Utilities regulation attempts to attenuate the effects of market failure. Contemporary systems of regulation are generally either rate of return or price cap (RPI-X) systems. This paper addresses the issue of the levels of excess returns and risk inherent in investment in the equity of regulated...

Using a Markov Switching Model, the hypothesis that <italic>ex post</italic> commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each...

Using principal components analysis, this paper derives a direct measure of movements in the level and slope of the certificate of deposit yield curve. Appealing to the efficient markets view of the term structure of interest rates, evidence is reported which suggests that changes in Treasury...

Using monthly, semi-annual and annual sampling frequencies from February 1974 to June 1996, we reject the mean-variance efficiency of the Australian stock market while supporting the view that conditional variances are not constant in time. Results indicate that unexpected movements in key...

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...

Using daily settlement prices for a range of real and financial futures over the period 6 April 1981-31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the efficiency of the markets within which the prices of the assets...