Many empirical studies find that financial variables possess a predictive power over real economic activity. To examine this relationship, we adopt two time-series techniques: spectral analysis and a newly developed method, wavelet analysis. The major innovation of this paper is to apply wavelet...

This paper uses the Fama-French three-factor model to explain the cross-section of stock returns over various time scales using a new approach. The new approach is based on a wavelet multiscaling method that decomposes a given time series on a scale-by-scale basis. The empirical results provide...

This paper investigates the long-run equilibrium implications of the Expectations Hypothesis of the term structure on different maturities of high-grade yen Eurobonds and Japanese Government Bonds (JGBs) using the Canonical Cointegrating Regression (CCR) technique developed by Park [Econometrica...

This paper examines the effect of initial margin requirements on long-run and short-run volatilities in the Japanese stock market using the Component GARCH model. Our empirical results show that when we do not divide the margin requirement into positive and negative changes, increasing margin...

This paper investigates the timing abilities of Australian managed fund managers. To examine timing abilities, the cross-sectional bootstrap approach is adopted to determine whether timing ability is due to skill or luck. Based on three alternative timing measures, we find that top-ranked...