From 1785 to 1815, U.S. shipping was subject to capture by the Barbary powers in North Africa. The U.S. government paid these powers for treaties to reduce the predation, and maintained a naval presence to protect its shipping. The Barbary powers appear to have price–discriminated in ransoming...

Federal revenues surged in the past three fiscal years, with receipts growing much faster than the economy and nearly all of the growth in the revenue due to individual income tax receipts. The 1994-7 increase in personal income tax liabilities relative to gross domestic product (GDP) resulted...

Phillip Cagan (1956) hypothesized

The market timing ability of fund managers remains a major research issue in finance. In the Australian context greater personal responsibility is now required for retirement incomes via superannuation fund investments of individuals. Accordingly the performance of these funds is an issue of...

In this paper we employ the LSTAR (logistic smooth transition autoregressive) model to investigate potential nonlinearities, cyclical behavior, causality and duration dependence in the realized monthly betas of thirty-nine U.S. industry portfolios. Tests reject linearity for all but eight...

We extend the widely used Merton (1981) market-timing model with a more realistic assumption on the information structure of the fund manager. Using a theoretically derived logistic smooth transition market (LSTM) model that incorporates duration dependence of market conditions in the transition...

The existing two-regime asset pricing models do not reach a consensus, neither in the definition of bull and bear market conditions nor in modelling the non-stationarity of the beta. We propose a new logistic smooth transition regression model to address the beta non-stationarity issue. Using...

We apply a logistic smooth transition market model (LSTM) to a sample of returns on Australian industry portfolios to investigate whether bull and bear market betas differ. Unlike other studies, our LSTM model allows for smooth transition between bull and bear states and allows the data to...

This paper examines prediction errors in the general dividend discount model using a back-test method. The prediction errors are based on realized dividends, terminal stock prices, and estimates of time-varying discount rates. Models of varying lengths are examined in our tests. We include firms...