This paper compares six term structure estimation methods empirically in terms of zero and forward rate curves as well as ex ante price and yield prediction accuracy. Specifically, we use daily government bond quotations to generate true out-of-sample prediction errors based on the model's...

To what degree are term structure models fitted to time series data likely to be stable? Where are the sources of instability? How well might highly parameterized models, such as GARCH models, be able to capture this behavior? These are questions that have occupied many researchers which we...

This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d. Using monthly post-war U.S. data from 1959-1997, we show...

Excess returns earned in fixed-income markets have been modeled using the ARCH-M model of Engle et al. and its variants. We investigate whether the empirical evidence obtained from an ARCH-M type model is sensitive to the definition of the holding period (ranging from 5 days to 90 days) or to...

The paper investigates whether the presence and tenure of Private Equity (PE) investmentin European companies improves their performance. Previous studies documentedthe unambiguous merit of a buyout during the 1980s and 1990s for listedfirms in the US and UK markets. This study analyzes such...

We find that U.S. corporations' demand for liquidity is sensitive to two importantfactors: uncertainty facing the rm and the quality of corporate governance. Fol-lowing prior research, we find that both factors have important influences on firms'cash holdings. Our results also indicate that the...

This paper empirically investigates the impact of macroeconomic uncertainty on thespreads of individual rms' credit default swaps (CDS). While existing literature ac-knowledges the importance of the levels of macroeconomic factors in determiningCDS spreads, we nd that the second moments of these...

This paper empirically examines whether additional future xed capital and R&D investmentexpenditures induce rms to accumulate cash reserves while considering therole of market imperfections. Implementing a dynamic framework on a panel of US, UKand German companies, we nd that rms make larger...

This paper analyzes the effects of parliamentary election cycles on the Turkish banking system. Usingannual bank-level data representing all banks in Turkey during 1963–2007, we present evidence of meaningfuldifferences in the structure of bank assets, liabilities and financial performance...

Research by Chirinko (1982,1985,1987) makes a convincing argument that Q theory is unlikely to provide a satisfactory investment model. However, Klock Thies, and Baum (1991) show that Q is commonly mismeasured. The finding is applicable to Chirinko’s empirical research and raises the question...