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Market Size, the Informational Content of Stock Prices and Risk: A Multiasset Model and some Evidence
Pagano, Marco - C.E.P.R. Discussion Papers - 1986
of stock prices as predictors of future dividends. This paper analyses the relationship between market size and risk as …
Persistent link: https://www.econbiz.de/10005661719
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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
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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
. Interest has therefore turned to whether a risk premium exists. This paper provides non-parametric estimates of the foreign … exchange and equity risk premia, i.e., estimates that do not depend on any particular model of risk. The average risk premia … discovered in these risk premia during this period. …
Persistent link: https://www.econbiz.de/10005497800
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The Stock Market Crash Really Did Cause the Great Recession
Farmer, Roger E A - C.E.P.R. Discussion Papers - 2013
This note shows that a big stock market crash, in the absence of central bank intervention, will be followed by a major recession one to four quarters later. I establish this fact by studying the forecasting ability of three models of the unemployment rate. I show that the connection between...
Persistent link: https://www.econbiz.de/10011083701
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The Wealth-Consumption Ratio
Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012
the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we …
Persistent link: https://www.econbiz.de/10011083953
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Local Bias and Stock Market Conditions
Giannetti, Mariassunta; Laeven, Luc - C.E.P.R. Discussion Papers - 2012
We show that the local bias in U.S. mutual fund portfolios varies significantly over time and is more pronounced at times of heightened market uncertainty, such as during financial crises. Similarly, the local bias is less pronounced in periods when market sentiment is strong. These results do...
Persistent link: https://www.econbiz.de/10011084583
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Measuring Co-Movements Between US and European Stock Markets
Bonfiglioli, Alessandra; Favero, Carlo A. - C.E.P.R. Discussion Papers - 2000
In this paper we concentrate on the potential consequences for the European stock market of a correction of the US stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By considering a Vector Error Correction Model, in which stock...
Persistent link: https://www.econbiz.de/10005067572
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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 …
Persistent link: https://www.econbiz.de/10005662005
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Imperfect Labour Markets, the Stock Market and the Inefficiency of Capitalism
Manning, Alan - C.E.P.R. Discussion Papers - 1989
In a capitalist economy capitalists can sell their stake in a firm on the stock market whereas workers cannot sell their jobs. It is argued that when workers have some bargaining power this asymmetry in property rights leads to inefficiencies. The consequences of this are explored and certain...
Persistent link: https://www.econbiz.de/10005662149
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Monetary Integration in Europe: Implications for Real Interest Rates, National Stock Markets and the Volatility of Prices and Exchange Rates
Canzoneri, Matthew B; Dellas, Harris - C.E.P.R. Discussion Papers - 1995
affects real interest rates and the stock market via the risk premium. And finally, the changes in inflationary expectations …
Persistent link: https://www.econbiz.de/10005662228