Two empirical models are used to implement the arbitrage pricing theory: the factor loading model (FLM) and the macrovariable model (MVM). This study compares the ability of these two models to explain real estate returns using equity REIT returns as a proxy. Two tests are performed: a...

This study investigates whether discount rate changes serve as an informative signal for investors to enter or exit the stock market. Based on the signal, a market timing strategy is formulated and its performance relative to a passive buy-and-hold strategy is tested with several performance...

In this paper the interest rate sensitivity of bank stock returns under alternative econometric specifications and the changes in the sensitivity over time are studied. Results indicate that the sensitivity depends on the econometric specification and the period considered. Bank stock returns...

This study examines the performance of mutual funds under different Central Bank of China monetary policy environments in the emerging Taiwan market. To measure monetary policy changes effectively, we exploit changes in the discount rate and further categorize the monetary environment as either...

The size of the ‘underground economy’ (UE) is valuable information in the formulation of macroeconomic and fiscal policy. This study applies fuzzy set theory and fuzzy logic to model Taiwan's UE over the period from 1960 to 2003. Two major factors affecting the size of the UE, the effective...

This study investigates the cross-sectional variation in equity real estate investment trusts (EREITs) returns. A pooled cross-sectional, time-series approach is used as an alternative to the two-step Fama-MacBeth regression. With pooling, more powerful tests can be obtained from the limited...