Aslanidis, Nektarios; Osborn, Denise; Sensier, Marianne - Department of Economics, University of Crete - 2003
This paper provides evidence on the causes of movements in monthly UK stock prices, examining the role of macroeconomic and financial variables in a nonlinear framework. We allow for time-varying effects through the use of smooth transition models. We find that past changes in the dividend yield...