This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

Research in real estate finance and economics has been dealing with the topic of efficiency in the U.S. housing market for over 25 years. However, most recent research either examines local markets based on single homes or focuses on the Conventional Mortgage Home Price Indices (CMPHI) and...

Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk, but less so than firm characteristics. Idiosyncratic...

The SEC decided in 2007 to allow foreign private issuers who use IFRS as promulgated by the IASB (pure IFRS filers, hereafter) to stop providing reconciliations to US GAAP. Some opposed the measure because the limited academic literature available at the time indicated that the reconciliation is...

This paper examines the relative performance of small-caps vs. large caps surrounding periods of peaks and troughs of economic activity, and reexamines the relationship between the small firm anomaly and the business cycle. Small-cap firms outperform large caps over the year subsequent to an...

This study investigates the presence of intraday patterns in the eleven sectors of the United States (U.S.) economy. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session on the New York Stock Exchange (NYSE), (ii) whether a...

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....