The most widely used measure of an asset’s risk, beta, stems from an equilibrium in which investors display mean-variance behaviour. This behavioural criterion assumes that portfolio risk is measured by the variance (or standard deviation) of returns, which is a questionable measure of...

This article analyzes the own-price elasticities of natural gas and cross-price elasticities between gas and other fuels in France and West Germany. A model with constant substitution elasticities would not give enough information to study interfuel competition. Therefore we adopted a model...

Do investors in the US stock market obtain their long-term returns smoothly and steadily over time or is their long-term performance largely determined by the return of just a few outliers? How likely are investors to successfully predict the best days to be in and out of the market? The...

Purpose – The purpose of this study is to compare the performance of a low-P/E strategy relative to that of two alternative value strategies, one based on the PEG ratio and another on the PERG ratio (a magnitude introduced in this article). Design/methodology/approach – The data used...

The negative relationship between stock market P/E ratios and government bond yields seems to have become conventional wisdom among practitioners. However, limited empirical evidence and a misleading suggestion that the model originated in the Fed are used to support the model's plausibility....