepreneurial orientation (EO) on firm performance has been widely studied in developed countries. Most studies have found a positive linear relationship between EO and firm performance. However, the empirical findings are inconclusive. According to the recent...

Several recent articles report evidence of predictability in the skewness of equity returns, raising hopes that predictability in third moments will be useful for forecasting the probability of tail events. The evidence is unfortunately difficult to interpret, partly because they were obtained...

Most of the tests for asymmetry are developed under the null hypothesis of normal distribution. As is well known, many financial data exhibits fat tail, and commonly used tests (such as the standard square root test based on sample skewness) are not valid for leptokurtic financial data. Also,...

This paper develops a flexible parametric approach to capture asymmetry and excess kurtosis along with conditional heteroskedasticity with a general family of distributions for analyzing stock returns data. Engle's (1982) autoregressive conditional heteroskedastic (ARCH) model and its various...

This paper examines the impact of intellectual capital (IC) on the corporate performance of banking firms listed on the New York Stock Exchange from 2000 to 2011 as an attempt to rectify observed modeling issues in the extant IC performance models. It also studies the long-run behavior of IC as...