Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004 - rev
stock market is less clear.
Stock prices depend on expected cash flows, the discount rate, and the risk premium. Holding … presented below is the recent work of
Boyd, Jagannathan and Hu (2001) who argue for a time-varying stock-market effect of the … macroeconomic news using daily data covering
1977-1988 and conclude that the stock market responses tend to be asymmetric across the …