Browsing by Subject "Stock returns"

Now showing items 1-5 of 5

    • Article  

      The Bierens test for certain nonstationary models 

      Kasparis, Ioannis (2010)
      We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis in terms of a conditional moment condition. Under the null hypothesis, the moment condition ...
    • Article  

      Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model 

      Christou, Christina; Cunado, Juncal; Gupta, Rangan; Hassapis, Christis (2017)
      This paper examines the role of economic policy uncertainty (EPU) on stock market returns for six countries (Australia, Canada, China, Japan, Korea and the US), based on a panel VAR model estimated using stochastic search ...
    • Article  

      Managerial discretion in distressed firms 

      Charitou, Andreas; Lambertides, Neophytos; Trigeorgis, Lenos (2007)
      This study examines the earnings management behaviour of 455 distressed US firms that filed for bankruptcy during the period 1986-2001. We examine (a) possible earnings management during the years prior to bankruptcy-filing, ...
    • Article  

      Nonparametric predictive regression 

      Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2015)
      A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are ...
    • Article  

      The relation between changes in the information content of earnings and expected stock returns: Empirical evidence for Japan 

      Charitou, Andreas; Constantinide, Eleni D.; Louca, Christodoulos (2012)
      This paper examines the relationship between changes in the information content of earnings with expected stock returns for the Japanese market during the period of 1991-2001. Results show that a mimicking portfolio return ...