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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
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On the correlation between commodity and equity returns : implications for portfolio allocation
Lombardi, Marco; Ravazzolo, Francesco - 2013
Persistent link: https://www.econbiz.de/10009782578
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The impact of the Bank of Japan’s news announcements on the Japanese Yen, US Dollar, and the Euro
Kurihara, Yutaka - In: Journal of applied finance & banking 2 (2012) 3, pp. 39-50
This article examines the impact of news about the Bank of Japan monetary policy announcements regarding the Japanese yen, US dollar, and the Euro interest rates. Whether or not the announcements from the monetary authorities impact the domestic markets is related to the success of their...
Persistent link: https://www.econbiz.de/10009565386
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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
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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
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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
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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
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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
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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
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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