The growing presence of financial operators in the oil markets has modified oil price dynamics. The diffusion of techniques based on extrapolative expectations – such as feedback trading – leads to departures of prices from their fundamental values and increases their variability. Oil price...

An asset pricing model with constant relative risk aversion (CRRA) is tested with data from Sweden for the period 1977-1990. As a proxy for consumption growth, we employ a return based mimicking portfolio. We find that significant structural shifts in the model parameters occur between 1977-83...

The predictability of Finnish stock returns is studied using the framework of Ferson and Harvey (1993). We employ a conditional asset pricing model where risk premia and risk sensitivities are conditioned on a range of financial information variables. In particular, we study the effect of the...

This paper examines the distributional properties of a newly constructed dataset oj monthly returns on the Swedish stock market. The standard assumptions that stock returns are log-normally distributed, serially independent, non-seasonal and homoscedastic are all rejected by data. Swedish stock...

This paper examines the intradaily behaviour of the Swedish OMX stock index during the time period January 02 to December 30 1992. Daily 24-hour returns are calculated in 18 different time intervals during the day: open-to-open, intraday- to-intraday and close-to-close. Evidence of different...

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a...

This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period of 1989-2008, we find no evidence of any MV and SD relationship between...

We study in detail the log-linear return approximation introduced by Campbell and Shiller (1988a). First, we derive an upper bound for the mean approximation error, given stationarity of the log dividendprice ratio. Next, we simulate various rational bubbles which have explosive conditional...

This paper provides detailed insights into predictability of the entire stock and bond return distribution through the use of quantile regression. This allows us to examine speci?c parts of the return distribution such as the tails or the center, and for a suf?ciently ?ne grid of quantiles we...

The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates but the methods are generally slow. Our...