We identify and test the structural VAR model for the relations among market volatility, market return, and aggregate equity fund flows in an international context. The major empirical findings are as follows. First, reduced-form and structural VAR analyses demonstrate that the relations among...

The dynamic effect of idiosyncratic risk on market returns has been debated recently. Previous studies examine the effect based on a regression of excess returns on one-lagged volatility. We claim this approach provides only a partial, limited picture of the dynamic effect of idiosyncratic risk...

Given the growth in the importance and popularity of share repurchases, we use an alternative time-series approach to test various hypotheses on share repurchases and dividends. Each hypothesis is formulated based on a Vector Autoregression (VAR) of relevant variables and characterized as...

This paper investigates the hypothesis that dividend changes are determined by changes in some measure of permanent earnings. The analysis employs two measures of permanent earnings and takes into account the nonstationarity of dividend and earnings series. This study finds that dynamic dividend...

We account for the relation between stock returns and inflation with two independent disturbances: supply shocks and demandshocks. Supply shocks reflect real output shocks and cause a negative relation between stock returns and inflation, while demand shocks are mainly due to monetary shocks and...

This paper investigates the response of stock prices to dividend shocks in a bivariate model of stock prices and price-dividend spreads. Dividend process is modeled as the sum of a permanent component and a temporary component. By using the stock price valuation (present value) model, the two...

In Asia, NASDAQ's success has helped prompt Singapore (SESDAQ), Japan (JASDAQ), Taiwan (TAISDAQ) and South Korea (KOSDAQ) to set up or formalize their own second board markets in the 1980s and early 1990s. In 1999, Malaysia (MESDAQ) and Hong Kong (GEM) also set up their second board markets....

In this study, we examine the patterns and determinants of share repurchases using firm-level data from seven major countries - Australia, Canada, France, Germany, Japan, the U.K., and the U.S.- over the period 1998-2006. We find that while non-U.S. firms do not repurchase shares as much as U.S....

This study develops an econometric model that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate an asset-pricing model, termed as the dynamic factor pricing model (DFPM). We then conduct...

Using a sample of 261 U.S. multinationals over the period 1984 to 2002, we examine the relation between exchange rate changes and the profitability of foreign operations. We find that the impact of exchange rate changes on foreign operations' profitability is not statistically significant in the...