Monthly data on the $US/ECU exchange rate are analysed in light of the random walk hypothesis. A battery of tests, including procedures that are robust to conditional heteroscedasticity, are applied against linear alternatives to departures from the random walk. These tests are all based on the...

This paper investigates the claim that the common finding of cointegration between spot and lagged forward exchange rates reflects the existence of covered interest arbitrage and not, as is generally accepted, long-run market efficiency. Breuer and Wohar's (1996) methodology is employed to match...

Symmetry and proportionality is tested for in 15 European economies 1973:04-1998:12 in a panel regression framework that allows for permanent shocks. Support is found for both symmetry and proportionality and thus for general relative PPP in the US dollar but not the German mark panel.

This article investigates the links between hot markets, venture capital and long-run underperformance using a unique sample of 591 UK IPOs 1985-2003. It finds no evidence for long-run underperformance for the full sample in line with the classical position. However, cumulative abnormal returns...

Symmetry and proportionality for 15 European economies 1973 : 04-1998 : 12 is tested in a panel regression framework that allows for permanent shocks. Support is found for both restrictions and thus for general relative PPP in the US dollar but not the German mark panel.

This study indirectly addresses the issue of potential nonlinearities in real exchange rate adjustment for 18 OECD economies 1973-1998 using recent developments in the theory of nonparametric cointegration. While the standard Johansen tests yield mixed evidence, the results from a new...

This paper explores the long run behaviour and short run dynamics of quarterly UK real interest rates, 1950-1999, in a threshold autoregressive framework. Using bootstrap LR extensions of the Enders and Granger (1998) threshold unit root and asymmetry tests, it finds support for sign and...

We analyse a unique sample of 165 foreign divestitures by UK firms 1986-1995. These divestitures lead to significantly positive shareholder wealth effects of 4.8% over the 10 days before and after the announcement date. They are several times larger than the corresponding wealth effects reported...

We provide evidence that ex ante misvaluation matters for merger activities in the UK 1986-2002 using a sample of 302 bidders and targets. Sector or long-run misvaluation causes merger firms to be more overvalued than nonmerger firms. Acquirers are overvalued absolutely and relative to targets...

We propose and adduce evidence for a new seasonal anomaly associated with the Lunar Moon Festival (LMF) in East Asian economies. While the LMF effect bears some resemblance to the festivity and vacation anomalies, it is mainly driven by nostalgia, historically negative associations, the full...