In this paper we use a bivariate, fractionally integrated, autoregressive, moving average model of money and real output to extend Fisher and Seater (1993) long-run neutrality requirements to long-memory processes. We derive new restrictions on the order of the nominal and real variable and...

For a process with stationary first differences necessary and sufficient conditions for the variance of the process to be unbounded are given. An example shows that the variance of an integrated process -- while being unbounded -- need not diverge to infinity. Sufficient conditions for the...

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...

This paper develops a consistent OLS estimate of a fractionally integrated processes' differencing parameter, using continuous wavelet theory as constructed from smoothing kernels. We show that a log-log linear relationship exists between the variance of the wavelet coefficient and the level at...

Manuscript Type: Empirical Research Question/Issue: This study seeks to test the outcome and substitution agency models of dividends at different stages of the corporate life-cycle. Research Findings/Insights: In a sample of 220 firms from 21 emerging market countries, I show that the outcome...

Using the IFC investable measure to designate firms as either investable or non-investable prior to cross-listing, I show that Level 2/3 cross-listing firms that were previously non-investable enjoy the largest “cross-listing premia”. Since previously non-investable firms are likely to...

In this paper I examine the relationship between the strength of creditor rights, their enforcement, corporate governance and corporate dividend payout in a sample of 281 emerging market firms. I show that the outcome model of dividends, which states that corporate dividend payout increases in...

In this paper I examine the relationship between individual corporate governance provisions and corporate dividend payout. Using a sample of 220 firms from 21 emerging market countries, I show that dividend payout is an outcome of strong corporate governance. On closer inspection, I find that...

Purpose – The purpose of this research is to examine whether corporate governance changes along the corporate life-cycle. Design/methodology/approach – In a sample of 205 firms from 21 emerging market countries and using a life-cycle proxy from the dividends literature, we use a...

We examine the interaction between the legal protection of investors, corporate governance within firms, institutional development between countries, and investable premia in emerging markets. In a multi country setting and using a novel dataset we find that better-governed firms experience...