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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

Learning and excess volatility

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 contrast to the perfect foresight dynamics, the...

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

Limited stock market participation and asset prices in a dynamic economy

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

borrowing constraints, the shareholder cannot completely diversify his income risk and requires a sizable risk premium on stocks …. Second, because of limited stock market participation, the precautionary saving demand lowers the risk-free rate but not … data, including the first two moments of the risk-free rate, excess stock volatility, stock return predictability, and the …

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

rules had predictive ability. This comment investigates the risk-adjusted usefulness of such rules and more fully … on a risk-adjusted basis. Therefore, the results are consistent with market efficiency. Nevertheless, risk …

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

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

Understanding stock return predictability

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

predictive power of the average IV might come from its close relation with systematic risk omitted from CAPM. First, high lagged …

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

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

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

The Fed targeted the federal funds rate during the period 1974-79; they returned to that procedure in the late 1980s and have maintained it since then. For both periods, we find that stock prices reacted significantly to unanticipated changes in the federal funds rate target, but not to...

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