This paper proposes a class of test procedures for a structural change with an unknown change point. In particular, we consider a general financial time series model with conditional heteroskedasticity. The test statistics are constructed via the empirical distribution approach and aim at...

Based on the errors-in-variables-free approach proposed by Brennan <italic>et al</italic>. [<italic>J. Financial Econ.</italic>, 1998, <bold>49</bold>, 345--373], we investigate the competing explanatory capabilities of alternative multi-factor models when examining various asset-pricing anomalies using Japanese data for the period...

Unlike the U.S. and most developed countries, Taiwan stock market has been widely documented to have no value premium. Prior studies on the value premium typically adopt a conventional approach proposed by Fama and French (1992), which suggests a buy-and-hold strategy with annual rebalancing. We...

In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship...

Prices in spot and futures markets are contemporaneously related according to the theoretical Cost-of-Carry (COC) model. In the literature, on the other hand, futures index price changes are usually found to lead spot index prices changes by up to forty-five minutes. This empirical evidence,...

In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship...

In a capital asset pricing model (CAPM) framework, Ferguson and Shockley [2003. Equilibrium "anomalies". Journal of Finance 58, 2549-2580] propose two factors constructed on relative leverage and relative distress, and show that the two factors subsume Fama and French's [1993. Common risk...

We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries,...

This paper examines linkages among major Eurocurrency interest rates during 1994-2002. Eurocurrency interest rate causal linkages are found to be much stronger with additional allowance for contemporaneous causality test results than the inference based solely on Granger causality tests. The...