The relation between market risk and asset returns can be modelled with the Security Market Line (SML), a positive linear relation between expected excess asset returns and the asset's β. Pettengill et al. (1995) make the case that tests of β must be conditioned upon excess market returns to...

We propose an alternative approach to examine the nonlinear (asymmetric) behaviour of interest rates which can be both size and sign dependent. Compared to other widely used approaches, our model performs quite well based on two model selection criteria.

This article examines whether idiosyncratic risk is priced for equities listed in the Australian Stock Exchange (ASX). Specifically, this article follows the methodology of Bali et al. (2005) and investigates whether idiosyncratic volatility is able to predict 1-month ahead excess returns on the...

This paper presents the results of an alternative test of the rational expectations theory of the term structure of interest rates. Other researchers have also examined the validity of the expectations hypothesis of term structure. While there is more often rejection of the expectations...

type="main" xml:lang="en" <p>Using a 29-year (1978–2006) panel of provincial-level data from China, this article investigates the role of health capital in a human capital model of economic output. Robust evidence is found through panel cointegration analysis that health capital has a significant...</p>