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Journal of Economics and Finance
Publishes theoretical and empirical articles in the general areas of economics and finance.
Articles from Vol. 34, No. 3, July
An Investigation of the Weekend Effect during Different Market Orientations
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AbstractStudies of stock returns over short horizons indicated irregularities in returns, the weekend effect, and consequently the notion of market efficiency has been questioned. Despite extensive research on the weekend effect, little research has...
Autocorrelation, Return Horizons, and Momentum in Stock Returns
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AbstractIn this study we examine Lewellen's (Rev Financ Stud 15:533-563 2002) claim that momentum in stock returns is not due to positive autocorrelation as behavioral models suggest. Using portfolio-specific data, we find the autocovariance component...
Bequest Motives and Household Money Demand
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AbstractThe bequest motive is an important motive determining intergenerational transfers of income, saving, and money. However, it has received little or no attention from past studies on money demand. This study utilizes panel data to show that the...
New Evidence on Shareholder Wealth Effects in Bank Mergers during 1980-2000
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AbstractThis paper employs two unique bank event study methodologies to calculate abnormal returns for bidder, target and combined firms. The first methodology is a modified market model that controls for shocks common to the banking industry. The second...
Recent Evidence on the Impact of Government Budget Deficits on the Ex Ante Real Interest Rate Yield on Moody's Baa-Rated Corporate Bonds
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AbstractThis study provides recent empirical evidence on the impact of the federal budget deficit on the ex ante real interest rate yield on Moody's Baa-rated corporate bonds. The study is couched within an open loanable funds model that includes the...
The Economic Profitability of Pre-IPO Earnings Management and IPO Underperformance
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AbstractThe purpose of this paper is to test the market performance of a zero-investment trading strategy based on the knowledge of IPO underperformance and estimates of pre-IPO earnings management. This trading strategy is implemented by forming two-firm...
The Joint Decision to Manage Earnings through Discretionary Accruals and Asset Sales around Insider Trading: Taiwan Evidence
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AbstractThis study assesses the joint decision of multiple earnings-management tools around insider trading. The Taiwanese evidence indicates significantly higher magnitudes of both discretionary accruals and asset sales before insider selling. In addition,...
The Strength and Source of Asymmetric International Diversification
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AbstractWe find that correlations between international markets continue to increase over time compared to previous research, with only Asian markets providing lower correlations relative to American and European markets. Consistent with previous studies,...
