Purpose – This paper aims to analyze the impact of common monetary policy shocks on house prices at national and capital city levels of aggregation, using Australian data and the Lastrapes (2005) two-part structural vector autoregressive (SVAR) empirical method. Design/methodology/approach –...

The seminal study by Fama and MacBeth in 1973 initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate as to whether beta is a valid measure of risk was reanimated by Fama and French and subsequent studies. Rather than focusing on exogenous...

Using multiple equation Generalized Method of Moments (GMM) system estimation procedures and monthly data at the three maturity horizons of 6, 9 and 12 months, the paper explores whether conditional spreads between futures and spot rates on five contracts traded on LIFFE have a common...

Using a Markov Switching Model, the hypothesis that <italic>ex post</italic> commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each...

It is well known that the CAPM beta is not stable over time. We investigate the nature of the time-variation in betas using monthly Australian data from 1979 to 1994 for 23 sectors. We discuss beta estimates for sub-periods and tests of the statistical adequacy of the market model used to...

What are the forces behind the increasing globalization of economic life? How does globalization affect the functioning of national economies? What difficulties confront government policymakers in dealing with the global economy? These issues are addressed in this volume by leading specialists....

Purpose – The aim of this paper is to consider the appropriate benchmark risk free rate sui for pricing of property investments in the UK and, in doing so, investigate the financial characteristics and performance of the UK gilt yields. European investors have been significant players in the...