Journal of Economics and Finance

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

Articles from Vol. 27, No. 2, Summer

An Empirical Examination of the Effectiveness of Dollar-Cost Averaging Using Downside Risk Performance Measures
AbstractSome studies find the dollar-cost averaging investment strategy to be sub-optimal using a traditional Sharpe ratio performance ranking metric. Using both the Sortino ratio and the Upside Potential ratio, we empirically test four investment strategies...
Contributions of States to Regional Income Dispersion
AbstractThis paper examines proportionate contributions of states to total income dispersion among the states within the regions in the United States from 1929 to 1997. The criterion for equitable distribution is that each state receives a share of the...
Detecting Speculative Bubbles in an IT-Intensive Stock Market
AbstractUsing a battery of unit root test procedures and cointegration analysis with alternative null hypotheses we find some evidence of speculative bubbles in the Finnish stock market for monthly data on industry portfolio stock prices and returns...
Fair Bets and Profitability in College Football Gambling
AbstractEfficient markets in college football are tested over a 25-year period, 1976-2000. The market in general is found to be efficient, but betting on underdogs of more than 28 points violates a fair bet. The strategy of betting home underdogs reveals...
Long Memory and Structural Breaks in Hyperinflation Countries
AbstractIn this paper we examine the stochastic behavior of prices in hyperinflation countries by using a fractional integration test (Robinson 1994) that lends itself to incorporating structural breaks into the model. We focus on Argentina, Brazil,...
Mutual Fund Managers: Does Longevity Imply Expertise?
AbstractWe analyze the performance of 1,042 mutual funds from 1986 to 1995 to measure the relationship between manager tenure and performance. Funds whose managers' have at least ten years tenure do not generate significantly higher excess returns than...
Quantification of Political Risk with Multiple Dependent Sources
AbstractIn this paper, we develop a model using a conditional Poisson process for measuring the effect of a countable number of mutually dependant political risks on the outcome of foreign direct investment. We also apply a Bayesian updating process...
Relative Importance of Scheduled Macroeconomic News for Stock Market Investors
AbstractThis paper investigates the relative importance of scheduled U.S. macroeconomic news releases for stock valuation. The study focuses on 11 macroeconomic announcements selected on the basis of the previous literature and the Bureau of Labor Statistics...
The Effect of European Integration on Trade with the APEC Countries: 1981-2000
AbstractThis study examines whether the European Union (EU) integration has resulted in significant trade decrease with the three Asia-Pacific Economic Cooperation (APEC) sub-groups during 1981-2000: NAFTA, ASEAN, and NIC. To include all the trade data...
Variation in Ex Day Dividend Pricing: Myth or Reality?
AbstractRecent price discreteness based reinterpretation of ex day price adjustments motivates our analysis of dividend pricing around the elimination of fixed commissions in May 1975 and the tax reform acts of 1984 and 1986. Our results are consistent...