Journal of Economics and Finance
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The permanent income hypothesis in five major industrial countries: a multivariate trend-cycle decomposition test
Journal of Economics and Finance - Tập 33 - Trang 43-59 - 2008
This paper presents a new test of the permanent income hypothesis in five major
industrial countries. The test first decomposes consumption and income into
their long run trend (permanent) and short run cyclical (transitory) components,
using the recently developed multivariate stochastic detrending approach
developed by Vahid and Engle (1997), among others. This approach exploits the
presence of ...
The 1986 Tax Reform Act and ex-dividend day price and volume patterns: Evidence from organized exchanges and the OTC market
Journal of Economics and Finance - - 1993
By effectively removing the differential taxation of dividends and capital
gains, the 1986 Tax Reform Act provides a unique opportunity to re-examine the
“tax induced clientele” explanation of ex-dividend day price behavior. The
analysis indicates an increased preference for dividends and provides evidence
of significant abnormal volume during the ex-dividend period, consistent with
dividend induc...
The transmission of international stock market volatilities
Journal of Economics and Finance - Tập 42 - Trang 155-173 - 2017
This paper examines the spillover effects of cluster volatility between the
equity markets of the U.S. and four Asia-Pacific countries in the context of two
significant U.S. market crises (the financial crisis of 2007 and the threat of
the U.S. government refusing to raise its “debt ceiling” and subsequently
defaulting on its debt in 2011). The paper seeks to determine whether market
crises in the...
Interest rate and bank stock returns asymmetry: Evidence from U.S. banks
Journal of Economics and Finance - Tập 32 Số 2 - Trang 105-118 - 2008
Income convergence across the U.S. states: further evidence from new recent data
Journal of Economics and Finance - - 2020
Noting the analytical and empirical significance of the topic, this research
revisits the theme of income convergence across the US states. The work fills
several gaps in the existing literature by (a) covering the most recent period
1997–2018, (b) using the official data on real GDP per capita compiled by the US
Bureau of Economic Analysis (BEA), (c) explicitly comparing the convergence
scenario ...
Agency costs in U.S. manufacturing: An empirical measure using X-efficiency
Journal of Economics and Finance - Tập 16 - Trang 1-10 - 1992
By adapting the concept of X-inefficiency, the deadweight cost associated with
agency problems is estimated for U.S. manufacturing industry. X-inefficiency
theory postulates that agent’s opportunistic behavior will lead to second-best
outcomes in imperfect markets. When the methodology is applied to the 1986/87
fiscal year, thirty industries are identified as X-inefficient. The total
deadweight ag...
Hedonic valuation of land protection methods: implications for cluster development
Journal of Economics and Finance - Tập 39 - Trang 782-806 - 2014
This study estimates a generalized spatial hedonic pricing model to assess how
residential property values are impacted by inclusion within cluster
developments and by proximity to various types of protected land. The estimated
model simultaneously controls for the spatial dependence of residential housing
prices and for the presence of spatial autocorrelation. The sample includes
4,008 single-fam...
The effects of income and population demographics on single-county bank performance
Journal of Economics and Finance - Tập 42 - Trang 174-190 - 2017
We investigate the role market demographics play in determining the accounting
performance of banks. Specifically, we study the effect of wealth and population
to determine if these market factors drive performance, or if performance is
related only to bank-specific variables. Using a sample of single-county banks,
we find that market demographics play an important role in determining bank
perform...
Financial development, role of government, and bank profitability: evidence from the 2008 financial crisis
Journal of Economics and Finance - Tập 41 - Trang 370-391 - 2016
This study investigates the effects of financial development and government
involvement on bank profitability during the 2008 financial crisis. First, it
demonstrates that a large banking sector improves bank profitability and asset
quality, which supports the hypothesis of financial development improvement.
Second, financial liberalization is negatively associated with bank
profitability and asse...
Inter-industry differences in layoff announcement effects for financial institutions
Journal of Economics and Finance - Tập 33 - Trang 100-110 - 2008
This study expands the examination of workforce layoffs by banks to include
non-bank financial institutions and explores inter-industry differences in
market reactions to layoff announcements. In examining inter-industry
differences, we control for variables that influence the market’s reaction to a
layoff announcement, such as firm size, the size of the layoff, the reason given
for the layoff, an...
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