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When Kerry Met Sally: Politics and Perceptions in the Demand for Movies (p. 1617) Jason M. T. Roos, Ron Shachar A blockbuster in Boston might be a dud in Denver; [...]

Socially responsible investment offers the potential to contribute to improved corporate practices through the incentive of enabling more responsible companies to access financial resources under better terms. Improved corporate practices [...]

I test whether stock returns are determined by market risk, profit margin, asset turnover, and equity multiplier. Using five cyclical industries and six non-cyclical industries over the sample period of 1960-2008, I find that market risk and an asset turnover are two major risk factors that determine stock returns. I also test whether inflation influence market risk, profit margin, asset turnover, and equity multiplier. I find that the coefficients of an asset turnover and an equity multiplier are significant mostly for non-cyclical industries and that some of the interactions between inflation and the four risk factors are significant. Keywords: Stock Return, Inflation, Market Risk, Profit Margin, Asset Turnover, Equity Multiplier, 1. INTRODUCTION A vast of research has been done to identify what risk factors determine asset returns since the Sharpe (1965) and Lintner (1965) capital asset pricing model was developed. [...]

In this paper I present the results of the empirical test of the CAPM in the Macedonian Stock Exchange during the 4 year period, from 2006 to 2009. The main finding is that during this period the validity of CAPM is questioned in terms of the explanatory performance of the model to predict the positive and the linear relation between risk and return. However as the CAPM predicts it is found to exist no relation between stock returns and the non-systematic risk and that the excess return of a 0 beta asset is 0, which again is consistent with the CAPM predictions. The implication for the investors considering investing on the MSE is that relying on beta and CAPM for investment decisions may not be the best way to follow except when such an investment decision is accompanied by a fundamental analysis of the company itself--quantitative and qualitative data. Keywords : Macedonian Stock Exchange, CAPM, Empirical Tests, Beta, t-tests, 1. INTRODUCTION The relation between risk and return is one of the most important issues in finance. It is widely known that investing in risky assets as opposed to risk [...]

This study examines the short run and long run causal relationships among macroeconomic variables and equity market returns in the emerging equity market for the period of 6/1998 to 6/2008 by employing the VAR framework on monthly data. Macroeconomic variables include industrial production index, consumer price index, money supply , exchange rate, foreign portfolio investment, Treasury bill rates and oil prices. Results support the finance theory and provide evidence that long term relationship exist among equity market and macroeconomic factors. Unidirectional causality has been observed flowing from consumer price index, exchange rates, money supply and interest rate to equity market. No granger causality is observed among industrial production, foreign portfolio investment and equity market returns. This insignificant relationship with industrial production, oil indicates that market movement is not based on fundamentals and real economic activity. The cointegration analysis only captures the long-run relationship among the variables, it does not provideinformation on responsiveness of equity market returns to shocks in macroeconomic variables so impulse response function and Variance decomposition analysis based on VECM has also been performed. Variance decomposition analysis also confirms that monetary variables are a significant source of volatility in equity market., INTRODUCTION During last decade phenomenal growth has been observed in emerging equity markets and Pakistan is no exception. The KSE- 100 index, which is the benchmark for the Pakistani equity [...]

Apart from trim loss minimization, there are many other issues concerning cutting processes that arise in real production systems. One of these is related to the number of stacks that need to be opened near the cutting machines. Many researchers have worked in the last years on cutting stock problems with additional constraints on the number of open stacks. In this paper, we address a related problem: the Ordered Cutting Stock Problem (OCSP). In this case, a stack is opened for every new client's order, and it is closed only when all the items of that order are cut. The OSCP has been introduced recently in the literature. Our aim is to provide further insight into this problem. This paper describes three new integer programming formulations for solving it, and an exact algorithm based on column generation, branch-and-bound and cutting planes. We report on computational experiments on a set of random instances. The results show that good lower bounds can be computed quickly, and that optimal solutions can be found in a reasonable amount of time. Keywords: cutting stock; pattern sequencing; integer programming models; column generation; branch-and-bound; cutting planes

