We document asymmetric announcement effects of consumer sentiment news on United States stock and stock futures markets. While a negative market effect occurs upon the release of bad sentiment news, there is no market reaction for the counterpart good news. This supports the “negativity...

This study uses a country beta market model and a multivariate GARCH conditional beta model to examine if German reunification has impacted upon country returns, across different nations. The results suggest a stronger reaction in European countries particularly those with closer economic links....

The stability of global industry betas is analysed over the twenty-year period 1975 to 1994. In addition, the impact of the October 1987 international stock market crash on these betas is investigated. Generally, a considerable variation in betas is found. In terms of the effect of the 1987...

A recent addition to the ARCH family of econometric models was introduced by Ding and co-workers wherein the power term by which the data is transformed was estimated within the model rather than being imposed by the researcher. This paper considers the ability of the Power GARCH class of models...

This paper examines the impact of Kalman filtering as a technique for modeling the risk levels of managed funds. Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance using conventional performance models alongside Kalman filter models that allow...

This study examines the impact of special dividend announcements for a sample of Australian companies on the ex date of the special dividend. This study documents that the drop-off ratio is significantly greater for special dividends that participate in DRPs than non-DRPs. Further, it reveals...

The issue of beta forecasting is explored using Australian stock returns data. A simple market model is fitted to individual stock data over the period 1983 to 1987 and the beta estimated from this sample is used to forecast the market model beta over the period 1988 to 1992. It is found that a...

This paper evaluates the out-of-sample forecasting accuracy of eleven models for monthly volatility in fifteen stock markets. Volatility is defined as within-month standard deviation of continuously compounded daily returns on the stock market index of each country for the ten-year period 1988...