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  • 1
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    Testing for heteroskedasticity and spatial correlation in a two way random effects model (2014)
    Elsevier
    Details
    Publication Date: 2014-02-01
    Print ISSN: 0167-9473
    Electronic ISSN: 1872-7352
    Topics: Mathematics
    Published by Elsevier
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  • 2
    Electronic Resource
    Electronic Resource
    The Information Signaling Hypothesis of Dividends: Evidence from Cointegration and Causality Tests (2003)
    Oxford, UK : Blackwell Science Ltd
    Journal of business finance & accounting 30 (2003), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper uses cointegration and causality tests to study the temporal behavior of dividends and earnings at the individual firm level. We find that, for a sample of 143 non-utility firms, approximately one-fifth of the firms exhibits a temporal relationship between dividends and earnings that is consistent with the information signaling hypothesis of dividends. In the case of 72 utilities, about a third exhibit dividend policies that are consistent with the signaling notion of dividends. Further examination of firm characteristic differences between signaling and non-signaling firms shows that, in the case of non-utility firms, signaling firms tend to be smaller, have a lower growth rate of total assets, and have a higher leverage ratio. In the case of utilities, we find no major differences in firm characteristics between signaling and non-signaling firms.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.t01-1-00004
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE IN EUROCURRENCY MARKETS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of business finance & accounting 21 (1994), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper uses daily eurocurrency deposit rates for six currencies to extend previous research on the expectations hypothesis of the term structure. The reported results confirm earlier findings that the behavior of long term interest rates is perverse. For example, it is shown that in the case of five-year eurocurrency deposits denominated in US dollars, German marks and Swiss francs, the coefficient relating the excess holding period return to the yield spread between long and short term securities exceeds one, implying that long term rates tend to move in a direction opposite to the prediction of the expectations hypothesis. This study also employs a variety of techniques to examine the temporal stability of the coefficient in both the long and short maturity regressions used in testing the expectations hypothesis. While we do find instability, the nature of the parameter variation is markedly different from that found in foreign exchange markets when similar tests are employed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1468-5957.1994.tb00317.x
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Common Stochastic Trends Among Asian Currencies: Evidence for Japan, Aseans, and the Asian Tigers (1998)
    Springer
    Review of quantitative finance and accounting 10 (1998), S. 193-206 
    Details
    ISSN: 1573-7179
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This study documents that daily changes in Asian exchange rates are significantly non-normal, serially correlated, non-stationary, and have unit roots. Further, accounting for these time series properties and using a longer time horizon than other similar studies of exchange rates, this study also documents cointegration between the Japanese Yen and two sets of Asian currencies, i.e., currencies of the 'Tigers', Hong Kong, South Korea, Singapore, and Taiwan; and currencies of the ASEANs, Malaysia, Philippines, Thailand, and Singapore. These findings of cointegration among Asian exchange rates are in contrast to the findings for the major currencies, and are evidence of nascent Yen blocs in Asia. The results presented here have important implications for understanding Asian financial integration and the international role of the Japanese yen and should be useful for developing asset allocation, currency overlay, value at risk (VAR), and hedging strategies for investments in these often illiquid Asian currencies.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008247823487
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    Paper (German National Licenses)
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