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What Drives Firm-Level Stock Returns?
Vuolteenaho, Tuomo - 2001
I use a vector autoregressive model (VAR) to decompose an individual firm's stock return into two components: changes in cash-flow expectations (i.e., cash-flow news) and changes in discount rates (i.e., expected-return news). The VAR yields three main results. First, firm-level stock returns...
Persistent link: https://www.econbiz.de/10012470484
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A Variance Decomposition for Stock Returns
Campbell, John Y. - 1990
This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of...
Persistent link: https://www.econbiz.de/10012475791
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Regression Discontinuity and the Price Effects of Stock Market Indexing
Chang, Yen-cheng - 2013
Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner...
Persistent link: https://www.econbiz.de/10012459371
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Four Centuries of Return Predictability
Golez, Benjamin - 2014
We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for...
Persistent link: https://www.econbiz.de/10012457852
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A Decomposition of Global Linkages in Financial Markets Over Time
Forbes, Kristin J. - 2003
This paper tests if real and financial linkages between countries can explain why movements in the world's largest … between the world's 5 largest economies and about 40 other markets to decompose the cross-country factor loadings into: direct … to be the most important determinant of how movements in the world's largest markets affect financial markets around the …
Persistent link: https://www.econbiz.de/10012469145
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Market Integration and Contagion
Bekaert, Geert - 2003
to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …
Persistent link: https://www.econbiz.de/10012469193
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Efficiency and the Bear : Short Sales and Markets around the World
Goetzmann, William N. - 2003
We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider …
Persistent link: https://www.econbiz.de/10012469237
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A Re-Examination of Exchange Rate Exposure
Dominguez, Kathryn M.E. - 2001
Finance theory suggests that changes in exchange rates should have little influence on asset prices in a world that has …
Persistent link: https://www.econbiz.de/10012470601
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Price of Long-Run Temperature Shifts in Capital Markets
Bansal, Ravi - 2016
We use the forward-looking information from the US and global capital markets to estimate the economic impact of global warming, specifically, long-run temperature shifts. We find that global warming carries a positive risk premium that increases with the level of temperature and that has almost...
Persistent link: https://www.econbiz.de/10012456150
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The Granular Nature of Large Institutional Investors
Ben-David, Itzhak - 2016
Large institutional investors own an increasing share of equity markets. We conjecture that a financial market in which large institutions dominate operates differently than a market populated by smaller independent investors. To support this view, we show that funds within the same family...
Persistent link: https://www.econbiz.de/10012456429