#2007-019A "Multivariate Contemporaneous Threshold Autoregressive Models"
by Michael J. Dueker, Zacharias Psaradakis, Martin Sola, and Fabio Spagnolo
May 2007

In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. More...

#2007-017A "Affiliated Mutual Funds and Analyst Optimism"
by Simona Mola, and Massimo Guidolin
April 2007

Prior studies have shown that investment banking affiliations place pressure on analysts to produce optimistic recommendations on the investment bank’s stock-clients. More...

#2007-016D "Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK"
by Björn Hagströmer, Richard G. Anderson, Jane M. Binner, Thomas Elger, and Birger Nilsson
April 2007
Revised October 2007

Portfolio choice by full-scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. More...

FORTHCOMING: The Manchester School

#2006-061B "The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value"
by Pasquale Della Corte, Lucio Sarno, and Daniel L. Thornton
November 2006
Revised July 2007

This paper re-examines the validity of the Expectation Hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to three months. More...

FORTHCOMING: Journal of Financial Economics

#2006-059B "The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns"
by Massimo Guidolin, and Carrie Fangzhou Na
October 2006
Revised April 2007

We address one interesting case — the predictability of excess US asset returns from macroeconomic factors within a flexible regime switching VAR framework — in which the presence of regimes may lead to superior forecasting performance from forecast combinations. More...

FORTHCOMING: Forecasting in the Presence of Structural Breaks and Model Uncertainty, M. Wohar and D. Rapach, eds.

#2006-051A "When Do Stock Market Booms Occur? The Macroeconomic and Policy Environments of 20th Century Booms"
by Michael D. Bordo, and David C. Wheelock
September 2006

This paper studies the macroeconomic conditions and policy environments under which stock market booms occurred among ten developed countries during the 20th Century. More...

FORTHCOMING: in Jeremy Atack, ed., The Origins and Development of Financial Markets and Institutions, Cambridge University Press

#2006-047A "Does Aggregate Relative Risk Aversion Change Countercyclically over Time? Evidence from the Stock Market"
by Hui Guo, Zijun Wang, and Jian Yang
August 2006

Using a semiparametric estimation technique, we show that the risk-return tradeoff and the Sharpe ratio of the stock market increases monotonically with the consumption wealth ratio (CAY) across time. More...

#2006-046B "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market"
by Christopher J. Neely, Paul A. Weller, and Joshua M. Ulrich
August 2006
Revised March 2007

We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules. More...

FORTHCOMING: Journal of Financial and Quantitative Analysis

#2006-044A "Corporate Response to Distress: Evidence from the Asian Financial Crisis"
by Mara Faccio, and Rajdeep Sengupta
July 2006

This paper provides a comprehensive examination of the ways in which companies respond to a country-wide crisis through the restructuring of their assets (through asset sales, mergers or liquidations) or liabilities. We find the restructuring of liabilities to be the most common type of response. More...

#2006-042A "The Termination of Subprime Hybrid and Fixed Rate Mortgages"
by Anthony Pennington-Cross, and Giang Ho
July 2006

Adjustable rate and hybrid loans have been a large and important component of subprime lending in the mortgage market. While maintaining the familiar 30-year term the typical adjustable rate loan in subprime is designed as a hybrid of fixed and adjustable characteristics. More...