draft paper

This article examines whether the overall market risk, along with risks reflecting uncertainty related to the long–run dynamics of market cash flows (dividends) and discount rates (returns), price average returns on single–sorted portfolios in the Greek stock market. Our results...

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton�s Intertemporal CAPM to test whether these four...

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton’s Intertemporal CAPM to test whether these four...

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock-specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton's intertemporal capital asset pricing model to test...

The purpose of this paper is to investigate the ability of parameter instability tests in regressions with 1(1) processes to discriminate between changes in the cointegrating relationship and changes in the marginal distribution of the regressors. Using annual data for the G-7 countries and the...

We test for contagion between pairs of East Asian equity markets over the period 1990-2007.We develop an econometric methodology that allows us to test for both 'shift'and 'pure' contagion within a unified framework. Using both Hong Kong and Thailand as potential shock sources, we find strong...

This paper suggests that IV estimators, utilizing irrelevant but persistent instruments mai produce reliable inferences, in small samples, in cases where the endogenous variables contaii autoregressive roots near unity. In such cases, these estimators appear to outperform IV estimator: with...

Our analysis takes the perspective of an equity fund manager who seeks a potential safe haven asset to protect her portfolio during market downturns. We employ a regime-switching framework, within which we separate common and idiosyncratic shocks, to assess the suitability of gold, 10-year and...