Housing prices in the US rose rapidly from 2000-2007Q3. Based on this evidence, the financial and general press concluded the US experienced a housing bubble. The efficient market theory denies the possibility of a bubble. This paper applies the statistical technique of cointegration to...

The paper examines the capital structure decision of 3,432 US companies in the year 2006 and 2011. The paper employs quantile regression to explore the predictions of the trade-off and pecking order models. We find evidence of heterogeneity in the capital structure and the determinants of...

The random walk hypothesis is rejected for foreign stock market prices. Variance ratio tests are performed on weekly stock prices of nine major foreign stock market indices. While longer-term returns follow random walks, short-horizon, bi-weekly returns exhibit significant positive serial...

In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk-return relationship in the U.S. stock returns. The results suggest a statistically significant relationship between the risk and the return if the risk measure includes components...

We employ a recursive econometric technique to identify and date multiple financial bubbles in five countries, the US, UK, France, Germany, and Japan. We identify multiple bubbles in each country except Germany for the period, 1973-March 2018. These bubbles are classified into three groups, each...

This paper presents an overview of several econometric tools available to test for the presences of asset price bubbles. For demonstrative purpose, the tools were applied to historical stock price and dividend data starting from 1871 through 2014. The earliest tools developed were Shiller's...

This paper presents an overview of several econometric tools available to test for the presences of asset price bubbles. For demonstrative purpose, the tools were applied to historical stock price and dividend data starting from 1871 through 2014. The earliest tools developed were Shiller's...

This study provides new evidence on the market impact of new issues of convertible bonds of U.S. listed firms. We examine on the market reaction surrounding the announcement dates and the issue dates of convertible bonds. The evidence suggests that firms experience negative abnormal returns...