The purpose of this paper is to move beyond the developed countries dichotomy to investigate the role of country characteristics on purchasing power parity. The distinction is to investigate whether trade, inflation and geographical (distance) contribute towards the validity of purchasing power parity. This requires a sample that includes developing countries because the former contain too little variation to address the question. The stationary attributes of real exchange rates are examined by using...

This paper explore whether market anomalies can predict economic growth and other macroeconomic factors using the time-varying volatility methodology. The findings indicate that risk premia have different and significant relationship with different macroeconomic factors in the U.S market. The findings of using different univariate and multivariate specification of Ordinary Least Squares and TARCH models suggest that momentum can predict economic growth while there is no evidence that value premium,...

This paper examines the inverted Fisher hypothesis (FH) for five countries of the Common Wealth of Independent States – Armenia, Georgia, Kazakhstan, Kyrgyzstan and Moldova – using quarterly data on three-month Treasury bills interest rates and consumer prices over the period 1995:01-2010:02. Results based on regression analysis are strongly supportive of the inverted FH in all cases, except for Kazakhstan. The regression estimates of the coefficient on inflation rate are not only correctly significantly...

In this paper, a company owner (valuation subject) is interested in selling a company (valuation object). The potential seller must conduct a business valuation to determine what minimum price he must demand without the transaction proving disadvantageous. The purpose of our paper is to show how alternative valuation formulas solve this valuation problem under realistic imperfect market conditions. As a main conclusion, the business value can usually not be calculated using the future earnings method. JEL...

Investors derive the greatest risk reduction benefit from portfolio diversification by holding assets with a low co-movement. As correlations between stocks worldwide have been increasing over time, interest in alternative assets such as commodities is also rising. This study examines the risk reducing properties of commodity investment from the perspective of 10 emerging markets from January 1991 through December 2013. Tests of GARCH dynamic conditional correlation coefficients indicate that commodities...

Credit Default Swaps coupled with asset-backed financial products were heavily traded in the years preceding the Global Financial Crisis. Intended for sophisticated investors, Credit Default Swaps prima facie are in the nature of insurance contracts, although they operate outside the scope of the regulation governing insurance. This paper adopts a lexonomic approach to take an initiative to develop a regulatory framework for Credit Default Swaps in order to prevent a similar crisis. Inter alia, one...

Prior research has documented both positive (John and Litov, 2009) and negative (Berger, Ofek, and Yermack, 1997) relationships between managerial entrenchment and the use of debt. This paper further investigates the impact of corporate governance on firm leverage by taking into account the substitution effect of different governance mechanisms. Consistent with John and Litov (2009), we find that antitakeover provisions have a positive effect on firm leverage. However, this effect disappears when...

The paper examines seasonality in returns for the Stock Exchange of Thailand (SET). We use historical returns on both SET composite and SET50 indices from 1975 through December 2013 to examine seasonality in the two indices. In a previous study, we observed the “Halloween effect” also known by the tagline “Go away in May and come back Halloween Day” in the Vietnam stock index (VN-index) during the 2000-2010 period. In this paper, we find that the “Halloween effect” appears in both the...

Information disclosure has been a necessary device in the activities of corporate governance, especially in the era of knowledge-based economy. In this regard, we examine the factors that influence information transparency in terms of two dimensions: technology intensities and insiders’ shareholdings. We find that industries with higher technology intensities have higher information transparency. Also, the effects of technology intensities are different in different industries. High-tech firms...

This paper investigates the convergence of real GDP per-capita for three hundred and seventy and the largest fifty five metropolitan areas in the United States for the period 2001 and 2012. This paper considers the metropolitan areas for four regions in the United States and examines the similarity and difference of the nature of convergence across regions. Finally, this paper examines the convergence and the effect of non-English speaker and high school graduates on the growth of real GDP per-capita...