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Index
Cover
Title
Copyright
List of Contributors
Introduction
Total Factor Productivity, Growth, and Entrepreneurship in Emerging Economies
Abstract
Introduction
Hypotheses Development, Data, and Methodology
Panel Regression Analysis
Policy Implications, Limitations, and Future Research
Notes
Acknowledgments
References
Appendix
Estimating Time-Varying Beta Coefficients: An Empirical Study of US and ASEAN Portfolios
Abstract
Introduction
Literature Review
Data and Methodology
Data
Market Return (Rm) and Risk-Free Rate (Rf)
Asset Returns (Ri)
Time Varying Beta
Results of Nonparametric, Time Varying Beta
Conclusions
References
Comparative Analysis of Asset Pricing Models Based on Log-Normal Distribution and Tsallis Distribution Using Recurrence Plot in an Emerging Market
Abstract
Introduction
Data
Theoretical Background of Pricing Models
Geometrical Brownian Motion (GBM)
Tsallis Distribution
Methodology and Approach
Non-Linearity Tests Based on Neural Networks and Taylor Series Approximations
Recurrence Plot (RP)
Quantification of Recurrence Plots (Recurrence Quantification Analysis) with Confidence Intervals
Empirical Results
Test for Non-Linearity
White’s Neural Network Test
Teräsvirta Neural Network Test
Recurrence Plot and Recurrence Quantification Analysis
Empirical Evidence on Borland and GBM Model
References
Appendix
MATLAB Program for Simulation
Does Liquidity Risk Premium Affect Optimal Portfolio Holdings of U.S. Treasury Securities?
Abstract
The Conditional Optimal Portfolio Problem
Investor Utility Maximization
Portfolio Choice without Inflation
Portfolio Choice with Inflation
Nonparametric Estimation
The Data and Basic Statistics
Empirical Results
Unconditional Portfolio Weights
Conditional Portfolio Weights
Nonparametric Optimal Portfolio Function
Do Weights Really Respond to Changes in Liquidity?
Does a Conditional Allocation Strategy Imply Improved Asset Allocation and Performance?
Conclusions
Notes
References
Size, Value, and Momentum Risk in the Cross-Section of Average Returns and Volatility
Abstract
Introduction
Related Literature and Our Contribution in Perspective
Data and Methodology
Empirical Results and Interpretations
Descriptive Statistics
Cross-Sectional Regressions Using Conditional Mean Specification
Cross-Sectional Regressions Using Conditional Volatility Specification
Robustness Tests
Price of Factor Risk in Up and Down Market
Conclusions
Notes
References
IPO Advertising: A Possible Cause of Short-Term Overvaluation
Abstract
Introduction
Methodology and Data
Ohlson (1995) Model
Cost of Equity
Industry ROE
Price-to-Valuation Ratio (P/V)
Industry-Adjusted Advertising Intensity
Industry Portfolios
Regression Model
Sample Selection of IPOs
Heckman (1979) Selection Model Probit Regression Model
Response Equation
Results and Discussion
Conclusion
References
A Comparative Study of the Influence of Derivatives on Bank Stability in Emerging and Recently Developed Countries: Evidence from the Last Financial Crisis
Abstract
Introduction
Statistics about Derivatives
Literature Review
Methodology
Data
Period
Sample
Generalized Methods of Moments
Variables Description
The Model
Results Analysis
Presentation of Results
Comments on Results
Conclusion
References
Is There a Relationship between the Liquidity of Closed-End Funds’ Portfolios, Fund Ownership by Smaller Investors, and the Liquidity of the Funds’ Shares?
Abstract
Introduction
Theories and Hypothesis Development
Liquidity Benefits and Liquidity of Fund Shares
Lack of Valuation Consensus and Illiquidity of Fund Shares
Research Method
Sample
Variable Measurements
Dependent Variables
Main Independent Variable
Analysis Techniques and Control Variables
Results
Descriptive Statistics and Correlation Analysis
Regression Analyses
Sensitivity Analysis
Limitations
Summary and Conclusions
Notes
Acknowledgment
References
Does Demographic Change Impact Hong Kong Economic Growth?
Abstract
Introduction
Literature Review
Demography Transition
Food and Population
Economic and Human Input
Life Expectancy and Fertility
Education and Economic Growth
Evidence on Enrolment, Growth
Methodology
Secondary External Sources
The Model Hypothesis
Research Analysis
Earlier Model Work
Symbols of Model
Framing the Model
Empirical Findings and Analysis
Independent Test
Model Assessment
Correlation between Variables
Findings
Working Age Population(Gworker) and Longevity (Elife)
Further Findings
Further Findings
Discussion, Conclusion, Future Research and Outlook
Population Pessimism
Conclusions
Future Research Direction
References
Does Optimizing the Cash Conversion Cycle Ameliorate Firm’s Performance? Unraveling the Relationship in the Indian Corporate Landscape
Abstract
Introduction
Conceptual Framework
Literature Review
Hypotheses Postulated
Data and Methodology
Results
Conclusion and Discussion
References
Budget Investments in Russia: Not Investment but Transformation of Public Property
Abstract
Notes
Acknowledgment
References
Speculative Bubble on the Moroccan Real Estate Market: Identification and Cycles
Abstract
Introduction
Literature Review
Empirical Studies
Statistical Approaches
First-Generation Tests
Second-Generation Tests
Structural Approach
West Model
Kalman Filer Approach
Speculative Bubbles Cycles
Conclusion
Notes
References
Corporate Governance Index in Emerging Markets: Peruvian Listed Companies
Abstract
Introduction
Literature Review
Shareholder Models and Stakeholder Model
The shareholder model
The stakeholder model
Stakeholder’s Mapping
International Standards
The Sarbanes-Oxley Act
The OECD
Definition of the Principles of Good Corporate Governance
Good Practices of Corporate Governance?
OECD’s Principles of Corporate Governance
Corporate Governance Insights
Peru: Lima Stock Exchange
Involved Parties
Principles of Corporate Governance Followed by Listed Companies in Peru
The Corporate Governance Index in Lima Stock Exchange (IBGC for Its Acronym in Spanish)
Requirements and Procedures
Conclusion and Comments
References
Appendix A
Appendix B
Optimal Arbitrage Path in the Foreign Exchange Market
Abstract
Introduction
The Arbitrage Path
Markov Chain Solution
Game Theoretic Approach
References
The Misalignment Phenomena in the Foreign Exchange Market: Evidence for the Tunisian Dinar
Abstract
Introduction
Literature Review
Data and Methodology
Data, Normality Test and Unit Root Test
Cointegration Test, Var, Vecm
Star Model
Results and Discussion
Conclusion
References
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