Stock prices should respond only to unpredictable components of economic news ('innovations') in efficient markets. While innovations used in empirical investigations of the economic underpinnings of stock market risk should at least satisfy this basic requirement, this may not guarantee...

Changes in the risk structure of stock returns may sometimes be very revealing. We examine economic variables that help explain principal components in UK stock returns, 01/1985 to 12/2001. The loading pattern on explanatory variables for the first component in a 'bubble' period is distinctive...

Stock prices should respond only to unpredictable components of economic news (‘innovations’) in efficient markets. While innovations used in empirical investigations of the economic underpinnings of stock market risk should at least satisfy this basic requirement this may not guarantee...

Changes in the risk structure of stock returns may sometimes be very revealing. We examine economic variables that help explain principal components in UK stock returns, 01/1985 to 12/2001. The loading pattern on explanatory variables for the first component in a ‘bubble’ period is...

Based on a method developed by Leybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the NASDAQ stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...

This study investigates cross-sectionally the impact of economic and property factors on the returns of UK property companies and real estate investment trusts. By applying structural time-series modelling and the Kalman Filter to obtain unexpected changes or innovations in selected economic and...

This paper examines the movements in the Marxian surplus-value rate using a Quantitative Marxist methodology. It examines the relationship between surplus-value and the degree of monopoly power in the UK economy using quarterly data and a proxy for aggregate concentration — the ratio of market...

This study investigates multiple changes in persistence in the dividend–price and price–earnings ratio of the NASDAQ Composite Index. Recent time series methods that are capable of signalling and dating asset price bubbles are employed, in particular the method developed by Leybourne, Kim,...

A great deal of research has examined comovements between commercial real estate returns and macroeconomic variables in the US economy. These relationships have attracted less research interest for the UK real estate market, despite this being the largest European Market. This study targets this...

GLS estimation with correction for autocorrelation is used to examine the performance of 72 UK Investment Trusts in four non-overlapping five-year samples, 1974 to 1993, using measures of 'timing', and 'selectivity'. Abnormal performance on both indicators is found to be weak, with very little...