Phillip Cagan (1956) hypothesized

Purpose: The purpose of this paper is to provide a robust examination of the factors that accelerate/decelerate the divestment timing of retail banners in international markets. Design/methodology/approach: The sample represents 3,235 foreign market banner operations of 132 international...

The market timing ability of fund managers remains a major research issue in finance. In the Australian context greater personal responsibility is now required for retirement incomes via superannuation fund investments of individuals. Accordingly the performance of these funds is an issue of...

In this paper we employ the LSTAR (logistic smooth transition autoregressive) model to investigate potential nonlinearities, cyclical behavior, causality and duration dependence in the realized monthly betas of thirty-nine U.S. industry portfolios. Tests reject linearity for all but eight...

We extend the widely used Merton (1981) market-timing model with a more realistic assumption on the information structure of the fund manager. Using a theoretically derived logistic smooth transition market (LSTM) model that incorporates duration dependence of market conditions in the transition...

The existing two-regime asset pricing models do not reach a consensus, neither in the definition of bull and bear market conditions nor in modelling the non-stationarity of the beta. We propose a new logistic smooth transition regression model to address the beta non-stationarity issue. Using...

We apply a logistic smooth transition market model (LSTM) to a sample of returns on Australian industry portfolios to investigate whether bull and bear market betas differ. Unlike other studies, our LSTM model allows for smooth transition between bull and bear states and allows the data to...