Using a battery of look-ahead-bias free measures of accruals quality (AQ), we find a strong and long lasting negative relation between future returns and AQ. In decile portfolios that rank on AQ, a hedge portfolio that goes long in the lowest decile and short in the highest decile generates an...

We find that China's P/E ratio is comparable to that of the U.S. S&P 1500 index, a broad based index covering large, middle, and small capitalization firms. We provide an explanation as to why China's seemingly low P/E ratio is not surprising in light of the economic growth that it has...

Various empirical specifications of the permanent income model are investigated using Canadian aggregate data. Tests for structural changes with known and unknown change point are applied to the models estimated by the generalized method of moments. The proportion of current income individuals...

In this paper we theoretically derive the risk of Zellner's extended minimum expected loss function estimator. Using artificial data, we then calculate the risks of known nested estimators that include simple minimum expected loss function, two stage least squares and ordinary least squares. The...

This paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing mixtures of bivariate normal distributions on the innovations of the observation and latent equations of the duration process. This extension allows the model not only to capture...

This paper presents an analytic approximation formula for pricing zero-coupon bonds, when the dynamics of the short-term interest rate are driven by a one-factor mean-reverting process in which changes in the volatility of the interest rate are a function of the level of the interest rate

In a recent paper Mercenier and Sekkat (1988) use a linear-quadratic model to examine the willingness of a monetary authority in a small open economy to target its exchange rate. Based on their empirical results, the authors conclude that the Bank of Canada has displayed a willingness to use the...

This paper adopts a novel empirical approach to the crude-oil price formation for the purpose of understanding the price reactions of OPEC member countries to changes in the exchange rate of the US dollar against other major currencies and prices of other members. The results are broadly...

This study examines the effects of changes in the exchange rate of the US dollar on the trade balances of three oil-exporting countries, namely Iran, Venezuela and Saudi Arabia. An exchange rate pass-through model is applied to allow changes in the exchange rate of the dollar to affect prices of...

This paper examines how sales taxation on Internet purchases could affect the decision to buy oods over the Internet. The results appear robust with respect to unobserved technological sophistication or other alternative explanations. The tax effect is found to be significant and its magnitude...