Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann <italic>et al</italic>., 2003), this article investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results...

We present a consumption-based international asset-pricing model to study global equity premiums, the US riskfree rate and the cross section of international asset returns. The model entails idiosyncratic, country-specific consumption risk, which helps explain the magnitude of global equity...

It is well documented that expected stock returns vary with the day of the week (the Monday or weekend effect). In this article, the authors show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of...

The authors model the decision to replace durable capital when intensity is variable. Decisions of this type include land-redevelopment decisions where the density of residential or commercial development is a choice variable as well as capital-replacement decisions where capacity is variable....