Showing 1 - 10 of 10
This paper explores the long run behaviour and short run dynamics of quarterly UK real interest rates, 1950-1999, in a threshold autoregressive framework. Using bootstrap LR extensions of the Enders and Granger (1998) threshold unit root and asymmetry tests, it finds support for sign and...
Persistent link: https://www.econbiz.de/10009206883
This study indirectly addresses the issue of potential nonlinearities in real exchange rate adjustment for 18 OECD economies 1973-1998 using recent developments in the theory of nonparametric cointegration. While the standard Johansen tests yield mixed evidence, the results from a new...
Persistent link: https://www.econbiz.de/10005637949
Major changes to the MSCI Canada Standard Country index were announced and implemented in May 2000. This rebalancing involved the addition of some 17 and deletion of 13 stocks and had the net effect of increasing the market capitalization by US$50 billions. We investigate the associated changes...
Persistent link: https://www.econbiz.de/10005637799
This article examines the role of nonnormality risks in explaining the momentum puzzle of equity returns. It shows that momentum profits are not normally distributed and, relatedly, that the momentum profitability is partly a compensation for systematic negative skewness risk in line with market...
Persistent link: https://www.econbiz.de/10004966763
We analyse a unique sample of 165 foreign divestitures by UK firms 1986-1995. These divestitures lead to significantly positive shareholder wealth effects of 4.8% over the 10 days before and after the announcement date. They are several times larger than the corresponding wealth effects reported...
Persistent link: https://www.econbiz.de/10009278665
Symmetry and proportionality is tested for in 15 European economies 1973:04-1998:12 in a panel regression framework that allows for permanent shocks. Support is found for both symmetry and proportionality and thus for general relative PPP in the US dollar but not the German mark panel.
Persistent link: https://www.econbiz.de/10005451881
This article investigates the links between hot markets, venture capital and long-run underperformance using a unique sample of 591 UK IPOs 1985-2003. It finds no evidence for long-run underperformance for the full sample in line with the classical position. However, cumulative abnormal returns...
Persistent link: https://www.econbiz.de/10005451970
Symmetry and proportionality for 15 European economies 1973 : 04-1998 : 12 is tested in a panel regression framework that allows for permanent shocks. Support is found for both restrictions and thus for general relative PPP in the US dollar but not the German mark panel.
Persistent link: https://www.econbiz.de/10005452127
We provide evidence that ex ante misvaluation matters for merger activities in the UK 1986-2002 using a sample of 302 bidders and targets. Sector or long-run misvaluation causes merger firms to be more overvalued than nonmerger firms. Acquirers are overvalued absolutely and relative to targets...
Persistent link: https://www.econbiz.de/10008582874
We propose and adduce evidence for a new seasonal anomaly associated with the Lunar Moon Festival (LMF) in East Asian economies. While the LMF effect bears some resemblance to the festivity and vacation anomalies, it is mainly driven by nostalgia, historically negative associations, the full...
Persistent link: https://www.econbiz.de/10008674780