The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...

Logan et al. (1973) analyze the limit probability distribution of the statistic sn(p) = Σi=1 Xi/(Σi=1 Χj ) /p as n → ∞, when Xi is in the domain of attraciton of a stable law with stabilility index a. By simulations, we provide quantiles of the usual critical levels of the finite-sample...

In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...

We analyse the adjustment of retail and services prices in a period of low inflation, using a set of individual price data from the German Consumer Price Index which covers the years 1998 to 2003. We strong find evidence of time- and state-dependent price adjustment. Most importantly, the...

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...

In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of α-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...

Under the symmetric á-stable distributional assumption for the disturbances, Blattberg et al (1971) consider unbiased linear estimators for a regression model with non-stochastic regressors. We consider both the rate of convergence to the true value and the asymptotic distribution of the...