ABSTRACT This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long‐run relationship. Moreover, changes in sentiment towards...

Recent empirical evidence suggests that stock market index returns are predictable from a variety of financial and macroeconomic variables. We extend this research by examining value and growth portfolios constructed by book-to-market ratio, and consider whether such predictability is evident...

Purpose – This paper aims to examine the relationship between the conditional variance of the factors from the Fama–French three-factor model and macroeconomic risk, where macroeconomic risk is proxied by the conditional variance for a default risk premium and real gross domestic product...

Recent empirical finance research has suggested the potential for interest rate series to exhibit non-linear adjustment to equilibrium. This paper examines a variety of models designed to capture these effects and compares both their in-sample and out-of-sample performance with a linear...

Recent research has suggested that intra-day volatility may possess a component structure, though views differ as to whether this is the consequence of heterogeneous information arrival or the actions of heterogeneous market agents. Estimation results for a HARCH conditional variance model which...

Using recursive and rolling estimation evidence is reported that STAR non-linearity is ever present within the DJIA. Further, the parameters of interest exhibit some temporal dependence. These results suggest that non-linearity is a regular feature of the data that should be modelled and used in...

This paper examines the ability of the forward premium to provide an unbiased estimate of the future spot rate allowing for potential asymmetries. Extant evidence suggests that forward rates provide a biased predictor of future spot rates. Examining the forward premium for 16 countries, only for...