The arrival of new, unfamiliar, investment opportunities is often associated with "exuberant" movements in asset prices … signals about the profitability of the new investment opportunities, and vice versa. In this paper, we study how such …

This paper explores the sources of uncertainty that cause firms to revise their capital investment plans and the stock … in investment plans and the stock market rate of return in micro, setoral and aggregate components, and to measure the … U.S. economy for the period 1950-1973. The empirical results show that the capital investment decision is governed …

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …