This paper assesses the ability of financial statement variables to forecast sensitivities to systematic risk factors generated by a multifactor, macroeconomic forces model. Forecasts of beta derived from financial variables are shown to outperform naive, random walk forecasts, although...

ABSTRACT Studies of how exchange rate volatility affects aggregate trade flows implicitly assume a uniform response across individual sectors. This is highly unlikely given that the responsiveness of trade to exchange rate fluctuations could depend on the biological, marketing, and economic...

In this paper we propose a test of the null hypothesis of time series linearity against a nonlinear alternative, when uncertainty exists as to whether or not the series contains a unit root. We provide a test statistic that has the same limiting null critical values regardless of whether the...

In this paper we build upon the robust procedures proposed in Vogelsang (1998) for testing hypotheses concerning the deterministic trend function of a univariate time series. Vogelsang proposes statistics formed from taking the product of a (normalised) Wald statistic for the trend function...

The promised review of the EU Budget in 2008 offers an opportunity to bring CAP financing into line with logic, justice and the rest of EU policy. Currently, the CAP is unique amongst European policies in being both mandatory and requiring 100 per cent financing by the EU budget. While this made...

In this paper we build upon the robust procedures proposed in Vogelsang (1998) for testing hypotheses concerning the deterministric trend function of a univariate time series. Vogelsang proposes statistics formed from taking the product of a (normalised) Wald statistic for the trend function...