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A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination
Christophe, Faugere - Volkswirtschaftliche Fakultät, … - 2003
Stock market valuation and Treasury yield determination are consistent with the Fisher effect (1896) as generalized by Darby (1975) and Feldstein (1976). The U.S. stock market (S&P 500) is priced to yield ex-ante a real after-tax return directly related to real long-term GDP/capita growth (the...
Persistent link: https://www.econbiz.de/10005668408
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Hedging Effectiveness under Conditions of Asymmetry
Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific … of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry …
Persistent link: https://www.econbiz.de/10005837212
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Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2011
-data cointegration methodologies to assess the long-run relationships among the variables postulated by both models. We use quarterly …
Persistent link: https://www.econbiz.de/10009246897
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Valuation of Mexican stocks with the Olhson and Ohlson-Beta models for firms with short-term and long-term cycles: A cointegration analysis
Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2011
additional explanatory variable. We use time-series and panel-data cointegration methodologies to assess the existence of …
Persistent link: https://www.econbiz.de/10009283789
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Macroeconomic Forces and Stock Prices: Evidence from the Bangladesh Stock Market
Khan, Mashrur Mustaque; Yousuf, Ahmed Sadek - Volkswirtschaftliche Fakultät, … - 2013
-series techniques were used which include Cointegration, Vector Error Correction Model (VECM), Impulse Response Functions (IRF) and … Variance Decompositions (VDC). Cointegration analysis, along with the VECM, suggests that interest rates, crude oil prices and …
Persistent link: https://www.econbiz.de/10010640731
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Equity Price Bubbles in the Middle Eastern and North African Financial Markets
Jahan-Parvar, Mohammad; Waters, George - Volkswirtschaftliche Fakultät, … - 2009
cointegration relationship between real equity prices and real dividends and also between real market capitalizations and real …
Persistent link: https://www.econbiz.de/10008518088
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Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2011
-data cointegration methodologies to assess the long-run relationships among the variables postulated by both models. We use quarterly …
Persistent link: https://www.econbiz.de/10009151301
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Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)
Maryatmo, Rogatianus - Volkswirtschaftliche Fakultät, … - 2010
cointegration approach and Engle Granger Error Corection Model (ECM), covering monthly time series data from January 2000 to April … 2010, both short run and long run relationships are investigated. It is found out that there is cointegration relationship …
Persistent link: https://www.econbiz.de/10008685166
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Macroeconomic variables and stock market: US review
Sirucek, Martin - Volkswirtschaftliche Fakultät, … - 2012
This focus of this paper are the effect, implication, impact and realtionship between selected macroeconomic variables and wider US indices S&P 500 and industrial Dow Jones Industrial Average (DJIA). Considered are inflation, interest rates, money supply, producer price index, industrial...
Persistent link: https://www.econbiz.de/10011107956
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Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market
Khan, Mashrur Mustaque; Yousuf, Ahmed Sadek - Volkswirtschaftliche Fakultät, … - 2013
-series techniques were used which include Cointegration, Vector Error Correction Model (VECM), Impulse Response Functions (IRF) and … Variance Decompositions (VDC). Cointegration analysis, along with the VECM, suggests that interest rates, crude oil prices and …
Persistent link: https://www.econbiz.de/10011113057