Excess returns calculated using nonstationary risk-free interest rates will also be nonstationary and this may cause an unbalanced regression problem in the estimation of Capital Asset Pricing Models (CAPM). Under such circumstances, beta coefficients could be both biased and inconsistent. The...

This paper investigates the empirical association between stock market volatility and investor mood-proxies related to the weather (cloudiness, temperature and precipitation) and the environment (nighttime length). Overall, our results suggest that cloudiness and length of nighttime are...

This paper discusses a simple testing procedure based on cointegration that can be used to assess and compare the historical performance of trading systems and investment strategies. The proposed procedure, coined the 'cointegration cumulative profit' test, is applied in evaluating technical...

This article proposes productivity analysis for evaluating the relative efficiency in corporate real estate usage across decision-making units. Using data from the Greek Telecommunications Organization (GTO), we measure the productivity of 127 branches using the number of employees and the total...

This study argues that there may exist benefits in active portfolio management and trading other than the possibility of obtaining excess returns. The objective is not to attack the hypothesis that trading cannot produce (risk-adjusted) returns that are superior to passive investment strategies....