In applying the Capital Asset Pricing Model (CAPM) to cost of capital calculations, practitioners treat the market risk premium as a free parameter to be estimated from data. However, this process ignores equilibrium in the cash market and therefore the implications of the CAPM for the premium...

We analyse the reaction of the New Zealand stock market to five economically-neutral events that psychology research indicates have varying degrees of influence on emotion and mood. Contrary to behavioural finance principles, only one of these events is associated with mean or median returns...

This paper tests the rational expectations theory of the term structure using recent daily, weekly, and monthly observations on New Zealand interest rates. We find that for many maturities we cannot reject the expectations hypothesis using both short and long versions of the theory. These...

We appraise the theoretical basis and the consequent empirical work of Frank Wolak in his study of the New Zealand electricity market in a report to the New Zealand Commerce Commission released in March 2009. The report found no multilateral actions, but concluded there was evidence of...