This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008–2009 financial crisis. We find that the equilibrium position for the basis during the ban period is below that normally seen, with the spot price...

This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008-2009 financial crisis. We find the equilibrium position for the basis during the ban is below that normally seen, with the spot price higher relative...

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

This paper examines the nature of the correlation between (real) equity and bond returns for the G7 markets. From the standpoint of established finance theory, we would expect a positive returns correlation, however, evidence has been presented to suggest that a negative correlation occurs over...

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

This paper links variation in the predictive regressions for stock returns, dividend growth and consumption growth to economic and market factors. The nature of these links can reveal whether movement in asset prices occurs primarily through the discount rate or cash flow channel, while they...

This paper argues that dividend yield stock return predictability is time-varying. We conjecture that such time-variation is linked to the business cycle. Employing monthly data for US sector portfolios we estimate 5-year rolling fixed window predictive regressions. The resulting series of...

This paper examines the relationship between consumption growth and the stock market for the G7 markets primarily using panel estimation techniques. We consider whether consumption growth is affected by stock returns and the dividend yield. The use of returns determines the existence of a wealth...