Based on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the...

Published as an article in: Journal of International Money and Finance, 2010, vol. 29, issue 6, pages 1171-1191.

This article proposes an extension of Dixit (1989, Quart. J. Econ.), assuming that potential exporting firms benefit from the experience of firms already settled in the foreign market which allows the sunk cost to diminish. In general, the numerical results show that hysteresis is lower as...

Using a Markov regime switching model, this article presents evidence on the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes, one with high volatility and other with low volatility. We obtain a time-varying January effect that...

A domestic monopolistic firm has the option to service a foreign market through export or by setting up a plant in the host country under exchange rate uncertainty. We analyze the effect of the parameters of the demand and cost functions on hysteresis. We also show results on the effect of...

In this article I analyze the Spanish stock market in an international setting. Using a simple Markov regime switching model I get a time varying measure of the effect of the return on a Latin American portfolio on the Spanish stock returns. The evidence can be summarized as follows. First, I...

En este trabajo contrastamos estadísticamente los efectos que tienen sobre la tasa de crecimiento de la infraestructura pública regional las combinaciones de partidos gobernando simultáneamente en los Gobiernos central y regional. Utilizamos datos de panel para las Comunidades Autónomas...

Using a Markov regime switching model, this article presents evidence of the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes: one with high volatility and another with low volatility. We obtain a time-varying January effect that...