We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given...

We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given...

Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance. Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such as risk management and estimation of the cost of...

We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given...

We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given...

We apply Lo's (Econometrica, 1991, 59, 1279-1313) modified R/S test to the returns series of 1,952 ordinary common stocks. We use asymptotic and bootstrapped critical values to evaluate the significance of the test statistics, which are computed for several different fixed and sample-size...

We analytically and empirically study the nature of modified market-model regressions when stock returns are governed by a return-generating mechanism which nests the expected-return relations of the APT, the Classical CAPM, the ICAPM, as well as the expected-return relation of an irrational...

We incorporate a data-dependent procedure for determining irregular events into standard event-study analysis to address the issue of uncertainty about event dates associated with a regulatory change. As an illustration, we apply this approach to the cigarette advertising ban, and compare these...

Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance. Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such as risk management and estimation of the cost of...