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Spurious rejections by cointegration tests induced by structural breaks

Leybourne, Stephen James; Newbold, Paul - In: Applied economics 35 (2003) 9, pp. 1117-1121

Persistent link: https://www.econbiz.de/10001761588

A more powerful modification of Johansen's cointegration tests

Leybourne, Stephen James; Kim, Tae-hwan; Newbold, Paul - In: Applied economics 40 (2008) 4/6, pp. 725-729

Persistent link: https://www.econbiz.de/10003722969

A bootstrap stationarity test for predictive regression invalidity

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10012178194

Speculative Bubbles and the Cross-Sectional Variation in Stock Returns

Brooks, Chris; Anderson, Keith - Henley Business School, University of Reading - 2012

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally … asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger … bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced …

Persistent link: https://www.econbiz.de/10010800985

Augoregressive Conditional Kurtosis

Brooks, Chris; Burke, Simon P.; Persand, Gita - Henley Business School, University of Reading - 2002

This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and...

Persistent link: https://www.econbiz.de/10005558309

Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index

Brooks, Chris; Katsaris, Apostolos - Henley Business School, University of Reading - 2002

In this paper we test for the presence of periodically partially collapsing, positive and negative, speculative bubbles …

Persistent link: https://www.econbiz.de/10005558272

Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?

Brooks, Chris; Katsaris, Apostolos - Henley Business School, University of Reading - 2006

This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of …

Persistent link: https://www.econbiz.de/10005558277

A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index

Brooks, Chris; Katsaris, Apostolos - Henley Business School, University of Reading - 2002

In this paper we examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500 Composite Index for the period 1888-2001. We extend existing two-regime models of speculative behaviour by including a third...

Persistent link: https://www.econbiz.de/10005558284

The Value Premium and Time-Varying Unsystematic Risk

Brooks, Chris; Li, Xiafei; Miffre, Joelle - Henley Business School, University of Reading - 2007

Recent research has discussed the possible role of unsystematic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns...

Persistent link: https://www.econbiz.de/10005558315

Low-Cost Momentum Strategies

Li, Xiafei; Brooks, Chris; Miffre, Jöelle - Henley Business School, University of Reading - 2007

The article analyses the impact of trading costs on the profitability of momentum strategies in the UK and concludes that losers are more expensive to trade than winners. The observed asymmetry in the costs of trading winners and losers crucially relates to the high cost of selling loser stocks...

Persistent link: https://www.econbiz.de/10008542360