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Bianchi, Francesco - 2016

The U.S. economy is characterized by large, longer term regime shifts in asset values relative to macroeconomic fundamentals. These movements coincide with shifts in the real federal funds rate in excess of a measure of the natural rate of interest, and in equity market return premia. We specify...

Persistent link: https://www.econbiz.de/10012984111

Interpretable Asset Markets?

Bansal, Ravi - 2010

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

Persistent link: https://www.econbiz.de/10012762886

Growth Volatility and Financial Liberalization

Bekaert, Geert - 2012

variability. We show that financial liberalization is mostly associated with lower consumption growth volatility. Our results are … volatility after equity market openings. The results hold for both total and idiosyncratic consumption growth volatility. We also … find that financial liberalizations are associated with declines in the ratio of consumption growth volatility to GDP …

Persistent link: https://www.econbiz.de/10012755765

Using Asset Prices to Measure the Cost of Business Cycles

Alvarez, Fernando - 2010

We propose a method to measure the welfare cost of economic fluctuations that does not require full specification of consumer preferences and instead uses asset prices. The method is based on the marginal cost of consumption fluctuations, the per unit benefit of a marginal reduction in...

Persistent link: https://www.econbiz.de/10012763274

Learning About CEO Ability and Stock Return Volatility

Pan, Yihui - 2013

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

Persistent link: https://www.econbiz.de/10013085131

The Joint Cross Section of Stocks and Options

An, Byeong-Je - 2013

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

Persistent link: https://www.econbiz.de/10013073570

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth - 2004

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012786275

Why Does the Stock Market Fluctuate?

Barsky, Robert - 2002

Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...

Persistent link: https://www.econbiz.de/10012787482

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 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/10012960787

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

Engle, Robert F. - 2010

. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor …. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility …

Persistent link: https://www.econbiz.de/10012762800

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