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Bullard, James; Duffy, John - Federal Reserve Bank of St. Louis - 1998

We introduce adaptive learning behavior into a general equilibrium lifecycle economy with capital accumulation. Agents … form forecasts of the rate of return to capital assets using least squares autoregressions on past data. We show that, in … persistent excess volatility in returns to capital. We explore a quantitative case for these learning equilibria. We use an …

Persistent link: https://www.econbiz.de/10005352849

Stock prices, inflation and real activity: a test of the Fama hypothesis, 1920-84

Kool, Clemens J.M.; Hafer, R.W. - Federal Reserve Bank of St. Louis - 1988

Also called: Inflation and stock prices: a long term view

Persistent link: https://www.econbiz.de/10005352770

Do fundamentals, bubbles or neither determine stock prices? Some international evidence

Gerald P. Dwyer, Jr.; Hafer, R.W. - Federal Reserve Bank of St. Louis - 1989

Persistent link: https://www.econbiz.de/10005352795

Limited stock market participation and asset prices in a dynamic economy

Guo, Hui - Federal Reserve Bank of St. Louis - 2003

We present a consumption-based model that explains the equity premium puzzle through two channels. First, because of borrowing constraints, the shareholder cannot completely diversify his income risk and requires a sizable risk premium on stocks. Second, because of limited stock market...

Persistent link: https://www.econbiz.de/10005352913

On the frequency of large stock returns: putting booms and busts into perspective

Jansen, Dennis; Vries, Casper de - Federal Reserve Bank of St. Louis - 1988

Numerous articles have investigated the distribution of share prices, and find that the yields are leptokurtic. There is still controversy about the amount of leptokurtosis, and hence about the most appropriate distribution to use in modeling returns. This controversy has proven hard to resole,...

Persistent link: https://www.econbiz.de/10005352921

On the cross section of conditionally expected stock returns

Guo, Hui; Savickas, Robert - Federal Reserve Bank of St. Louis - 2003

In this paper, we use macrovariables advocated by recent authors to make out-of-sample forecast for returns on individual stocks and then sort stocks equally into ten portfolios on this proxy of conditionally expected returns. The average returns increase monotonically from the first decile...

Persistent link: https://www.econbiz.de/10005353010

Risk-adjusted, ex ante, optimal technical trading rules in equity markets

Neely, Christopher J. - Federal Reserve Bank of St. Louis - 2001

Allen and Karjalainen (1999) used genetic programming to develop optimal ex ante trading rules for the S&P 500 index. They found no evidence that the returns to these rules were higher than buy-and-hold returns but some evidence that the rules had predictive ability. This comment investigates...

Persistent link: https://www.econbiz.de/10005353017

Stock prices, firm size, and changes in the federal funds rate target

Guo, Hui - Federal Reserve Bank of St. Louis - 2003

changes in the federal funds rate target, but not to anticipated ones. Consistent with the prediction of imperfect capital …

Persistent link: https://www.econbiz.de/10005707792

Understanding stock return predictability

Guo, Hui; Savickas, Robert - Federal Reserve Bank of St. Louis - 2006

Over the period 1927:Q1 to 2005:Q4, the average CAPM-based idiosyncratic variance (IV) and stock market variance jointly forecast stock market returns. This result holds up quite well in a number of robustness checks, and we show that the predictive power of the average IV might come from its...

Persistent link: https://www.econbiz.de/10005490877

The stock market--bubbles, volatility and chaos : proceedings of the thirteenth annual Economic Policy Conference, held on October 21-22, 1988

Gerald P. Dwyer, Jr.; Hafer, R.W. - Federal Reserve Bank of St. Louis - 1988

Persistent link: https://www.econbiz.de/10005498437