Journal of Economics and Finance

Publishes theoretical and empirical articles in the general areas of economics and finance. 

Articles from Vol. 35, No. 2, April

A Bayesian Analysis of Market Information Linkages among NAFTA Countries Using a Multivariate Stochastic Volatility Model
AbstractNAFTA has arguably been the most important and elaborate free-trade agreement in history, providing a blueprint for potential new agreements. So far, the evidence is mixed as to whether NAFTA has been successful in terms of its economic impact....
On the Financial Characteristics of Firms That Initiated New Dividends during a Period of Economic Recession and Financial Market Turmoil
AbstractThe initiation of new dividends and increases in dividend payout ratios occur infrequently because once initiated it would be expected by most investors that the new dividends will be maintained. Dividend announcements are said to have informational...
Sarbanes-Oxley Wealth Effects: Focus on Technology Firms
AbstractWe evaluate the shareholder wealth effects surrounding the passage of the Sarbanes-Oxley Act (SOX). While other studies have also measured wealth effects, none has separately examined technology firms. We discuss the unique characteristics of...
The Exchange Traded Funds' Pricing Deviation: Analysis and Forecasts
AbstractIn this paper, we study the pricing deviations of the three most liquid Exchange Traded Funds from the price of the underlying index. We examine Spider, Diamonds, and Cubes and find that their price deviation is predictable and nonzero. Therefore,...
The Wisdom of the Few or the Wisdom of the Many? an Indirect Test of the Marginal Trader Hypothesis
AbstractThe Marginal Trader Hypothesis (Forsythe et al. 1992, in American Economic Review 82(5): 1142-1161) posits that a small group of well-informed traders keep an asset's market price equal to its fundamental value. Forsythe et al. base this claim...
Timing of Price Clustering and Trader Behavior in the Foreign Exchange Market: Evidence from Taiwan
AbstractIn this paper, I use a unique proprietary dataset from the foreign exchange market to examine the existing hypotheses on price clustering. I find that market uncertainty plays an important role in price clustering. Moreover, since trading behavior...