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Macroeconomic Theory and historical evidence suggest that bond prices help cause long-run convergence between stock …
Persistent link: https://www.econbiz.de/10012991589
This paper examines the ability of bond and stock markets to predict subsequent GDP growth over a range of horizons for … of horizons. Considering different regimes, we observe that the bond market exhibits greater predictive power for a …
Persistent link: https://www.econbiz.de/10012891593
investment growth but less so for consumption growth. We extend the analysis to include commodity, housing and the corporate bond …
Persistent link: https://www.econbiz.de/10012860534
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issuing of eco-friendly bonds and economic growth. Interestingly, a negative relationship emerges between bond performance and … uneven distribution of bond investments across sectors, akin to the "Dutch disease." The need to align investment strategies …. The authors advocate the integrating of considerations of bond issuance and performance into long-term sustainability …
Persistent link: https://www.econbiz.de/10014635381
We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … important drivers of stock-bond correlations during the countercyclical period 1965-2000 while output shocks dominated during …
Persistent link: https://www.econbiz.de/10009684165
We propose a unified explanation for two seemingly disparate empirical findings: the negative abnormal returns of distressed stocks, and of small growth stocks. Based on a counterintuitive result relating option prices to jump risk (Merton (1976)), we show via an investment valuation model that...
Persistent link: https://www.econbiz.de/10013007449
One of the main characteristics of the (recently proposed) non-arbitrage valuation of equities framework is the reduction in pricing subjectivity. This is evidenced in terms of the dividends discount rate and the outlook of future performance (dividends projection) of the company that is being...
Persistent link: https://www.econbiz.de/10013404800