We propose new spanning tests that assess if the economically meaningful cost and mean representing portfolios are shared by the initial and additional assets. We show that our proposed tests are asymptotically equivalent to existing ones under local alternatives, and analyse their asymptotic...

We examine how the accuracy of a multiples-based valuation changes as the number of comparable firms used to estimate the valuation multiple increases. Our research is motivated by a contrast between the approach followed by practitioners, who typically use a small number of closely comparable...

This paper reconstructs the series of the real returns on Italian equities, bank and Post Office deposits and long-term government bonds from 1860 to today. In the long-run the return on shares was much higher than that on government securities and also that on bank and Post Office deposits....

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and a GARCH process for the underlying volatility is introduced. The estimator does not rely on any initial parametric estimator of the conditional mean function, and this feature...

This paper constitutes - to our best knowledge - the first econometric analysis on stock market effects of the EU Emission Trading Scheme (EU ETS). Our results suggest that EU Emission Allowance (EUA) price developments matter to the stock performance of electricity firms: EUA price changes and...

This paper develops a stochastic endogenous growth model that exhibits quot;excess volatilityquot; of equity prices because speculative agents overreact to observed technology shocks. When making forecasts about the future, speculative agents behave like rational agents with very low risk...

While increased attention has, of late, focussed on models of house prices, few, if any, studies have examined house prices from a purely forecasting perspective. However, the need for accurate and timely forecasts of house prices has grown as the rate of house price inflation is more and more...

Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong...

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

The paper undertakes a non-parametric analysis of the very high frequency movements in stock market volatility using very finely sampled data on the Samp;P VIX index compiled by the CBOE. The data suggest that stock market volatility is best described as a pure jump process without a continuous...