We propose a cross-sectional time-series model to assess the impact of market liberalizations in emerging equity markets on the cost of capital, volatility, beta, and correlation with world market returns. Liberalizations are defined by regulatory changes, the introduction of depositary receipts and country funds, and structural breaks in equity capital flows to the emerging markets. We control...

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. We demonstrate that, through its effects on stock prices, product market competition affects the prices of options on equity naturally and leads to an inverse relationship between equity returns and volatility, gen...

Problems with appraisal-based return series combined with certain similarities between commercial real estate, bonds and stock suggest that equity REIT returns provide an accurate source of real estate pricing information. A model for deriving a discount rate for unsecuritized commercial real estate was developed. The model is a three factor Arbitrage Pricing model that measures the sensitivity...

Our experiments with capital markets data suggest that the domain can be e ectively modeled by classi cation rules induced from available historical data for the purpose of making gainful predictions for equity investments. New classi cation techniques developed at IBM Research, including minimal rule generation (R-MINI) and contextual feature analysis, seem robust enough for consistently extra...

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for such models. We use these tests to determine whether the multivariate Normal or the Student’s t copula ...

This paper investigates determinants and consequences of net asset value discounts in listed private equity funds. Listed private equity funds share characteristics of closed-end mutual funds and traditional unlisted private equity funds and can therefore offer insights into both. Our results have particular relevance to the pricing of unlisted private equity funds where no market prices are ob...

The main purpose of this paper is to verify the effectiveness of the bivariate Component GARCH-in-mean (GARCHM) model and analyze the interactions and risk premium of equity markets by exploring the shortand long-run volatility components on both the Taiwanese and Japanese equity markets. We show that unexpected shocks of volatility will in general influence the fluctuations of both equity and ...

Our paper suggests a simple, recursive residuals (out-of-sample) graphical approach to evaluating the predictive power of popular equity premium and stock market timeseries forecasting regressions. When applied, we find that dividend ratios should have been known to have no predictive ability even prior to the 1990s, and that any seeming ability even then was driven by only two years, 1973 and ...