All Outputs (4)

A conditional regime switching CAPM (2017)
Journal Article
Vendrame, V., Guermat, C., & Tucker, J. (2018). A conditional regime switching CAPM. International Review of Financial Analysis, 56, 1-11. https://doi.org/10.1016/j.irfa.2017.12.001

© 2017 Elsevier Inc. The standard Capital Asset Pricing Model (CAPM) is simple, intuitive, and grounded in sound economic theory. Yet, almost half a century's worth of empirical testing has so far failed to demonstrate its relevance. One major reason... Read More about A conditional regime switching CAPM.

Measuring the intellectual capital of Italian listed companies (2017)
Journal Article
Nicolò, G., Forte, W., Tucker, J., & Matonti, G. (2017). Measuring the intellectual capital of Italian listed companies. Journal of Intellectual Capital, 18(4), 710-732. https://doi.org/10.1108/JIC-08-2016-0083

© 2017, © Emerald Publishing Limited. Purpose: The purpose of this paper is to investigate the relationship between intellectual capital (IC), measured in terms of the market to book (MTB) ratio, and potential key determinants of IC value such as int... Read More about Measuring the intellectual capital of Italian listed companies.

The relationship between equity and bond returns: An empirical investigation (2017)
Journal Article
Tucker, J., Guermat, C., & Demirovic, A. (2017). The relationship between equity and bond returns: An empirical investigation. Journal of Financial Markets, 35, 47-64. https://doi.org/10.1016/j.finmar.2017.08.001

© 2017 Elsevier B.V. The correlation between equity and corporate debt is ambiguous. News affecting the value of a firm's assets induces a positive correlation, whereas an increase in the volatility of a firm's assets induces a negative correlation.... Read More about The relationship between equity and bond returns: An empirical investigation.

The impact of monetary policy on gold price dynamics (2017)
Journal Article
Zhu, Y., Fan, J., & Tucker, J. (2018). The impact of monetary policy on gold price dynamics. Research in International Business and Finance, 44, 319-331. https://doi.org/10.1016/j.ribaf.2017.07.100

© 2017 Elsevier B.V. Ever since the collapse of the Bretton-Woods system, gold has retained its function as an important monetary commodity (Baur and Lucey, 2010), and continues to provide important inflation forecasting information to monetary polic... Read More about The impact of monetary policy on gold price dynamics.