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Why so Glum? The Meese-Rogoff Methodology Meets the Stock Market

Flood, Robert P; Rose, Andrew K - C.E.P.R. Discussion Papers - 2008

This paper applies the Meese-Rogoff (1983a) methodology to the stock market. We compare the out-of-sample forecasting accuracy of various time-series and fundamentals-based models of aggregate stock prices. We stick as close as possible to the original Meese-Rogoff sample and methodology. Just...

Persistent link: https://www.econbiz.de/10005124429

An Applied Econometrician's View of Large Company Performance

Geroski, Paul A - C.E.P.R. Discussion Papers - 1998

This paper contains a brief survey of recent empirical work on the performance of large companies. It tries to pull together the literature in the form of six stylized facts, illustrating them with data drawn from a single sample. The paper concludes by highlighting the issues which are thrown...

Persistent link: https://www.econbiz.de/10005789166

Stock Valuation and Learning about Profitability

Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2002

We develop a simple approach to valuing stocks in the presence of learning about average profitability. The market …-to-book ratio (M/B) increases with uncertainty about average profitability, especially for firms that pay no dividends. M/B is … returns. Firm profitability has become more volatile recently, helping explain the puzzling increase in average idiosyncratic …

Persistent link: https://www.econbiz.de/10005791675

Minimum Wages and Firm Profitability

Draca, Mirko; Machin, Steve; Van Reenen, John - C.E.P.R. Discussion Papers - 2006

other aspects of firm behaviour. In this paper we consider the impact of minimum wages on firm profitability by exploiting … firm profitability was significantly reduced (and wages significantly raised) by the minimum wage introduction. This … residential care homes, and a second on firms across all sectors). Interestingly, we find no evidence that the profitability …

Persistent link: https://www.econbiz.de/10005124436

Oil Prices, Profits, and Recessions: An Inquiry Using Terrorism as an Instrumental Variable

Chen, Natalie; Graham, Liam; Oswald, Andrew - C.E.P.R. Discussion Papers - 2008

effects upon profitability. We test for weak instruments and check sub-sample robustness. Our findings seem to lend support to …

Persistent link: https://www.econbiz.de/10005498032

Profitability, Fiscal Policy, and Exchange Rate Regimes

Lane, Philip R.; Perotti, Roberto - C.E.P.R. Discussion Papers - 1996

In this paper, we study the link between profitability, fiscal policy and exchange rate regimes. We are particularly … the different types of government spending and taxation affect profitability through two main channels, namely changes in … different components of fiscal policy have different effects on profitability depending on the exchange rate regime. Using a …

Persistent link: https://www.econbiz.de/10005114338

Price Competition, Innovation and Profitability: Theory and UK Evidence

Symeonidis, George - C.E.P.R. Discussion Papers - 2001

This Paper examines the effect of price competition on innovation, market structure and profitability in R … counts and profitability over 1952-77. The econometric results suggest that the introduction of restrictive practices …&D-intensive manufacturing industries, while it caused a significant rise in concentration in these industries. In the short run profitability …

Persistent link: https://www.econbiz.de/10005666839

Optimal Bank Capital

Marcheggiano, Gilberto; Miles, David K; Yang, Jing - C.E.P.R. Discussion Papers - 2011

This paper reports estimates of the long-run costs and benefits of banks funding more of their assets with loss-absorbing capital, or equity. Measuring those costs requires careful consideration of a wide range of issues about how shifts in funding affect required rates of return and on how...

Persistent link: https://www.econbiz.de/10008915802

Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing

Baghai, Ramin; Servaes, Henri; Tamayo, Ane - C.E.P.R. Discussion Papers - 2011

We document that rating agencies have become more conservative in assigning ratings to corporate bonds over the period 1985 to 2009. Holding firm characteristics constant, average ratings have dropped by 3 notches (e.g., from A+ to BBB+) over time. This increased stringency has affected both...

Persistent link: https://www.econbiz.de/10009147400

Bank Capital, Liquid Reserves, and Insolvency Risk

Hugonnier, Julien; Morellec, Erwan - C.E.P.R. Discussion Papers - 2015

We develop a dynamic model to assess the effects of liquidity and leverage requirements on banks' insolvency risk. The model features endogenous capital structure, liquid asset holdings, payout, and default decisions. In the model, banks face taxation, flotation costs of securities, and default...

Persistent link: https://www.econbiz.de/10011165669