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...

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...