Similar Search Results

Stock market uncertainty and the relation between stock and bond returns

Stivers, Chris; Sun, Licheng - Federal Reserve Bank of Atlanta - 2002

The authors examine how the co-movement between daily stock and Treasury bond returns varies with stock market uncertainty. They use the lagged implied volatility from equity index options to provide an objective, observable, and dynamic measure of stock market uncertainty. The authors find that...

Persistent link: https://www.econbiz.de/10005721651

Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio

Robotti, Cesare - Federal Reserve Bank of Atlanta - 2003

unconditionally riskless asset is available in the market. ; The proposed approach makes it possible to compare the performance of a … restricted tangency portfolio which uses single-index and multi-index asset pricing models to constrain the first moments of … asset returns. ; The main findings of the paper are summarized as follows: i) The estimates of the constant and time …

Persistent link: https://www.econbiz.de/10005721654

Playing the field: Geomagnetic storms and international stock markets

Krivelyova, Anna; Robotti, Cesare - Federal Reserve Bank of Atlanta - 2003

This paper documents the impact of geomagnetic storms (GMS) on world and country-specific stock market returns. For the world index and for most of the international indices in our sample, we find that the previous week's unusually high levels of geomagnetic activity have a negative,...

Persistent link: https://www.econbiz.de/10005721680

An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures

Hiraki, Takato; Maberly, Edwin D. - Federal Reserve Bank of Atlanta - 2000

This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative...

Persistent link: https://www.econbiz.de/10005401860

A source of unbiased implied volatility forecasts

Feinstein, Steven P. - Federal Reserve Bank of Atlanta - 1988

Persistent link: https://www.econbiz.de/10005401880

Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash

Gerald P. Dwyer, Jr.; Locke, Peter; Yu, Wei - Federal Reserve Bank of Atlanta - 1995

We use a cost of carry model with nonzero transactions costs to motivate estimation of a nonlinear dynamic relationship between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may characterize many aspects of the relationship...

Persistent link: https://www.econbiz.de/10005401899

Expected stock returns and volatility in a production economy: a theory and some evidence

Singal, Padamja; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1999

preferences. In particular, we show that for asset market equilibria where firms face an elastic supply of labor, the traditional … positive risk-return relation obtains. Conversely, a negative relation obtains for asset market equilibria where there is …

Persistent link: https://www.econbiz.de/10005401929

Insider trading and the problem of corporate agency

Noe, Thomas H. - Federal Reserve Bank of Atlanta - 1995

This paper models an economy in which managers, whose efforts affect firm performance, are able to make "inside" trades on claims whose value is also dependent on firm performance. Managers are able to trade only on "good news," that is, on returns above market expectations. Further, managers...

Persistent link: https://www.econbiz.de/10005401937

Insider trading, costly monitoring, and managerial incentives

Hu, Jie; Noe, Thomas H. - Federal Reserve Bank of Atlanta - 1997

benefits of effort and perk consumption into asset prices, which allows shareholders to choose more efficient portfolio …

Persistent link: https://www.econbiz.de/10005401956

Discrete option replication with transactions costs: an analysis of hedging errors

Abken, Peter A. - Federal Reserve Bank of Atlanta - 1988

Persistent link: https://www.econbiz.de/10005402033