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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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Short-Run Pain, Long-Run Gain? Recessions and Technological Transformation
Kopytov, Alexandr - 2017
Recent empirical evidence suggests that skill-biased technological change that shifts labor demand towards non-routine jobs has accelerated during the Great Recession. We analyze the interaction between the gradual process of transition towards a skill intensive technology and business cycles in...
Persistent link: https://www.econbiz.de/10012943102
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Labor Force Telework Flexibility and Asset Prices : Evidence from the COVID-19 Pandemic
Favilukis, Jack Y - 2020
We show that labor force telework flexibility (LFTF) is a first-order effect in accounting for the variations of asset prices and firm policies during the COVID-19 pandemic. Specifically, firms in high LFTF industries significantly outperform firms in low LFTF industries in stock returns. The...
Persistent link: https://www.econbiz.de/10012823122
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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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Heterogeneous-Agent Asset Pricing
Paron, James D. - 2021
-sectional risk is uncorrelated with aggregate consumption risk. It always affects the riskfree rate and equity volatility. I …
Persistent link: https://www.econbiz.de/10013237723
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Search Intensity and Asset Prices
Luo, Ding; Tong, Jincheng - 2022
search intensity has two opposing effects on equity risk premium: It increases the price of risk by increasing the volatility …
Persistent link: https://www.econbiz.de/10014235643
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Labor and the Market Value of the Firm
Merz, Monika; Yashiv, Eran - 2021
essential to account for market volatility. A key result is that firms' value embodies the value of hiring and investment over … with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital ….S. corporate sector data to estimate firms' optimal hiring and investment decisions and the consequences for firms' value. We then …
Persistent link: https://www.econbiz.de/10013319585
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A basic model of real-financial market interactions with heterogeneous opinion dynamics
Hartmann, Florian; Charpe, Matthieu; Flaschel, Peter; … - 2016
We consider an alternative modelling approach to the mainstream DSGE paradigm, namely a Dynamic Stochastic General Disequilibrium (DSGD) baseline model of continuous and gradual adjustment processes on interacting real and financial markets. Heterogeneous capital gain expectations (chartists and...
Persistent link: https://www.econbiz.de/10011490978
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The Nexus of Asset Pricing, Volatility and the Business Cycle
Roy, Rahul; Santhakumar, Shijin - 2021
Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the … realized volatility measure for the GARCH-type models.Findings: The comprehensive empirical investigation led to the following … estimates neither show any significant impact of past conditional volatility on the current conditional volatility nor any …
Persistent link: https://www.econbiz.de/10013211332
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Expectation driven business cycles with limited enforcement
Walentin, Karl - 2009
We explore the implications of shocks to expected future productivity in a setting with limited enforcement of financial contracts. As in Lorenzoni andWalentin (2007) optimal financial contracts under limited enforcement imply that to obtain external finance firms have to post collateral in...
Persistent link: https://www.econbiz.de/10010320759