In real options models, investment can increase under some conditions when interest rates rise. This research tests for these positive interest rate responses in the context of the Capozza-Li model of land development. In the model variable capital intensity is a sufficient condition for...

Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann <italic>et al</italic>., 2003), this article investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results...

In this research, we compare the effect of aggregate U.S. financial wealth with the effect of aggregate U.S. labor income on house prices at the national and city levels. Financial wealth is measured by the net worth of U.S. households minus the equity of owners in home real estate or by the...

It is well documented that expected stock returns vary with the day of the week (the Monday or weekend effect). In this article, the authors show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of...

This paper uses linear and nonlinear Granger causality tests to study the lead-lag relations among China's segmented stock markets. In contrast to the weak lead-lag relation among A- and B-share markets disclosed by its linear counterpart, a nonlinear causality test provides evidence of strong...