This study investigates multiple changes in persistence in the dividend–price and price–earnings ratio of the NASDAQ Composite Index. Recent time series methods that are capable of signalling and dating asset price bubbles are employed, in particular the method developed by Leybourne, Kim,...

This study investigates cross-sectionally the impact of economic and property factors on the returns of UK property companies and real estate investment trusts. By applying structural time-series modelling and the Kalman Filter to obtain unexpected changes or innovations in selected economic and...

This paper examines the movements in the Marxian surplus-value rate using a Quantitative Marxist methodology. It examines the relationship between surplus-value and the degree of monopoly power in the UK economy using quarterly data and a proxy for aggregate concentration — the ratio of market...

Based on a method developed by Laybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the Nasdaq stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...

This paper investigates co-movement in eight Latin-American stock markets (Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, and Venezuela) using common factor analysis. The common factors are obtained using principal component analysis (PCA) and therefore account for the maximum...