Showing 1 - 10 of 4,737
Persistent link: https://www.econbiz.de/10013258864
This paper looks at the evolution of U.S. stock prices from the time of the Presidential elections to the end of 2017 …. It concludes that a bit more than half of the increase in the aggregate U.S. stock prices from the presidential election … to the end of 2017 can be attributed to higher actual and expected dividends. A general improvement in economic activity …
Persistent link: https://www.econbiz.de/10011917436
Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian … Macedonian Stock Exchange (MSE). Obtaining information about the shape of distribution is an important step for models of pricing …
Persistent link: https://www.econbiz.de/10011456336
We examine whether consumer confidence - as a proxy for individual investor sentiment - affects expected stock returns internationally in 18 industrialized countries. In line with recent evidence for the U.S., we find that sentiment negatively forecasts aggregate stock market returns on average...
Persistent link: https://www.econbiz.de/10003783994
replicate some salient features of asset price dynamics. -- Agent-based financial market models ; direct interactions …
Persistent link: https://www.econbiz.de/10003811632
We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...
Persistent link: https://www.econbiz.de/10003462987
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 …
Persistent link: https://www.econbiz.de/10003909596
assets. Our results indicate that none of the models is able to consistently explain the cross-section of returns. They also …
Persistent link: https://www.econbiz.de/10008666515
studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt …
Persistent link: https://www.econbiz.de/10003973581
A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...
Persistent link: https://www.econbiz.de/10008798062