This paper investigates the mean-reverting component in stock prices for sixteen countries using a Kalman filter maximum likelihood estimation procedure to measure the transitory, permanent, and seasonal components. Evidence is provided supporting the mean reversion hypothesis that stock prices...

It is shown, using institutional evidence, economic theory, and empirical evidence, that, given reasonable estimates of individuals' coefficients of relative risk aversion, the combination of riskiness, minimal size of contract, and transactions costs will deter all but the wealthiest...

There is now evidence to reject the speculative efficiency hypothesis for the 1920s float. This paper investigates whether the rejection may be due to risk aversion. Two models of the risk premium are fitted: the ARCH-in-mean model and the DYMIMIC (kalman filter) model. Some support is found for...

Using data from the British Household Panel Survey, we investigate the relationships between labour market dynamics, housing tenure and residential mobility. Panel data allow the study of the sequence of household moves and individual labour market status changes, enabling unique analysis of the...