To purchase or authenticate to the full-text of this article, please visit this link: http://dx.doi.org/10.1111/j.1467-8586.2008.00282.x Byline: Eleni Constantinou (*), Avo Kazandjian (*), Georgios P. Kouretas ([dagger]), Vera Tahmazian ([double dagger]) Keywords: cointegration; common trends; identification; international portfolio diversification; international stock markets Abstract: ABSTRACT Common stochastic trends among major international stock price indices have been an intensively analysed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among an emerging equity market, the Cyprus Stock Exchange, and three mature equity markets, namely the Athens Stock Exchange (ASE), the London Stock Exchange (LSE) and the New York Stock Exchange (NYSE). Author Affiliation: (*)Department of Business Studies, The Philips College, Nicosia, Cyprus ([dagger])Department of Economics, University of Crete, Rethymno,Greece ([double dagger])Department of Accounting and Finance, The Philips College, Nicosia, Cyprus Article note: Correspondence: Georgios P. Kouretas, Department of Economics, University of Crete, University Campus, GR-74100, Rethymno, Greece. Fax: 28310 77406; Email: kouretas@econ.soc.uoc.gr. This paper is part of the research project, Cyprus Stock Exchange: Evaluation, performance and prospects of an emerging capital market, financed by the Cyprus Research Promotion Foundation under research grant [PI]25/2002. We would like to thank the Cyprus Research Promotion Foundation for generous financial support and the Cyprus Stock Exchange for providing us with its database. The views expressed in this paper do not necessarily reflect those of either the CRPF or CSE. An earlier version of this paper was presented at the 5th International Conference of the EEFS, Heraklio, Greece, 18-21 May 2006, and the 10th International Conference on Macroeconomic Analysis and International Finance, University of Crete, Rethymno, 25-27 May 2006, and thanks are due to conference participants for many helpful comments and discussions. We would also like to thank Panayiotis Diamandis, Dimitris Georgoutsos, Angelos Kanas, Minoas Koukouritakis and Leonidas Zarangas for many helpful comments and discussions. We also thank Minoas Koukouritakis and Manolis Syllignakis for computational assistance. Finally, we thank two anonymous referees for their valuable comments that improved the manuscript substantially. The usual disclaimer applies.

ABSTRACT We formulate and test a hypothesis linking dividend policy and cross-listing of Canadian firms on US stock exchanges. Based on the assumption that cross-listing enhances price discovery as per [...]

The evolution of the Philadelphia Stock Exchange (PHLX) through 1950AD to 2000AD is analyzed. The history of the PHLX proves that there is a tendency for trading to flow to the market with the greatest liquidity.

Abstract: The shares of companies added to (deleted from) closed-end indices such as the S&P 500 experience significant positive (negative) abnormal returns. We examine companies added to or deleted from [...]

In the paper we test the impact of the Japanese stock market on two financial asset groups, free and restricted shares, on the Finnish market in the early 90s. The causality is tested in the Granger sense. The research issue is particularly interesting, since the restrictions on foreign ownership were abolished by the end of 1992. The linkage between the Japanese and Finnish financial economies is seen to be stronger for free shares than for restricted. In particular, significant Granger causality between Japanese and Finnish free shares is observed at relatively long consecutive time intervals, whereas the Japanese impact on the restricted shares is only occasional. Thus, the decision to abolish the restrictions not only leads to increased international dependence in the future, but will also change the risk profile of the restricted shares. Key words - Granger causality, international asset pricing, restricted vs free shares

A simulation approach considers the effect of thin trading to the specification of the event study measures and indicate that there are distinct variations in the characteristics of the returns generated by the alternative procedures for managing handling prices. The growth in difference of the event period should be taken into consideration when calculating standard deviations. The characteristics of the returns evaluated with alternative procedures for handling missing prices and their effect on the specification of the event study methods is analyzed.

Prior stock repurchase studies have found evidence that the announcement of a repurchase program sends a positive signal to the market. Firms engaging in open-market repurchase programs do not have to report how, when, and if they actually repurchased any shares. Evidence following the stock market crash of 1987 indicates that many firms announcing repurchase plans did not actually repurchase any share and, by their own admission, had no intention of repurchasing shares. Companies announcing plans and not following through are apparently within the letter of the law. However, we argue that companies announcing plans with no intention of repurchasing shares are guilty of either lying or sending false signals. These companies create distrust in the investment community and intentionally mislead the public in violation of the SEC's antifraud provisions. Changes in the reporting procedures concerning repurchase plans are ethically and legally warranted.

