We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among the Irish stock market, one of the top world performers of the 1990s, and the US and UK stock markets. We find that two regimes, characterized as bear and bull states, are required...

The exact specification of the three-factor model of Fama amp; French (1993) has eluded and defied even its own creators. Fama amp; French (1996) try to juxtapose the specification of their ad hoc model in the context of the ICAPM and APT framework. However, the evidence that has been produced...