We investigate the predictable component of excess returns in German, Japanese, UK and US aggregate stock indices, finding evidence to suggest that the frequently documented predictable component in excess returns is predominantly due to a failure in previous research to consider risk.

Options and futures on government bonds are the only exchange traded derivative contracts currently available to investors wishing to hedge portfolios of eurobonds. This study, forms sterling denominated eurobond portfolios and tests the hedging effectiveness, with respect to these portfolios,...

Recent US research has focused upon the linkages between net mutual fund flows and their impact upon aggregate equity market returns. If a positive feedback relationship exists between investment flows and stock returns then there also exists the possibility that a market downturn or crash will...

Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in...

A negative relationship between stock returns and (expected) inflation is frequently observed in empirical work and is considered a puzzle since it is expected that stocks are a good hedge against inflation, so that their real rate of return (actual or expected) ought to be unaffected by changes...