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Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...

Persistent link: https://www.econbiz.de/10014483035

ETF risk models

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013407268

Returns for dividend-paying and non dividend paying firms

Fu, Yufen; Blazenko, George W. - In: The international journal of business and finance … 9 (2015) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10010510024

Understanding the determinants of analyst target price implied returns

Dechow, Patricia M.; You, Haifeng - In: The accounting review : a publication of the American … 95 (2020) 6, pp. 125-149

Persistent link: https://www.econbiz.de/10012421492

Accruals, growth, accounting distortions and stock returns : the case of FRS3 in the UK

Papanastasopoulos, Georgios A. - In: The North American journal of economics and finance : a … 33 (2015), pp. 39-54

Persistent link: https://www.econbiz.de/10011534341

Overdeterminacy and endogenous cycles :Trygve Haavelmo’s business cycle model and its implications for monetary policy

Anundsen, André K.; Krogh, Tord S. H.; Nymoen, Ragnar; … - 2011 - Publisert 10. feb. 2011 11:06

This paper presents the business cycle model that Trygve Haavelmo developed as part of his research program in macroeconomic and monetary theory. Driven by a mismatch between the marginal return to capital and the rate of return required by capital owners, this model generates endogenous cycles....

Persistent link: https://www.econbiz.de/10008825351

Equity Returns, Unemployment, and Monetary Policy

Li, Yijie; Suominen, Matti - 2020

We investigate both theoretically and empirically how unemployment level and its growth affect future stock returns. We … find that both a higher unemployment rate and higher growth of unemployment positively predict future stock market returns … reinforce each other making stock returns exceptionally high in periods of high unemployment and high unemployment growth. Our …

Persistent link: https://www.econbiz.de/10014352081

Yield Curve and Financial Uncertainty : Evidence Based on Us Data

Castelnuovo, Efrem - 2019

How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found...

Persistent link: https://www.econbiz.de/10012867014

Yield Curve and Financial Uncertainty : Evidence Based on US Data

Castelnuovo, Efrem - 2019

How does the yield curve respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962- 2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found to predict...

Persistent link: https://www.econbiz.de/10012868491

Macroeconomic Disagreement in Treasury Yields

Struby, Ethan - 2020

's inﬂation target. Accounting dispersed information reduces the magnitude and volatility of risk premia relative to full …

Persistent link: https://www.econbiz.de/10012851253

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