We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

This paper examines the cointegrating relationships between UK quarterly stock prices, stock price fundamentals, GDP and consumption. Evidence reported supports cointegration between these four-variables, with results indicating three cointegrating vectors, or a single common stochastic trend....

Using data for forty markets, this paper examines the nature and possible causes of time-variation within the stock return-dividend yield predictive regression. The results in this paper show that there is significant time-variation in the predictive equation for returns and that such variation...

This paper examines the nature of equity ownership of state-owned enterprises (SOEs) for over 2000 listed firms in China. Notably, the paper examines both the pattern of state ownership and the dynamics of stock returns and volatility. Firms under the control of SOEs dominate the Chinese stock...

This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008-2009 financial crisis. We find the equilibrium position for the basis during the ban is below that normally seen, with the spot price higher relative...