The growth rate of output per worker in the U.S. declined sharply during the 1970's. A leading explanation of this phenomenon holds that the dramatic rise in energy prices during the 1970's caused a significant portion of the U.S. capital stock to become obsolete. This led to a decline in...

The paper considers how to measure capital in a model where technical progress is either embodied in new units of capital or it is "disembodied" and simply causes the price of capital services to fall. The disembodied case is considered in sections 2-4. Sections 2 and 3 set out standard vintage...

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...