Excess returns calculated using nonstationary risk-free interest rates will also be nonstationary and this may cause an unbalanced regression problem in the estimation of Capital Asset Pricing Models (CAPM). Under such circumstances, beta coefficients could be both biased and inconsistent. The...

This paper presents estimates of a reduced-form unemployment equation for the UK using annual data from 1958 to 1992. It extends previous work by using modern time series econometrics, by focusing on variables that bring about fluctuations around the natural rate as well as variables that...

This letter confirms that annual UK output suffers a break in trend in 1918 as suggested by Duck (1992). It then goes on to show that a segmented trend model with two breaks, in 1918 and 1921, with trend growth of approximately 2% and 2.25% per annum before and after these breaks, and with a...

Event studies are increasingly found in the applied finance literature. They are employed to analyse the market reaction to events and thus to investigate market efficiency. The paper is concerned with misspecification testing of the single-index market model which is conventionally employed to...