According to conventional wisdom, industrial country floating exchange rates contain unit roots. SUR tests on panels of monthly Group of Ten (G-10) log nominal rates reject the null of unit roots for various samples over the current float with significance levels from 0.5% to 15%. On average, in...

This paper extends to Japanese stocks recent research on short-term stock price adjustment to new information. Using standard methodologies, we find that stock returns of firms included in the Nikkei 300 tend to be significantly positive after large price decreases. This is similar to the...

Mechanical trading rules seem to have more potential than previous tests found. Fama and Blume (1966), looking at the Dow 30 of the late 1950s, found no profits for the best (½-percent) rule after adjusting for transactions costs. Fifteen of these stocks looked profitable in their sample,...