and his coauthors begin from the observation that it is difficult to distinguish that specification from an alternative one in which the drift in log consumption growth is itself a highly persistent covariance stationary process with low conditional volatility but high unconditional volatility. Thus, the drift itself is almost but not quite a random walk. The high unconditional volatility of th...

OBJECTIVE To document the effect of the liberalisation of the Japanese tobacco market on Japanese smoking rates and on Japanese tobacco industry practices. DATA SOURCE Asahi Shimbun (major daily newspaper) from 1980 to 1996. STUDY SELECTION Review of media coverage on the effects of market liberalisation following the imposition of the USA's section 301 trade sanction. DATA SYNTHESIS The ...

Objective—To document the eVect of the liberalisation of the Japanese tobacco market on Japanese smoking rates and on Japanese tobacco industry practices. Data source—Asahi Shimbun (major daily newspaper) from 1980 to 1996. Study selection—Review of media coverage on the eVects of market liberalisation following the imposition of the USA’s section 301 trade sanction. Data synthesis—The opening ...

We study 6,686 IPOs spanning the period 1981-2005 and find that the new issues puzzle disappears in a Fama-French three-factor framework. IPOs do not underperform in the aftermarket on a risk-adjusted basis and do not underperform a matched sample of non-issuers. IPO underperformance is concentrated in the 1980’s and early 1990’s, and IPO’s either perform the same as the market, or outperform o...

In this paper, we develop and test asset pricing model formulations that are simultaneously conditional and nonlinear. Formulations based upon five popular asset pricing models are tested against the widely studied Fama and French (1993) twenty-five size and book-tomarket sorted portfolios. Test results indicate that the conditional nonlinear specification of the Fama and French (1993) three st...

The duo of Fama and French is most famous for their 1992 and 1993 papers documenting strong historical value and size effects. (Fama is also famous – or infamous, depending on your perspective – for his association with the efficient market hypothesis.) The core observation of Fama and French’s seminal papers was that the returns on small-company and value stocks – those with high book-to-marke...

‎in 1970‎, ‎menegazzo [gruppi nei quali ogni sottogruppo e intersezione di sottogruppi massimali‎, ‎ atti accad‎. ‎naz‎. ‎lincei rend‎. ‎cl‎. ‎sci‎. ‎fis‎. ‎mat‎. ‎natur. 48 (1970)‎, ‎559--562.] gave a complete description of the structure of soluble $im$-groups‎, ‎i.e.‎, ‎groups in which every subgroup can be obtained as intersection of maximal subgroups‎. ‎a group $g$ is said to have the $fm$...

This paper examines the validity of the Sharpe-Linter-Black Capital Asset Pricing Model (CAPM) to stocks traded on the Barbados, Jamaica and Trinidad & Tobago Stock Exchanges. Tests of the CAPM are based on portfolio betas made up of stocks emanating from all three exchanges and are carried out on the alternative multifactor specification proposed by Fama and French (1992), extended to include ...

The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the P...

This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal twopass approach advocated by Fama and MacBeth (1973). The second approach extends previous work by Ouysse and Kohn (2010) and is based on a Bayesian approach to modelling the latent process followed ...