By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French Factors. Macroeconomic announcements had a profound effect on equity returns, the Fama-French factors, and Momentum. We find that the...

Housing prices in the US rose rapidly from 2000-2007Q3. Based on this evidence, the financial and general press concluded the US experienced a housing bubble. The efficient market theory denies the possibility of a bubble. This paper applies the statistical technique of cointegration to...

We employ a recursive econometric technique to identify and date multiple financial bubbles in five countries, the US, UK, France, Germany, and Japan. We identify multiple bubbles in each country except Germany for the period, 1973-March 2018. These bubbles are classified into three groups, each...

The paper examines the capital structure decision of 3,432 US companies in the year 2006 and 2011. The paper employs quantile regression to explore the predictions of the trade-off and pecking order models. We find evidence of heterogeneity in the capital structure and the determinants of...

The paper examines the capital structure decision of 3,432 US companies in the year 2006 and 2011. The paper employs quantile regression to explore the predictions of the trade-off and pecking order models. We find evidence of heterogeneity in the capital structure and the determinants of...