Current integration and co-movement among international stock markets has been boosted by increased globalization of the world economy, and profit-chasing capital surfing across borders. With a reputation as the fastest growing economy in the world, China’s stock market has continued gaining...

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...

Recently, there has been a considerable interest in the Bayesian approach for explaining investors' behaviorial biases by incorporating conservative and representative heuristics when making financial decisions, (see, for example, Barberis, Shleifer and Vishny (1998)). To establish a...

Prospect theory suggests that risk seeking can occur when investors face losses and thus an S-shaped utility function can be useful in explaining investor behavior. Using stochastic dominance procedures, Post and Levy (2015) find evidence of reverse S-shaped utility functions. This is consistent...

Whether to keep products segregated (e.g., unbundled) or integrate some or all of them (e.g., bundle) has been a problem of profound interest in areas such as portfolio theory in finance, risk capital allocations in insurance, and marketing of consumer products. Such decisions are inherently...

In the empirical literature, it has been shown that there exists both linear and non-linear bi-directional causality between trading volumes and return volatility (measured by the square of daily return). We re-examine this claim by using realized volatility as an estimator of the unobserved...

This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period of 1989-2008, we find no evidence of any MV and SD relationship between...

See the article in the <I>Annals of Financial Economics</I> (2013). Volume 8, issue 2, pages 1-18.<P> In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive...</p></i>

Purpose The purpose of this paper is to bridge the gap in the literature to examine key factors that influence Taiwanese consumers to repurchase Korean beauty products. Design/methodology/approach This study uses a quantitative approach to test the proposed hypotheses using structural equation...