Are specific developments in stock prices in line with fundamentals or do they reflect a rising bubble? And if the latter result applies, how is it possible to detect a bubble in real time? The answer to this question is of utmost relevance for a number of areas, not least for either financial...

The stock market is a highly complex non-linear and chaotic system that is influenced by political, economic and psychological factors. Therefore, it seems very difficult to check this system. More scientific studies with an emphasis on the accurate identification of stock price behavior led to...

The paper reviews the evidence on the macroeconomic announcement premium and its implications on equilibrium asset pricing models. Empirically, a large fraction of the equity market risk premium is realized on a small number of trading days with significant macroeconomic announcements. We review...

Overdependence on oil revenue has exposed the economy to shocks from oil price variations. In this paper, we investigated the relationship between oil price on the stock prices of oil and gas firms quoted in the Nigerian Stock Exchange market. In doing so, the ARDL and NARDL approach is applied...

Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational expectations model with periodic macroeconomic...

We are developing a theory of equilibrium market instability in a general equilibrium duopoly caused merely by strategic trade. An economy is described as a strategic market game, where players have market power as buyers and sellers. First order conditions of individual decisions are first kind...

This article develops an agent-based model of security market pricing process, capable to capture main stylised facts. It features collective market pricing mechanisms based upon evolving heterogeneous expectations that incorporate signals of security issuer fundamental performance over time....

This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil...

This paper proposes a data-based measure of model performance to discriminate among competing asset pricing models of return predictability. I form a set of variance bounds on pricing kernels based on different systems for predicting asset returns. For a given asset pricing model, I define the...