This paper considers seasonality in Australian macroeconomic time series, emphasizing the roles of unit roots and the selection of differencing filters. The consequences of seasonal unit roots and the importance of correct variable transformation are analyzed. For certain variables, in addition...

Real non-durable consumption expenditure for many countries typically exhibits substantial seasonal fluctuations. In this paper, two seasonal models that are consistent with an extension of the rational expectations life-cycle permanent income hypothesis are evaluated using quarterly seasonally...

Purpose – Past studies have shown that investment strategy using two popular metrics, the earnings-price ratio (EP) and book-to-market ratio (BM) enable investors to reap abnormal returns. More recent development of another ratio, economic value-added-to-market value (EVAM) can be seen as a...

Previous tests of the long-run neutrality hypothesis have generally relied on annual time series data. This paper analyses the long-run neutrality of money in Australia using different sources of intra-year data, which permits an examination of the effects of seasonality and the robustness of...

Purpose – Past studies have shown that investment strategy using two popular metrics, the earnings‐price ratio (EP) and book‐to‐market ratio (BM) enable investors to reap abnormal returns. More recent development of another ratio, economic value‐added‐to‐market value (EVAM) can be...