It is well known that the CAPM beta is not stable over time. We investigate the nature of the time-variation in betas using monthly Australian data from 1979 to 1994 for 23 sectors. We discuss beta estimates for sub-periods and tests of the statistical adequacy of the market model used to...

What are the forces behind the increasing globalization of economic life? How does globalization affect the functioning of national economies? What difficulties confront government policymakers in dealing with the global economy? These issues are addressed in this volume by leading specialists....

Purpose – The aim of this paper is to consider the appropriate benchmark risk free rate sui for pricing of property investments in the UK and, in doing so, investigate the financial characteristics and performance of the UK gilt yields. European investors have been significant players in the...

Purpose – The purpose of this paper is to compare responses of house prices in three important markets when faced with permanent and temporary shocks to income. It additionally decomposes each historical house price series into its permanent, temporary and deterministic components....

This paper analyzes several published indices and market prices of selected individual commodities for the period January 1974 through December 1990 in order to assess the potential role of commodity prices in the formulation of U.K. monetary policy. The authors generate a measure of the...

Using the family of GARCH-M(p,q) models and U.K. data comprising of the market portfolio and a portfolio of smaller company shares over the period January 1970 through June 1994, this paper provides support for the notion that the degree of market capitalization is an important factor in the...

There is now evidence to reject the speculative efficiency hypothesis for the 1920s float. This paper investigates whether the rejection may be due to risk aversion. Two models of the risk premium are fitted: the ARCH-in-mean model and the DYMIMIC (kalman filter) model. Some support is found for...