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Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation

Gandhi, Priyank - 2015

The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk …-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size … factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has …

Persistent link: https://www.econbiz.de/10013038431

Earnings Inequality and Coordination Costs : Evidence from U.S. Law Firms

Garicano, Luis - 2009

Earnings inequality has increased substantially since the 1970s. Using evidence from confidential Census data on U.S. law offices on lawyers' organization and earnings, we study the extent to which the mechanism suggested by Lucas (1978) and Rosen (1982), a scale of operations effect linking...

Persistent link: https://www.econbiz.de/10012764834

Capital Share Risk in U.S. Asset Pricing

Lettau, Martin - 2014

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...

Persistent link: https://www.econbiz.de/10013040236

Post-Fomc Announcement Drift in U.S. Bond Markets

Brooks, Jordan - 2018

The sensitivity of long-term rates to short-term rates represents a puzzle for standard macro-finance models. Post-FOMC announcement drift in Treasury markets after Federal Funds target changes contributes to the excess sensitivity of long rates. Mutual fund investors respond to the salience of...

Persistent link: https://www.econbiz.de/10012909867

The Mildest Recession : Output, Profits, and Stock Prices as the U.S. Emerges from the 2001 Recession

Nordhaus, William D. - 2021

This paper examines the state of the United States economy as it emerges from the 2001 recession. A comparison of several central economic variables indicates that the 2001 recession was the mildest recession in the postwar period. In light of highly differentiated characteristics of recessions,...

Persistent link: https://www.econbiz.de/10013224921

The "News" View of Economic Fluctuations : Evidence from Aggregate Japanese Data and Sectoral U.S. Data

Beaudry, Paul; Portier, Franck - 2021

This paper uses aggregate Japanese data and sectoral U.S. data to explore the properties of the joint behavior of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that...

Persistent link: https://www.econbiz.de/10013225845

The Stabilization of the U.S. Economy Evidence from the Stock Market

Shapiro, Matthew D. - 2021

Until recently, economists widely believed that economic activity had become less variable in the United States following the end of World War II. Challenging this belief, new research suggests that key historical time series are spuriously volatile, a finding that is highly controversial. Data...

Persistent link: https://www.econbiz.de/10013237275

U.S. Stock Market Crash Risk, 1926-2006

Bates, David S. - 2009

This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lévy processes, using daily data on U.S. stock market excess returns over 1926-2006. In contrast to density-based filtration approaches, the methodology recursively updates the...

Persistent link: https://www.econbiz.de/10013160343

Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms

Bordo, Michael D. - 2011

This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...

Persistent link: https://www.econbiz.de/10013127756

Why are Foreign Firms Listed in the U.S. Worth More?

Doidge, Craig - 2002

At the end of 1997, the foreign companies listed in the U.S. have a Tobin's q ratio that exceeds by 16.5% the q ratio of firms from the same country that are not listed in the U.S. The valuation difference is statistically significant and largest for exchange-listed firms, where it reaches 37%....

Persistent link: https://www.econbiz.de/10012787423