This letter demonstrates that price inflation and stock returns display differing relationships depending on the measure of inflation used. The regularity that price inflation and stock returns are negatively related in post-World War II depends on the model specification.

One of the major weaknesses of current risk-based capital standards is that they account primarily for credit risk, interest rate risk and market risks and, thus, fail to explicitly incorporate other types of noncredit risks. Utilizing a risk-of-failure analysis, this study provides evidence...

We examine, signalling-based versus liquidity-based explanations of stock splits using market data for both industrial firms and depository institutions for the period 1981 to 2000. While both groups react favourably to the announcements of stock splits, we find no significant difference in...

We test the rationality of analysts' earnings forecasts for Dow 30 companies using an improved statistical methodology that accounts for non-stationarity in time-series data, non-normality in co-integrating regression, and serial correlation of forecast errors. Using one-quarter-ahead forecasts...

We investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price sensitivities vary...

We examine the asymmetric effects of daily oil price changes on equity returns, market betas, oil betas, return variances, and trading volumes for the US oil and gas industry. The responses of stock returns associated with negative changes in oil prices are higher than that associated with...

We investigate the impact of bank capital, market discipline and charter value as bank disciplinary tools on both bank equity risk (systematic risk, total risk, and idiosyncratic risk) and default risk/credit risk. We analyse 218 listed banks across 15 Asia-Pacific countries, and find that bank...

This article examines the rationality of forecasts of 11 macroeconomic variables. Among the nonstationary series, only surveys of housing starts, the unemployment rate, and the trade balance are rational forecasts. Among the stationary series, survey forecasts for only consumer prices and...