In this paper we use cointegration tests to examine the long‐run diversification potential of
13 emerging capital markets. The Johansen [18] and Johansen and Juselius [19] …

It is well known within the futures hedging literature that in-sample hedging effectiveness
tends to increase as the investment horizon increases. The traditional explanation for this …

The main purpose of this study is to examine the relationship between financial opacity,
investor protection and stock market behavior for sixteen countries. We use the 1995 CIFAR …

Factor Price Equalization: A Cointegration Approach. — Previous studies of factor price
equalization have generated mixed results. It is argued that the limited success often results from …

The main purpose of this paper is to investigate the impact of the S&P 500 index committee’s
decisions to change the constituent firms in the index on benchmark risk measures. The …

Loan losses are a natural part of the lending function of a bank. When default occurs, a
bank must decide to foreclose or forebear on the loan. The forbearance decision involves a …

We examine the probability of deletion of a firm from the S&P 500 index due to a decision of
the index committee because the firm did not satisfy the index committee criteria. We study …

This paper examines long-run purchasing power parity (PPP) using a new formulation of
PPP in the presence of transaction costs. Our results strongly support the proposition that …

Purpose – The purpose of this paper is to examine the shocks to firm's beta around the event
of addition or deletion from the S&P 500 index. Design/methodology/approach – The total …

Panel unit root tests represent a significant advancement in addressing the low power of
unit root tests by exploiting cross‐sectional and time‐series information. In this article we …