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Washington meets Wall Street : a closer examination of the presidential cycle puzzle

Kräussl, Roman; Lucas, André; Rijsbergen, D.; Sluis, … - 2009

This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...

Persistent link: https://www.econbiz.de/10011377245

A Stock Flow Consistent Model of a Closed Economy with Defaults of Firms

Voloshyn, Ihor - 2017

equities, the cost of default of those firms is equal zero. Indeed, firms suffer from losses on fire-sales but at the same time … and deposits affect the performance of banks and firms, observing economic dynamics in time under different …

Persistent link: https://www.econbiz.de/10012964738

What Does the Financial Market Pricing Do? A Simulation Analysis with a View to Systemic Volatility, Exuberance and Vagary

Biondi, Yuri - 2015

formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory …

Persistent link: https://www.econbiz.de/10013034712

Share Price Formation, Market Exuberance and Financial Stability Under Alternative Accounting Regimes

Biondi, Yuri - 2015

another side, price system provides collective signal of market-driven information over time. Both jointly drive the formation … share market prices over time.This numerical statistical analysis contributes to shed light on accounting anomalies and …

Persistent link: https://www.econbiz.de/10013035505

Global Equity Market Volatility Spillovers : A Broader Role for the United States

Buncic, Daniel - 2016

Rapach et al. (2013) have recently shown that U.S. equity market returns carry valuable information to improve return forecasts in global equity markets. In this study, we extend the work of Rapach et al. (2013) and examine if U.S. based equity market information can be used to improve realized...

Persistent link: https://www.econbiz.de/10012998925

Much Ado About Making Money : The Impact of Disclosure, News and Rumors Over the Formation of Security Market Prices Over Time

Biondi, Yuri - 2017

of security issuer fundamental performance over time. Distinctive signaling sources on this performance correspond to …), confidence, and diffusion degree among investors over space and time. Under full and immediate diffusion and balanced reaction by … confidence mood among investors over space and time. We illustrate our results through paradigmatic cases of stochastic news …

Persistent link: https://www.econbiz.de/10012970505

Artificial Neural Networks - Empirical Analysis of Predictive Accuracy in the Indian Stock Market

Agarwal, Khagesh - 2012

neurons, which store the information about a particular event and its outcome. These neurons get trained in due course of time …

Persistent link: https://www.econbiz.de/10013113754

What If the Fed Increased the Weight of the Stock Price Gap in its Reaction Function?

Romaniuk, Katarzyna - 2010

The Fed has never admitted targeting stock prices. Yet our empirical analysis, based on a small macro-econometric model of the U.S. economy in the period 1981-2002, shows that the Fed explicitly takes into account stock price variations in its reaction function. Furthermore, our simulation...

Persistent link: https://www.econbiz.de/10013142770

Forecasting 2011 Using U.S. Precedents : A Simple Analysis of Equity Market Performance

Hall, Thomas W. - 2011

In an effort to provide a set of reasonable expectations for stock market performance during 2011, we present results of two simple econometric exercises. Our starting point is the recent trough of economic activity which took place in June of 2009, according to the NBER. This means 2011...

Persistent link: https://www.econbiz.de/10013130660

Overreaction through anchoring

Bürgi, Constantin; Ortiz, Julio L. - 2022

We show that updates to macroeconomic expectations among professional forecasters exhibit an offsetting pattern where increases in current-quarter predictions lead to decreases in three quarter ahead predictions. We further document evidence of individual overreaction at the quarterly frequency...

Persistent link: https://www.econbiz.de/10013482590