2015
DOI: 10.3905/jpm.2015.41.5.127
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Dim Sum Bonds: Do They Whet Your Appetite?

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Cited by 5 publications
(4 citation statements)
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“…The appeal of the test is that it deals with the issue in return autocorrelation. Recently, many studies have used the LMW test to examine the IPO effect (Abhyankar et al, 2006), currency carry trades (Fong, 2010) and dim sum bond (Fung et al, 2014). We present the first-order stochastic dominance (FSD) and second-order stochastic dominance (SSD) relations between value and growth portfolios based on the BM, EP, DP ratios.…”
Section: Methodsmentioning
confidence: 99%
“…The appeal of the test is that it deals with the issue in return autocorrelation. Recently, many studies have used the LMW test to examine the IPO effect (Abhyankar et al, 2006), currency carry trades (Fong, 2010) and dim sum bond (Fung et al, 2014). We present the first-order stochastic dominance (FSD) and second-order stochastic dominance (SSD) relations between value and growth portfolios based on the BM, EP, DP ratios.…”
Section: Methodsmentioning
confidence: 99%
“…The JB test examines whether the returns for different variables had a normal distribution (see Fong 2010). AC1 is the Ljung-Box-Pierce Q-statistic for testing the null hypothesis that did not indicate a significant correlation in the returns with 1 lag, and ARCH is the Engle's ARCH test statistic (see Fung et al 2014). The results demonstrate some significant autocorrelation and ARCH effects in the repurchase portfolios, indicating that the traditional regression analysis using factor models that assume normality of returns may be problematic.…”
Section: Portfolio Formationmentioning
confidence: 99%
“…The method has been widely used in prior financial research on such topics as the IPO effect (Abhyankar et al 2006), the Monday effect (Cho et al 2007), the yen carry trades (Fong 2010), the monthly effect (Lee et al 2013;Ke et al 2014), the value premium (Hsu et al 2015), and the dim sum bond (Fung et al 2014). The stochastic dominance method offers several advantages (Linton et al 2005;Abhyankar et al 2006).…”
Section: Introductionmentioning
confidence: 98%
“…Thus it is appropriate for time series with typical serial correlation with ARCH-type effects commonly shown in financial data. In fact, many studies have used the LMW test to examine anomalies such as the initial public offering effect (Abhyankar et al, 2006), the Monday effect (Cho et al, 2007), the yen carry trades (Fong, 2010), the dim sum bond returns for the Chinese offshore renminbi bond market (Fung et al, 2015), and the evaluation between growth and value stocks (Hsu et al, 2015). Thus, we use the LMW method to compare the relative ranking of financial journals using citations of their published articles from 1990 to 2010.…”
Section: Ranking Of Finance Journalsmentioning
confidence: 99%