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Endogenous Market Thinness and Stock Price Volatility

Pagano, Marco - C.E.P.R. Discussion Papers - 1986

resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …

Persistent link: https://www.econbiz.de/10005662005

Factor Based Index Tracking

Corielli, Francesco; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002

Index tracking requires building a portfolio of stocks (a replica) whose behaviour is as close as possible to that of a given stock index. Typically, much fewer stocks should appear in the replica than in the index, and there should be no low frequency (persistent) components in the tracking...

Persistent link: https://www.econbiz.de/10005666958

The European Business Cycle

Artis, Michael J; Krolzig, Hans-Martin; Toro, Juan - C.E.P.R. Discussion Papers - 1999

This paper deals with the existence and identification of a common European Growth Cycle. It has recently been argued that the formation of a monetary union creates in itself a tendency for business cycle symmetry to emerge. If this holds for the European monetary Union and the quasi-union of...

Persistent link: https://www.econbiz.de/10005114243

Learning From Stock Prices and Economic Growth

Peress, Joël - C.E.P.R. Discussion Papers - 2011

specialization, wealth inequality, stock trading intensity, liquidity and return volatility. …

Persistent link: https://www.econbiz.de/10009293661

The Stock Market Crash of 2008 Caused the Great Recession: Theory and Evidence

Farmer, Roger E A - C.E.P.R. Discussion Papers - 2011

This paper argues that the stock market crash of 2008, triggered by a collapse in house prices, caused the Great Recession. The paper has three parts. First, it provides evidence of a high correlation between the value of the stock market and the unemployment rate in U.S. data since 1929....

Persistent link: https://www.econbiz.de/10009351524

Why Do Companies Go Public? An Empirical Analysis

Pagano, Marco; Panetta, Fabio; Zingales, Luigi - C.E.P.R. Discussion Papers - 1996

This paper empirically analyses the determinants of an initial public offering (IPO) and the consequences of this decision on a company's investment and financial policy. We compare both the ex-ante and the ex-post characteristics of IPOs with those of a large sample of privately held companies...

Persistent link: https://www.econbiz.de/10005123719

Measuring Co-Movements Between US and European Stock Markets

Bonfiglioli, Alessandra; Favero, Carlo A. - C.E.P.R. Discussion Papers - 2000

volatility episodes? …

Persistent link: https://www.econbiz.de/10005067572

Myopia, the 'Dividend Puzzle', and Share Prices

Nickell, Stephen; Wadhwani, Sushil B - C.E.P.R. Discussion Papers - 1987

The view that the stock market is myopic is commonly expressed in the financial press. However, the existing econometric evidence does not support this view. In this paper, we report econometric evidence suggesting that the market attaches too high a weight to current dividends relative to...

Persistent link: https://www.econbiz.de/10005497792

Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency

Thomas, Stephen H; Wickens, Michael R. - C.E.P.R. Discussion Papers - 1989

It is widely thought that neither the foreign exchange markets nor equity markets are efficient, in the sense that tests of the unbiasedness hypothesis and of the present value relationship, respectively, typically lead to rejection. Interest has therefore turned to whether a risk premium...

Persistent link: https://www.econbiz.de/10005497800

Can the Fed talk the hind legs off the stock market?

Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis - C.E.P.R. Discussion Papers - 2011

Deliberately or not, by providing its stance on the prospects of the economy, rationalizing past decisions or announcing future actions, central banks influence financial markets' expectations of its future policy. In bad times, monetary policy communication inducing an upward revision of the...

Persistent link: https://www.econbiz.de/10009147402

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