In this study, we examined mediators of a brief couples intervention. Intimate safety, acceptance, and activation were examined in 2 roles: their contribution to marital satisfaction gains in the first 2 weeks after treatment (contemporaneous effects), and how early changes in the mediators influenced longer term changes in marital satisfaction over 2 years of follow-up (lagged effects). Marrie...

In this essay we model the returns for 14 large Swedish firms’ stocks with a conditional multifactor model with time-varying beta terms. The data are monthly and the sample period is June 1992 to August 1997. The beta terms are modelled as linear functions of predetermined firm attributes, which are taken either from published accounting data or from consensus forecast data. The main findings a...

We examine the long-run performance of over 17,000 debt renegotiations. find that, compared with non-renegotiating firms matched on size, book-to-market, profitability, and investment, renegotiating firms, average, deliver 11 (19) percent higher stock returns three (five) years after renegotiation. This renegotiation effect occurs regardless market’s initial reaction, is strongest for lender co...

We address the issue of time varying persistence of shocks to macroeconomic time series variables by proposing a new and parsimonious time series model. Our model assumes that this time varying persistence depends on a linear combination of lagged explanatory variables, where this combination characterizes the business cycle regimes. The key feature of our model is that an autoregressive parame...

We examine the reaction of Canadian banks' equity returns to changes in yield curve spreads. find that banks are positively impacted by contemporaneous (and lagged) Our results suggest have become more sensitive slope post 2007–2009 financial crisis. also an asymmetric impact on bank returns. For investors, curve’s relevance varies with spread-maturities. findings important implications for est...

Modelling Realized Variance when Returns are Serially Correlated by Roel C. A. Oomen* This article examines the impact of serial correlation in high frequency returns on the realized variance measure. In particular, it is shown that the realized variance measure yields a biased estimate of the conditional return variance when returns are serially correlated. Using 10 years of FTSE-100 minute by...

This paper models different components of the return distribution which are assumed to be directed by a latent news process. The conditional variance of returns is a combination of jumps and smoothly changing components. This mixture captures occasional large changes in price, due to the impact of news innovations such as earnings surprises, as well as smoother changes in prices which can resul...

This paper empirically measures the integration of the asset market of commercial real estate by studying the respective explanatory power of three types of variables – macroeconomic conditions, local market conditions, and property attributes – for property transaction cap rates. Results from analyzing about 10,000 sales of institutional grade commercial properties from 1977 to 2012 indicate t...

We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most pronounced among funds that have to inve...

This article examines the impact of serial correlation in high frequency returns on the realized variance measure. In particular, it is shown that the realized variance measure yields a biased estimate of the conditional return variance when returns are serially correlated. Using 10 years of FTSE-100 minute by minute data we demonstrate that a careful choice of sampling frequency is crucial in ...