Using wavelet analysis, this paper shows empirically that Japanese stock prices contain predictive information on business turning points since the middle of the 1980s. The average leading period is about 13 months.

Using a threshold-error-correction model for non-ferrous metals spot-futures prices the study reports evidence that equilibrium adjustment is quicker when the futures price exceeds the spot price. This supports the view that the commodities consumption value leads investors to retain the asset...

This paper uses information on the top ten downloaded papers from Econbase journals to construct ranking lists of countries and institutions. These results are then compared to equivalent ranking lists which have been constructed on publication outputs. Consistent with the rankings on...

This study uses a special sample from the Taiwan Stock Exchange to examine the empirical relation between trading frequency and noise. The Taiwan Stock Exchange uses call auctions throughout the day. The time interval between auctions can be either 90 seconds or 4 seconds, which provides the...

The mixture of distributions hypothesis (MDH) suggests that trading volume of shares provides information to share prices and returns. This study examines this, for the first time, in the context of the Irish stock exchange. The evidence is mixed, and only weakly in favour of the MDH. Volume...

This study takes into account two important features found in most time series, namely, nonlinearity and structural instability, in the test of the Sharpe--Lintner CAPM. Using data on BM- and size-sorted quintile portfolios, we implement the multiple structural change approach of Bai and Perron...

The productivity of capital and the discount rate for future consumption are more important for economic growth than the cost of financial intermediation. Using analytical and numerical illustrations from a version of the Ramsey model this study illustrates how parameters of preferences in...

Managers often try to forecast dividends because as Brown et al . (2002) suggest, dividends have cash flow implications for investors and are important signalling devices. This study analyses the dividend forecasts in the prospectuses of initial public offerings (IPOs) in Australia over the...

This paper explores optimal international asset allocation policies subjected to the equity holding constraint within an intertemporal framework. To deal with the co-existent realities of agents'; heterogeneous preferences and international market friction, the perturbation method is employed to...

Estimating the size of the hidden economy continues to attract the interest of both researchers and politicians alike. However, and despite the recent increase in the technical sophistication of the two estimation methods most commonly employed in the empirical literature, namely the monetary...