A solution to the equity premium and risk-free rate puzzles: an empirical investigation using Japanese data (English)
- New search for: Maki, A.
- New search for: Sonoda, T.
- New search for: Maki, A.
- New search for: Sonoda, T.
In:
APPLIED FINANCIAL ECONOMICS
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12
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601-612
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2002
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ISSN:
- Article (Journal) / Print
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Title:A solution to the equity premium and risk-free rate puzzles: an empirical investigation using Japanese data
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Contributors:Maki, A. ( author ) / Sonoda, T. ( author )
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Published in:APPLIED FINANCIAL ECONOMICS ; 12 ; 601-612
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Publisher:
- New search for: CHAPMAN & HALL
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Publication date:2002-01-01
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Size:12 pages
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ISSN:
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Type of media:Article (Journal)
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Type of material:Print
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Language:English
- New search for: 330.9 / 332
- Further information on Dewey Decimal Classification
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Classification:
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Source:
© Metadata Copyright the British Library Board and other contributors. All rights reserved.
Table of contents – Volume 12
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
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Imaginary moneys as international units of accountWolf, Holger C. et al. | 2002
- 9
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Mean aversion and return predictability in currency futuresPuri, Tribhuvan N. et al. | 2002
- 19
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The determinants of corporate debt maturity: evidence from UK firmsOzkan, Aydin et al. | 2002
- 25
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Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?Brooks, Chris et al. | 2002
- 33
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Is one price enough to value a state-contingent asset correctly? Evidence from a gambling marketCain, Michael et al. | 2002
- 39
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A note on foreign bank investment in the USAEsperanca, José Paulo et al. | 2002
- 47
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Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchangeSiourounis, Gregorios D. et al. | 2002
- 57
-
Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bondsLin, Bing-Huei et al. | 2002
- 77
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The impact of the movements in US threemonth Treasury bill yields on the equity markets in Latin AmericaSoydemir, Gökçe A. et al. | 2002
- 85
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Stock splits and stock return behaviour: how Germany tries to improve the attractiveness of its stock marketBley, Jorg et al. | 2002
- 95
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The disclosure of directors' share option information in UK companiesConyon, Martin J. et al. | 2002
- 105
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Relationship between debt, R&D and physical investment, evidence from US firm-level dataChiao, Chaoshin et al. | 2002
- 123
-
Strategic parameters for capital budgeting when abandonment value is stochasticClark, Ephraim et al. | 2002
- 131
-
Foreign exchange market efficiency and cointegrationFerré, Montserrat et al. | 2002
- 141
-
Anomalies in US equity markets: a re-examination of the January effectMehdian, Seyed et al. | 2002
- 147
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The effects of news on exchange rates when the risk premium is consideredNewby, Van A. et al. | 2002
- 155
-
An unbiased variance estimator for overlapping returnsBod, Pauline et al. | 2002
- 159
-
Capital structure and its determinants in the UK - a decompositional analysisBevan, Alan A. et al. | 2002
- 171
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The long-term performance of parent and units following equity carve-outsMadura, Jeff et al. | 2002
- 183
