This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970-2005. Utilizing a dynamic present value model, we find disparities between actual and fundamental house prices in the early 1970s and 1980s and from 2000 to date. We model...

Using data from five major stock markets and a vector autoregression estimation procedure underpinned by the traditional intertemporal capital asset pricing model, initial evidence suggests that the UK investing community is particularly prejudiced in terms of short-termist behaviour. The...

The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies. Rather than focusing on exogenous...

This paper explores the scale and behaviour of abnormal returns observed in the equity of the 10 Water and Sewerage Companies (WASCs) in England and Wales that were formed at privatisation of the UK water industry in 1989. The paper uses the CAPM and employs techniques of the Kalman Filter to...

Using Australian national economic data and state level house prices we construct a structural vector autoregressive (SVAR) model to identify the impact of common monetary policy shocks on house prices both at national and state levels. Our results suggest that the impact of a shock to interest...

Value investment styles yield higher returns, on average, than investing in growth stocks. The literature is currently divided on the reasons for this finding. Fama and French (1998) suggest that value stocks are inherently more risky and this non-diversifiable risk should be rewarded in...

Volatility in UK stock markets increased substantially during 1997-2000 relative to the past. This paper shows that much of that volatility can be attributed to a substantial increase in sector specific and sub-sector specific risk. Over this period the role of market risk as the driving force...

Using 54 years of quarterly data and a VAR model underpinned by a theoretical framework describing the relationship between US stock prices and the macroeconomy, this paper analyses the extent to which US stock prices deviate from economy-wide fundamentals. Focusing on real output and using a...

This study utilizes contemporaneously sampled survey data on the expectations of U.S. and Japanese investors regarding future levels of the DJIA and the NIKKEI stock indices. The survey covers the period 1989-1999. The expectation data is used to compute direct tests of investor rationality and...

Using long-run data and a VAR approach, the study investigates whether US and UK stock markets have experienced excessively volatile prices and excessively high returns. Present value models, developed in a constant and non-constant risk CAPM framework, are used as benchmarks with which to...