Housing prices in the US rose rapidly from 2000-2007Q3. Based on this evidence, the financial and general press concluded the US experienced a housing bubble. The efficient market theory denies the possibility of a bubble. This paper applies the statistical technique of cointegration to...

The paper examines the capital structure decision of 3,432 US companies in the year 2006 and 2011. The paper employs quantile regression to explore the predictions of the trade-off and pecking order models. We find evidence of heterogeneity in the capital structure and the determinants of...

Surprisingly, a positive risk–return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk–return relationship for U.S....

By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French (FF) factors. Macroeconomic announcements had a profound effect on equity returns, the FF factors and momentum. We find that the...

Over the past decade or so, the surge of interest among U.S. investors in international investing has led to the creation of numerous foreign equity country funds. Like U.S. closed-end mutual funds, the prices of such closed-end country funds fluctuate widely in relation to their underlying net...

This paper investigates the sources of time-varying risk for the US stock and bond markets. The model captures the change in the risk premium due to each market's own volatility risk and the covariance risk. We test for the effects of macroeconomic news on time-varying volatility as well as...