CAPM betas are generally estimated from historical data and applied to a future period. There is widespread evidence that the CAPM betas vary considerably over time and this raises two questions: can this variation be explained and can it be forecast better than the 'five-year rule of thumb'...

This paper studies actual (real) house prices relative to fundamental (real) house values. Such a focus is warranted since housing constitutes a large fraction of most household portfolios, and its characteristics are such that, in contrast to what prevails in financial markets, arbitrage will...

This paper examines long-run convergence between US, UK and seven European stock markets. We report evidence to suggest that while real short-run diversification gains may occur, in general they tend to be short-lived. However we also find that US and UK markets are relatively less bound to a...

We investigate the existence and source of equilibrium mean reversion in UK non-financial and financial asset prices over the period 6 April, 1981, through 31 October, 1995. Our results indicate substantial expected transitory components in commodity and metals markets but report expected mean...

Using theoretical foundations, VAR restrictions are imposed allowing demand and supply sources of output movement to be distinguished and the effects of their shocks on stock prices to be analysed. Stock prices are sensitive to all shocks although the influence from the real economy to the stock...

Using 20 years of Australian quarterly data, this paper decomposes Australian share prices into their fundamental and speculative components. To do this we derive the fundamental share-price-output ratio and, hence, the fundamental share price from a resticted vector-autoregressive model...

Using 54 yeras of US quarterly data and a VAR model underpinned by a theory of the relationship between stock prices and output, this paper considers the deviations of US stock prices from their fundamental value. To do this we derive the fundamental price-output ratio and the fundamental stock...

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...