Richard Priestley

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This paper examines the level of integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the importance of EU-wide risk relative to country-speci c risk. The model accounts for intra-European currency risk, time-varying quantities and prices of risk. The(More)
We use the near-collapse of the Norwegian banking system during the period 1988-91 to measure the impact of bank distress announcements on the stock prices of firms maintaining a relationship with a distressed bank. We find that although banks experienced large and permanent downward revisions in their equity value during the event period, firms maintaining(More)
  • Paul Ehling, Michael Gallmeyer, +11 authors Tarun Ramadorai
  • 2013
We show that inflation disagreement, not just expected inflation, has a first-order effect on nominal interest rates. In contrast to expected inflation, which mainly affects the wedge between real and nominal yields, inflation disagreement affects nominal yields predominantly through its impact on the real side of the economy. We show theoretically and(More)
The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury(More)
Ž . One of the expected benefits of membership of the Exchange Rate Mechanism ERM was a reduction in risk which should lead to a lower cost of capital and foster investment and growth. Using the APT, we investigate the behavior of the equity market risk premium for the London Stock Exchange prior to and during sterling’s membership of the ERM. We find that(More)
The development of new partnership structures for public health is an important goal of the World Health Organization's Healthy Cities project which covers a network of European municipalities. A review was carried out of the partnership structures and key changes arising from the project, based on the responses of 44 cities to a structured questionnaire,(More)
We test the cross section implications of an asset pricing model where agents have relative wealth concerns with respect to a reference group which we call their peers. The literature suggests two reasons (not mutually exclusive) why investors might want to hedge local risk resulting from relative wealth concerns: keeping up with the Joneses preferences and(More)
The effects of monetary policy shocks on the equity premium and the cross-section of stock returns are analyzed in general equilibrium. Policy shocks affect real stock returns as a result of nominal product-price rigidities. Two opposite effects determine the impact of policy shocks on stock returns. A contractionary shock increases the marginal utility of(More)
As optical lithographers push to extend optical lithography technologies to create smaller features with higher NA, lower k1 values and shorter wavelengths, transmitted wavefront specifications for HPFS fused silica blanks continue to tighten. Corning has developed and implemented manufacturing changes to produce synthetic fused silica blanks with very low(More)