This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and...

This paper examines the long and short-run relationships between three Central European Economies stock returns (Poland, Hungary and Czech Republic) and their main western economic and trading partner, which is Germany. We obtain evidence of links between macroeconomic variables and stock...

Using a panel of stock indices of the BRICS countries from 31 December 2019 to 17 October 2020, the nexus between funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding liquidity and the COVID-19 pandemic interacts positively...

Various macroeconomic announcements are known to influence asset price volatility. While contemplating the impact of a variety of macro news surprises, we highlight the importance of Treasury auctions – a news event that has ramifications for interest rates across the economy and which are...

I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...

The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...

We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We...

We study a production-based present-value relation that implies that fluctuations in the marginal profit-to-marginal Q ratio (mq) are driven by variations in the expected growth of marginal profits (cash-flow channel), expected investment return changes (discount-rate channel), or both. We find...

I quantify the causal impact of macroeconomic uncertainty on time-varying expected returns. The exogenous timing of macroeconomic announcements provides an instrument for uncertainty. Using daily measures of macroeconomic uncertainty and expected equity market returns, I find announcements...

This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....