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Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCHBologna, Pierluigi et al. | 2002
- 193
-
Forecasting volatility in the New Zealand stock marketYu, Jun et al. | 2002
- 203
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Measuring growth opportunitiesDanbolt, Jo et al. | 2002
- 213
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Emerging stock markets: a more realistic assessment of the gains from diversificationFifield, S.G.M. et al. | 2002
- 231
-
The impact of federal reserve intervention on exchange rate volatility: evidence from the futures marketsRamchander, Sanjay et al. | 2002
- 241
-
Hedging interest rate risk with multivariate GARCHRossi, Eduardo et al. | 2002
- 253
-
Asset price reactions to RPI announcementsJoyce, Michael A.S. et al. | 2002
- 271
-
A comparative multiproduct cost study of foreign-owned and domestic-owned US banksElyasiani, Elyas et al. | 2002
- 285
-
The transmission of shocks among S&P indexesEwing, Bradley T. et al. | 2002
- 291
-
Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesisFountas, Stilianos et al. | 2002
- 301
-
Old volatility - ARCH effects in 19th century consol dataMitchell, Heather et al. | 2002
- 309
-
SFA, TFA and a new thick frontier: graphical and analytical comparisonsCaudill, S.B. et al. | 2002
- 319
-
Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituentsBlair, Bevan et al. | 2002
- 331
-
Fractional cointegration: Monte Carlo estimates of critical values, with an applicationSephton, P.S. et al. | 2002
- 337
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Bank solvency evaluation with a Markov modelReboredo, Juan C. et al. | 2002
- 347
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The differential effects of agency costs on multinational corporationsWright, Francis W. et al. | 2002
- 361
-
The world price of exchange risk in the Pacific Basin equity marketsChou, Peter Shyan-Rong et al. | 2002
- 371
-
New product innovations, information signalling and industry competitionAkhigbe, Aigbe et al. | 2002
- 379
-
Asymmetric dynamics in UK real interest ratesCoakley, Jerry et al. | 2002
- 389
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Financial liberalization and stock market volatility in selected developing countriesKassimatis, Konstantinos et al. | 2002
- 395
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Margin requirements, positive feedback trading, and stock return autocorrelations: the case of JapanWatanabe, Toshiaki et al. | 2002
- 405
-
Liquidity effects and precautionary saving in the Czech RepublicBredin, Don et al. | 2002
- 415
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Stock market integration: evidence on price integration and return convergenceHeimonen, Kari et al. | 2002
- 431
-
Product mix clubs, divergence and inequality of Spanish banking firmsPérez, Francisco et al. | 2002
- 447
-
Tests for interest rate convergence and structural breaks in the EMS: further analysisCamarero, Mariam et al. | 2002
- 457
-
Aggregate market returns and UK unit trust net acquisitionsClare, Andrew et al. | 2002
- 469
-
The stock market rumours and stock prices: a test of price pressure and size effect in an emerging marketKiymaz, Halil et al. | 2002
- 475
-
African stock markets: multiple variance ratio tests of random walksSmith, Graham et al. | 2002
- 485
-
An Empirical analysis of cancelled mergers, board composition and ownership structureDavidson Iii, Wallace N. et al. | 2002
- 493
-
Can forward rates be used to improve interest rate forecasts?Dominguez, Emilio et al. | 2002
- 505
-
Competition and efficiency in the Spanish banking sector: the importance of specializationMaudos, Joaquin et al. | 2002
- 517
-
The nearest neighbour method as a test for detecting complex dynamics in financial series. An empirical applicationAparicio, Teresa et al. | 2002
- 527
-
International capital standards, bank portfolios and bank stock riskMohanty, Sunil K. et al. | 2002
- 535
-
Do forecasters use monetary models? an empirical analysis of exchange rate expectationsSchröder, Michael / Dornau, Robert et al. | 2002
- 545
-
Korean stock prices under price limits: variance ratio tests of random walksRyoo, Hyun-Jung / Smith, Graham et al. | 2002
- 555
-
Generalized asymmetric power ARCH modelling of exchange rate volatilityMcKenzie, Michael / Mitchell, Heather et al. | 2002
- 565
-
Share returns and the Fisher hypothesis reconsideredMadsen, Jakob B. et al. | 2002
- 575
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Predictability of stock returns: is it rational?Azar, Samih Antoine et al. | 2002
