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...

This paper studies actual house prices relative to fundamental house prices. Using UK data and a time-varying present value approach, we find that deviations of house prices fromtheir fundamental value (as warranted by real disposable income) are significant but not dominated by speculative...

This paper examines the hypothesis that predictable variation in excess returns can be explained by future business conditions. Using GARCH-M methodology and data on U.K. share returns over the period 1965-92, the authors find that excess returns are able to capture expectations regarding the...