The aim of this study was to determine whether referendums affect stock price risks and returns, using an event study approach. Daily end period data for the Swiss stock market index, the STOXX European market index, and the Swiss/US exchange rate running from the beginning of 2004 to June 2021,...

This study provides a critical assessment of long-horizon return predictability tests using highly persistent regressors. We show that the most commonly used test statistics are typically oversized, leading to spurious inference. As a remedy, we propose a simple Wald statistic, which can...

This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We conduct a battery of predictability tests for US stock returns during the 1927-2012 period, proposing a novel testing procedure which: i) robustifies inference to the degree of...

This paper employs a Component GARCH in Mean model to show that house prices across a number of major US cities between 1987 and 2009 have displayed asset market properties in terms of both risk-return relationships and asymmetric adjustment to shocks. In addition, tests for structural breaks in...