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The yield spread puzzle and the information content of SPF forecasts

Lahiri, Kajal; Monokroussos, George; Zhao, Yongchen - 2012

While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...

Persistent link: https://www.econbiz.de/10009630664

Inside the crystal ball : new approaches to predicting the gasoline price at the pump

Baumeister, Christiane; Kilian, Lutz; Lee, Thomas - 2016

Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore several new forecasting...

Persistent link: https://www.econbiz.de/10011429580

A sectoral analysis of price-setting behavior in US manufacturing industries

Leith, Campbell B.; Malley, James R. - 2003

In this paper we develop a multi-sector model of firms pricing behaviour under imperfect competition. We allow for the fact that some goods sold will be for final consumption, while others will be used as intermediate goods in further production. We assume that price setters are constrained by...

Persistent link: https://www.econbiz.de/10011508076

Investment under rational inattention : evidence from US sectoral data

Zorn, Peter - 2020

Macroeconomic and sector-specific shocks exert differential effects on investment in disaggregate sectoral data. The response to macroeconomic shocks is hump-shaped, just as in aggregate data. The effects of sectoral innovations decrease monotonically. A calibrated model of investment with...

Persistent link: https://www.econbiz.de/10012249271

Stock market returns, corporate governance and capital market equilibrium

Parigi, Bruno; Pelizzon, Loriana; Thadden, Ernst-Ludwig von - 2013

This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...

Persistent link: https://www.econbiz.de/10010212666

Cash flow duration and the term structure of equity returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10011521939

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011619632

Monetary policy and the stock market : time-series evidence

Neuhierl, Andreas; Weber, Michael - 2016

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

Persistent link: https://www.econbiz.de/10011566444

Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing...

Persistent link: https://www.econbiz.de/10015197299

Pro bono work and trust in expert fields

Ong, David; Yang, Chun-lei - 2014 - This version: July 26, 2014

aspect of the services of experts (e.g., of doctors, lawyers, and accountants), and the role that voluntary pro bono work … might play. Expert services have un- verifiable quality to non-experts and are subject to moral hazard. Experts who cheat … their customers should crowd out experts who do not, resulting in low trust, prestige, and wages. We ask how pro bono work …

Persistent link: https://www.econbiz.de/10010383298