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Asymmetric Information, Stock Returns and Monetary Policy: A Theoretical and Empirical Analysis
Tas, Bedri Kamil Onur - Econometric Society - 2004
It is known that stock returns are affected by monetary policy. This paper theoretically and empirically investigates whether asymmetric information between the Federal Reserve and the public causes the relation between stock returns and monetary policy actions. The paper concludes that...
Persistent link: https://www.econbiz.de/10005130171
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General Properties of Rational Stock-Market Fluctuations
Mele, Antonio - Econometric Society - 2004
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations ? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly...
Persistent link: https://www.econbiz.de/10005342258
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Prognoses for a Non-Predictable Discounted Commodity Price Process
Wright, Brian D.; Bobenrieth; Eugenio S. A. - Econometric Society - 2004
We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero, with any given probability less than 1, beyond a...
Persistent link: https://www.econbiz.de/10005699619
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Learning the CAPM through Bubbles
Kedar-Levy, Haim - Econometric Society - 2004
Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning … might burst to bubbles or decline to near-zero, “pink-sheet†valuations. When the technology shifts phase to generate …
Persistent link: https://www.econbiz.de/10005702759
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Financial intermediaries, markets, and growth
Fecht, Falko; Huang, Kevin - Econometric Society - 2004
This paper contributes to the literature comparing the relative performance of financial intermediaries and markets by studying an environment in which a trade-off between risk sharing and growth arises endogenously. Financial intermediaries provide insurance to households against a liquidity...
Persistent link: https://www.econbiz.de/10005130194
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International linkage of real interest rates: the case of East Asian countries
Kim, Jae H.; Ji, Philip I. - Econometric Society - 2004
This paper examines linkage of real interest rates for a group of selected countries in East Asia. The countries under study include Japan, Korea, Singapore, Malaysia and Thailand. The long run relationship is tested and estimated using the conitegration analysis. We also have conducted the...
Persistent link: https://www.econbiz.de/10005342174
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Do the Stock Markets of South Asia Follow a Random Walk?
Cooray, Arusha - Econometric Society - 2004
This paper examines stock market behaviour in India, Sri Lanka, Pakistan, and Bangladesh employing unit root tests, autocorrelation tests and spectral analysis. Evidence suggests that all markets exhibit a random walk. The multivariate cointegration tests based upon the Johansen Juselius (1988,...
Persistent link: https://www.econbiz.de/10005342181
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Agency costs and asymmetric information in a small open economy: a dynamic general equilibrium model
Kim, Kunhong; Claus, Iris - Econometric Society - 2004
This paper assesses the effects of agency costs and asymmetric information in credit markets. Asymmetric information and agency costs occur whenever lenders delegate control over resources to borrowers, leading to adverse selection, moral hazard and monitoring costs because of the inability to...
Persistent link: https://www.econbiz.de/10005342290
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Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?
Nelson, Charles R.; Bae, Jinho - Econometric Society - 2004
This paper examines whether permanent earnings growth, crucial to stock valuation, increased during the last decade as suggested by proponents of the 'New Economy.' Using S\&P 500 earnings for 1951-2000, we do not find strong evidence of either a one-time structural break or gradual change....
Persistent link: https://www.econbiz.de/10005342317
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Banking Crises: Prediction, Policy Implementation and Responses
Irawati, Lina; Khalid, Ahmed M. - Econometric Society - 2004
The events of the 1990s, which led to the collapse of the banking sector in many countries around the world, have renewed the need to devise some preventive policies. However, the success of these preventive measures is contingent on the predictability of the crisis both in nature and extent....
Persistent link: https://www.econbiz.de/10005342322