Previous empirical studies of international CAPM models have not found much supporting evidence. In this paper we suggest reasons why this might have happened and perform new tests using improved models and data. A range of monthly CAPM models are estimated for 1973-1987 for aggregate equities...

The blame for the recent financial crisis has been attributed to modern macroeconomic theory rather than banking and finance. This article defends modern macroeconomics against its critics arguing that the critics have missed the point of why macroeconomics is carried out in the way it is. It...

Based on a large micro data set of loan accounts consisting of restructured and non-restructured loans we investigate the ability of loan-specific and macroeconomic covariates to predict the probability of default (PD). We seek to investigate whether differences in the PD between the two...