Using weekly share return data from a sample of five Pacific Rim and the UK and US stock markets over the period 1 January 1988-14 October 1994, this paper examines the relationship between conditional return volatility, market performance and news arrival at the market-place. Our results...

Using Australian capital city data from 1984Q3-2008Q2, this paper utilizes a dynamic present value model within a VAR framework to construct time series of house prices depicting what aggregate house prices should be given expectations of future real disposable income – the ‘fundamental...

To establish price caps, regulators must determine appropriate returns for utilities' capital employed. This paper uses the techniques of the Kalman Filter to estimate daily betas for the U.K.'s regional electricity companies in the period from privatization to end-1998. The paper demonstrates...

This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970-2005. We find disparities between actual and fundamental house prices in the early 1970s and 1980s and from 2000 to date. These deviations are found to be substantially...

Standard tests of asset pricing models are based on the "iid"-normal assumption. We compare standard test results with those obtained from procedures that do not require "iid"-normality. Analysing unconditional and conditional asset pricing models, we find that the use of tests that consider...

UK utilities are generally regulated by the periodic setting of a price cap (the RPI-X mechanism). To establish these caps, regulators must determine what returns are appropriate on the capital employed by utilities. This paper addresses the issue of the level of risk inherent in investment in...