Many empirical studies find that financial variables possess a predictive power over real economic activity. To examine this relationship, we adopt two time-series techniques: spectral analysis and a newly developed method, wavelet analysis. The major innovation of this paper is to apply wavelet...

This paper uses the Fama-French three-factor model to explain the cross-section of stock returns over various time scales using a new approach. The new approach is based on a wavelet multiscaling method that decomposes a given time series on a scale-by-scale basis. The empirical results provide...

This paper investigates the long-run equilibrium implications of the Expectations Hypothesis of the term structure on different maturities of high-grade yen Eurobonds and Japanese Government Bonds (JGBs) using the Canonical Cointegrating Regression (CCR) technique developed by Park [Econometrica...

This paper examines the effect of initial margin requirements on long-run and short-run volatilities in the Japanese stock market using the Component GARCH model. Our empirical results show that when we do not divide the margin requirement into positive and negative changes, increasing margin...

How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to...

This paper examines the relationship between the stock and the futures return over the various time horizons. In contrast to previous studies, wavelet analysis allows us to decompose the data into various time scales. Using this technique, we find that in the short- and long-run, there is a...

This paper examines the relationship between the stock and futures markets in terms of lead-lag relationship, correlation, and the hedge ratio using wavelet analysis. Empirical results show that (1) there is a feedback relationship between the stock and futures markets regardless of time scales,...

This paper examines the performance of Australian managed funds by adopting the false discovery rate (FDR). Comparing the estimation results between the four-factor model and the conditional model reveals that the use of conditioning information improves the performance of Australian managed...