Purpose: This study aims to examine the relation between illiquidity, feedback trading and stock returns for several European markets, using panel regression methods, during the financial and the sovereign debt crises. The authors’ interest here lies twofold. First, the authors seek to...

Purpose – The recent unprecedented levels reached by financial ratios have led to a re-examination of their time-series properties, with evidence of long memory and nonlinearity reported. The purpose of this paper is to re-examine the nature of these series in the light of potential...

Purpose – The recent unprecedented levels reached by financial ratios have led to a re‐examination of their time‐series properties, with evidence of long memory and nonlinearity reported. The purpose of this paper is to re‐examine the nature of these series in the light of potential...

Purpose – This paper aims to empirically test for multiple cointegrating vectors in a holistic manner. Theoretical developments imply bivariate cointegration among stock prices, dividends, output and consumption where independent models identify key theoretical cointegration vectors....