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Indian Equity Markets : Measures of Fundamental Value
Mehra, Rajnish - 2010
high frequency price movements in the stock market. In fact, we know of no framework that can satisfactorily account for …
Persistent link: https://www.econbiz.de/10013142540
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Do Prices Reveal the Presence of Informed Trading?
Collin-Dufresne, Pierre - 2012
Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D...
Persistent link: https://www.econbiz.de/10013099415
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Stock Market and Investment Goods Prices : Implications for Macroeconomics
Christiano, Lawrence J. - 2003
transitory neutral technology shocks. When calibrated to the capital price observations, the model does well at accounting for …
Persistent link: https://www.econbiz.de/10012786373
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Understanding How Price Responds to Costs and Production
Bils, Mark; Chang, Yongsung - 2021
a large empirical literature from the 1950's and 60's, that it is necessary to distinguish the response of price to an … two models that can potentially explain these findings. Both break the link between price and marginal cost, thereby … second is driven by firms pricing to limit non-price competition within their market …
Persistent link: https://www.econbiz.de/10013310210
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Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms
Bordo, Michael D. - 2011
understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several …, productivity, the price level, money and credit stocks during each episode. Two booms stand out in terms of their length and rate …
Persistent link: https://www.econbiz.de/10013127756
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Inflation Illusion and Stock Prices
Campbell, John Y. - 2011
We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...
Persistent link: https://www.econbiz.de/10013133237
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What Does Stock Ownership Breadth Measure?
Choi, James J. - 2010
Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year....
Persistent link: https://www.econbiz.de/10013135241
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Monetary Policy and Stock Market Booms
Christiano, Lawrence J. - 2010
Historical data and model simulations support the following conclusion. Inflation is low during stock market booms, so that an interest rate rule that is too narrowly focused on inflation destabilizes asset markets and the broader economy. Adjustments to the interest rate rule can remove this...
Persistent link: https://www.econbiz.de/10013137616
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Hard Times
Campbell, John Y. - 2010
This paper shows that the stock market downturns of 2000-2002 and 2007-09 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to corporate profits by rational investors, while the late 2000's saw a decrease in rational expectations of future...
Persistent link: https://www.econbiz.de/10013139890
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Information Aggregation, Investment, and Managerial Incentives
Albagli, Elias - 2011
about fundamentals to investors and managers. First, we show that the informational feedback between the firm's share price … and its investment decisions leads to a systematic premium in the firm's share price relative to expected dividends. Noisy … information aggregation leads to excess price volatility, over-valuation of shares in response to good news, and undervaluation in …
Persistent link: https://www.econbiz.de/10013121056