The Fisher and Seater [Fisher, M.E. and Seater, J.J., 1993. Long run neutrality and superneutrality in an ARIMA framework. American Economic Review 83, 402-415.] methodology is applied to Taylor's [Taylor, A.T., 2002. A century of purchasing power parity. Review of Economics and Statistics 84, 139-150.] data to test for purchasing power parity. Generally, the evidence is supportive of PPP. Further, FS test statistics have no size distortion problem and test power is improved with longer samples.

This paper studies the role of fluctuation of the aggregate consumption-wealth ratio(cay) for predicting Taiwan stock return. The effect of cay on U.S. stock return has been recently confirmed by Lettau and Ludvigson (2001) with a two stage method. In the first step, estimate the ratio used a dynamic least square(DLS) technique. Second, to investigate the performance of cay, they use in-sample and out-of-sample test. In this paper, we follow the method which Lettau and Ludvigson(2001) use to examine the predictability of cay. Using quarterly market data from 1998 to 2010, we find cay is strong predictors of excess return in out-of sample test. We also find that this ratio is a better forecaster of future returns at intermediate horizons compared to short time.

The current intellectual climate regarding economics seems to be at an agreement regarding the theory of uncovered interest parity and its unreliability within real life application. The purpose of this thesis is to test how the theory holds over periods with varying economic stability, both using a short- and long-horizon test in order to establish the usefulness of uncovered interest parity as a predictor for exchange rate movements. The short-horizon test will utilize the interbank offering rate, and the long-horizon test the yield to maturity of government 10-year benchmark bonds as the interest rate. The sample period is 2000 to 2018, covering the financial crisis of 2007. We will focus on three different time periods: pre-crisis, crisis and post-crisis. We will use ordinary least squares (OLS) regression and an extreme sampling. From the regressions we conclude that most of the time periods move against the uncovered interest parity, where only the crisis period is in line with the theory. The extreme sampling supports this result, as larger interest differentials provide the rational expectations with more predictive power of the future spot exchange rate.

In this paper we will be studying and backtesting a particular investment strategy by buying and holding dividend stocks. We think dividend stock is an important type of investment to investors and portfolio managers because of its cash implications, especially in a high volatility equity market. Furthermore, we think that consistency in a company’s ability and willingness in distributing dividends to its shareholders is a strong indicator of its financial strength and operational success. How portfolio managers should pick the best performing dividend stocks would then become an important issue. In this paper, we will be testing the historical performance of a portfolio of dividend stocks that we construct and adjust based on a list of parameters associated with companies’ operational performance, cash position, and dividend yield. Hence, the main way we select stocks in the portfolio is based on fundamental analysis. Our research is conducted relying exclusively on the Wharton Research Data Services database (WRDS). In addition to evaluating the investment attractiveness of our portfolio, the strategy may also have implications regarding several other topics including the semi-strong form market efficiency and active portfolio management. Therefore, this paper covers also potential benefits to be gained from the strategy other than its investment payoff.

The characteristics of interest rate differentials’ relationships with the change in nominal exchange rates are here investigated from the small open economy Sweden’s pointof view. We assume rational expectations and risk neutrality. However, these are solelysufficient but not necessary conditions. The only necessary condition is that the deviationsfrom rational expectations and risk neutrality are uncorrelated with the interestrate differential (Chinn and Meredith 2004, p. 412). We find no evidence for the interestrate differentials to be unbiased predictors of the percentage change in nominalexchange rates. With 3- and 6-month maturity interest rates, the signs are positivealthough not statistically different from zero.