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Neal, Robert - Federal Reserve Bank of Kansas City - 1995

Previous tests of stock index arbitrage models have rejected the no-arbitrage constraint imposed by these models. This paper provides a detailed analysis of actual S&P 500 arbitrage trades and directly relates these trades to the predictions of index arbitrage models. An analysis of arbitrage...

Persistent link: https://www.econbiz.de/10005410702

Do measures of investor sentiment predict returns?

Neal, Robert; Wheatley, Simon M. - Federal Reserve Bank of Kansas City - 1996

It has long been market folklore that the best time to buy stocks is when individual investors are bearish. We examine …

Persistent link: https://www.econbiz.de/10005515066

Pricing bid-ask spreads in common stocks, liquidity premium and the small firm effect

Shen, Pu - Federal Reserve Bank of Kansas City - 1993

Persistent link: https://www.econbiz.de/10005724298

Imperfect information and staggered price setting

Ball, Laurence; Cecchetti, Stephen G. - Federal Reserve Bank of Kansas City - 1986

Persistent link: https://www.econbiz.de/10005410681

Monetary policy shocks and price stickiness: an analysis of price and output responses to policy in manufacturing industries

Haimowitz, Joseph H. - Federal Reserve Bank of Kansas City - 1996

This paper uses annual data on 450 SIC four-digit manufacturing industries obtained from the NBER Manufacturing Productivity Database to examine how manufacturing industries respond to unanticipated changes in the federal funds rate. The analysis proceeds in three stages. First, industry price...

Persistent link: https://www.econbiz.de/10005410689

Allais theory suggests a solution and an explanation for the equity premium puzzle

Golob, John E. - Federal Reserve Bank of Kansas City - 1992

Persistent link: https://www.econbiz.de/10005410697

Do producer prices help predict consumer prices?

Clark, Todd E. - Federal Reserve Bank of Kansas City - 1997

This paper reexamines whether producer prices help predict consumer prices, focusing on model stability and the … for a simple form of instability, however, fails to improve the predictive power of producer prices. Even in models using … prices do not help to forecast consumer prices. …

Persistent link: https://www.econbiz.de/10005410708

Cola coverage: the role of relative prices

Weiner, Stuart E. - Federal Reserve Bank of Kansas City - 1987

Persistent link: https://www.econbiz.de/10005410711

Estimation of adjustment costs in a model of state-dependent pricing

Willis, Jonathan L. - Federal Reserve Bank of Kansas City - 2000

magazine cover prices. Among the parameters estimated are the mean, variance, and persistence of the adjustment cost process …

Persistent link: https://www.econbiz.de/10005410717

Market indicators for monetary policy

Garner, C. Alan - Federal Reserve Bank of Kansas City - 1989

Persistent link: https://www.econbiz.de/10005410719