We use statistical model selection criteria and AVRAMOV's (2002) Bayesian model averaging approach to analyze the sample evidence of stock market predictability in the presence of model uncertainty. The empirical analysis for the Swiss stock market is based on a number of predictive variables...

Expanding the currency investment universe makes a lot of sense from a diversification point of view. Nevertheless, 60% of the total foreign exchange turnover is still only traded in three currency pairs (USD/EUR, USD/JPY and USD/GBP). The share of trading in local currencies in emerging markets...

This paper is concerned with differences in the performance-flow relationship (PFR) between standard and specialist market segments of the mutual fund industry. We expect differences in this relationship because investor characteristics might vary across different segments. Our results show that...

Recent research on the Basel II capital framework suggests that binding capital requirements may be responsible for bank behaviour which causes procyclical amplifications of the macroeconomic cycle. This paper presents a model of the interrelations between the state of the economy, credit risk,...

This paper provides empirical assistance in forecasting monetary policy in Switzerland. After the introduction, we provide a descriptive analysis of the four cycles of rising interest rates from 1979 to 2003. It is apparent that the individual cycles diverge to greater or lesser degrees from the...

This paper examines the reliability of financial analysts' consensus earnings forecasts in the 1990s. Analysts are often accused of having fuelled the stock market boom with exaggerated evaluations of firms' prospects. However, this criticism primarily refers to the analysts' buy recommendations...

This study presents an empirical analysis of the short- and long-term relationships among stock prices in the US, Japan and the UK. We re-examine the evidence of market linkages and cointegration between Samp;P 500, Nikkei 225 and FTSE-100 stock indices. The results suggest that mature markets...

This paper reviews the sources of change in continental European banking. In addition to technological factors and increased competition associated with European Monetary Union, competition from US institutions, the convergence of the asset management and insurance industries and of these two...

The market model assumes stock returns to be a linear function of the market return. However, there is considerable evidence that the beta stability assumption commonly used when estimating the market model is invalid. In this paper we account for beta instability in German stock returns by...

This paper studies the price discovery process in security markets. In particular, it analyzes the incorporation of information into security prices in a quote-driven security market from the perspective of information theory. In essence, it draws on a sequential trading mechanism, which is...