This study investigates the relationship among interest rates on the long-term governments bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these...

This paper estimates the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars. We examine the effects of news on volatility before, during and after news arrival, using three categories of news. Market activity is proxied by quote...

This study investigates the relationship among interest rates on the long-term governments bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these...

This paper estimates the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars. We examine the effects of news on volatility before, during and after news arrival, using three categories of news. Market activity is proxied by quote...

An individual investor typically assesses the risk of his portfolio by means of its asset mix - the proportion of stocks to bonds - or by the type of stocks it contains, or sometimes by more sophisticated measures such as its volatility. This article demonstrates an alternative measure of risk:...

Nonparametric tests reject that rankings of Treasury bill returns are random within months. Treasury bills tend to earn lower returns on the first trading day of the month of January. This pattern in January does not extend to the other months of the year. Unlike stocks, bill returns are...

Most empirical work examining the intertemporal mean-variance relationship in stock returns has tended to use relatively simple specifications of the mean and especially of the conditional variance. We augment the information set to include economic variables that other researchers have found to...

This paper develops two models of the money marketmutual fund maturity decision. The first assumes thatmarkets are efficient but that transactions are costly. Thesecond model relies on a survey of fund managers to selectvariables that might permit exploiting perceivedprofit opportunities....

This paper models stock returns as a function of three components: a constant expected return, the impact of the mechanism for executing trades, and a rational expectations error. We examine changes in these parameters using Goldfeld and Quandt's (1976) deterministic switching based on time....