The launch of the single currency in Europe in January 1999 was preceded by a period of
regulatory harmonization, convergence in bond yields and inflation rates, and strict fiscal …

The output gap, a production-based macroeconomic variable, is a strong predictor of US
stock returns. It is a prime business cycle indicator that does not include the level of market …

The issue of the impact of futures trading on stock market volatility has received considerable
and increasing attention in recent years, particularly following the stock market crash of …

The relative predictability of returns and dividends is a central issue because it forms the
paradigm to interpret asset price variation. A little studied question is how dividend smoothing, …

We ask to what extent the negative relation between investment and average stock returns
is driven by risk. We show that: (i) the average return spread between low and high asset …

In this paper we model expected risks and returns on government bonds, allowing for partial
integration of national and world bond markets. Using a conditional asset pricing model that …

Primaquine (PQ) is an essential antimalarial drug but despite being developed over 70 years
ago, its mode of action is unclear. Here, we demonstrate that hydroxylated-PQ metabolites (…

We analyze the dividend behaviour of the aggregate stock market. We propose a model that
assumes managers minimize the costs of adjustment associated with being away from their …

Empirical tests of the arbitrage pricing theory (APT) using prespecified observed variables rely
on the construction of unexpected components of the variables. In this paper we show that …

In this paper we investigate the performance of the APT for securities traded on the London
Stock Exchange. We analyze performance in terms of the presence of common pervasive …