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Fiscal Policy Shocks and Stock Prices in the United States
Mumtaz, Haroon; Theodoridis, Konstantinos - 2021
This paper uses structural vector autoregressive models (SVARs) to show that the response of US stock prices to fiscal shocks changed in 1980. Over the period 1955-1979, an expansionary spending or revenue shock was associated with higher stock prices. After 1980, the response of stock prices to...
Persistent link: https://www.econbiz.de/10013220869
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Is it Beneficial to be Included in a Sustainability Stock Index? A Panel Data Study for European Firms
Ziegler, Andreas - 2009
, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin’s Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …
Persistent link: https://www.econbiz.de/10011753185
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Is it beneficial to be included in a sustainability stock index? : a panel data study for European firms
Ziegler, Andreas - 2009
, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin’s Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …
Persistent link: https://www.econbiz.de/10008746683
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The effect of fragmentation in trading on market quality in the UK equity market
Körber, Lena; Linton, Oliver; Vogt, Michael - 2013
volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the …
Persistent link: https://www.econbiz.de/10009784711
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Is it Beneficial to Be Included in a Sustainability Stock Index? A Panel Data Study for European Firms
Ziegler, Andreas - 2014
, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin's Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …
Persistent link: https://www.econbiz.de/10013070646
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Relationship between Macroeconomic Factors and Aggregate Stock Returns in BRICS Stock Markets – A Panel Data Analysis
Tripathi, Vanita - 2016
1995 to 2014 using quarterly panel data. This relationship is also examined during two sub periods viz., a Pre Crisis … period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Robust econometric tests like Panel Granger … Causality Test, Pedroni's Panel Cointegration Test and Panel Auto Regressive Distributed Lag (ARDL) Model has been used. We find …
Persistent link: https://www.econbiz.de/10012995646
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Search Intensity and Asset Prices
Luo, Ding; Tong, Jincheng - 2022
Job search decisions of unemployed workers are forward-looking and respond to expected returns from the search process. When expected returns (or discount rates) are high, the discounted benefits from the search process are low. Thus unemployed workers search less intensively for jobs. We build...
Persistent link: https://www.econbiz.de/10014235643
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Investing in European Stock Markets for High-Technology Firms
Pierdzioch, Christian; Schertler, Andrea - 2005
We used a recursive modeling approach to study whether investors could, in real time, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We used weekly data on returns in the Neuer Markt, the Nouveau Marché,...
Persistent link: https://www.econbiz.de/10010260542
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German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs
Jamin, Gösta; Entorf, Horst - 2004
multi-factor modelling instead of augmented CAPM, application of moving window panel regressions, orthogonalization of …
Persistent link: https://www.econbiz.de/10010297319
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Dance with the Dollar: Exchange Rate Exposure on the German Stock Market
Entorf, Horst; Jamin, Gösta - 2002
panel econometric extension of the exchange-rate exposure model in the tradition of Adler and Dumas (1984) and Jorion (1990 …
Persistent link: https://www.econbiz.de/10010323698