Post-earnings announcement drift (PEAD) which was first identified over 40 years ago seems to be as much alive today as it ever was. Numerous attempts have been made to explain its continued existence. In this paper we provide evidence to support a new explanation: that the PEAD is a reflection...

The paper reports on the results of estimating both the long- and short-run demand for money function in New Zealand, 1990–2000 using quarterly data and cointegration- and error-correction-based models. It is found that price, real income and interest rate variables are integrated of order 1...

In the past, stock returns are often assumed to be normally distributed. Potential gains from international portfolio diversification are thus based on a mean-variance framework. However, numerous empirical results reveal that stock returns are actually not normally distributed. Although...

This paper investigates the relevance of the Ricardian Equivalence theorem for the relationship between the budget deficit and real interest rate. In contrast to the existing literature, we focus on regime-change over a long study period and consider nonlinearities. Using a Markov...

Recently, Kaniel et al. (2005) find that the Investor Recognition Hypothesis (IRH) is valid across countries. The New Zealand (NZ) stock market is among the developed countries which exhibit significant High-Volume Return Premiums (HVRP) supporting the IRH. In this article, we reexamine Kaniel...

This article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1993 to...