Has Australia's shift to an inflation-targeting monetary policy regime had a significant impact on investors' perception of interest-rate risks in the market? We find that since 1990, unanticipated adjustments to monetary policy have had a significantly larger impact on the term premium. This...

Following the work of Lee, Myers and Swaminathan (1999), we develop robust tests of their intrinsic value measure, along with other traditional measures of value, for the Australian Stock Market. Specifically, we apply the tests to a broadly matched version of the Australian Asia Pacific Extra...

This papers addresses whether observed violations in the liquidity preference hypothesis (LPH) can be explained by the presence of multiple regimes in the term premia. The investigation directly tests the LPH via a series of inequality tests which allow the moments to be conditioned on...

The Life Cycle Hypothesis suggests that the primary motivation for saving is to accumulate resources in order to fund retirement. This suggests that investors have heterogeneous investment horizons, yet many tests of the CAPM assume homogeneous horizons. This paper estimates a time varying...

A general approach to testing serial dependence restrictions implied from financial models is developed. In particular, we discuss joint serial dependence restrictions imposed by random walk, market microstructure, and rational expectations models recently examined in the literature. This...

This article provides a unified approach for testing serial correlation in stock returns. The authors describe a general class of statistics that are linear combinations of consistent estimators of autocorrelations. As special cases, they show that this class captures many of the statistics...

Previous research has investigated the multivariate normality of stock returns using tests based on the marginal distribution of returns. Due to the contemporaneous correlation across asset returns, these tests are difficult to interpret. The authors develop a general test procedure that takes...