Showing 1 - 10 of 88
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
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
. 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
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
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
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
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
resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus …
Persistent link: https://www.econbiz.de/10005662005
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
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