This paper presents and estimates a regime switching macro-finance model of the term structure with latent and macroeconomic factors. The joint dynamics of the yield and macro factors are examined simultaneously. Both the canonical yields-only model and the macro-finance model capture two...

We extract global yield curve factors based on the affine arbitrage-free dynamic Nelson-Siegel model. The measure of integration proposed in the paper allows time-varying partial segmentation of national and global government bond markets. It takes into account the maturity structure of yields,...

This paper shows that the predictability of excess bond returns could be due to the persistence of regime shifts in interest rate dynamics. This is achieved through the introduction of a regime-dependent heteroscedasticity into the discrete Vasicek model. It therefore provides a new perspective...

Prior literature suggests that related party transactions may have a potentially detrimental effect on firm valuation because it undermines the corporate governance benefits a firm offers to minority shareholders. The share structure reform provides a unique opportunity to study to what extent...

The stock market is evolving, and investors are learning. This paper investigates the role of perpetual learning in excess return forecasts. We find that perpetual learning usually delivers statistically and economically significant out-of-sample gains relative to the historical average.

This paper introduces a regime-switching combination approach to predict excess stock returns. The approach explicitly incorporates model uncertainty, regime uncertainty, and parameter uncertainty. The empirical findings reveal that the regime-switching combination forecasts of excess returns...

This paper investigates the tripartite association among capital gains, illiquidity, and stock market returns. We find that trading in capital gains improves stock liquidity. We also find that realized stock returns are negatively related to the joint term of illiquidity and capital gains, but...

This paper investigates how changes in Federal Reserve policy impact international stock returns, with the three objectives of measuring the reaction of international stock markets, understanding the transmission channels of that reaction, and explaining the economic sources of that reaction. We...