Empirical evidence supports the proposition that stock market volatility is stochastic in calendar-time due to the random arrival of information and that it becomes stationary in information-time. A study is conducted to investigate the implication of this proposition on option pricing. A new approach to price options with stochastic volatility is developed, in which the underlying asset return follows a jump subordinated process and the options are priced in both calendar-time and information-time. The stochastic time change from calendar-time to information-time is intended to achieve a stationary underlying asset return process to option pricing. This time change is found to minimize the computational complexity of the option pricing problem.

A direct test on the equality of variance-covariance matrices and correlation matrices is used to study the intervalling effect on the intertemporal stability in stock return relationships in six emerging Asian markets and four developed markets. Empirical analysis indicates that diversifying into the Asian emerging markets is beneficial and that correlation matrices of stock returns are more stable than variance-covariance matrices. The patterns of stock market co-movement are more stable as the time period considered becomes shorter.

The long run relationship between stock prices and inflation in the Turkish Stock Exchange including the short run dynamics in an emerging market environment, assuming the proxy hypothesis, is examined. Findings reveal that the negative relation between stock prices and inflation remains even when other monetary variables are introduced. The absence of proxy effect is caused by the positive relation between stock prices and real money balances. Monetary expansion is effective on stock returns in both the short and long term investment horizons in nominal and real terms respectively.

We introduce a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models, but avoids some of their criticisms. In univariate applications to daily U.S. and monthly U.K. stock market returns, QARCH adequately represents volatility and risk premia. QARCH is easy to incorporate in multivariate models to capture dynamic asymmetries that GARCH rules out. Such asymmetries are found in an empirical application of a conditional factor model to 26 U.K. sectorial stock returns.

Extending the work of Davidson and Worrell (1988), we further investigate the stock market's reaction to announced corporate illegalities. We examine a sample of 535 announcements of corporate crime and obtain an overall insignificant stock market reaction. However, when the sample is divided by type of crime, we find that the stock market reacts significantly to announcements of bribery, tax evasion, and violations of government contracts. We also find a significantly negative reaction to announcements of corporate crime when the company had been previously accused of other illegal activity. For companies accused of crime in the 1970s, 51% of them were accused again in the 1980s.

The stock market response to significant reductions in the capital expenditures of US firms were studied. The reductions are part of the process of streamlining, wherein firms cut back on their operations which are considered inefficient. The stock market reaction to major capital spending cutannouncements were examined by studying articles in the Wall Street Journal from 1975 to 1987. The announcements were then compared to data from the Centerfor Research in Security Prices on stock market prices before and after the date of the announcement. It was concluded that the stock market responded positively to major cuts in capital expenditures.

The effect of bond rating changes on stock prices was analyzed by considering market anticipation of bond rating revisions. Samples of industrial firms that experienced bond rating changes were taken and the effects of rating changes were measured. The degree of market anticipation of a bond rating change was measured by the amount of market information available. Results showed that abnormal changes in stock prices occurred when there was little information available about the firm, with the rating change itself conveying some information. However, when there was more information available, rating change had little or no effect on stock price.

The paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mis-measured risk. Therefore, three different ways of measuring risk are employed (i.e. semi-parametric, GARCH and lagged squared returns). In an application to Japanese data, four key predictor variables are shown to have non-trivial additional forecasting power irrespective of how we measure risk. Interestingly, unlike the U.S., the level of the lagged dividend yield is not positively correlated with returns in either Japan or South Korea.

The paper addresses two topics. First, it nests the consumption and static CAPM in a unified framework. Second, it tests for market efficiency. The first test is based on the idea that different models price risk on the basis of the covariance with different benchmark portfolios. The test of market efficiency is based on the idea that excess returns should be predictable only if risk, and therefore second moments, are predictable. The empirical results show that the static CAPM performs better than the consumption CAPM and that the former model accounts for the effects of dividend yields on expected returns.

I. Introduction In recent years, much evidence has been accumulated on the existence of calendar regularities in stock returns. Four main regularities have been detected: the day-of-the-week effect (Cross, 1973; [...]

Financial Markets and Monetary Economics The October 1987 stock market crash, more than any other single event within recent years, has stimulated an extraordinary profusion of research on securities pricing [...]