This article investigates Granger causality between exchange rates and prices for the US and four of its trading partners: Canada, Germany, Japan and the UK. We emphasize the distinction between direct and indirect Granger causality: exchange rates directly cause prices if movements in exchange...

Purpose – This article proposes an evaluation of capital investments that accounts for not only the initial assets, but also any potential growth options. Design/methodology/approach – Using a piecewise linear approximation, a robust valuation technique is demonstrated for analyzing capital...

Prior research shows that short-sale restrictions during an IPO lead to higher aftermarket prices. Using this and heterogeneous expectations on the factor pricing coefficient, our model sheds additional light on the impact of the short-selling constraint. Like prior research, short-sale...

This paper conducts the goodness of fit test of Bartlett (1954) on the stock prices of 12 countries during the period from January 1921 to December 1930 to examine the market efficiency hypothesis. The market efficiency hypothesis is not rejected for most European countries, but it is rejected...

This paper proposes a nonlinear error-correction model based upon smooth transition regression methodology. The model is specified such that the short-run adjustment toward long-run equilibrium is nonlinear and that the error correction is a smooth function of long-run deviation. Empirical...

In the context of a single equation in a system of simultaneous equations there is evidently some confusion in the literature as to the correct approach to the problem of prediction. Here we explore this problem and compare three different approaches to it. We also relate this discussion to...

In this paper, we discuss discrete-time tests for duration dependence. Two of our test statistics are new to the econometrics literature, and we make an important distinction between the discrete and continuous time frameworks. We then test for duration dependence in business and stock market...

De Beers is one of the longest lived international cartels in history. But have recent events threatened the diamond pricing structure so carefully developed over the past 100 years? In this paper, we use time series econometric techniques to evaluate the cartel's response to Russian cheating in...

It is beneficial to observe that popular model selection criteria for the linear model are equivalent to penalized versions of R-super-2. Let PR-super-2 refer to any one of these model selection criteria. Then PR-super-2 serves the dual purpose of selecting the model and summarizing the...