- 581
-
Do venture capitalists add value? A comparative study between Singapore and USWang, Clement K. / Wang, Kangmao / Lu, Qing et al. | 2002
- 589
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Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange ratesBeine, Michel / Laurent, Sébastien / Lecourt, Christelle et al. | 2002
- 601
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A solution to the equity premium and riskfree rate puzzles: an empirical investigation using Japanese dataMaki, Atsushi / Sonoda, Tadashi et al. | 2002
- 613
-
The time profile of risk in banking crises: evidence from Scandinavian banking sectorsHyytinen, Ari et al. | 2002
- 625
-
Purchasing power parity in the long-run: evidence from Australia's recent floatTawadros, George B. et al. | 2002
- 633
-
Identifying irregularities in a financial marketPaton, David et al. | 2002
- 639
-
Technical trading strategies and return predictability: NYSEKwon, Ki-Yeol et al. | 2002
- 655
-
Determinants of capital structure choice: a study of the Indian corporate sectorBhaduri, Saumitra N. et al. | 2002
- 667
-
The effect of interest rate volatility on treasury yieldsSarkar, Sudipto et al. | 2002
- 673
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Have unincorporated businesses in the UK been constrained in their ability to obtain bank lending?Barlow, David et al. | 2002
- 681
-
Why investors should be cautious of the academic approach to testing for stock market anomaliesHudson, Robert et al. | 2002
- 687
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Some answers to puzzles in testing unbiasedness in the foreign exchange marketBarnhart, Scott W. et al. | 2002
- 697
-
The short-run price performance of investment trust IPOs on the UK main marketKhurshed, Arif et al. | 2002
- 707
-
Return-volume dynamics in UK futuresMcmillan, David et al. | 2002
- 715
-
The predictability of futures returns: rational variation in required returns or market inefficiency?Miffre, Joelle et al. | 2002
- 725
-
Long memory in stock returns: some international evidenceHenry, Olan T. et al. | 2002
- 731
-
Intra- and inter-continental transmission of inflation in AfricaJeong, Jin-Gil et al. | 2002
- 743
-
Mutual funds as an alternative to direct stock investment: A cointegration approachMatallin, Juan Carlos et al. | 2002
- 751
-
Testing the univariate conditional CAPM in thinly traded marketsSolibakke, Per Bjarte et al. | 2002
- 765
-
SeptemBear - A seasonality puzzle in the German stock index DAXReutter, Michael et al. | 2002
- 771
-
Calculating the misspecification in beta from using a proxy for the market portfolioHwang, Soosung et al. | 2002
- 783
-
Inter-market spread trading: evidence from UK index futures marketsButterworth, Darren et al. | 2002
- 791
-
Evaluating the hedging performance of the constant-correlation GARCH modelLien, Donald et al. | 2002
- 799
-
The Forward Rate Unbiasedness Hypothesis revisitedHo, Tsung-Wu et al. | 2002
- 805
-
Large changes in major exchange rates: a chronicle of the 1990sLobo, B.J. et al. | 2002
- 813
-
On the predictive ability of several common models of volatility: an empirical test on the FOX indexMaukonen, Marko S. et al. | 2002
- 827
-
Effects of financial constraints on research and development investment: an empirical investigationOzkan, Neslihan et al. | 2002
- 835
-
Returns and the interest rate: a non-linear relationship in the Bogota stock marketArango, L. E. / Gonzalez, A. / Posada, C. E. et al. | 2002
- 835
-
Returns and the interest rate: a non-linear relationship in the Bogotástock marketArango, L.E. et al. | 2002
- 843
-
The relationship between dividend policy, financial structure, profitability and firm valueNaceur, Samy Ben et al. | 2002
- 851
-
Testing for cointegration between international stock pricesAhlgren, Niklas et al. | 2002
- 863
-
The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997Coutts, J.Andrew et al. | 2002
- 873
-
Tests of international asset pricing model with and without a riskless assetChou, Pin-Huang et al. | 2002
- 885
-
Common features between stock returns and trading volumeRegulez, Marta et al. | 2002
- 895
-
Credit risk and efficiency in the European banking system: A three-stage analysisPastor, José M. et al. | 2002
- 913
-
An empirical investigation of the premium for volatility risk in currency options for the British poundSarwar, Ghulam et al. | 2002
- 923
-
Macroeconomic factors and international industry returnsKavussanos, Manolis G. et al. | 2002