Equity Premium Forecasts with an Unknown Number of Structural Breaks

Autor: David S. Leslie, George Bulkley, Simon C. Smith

Publikováno v: Bulkley, G, Smith, S & leslie, D 2019, ' Equity Premium Forecasts with an Unknown Number of Structural Breaks ', Journal of Financial Econometrics . https://doi.org/10.1093/jjfinec/nby034

Estimation of models with structural breaks usually assumes a pre-specified number of breaks. Previous models which do allow an endogenously determined number of breaks require a simple structural model, and rarely allow for information transfer acro

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f0f1644eaa92e894b47c984ce3f6e6cf
https://doi.org/10.1093/jjfinec/nby034

Structural breaks, parameter uncertainty, and term structure puzzles

Autor: George Bulkley, Paolo Giordani

Publikováno v: Journal of Financial Economics. 102:222-232

We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::9e1e5f4519c1a16d6d4606341f481099
https://doi.org/10.1016/j.jfineco.2011.05.009

ECONOMETRIC MODELS OF COMPANY DIVIDENDS CAN BE USED TO IDENTIFY UNDERPRICED SHARES

Autor: Nick G.H. Taylor, George Bulkley

Publikováno v: The Manchester School. 63:103-111

The authors estimate a price-conditional vector autoregression for individual company dividends and this is used to forecast future dividends. Stocks are then ranked by the ratio of their current price relative to future dividend forecasts. This rank

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::fc13837e0f238becf61a4d8d68cf5f6c
https://doi.org/10.1111/j.1467-9957.1995.tb01451.x

Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?

Autor: Vivekanand Nawosah, Richard Harris, George Bulkley

Publikováno v: Bulkley, I G, Harris, R D F & Nawosah, V 2015, ' Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates? ', Journal of Banking and Finance, vol. 58, pp. 179-193 . https://doi.org/10.1016/j.jbankfin.2015.03.018

We test whether the rejections of the expectations hypothesis can be explained by two behavioral biases: the law of small numbers and conservatism. We use the term structure to decompose excess bond returns into components related to expectation erro

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::247fcef98ba5f168e3b6aebf345eb1b1
https://research-information.bris.ac.uk/ws/files/75922518/JBF_accepted_draft_Behavioural_Bonds_version05o_ACCEPTED.pdf

Individually rational union membership

Autor: George Bulkley, Gareth D. Myles

Publikováno v: European Journal of Political Economy. 17:117-137

The analysis of the determination of union membership has typically met difficulties with the fact that union membership is not individually rational and free-riding is the dominant strategy. We assume that workers differ in their reservation wages a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::de121d5b40a3c713686edb893f5a91e8
https://doi.org/10.1016/s0176-2680(00)00031-8