Characterizing predictable components in excess returns on equity and foreign exchange markets

Article Abstract:

The paper first characterizes the predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressions (VARs) demonstrate one-step-ahead predictability and facilitate calculations of implied long-horizon statistics, such as variance ratios. Estimation of latent variable models then subjects the VARs to constraints derived from dynamic asset pricing theories. Examination of volatility bounds on intertemporal marginal rates of substitution provides summary statistics that quantify the challenge facing dynamic asset pricing models. (Reprinted by permission of the publisher.)

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The bright side of internal capital markets

Article Abstract:

Research into the effect on internal capital markets resulting from Wal-Mart Stores's entry into a market is presented. Diversified companies' capital expenditures prove to be sensitive to the productivity of their stores in the market.

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Expectations hypotheses tests

Article Abstract:

The foreign exchange market and interest rates are researched using the expectations hypotheses in order to elucidate the validity of the hypotheses. Research results refuting the hypotheses were weak.

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