Stock price reaction to profit warnings: The role of time-varying betas

This study investigates the role of time-varying betas, event-induced variance and conditional heteroskedasticity in the estimation of abnormal returns around important news announcements. Our analysis is based on the stock price reaction to profit warnings issued by a sample of firms listed on the Hong Kong Stock Exchange. The standard event study methodology indicates the presence of price reversal patterns following both positive and negative warnings. However, incorporating time-varying betas, event-induced variance and conditional heteroskedasticity in the modelling process results in post-negative-warning price patterns that are consistent with the predictions of the efficient market hypothesis. These adjustments also cause the statistical significance of some post-positive-warning cumulative abnormal returns to disappear and their magnitude to drop to an extent that minor transaction costs would eliminate the profitability of the contrarian strategy

Rankings of Contributing Authors to the "AREUEA Journal" by Doctoral Origin and Employer: 1973-1987

This paper reports on the rankings of the contributing authors to the AREUEA Journal, the origins of their doctoral degrees, and their employers from 1973-1987. Articles in the Journal were identified as being either finance, investment, valuation, housing, and urban and regional. The rankings suggest that approximately 28% of the contributing authors have managed repeat appearances. The rankings also indicate that over 74 different institutions have awarded doctoral degrees to "AREUEA Journal" contributors and more than 180 different institutions have employed them. Copyright American Real Estate and Urban Economics Association.

A NOTE ON SEMIVARIANCE

In a recent paper (b5Jin, Yan, and Zhou 2005), it is proved that efficient strategies of the continuous-time mean-semivariance portfolio selection model are in general never achieved save for a trivial case. In this note, we show that the mean-semivariance efficient strategies in a single period are always attained irrespective of the market condition or the security return distribution. Further, for the below-target semivariance model the attainability is established under the arbitrage-free condition. Finally, we extend the results to problems with general downside risk measures. © 2006 Blackwell Publishing Inc