This article investigates the behavior of stock returns in the twenty stock markets represented in the International Finance Corporation's Emerging Markets Data Base. The aim is to test for return anomalies and predictability. Using statistical methodologies that have identified seasonal and...

Cross-sectional tests of asset returns have a long tradition in finance. The often-used capital asset pricing model (CAPM) and the arbitrage pricing theory both imply cross-sectional relationships between individual asset returns and other factors, and tests of those models have done much to...

This thesis contains five essays addressing a variety of topics relating to aspects of the UK residential property market. The first essay examines the long run drivers of real residential house prices, and then seeks to develop a short run error correction model to examine the adjustment of...

This paper examines aggregate primary capital market activity in a cross section of emerging market and developed countries. We analyze data on the value of funds raised domestically via issues of debt and equity securities in public capital markets in 32 countries over the period 1980-95. There...

The micro-economic behaviour of economic agents in the crisis-affected Asian economies, together with the private sector's expanding role in developing countries in general have focused attention on issues of competition, corporate governance and finance. The paper explores the analytical links...

This paper uses long-horizon autocorrelations and variance ratio statistics to test for long-term mean reversion in real exchange rates. Unlike most previous tests of this hypothesis, the tests do reject a random walk for monthly data in the post-Bretton Woods era; however, the statistics...

Under certain conditions, efficient markets imply random walk behavior in real exchange rates. Much of international finance theory, however, is based on the idea of purchasing power parity, which implies mean reversion in real exchange rates. This paper uses variance ratio statistics to test...