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Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume

Li, Dan; Li, Geng - Federal Reserve Board (Board of Governors of the … - 2014

investors and the stock market trading volume, using more than 30 years of household survey data and a novel approach to … among individuals who are most likely to own stocks and for trading volume of stocks that are most visible to household … the stock trading volume. Our analysis implies that household investors, traditionally viewed as tending to trader …

Persistent link: https://www.econbiz.de/10010784148

Interpreting long-horizon estimates in predictive regressions

Hjalmarsson, Erik - Federal Reserve Board (Board of Governors of the … - 2008

This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability, the long-run estimator is an increasing deterministic function of the short-run estimate and the...

Persistent link: https://www.econbiz.de/10005368153

Confidence intervals for long-horizon predictive regressions via reverse regressions

Wei, Min; Wright, Jonathan - Federal Reserve Board (Board of Governors of the … - 2009

sizes that are typically available. A remedy that has been proposed by Hodrick (1992) is to run a reverse regression in … which short-horizon returns are projected onto a long-run mean of some predictor. By covariance stationarity, the slope … coefficient is zero in the reverse regression if and only if it is zero in the original regression, but testing the hypothesis in …

Persistent link: https://www.econbiz.de/10004994089

Fully modified estimation with nearly integrated regressors

Hjalmarsson, Erik - Federal Reserve Board (Board of Governors of the … - 2006

I show that the test procedure derived by Campbell and Yogo (2005, Journal of Financial Economics, forthcoming) for regressions with nearly integrated variables can be interpreted as the natural t-test resulting from a fully modified estimation with near-unit-root regressors. This clearly...

Persistent link: https://www.econbiz.de/10005712812

Terms-of-trade uncertainty and economic growth: are risk indicators significant in growth regressions?

Mendoza, Enrique G. - Federal Reserve Board (Board of Governors of the … - 1994

This paper examines a neoclassical stochastic endogenous growth model in which terms-of-trade uncertainty affects savings and consumption growth. The model explains the positive link between growth and the average rate of change of terms of trade found in recent empirical studies. In addition,...

Persistent link: https://www.econbiz.de/10005498814

A note on the coefficient of determination in models with infinite variance variables

Kurz-Kim, Jeong-Ryeol; Loretan, Mico - Federal Reserve Board (Board of Governors of the … - 2007

data. After providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with …

Persistent link: https://www.econbiz.de/10005498873

Cash flows and discount rates, industry and country effects, and co-movement in stock returns

Ammer, John; Wongswan, Jon - Federal Reserve Board (Board of Governors of the … - 2004

flow and discount rate components of equity returns between 1995 and 2003. Our framework draws upon previously separate … index returns so we can produce a richer characterization of same-industry and same-country effects in stock returns. Unlike … returns: news about future dividends and news about future discount rates. In particular, within-industry covariation in news …

Persistent link: https://www.econbiz.de/10005368137

Stock markets, growth, and policy

Levine, Ross - Federal Reserve Board (Board of Governors of the … - 1990

In a model that emphasizes technological progress and human capital creator as essential features of economic development, this paper establishes a theoretical link between the financial system and per capita output growth. More specifically, it demonstrates that stock markets--by facilitating...

Persistent link: https://www.econbiz.de/10005368147

The stock market and exchange rate dynamics

Gavin, Michael K. - Federal Reserve Board (Board of Governors of the … - 1986

This paper articulates a model of the small, open economy in which the stock market, rather than the bond market, determines domestic aggregate demand. It resembles in many respects the widely adopted dynamic Mundell-Fleming approach, but can, in some circumstances, exhibit output and asset...

Persistent link: https://www.econbiz.de/10005368168

On risk, rational expectations, and efficient asset markets

Stevens, Guy V.G.; Akbarian, Dara - Federal Reserve Board (Board of Governors of the … - 1994

The notion of asset market efficiency -- that market prices "fully reflect" all available information -- requires the operation of mechanisms that rapidly incorporate new information into asset prices. Particularly problematic -- both theoretically and empirically -- has been the case where new...

Persistent link: https://www.econbiz.de/10005368265