We qualify some of the traditionally accepted results on the predictive power of the term spread over output. We show that in the case of short-term spreads, the direction of the predictive power may be the opposite to that usually found in the empirical literature, which has mostly rested on...

This work examines the variation of the simple Moving Average (MA) trading rule performance as a function of the MA length in New York Stock Exchange (NYSE), Athens Stock Exchange (ASE) and Vienna Stock Exchange (VSE) using daily data from May 1993 to April 2005. Results show that changes of the...

A relatively strong performance of the North American stock markets during the last two decades, notwithstanding the sharp decline experienced in the year 2000 and beyond, has set the stage for an empirical investigation of the possible effects that stock wealth, among other variables, can have...

We consider whether popular moving average and trading range breakout technical trading rules are profitable on a subset of the US stocks with certain size, liquidity and industry characteristics. We find these rules are rarely profitable during the period 1990 to 2004, however there is some...

We analyse the performance of a large sample of Socially Responsible (SR) stocks relative to a Control Sample (CS) of equivalent size for 14 years. We find that individual SR stocks have on average significantly lower returns and unconditional variance than CS stocks when controlling for...

Recent studies have documented the importance of asymmetry and tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk and option-valuation models. This article explores the nature of skewness and elongation in daily Exchange-traded Fund (ETF) return distributions using g, h...

In an influential paper Bernatzi and Thaler (1995) (B&T) show that Myopic Loss Aversion (MLA) can explain the equity premium in the US over the period 1926 to 1990. However, bond returns, in their simulations, are based on coupons only. Allowing for capital gains on bonds in the simulations...

While studies have documented that Initial Public Offering (IPO) aftermarket performance is weak, little is known about how the aftermarket performance is affected by takeovers of the newly public firms. We find that the aftermarket performance of IPOs is more favourable for those newly public...

This article examines the interrelations among five ownership and board characteristics in a sample of 260 banks and Savings-and-Loan Holding Companies (SLHCs). These governance characteristics, designed to reduce agency problems between shareholders and managers are insider ownership,...