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The Time-Varying Liquidity Risk of Value and Growth Stocks

Akbas, Ferhat - 2010

small value stocks in best times. Combined with the fact that growth stocks have lower market risk than value stocks in bad … aggressively than growth stocks. This increase in selling pressure could make value stocks more sensitive to liquidity risk than … risk, combined with the liquidity price of risk, is able to capture 35% of the small-stock value premium and 100% of the …

Persistent link: https://www.econbiz.de/10013146639

Testing output gap and economic uncertainty as an explicator of stock market returns

Ahmad, Wasim; Sharma, Sumit Kumar - In: Research in international business and finance 45 (2018), pp. 293-306

Persistent link: https://www.econbiz.de/10011983273

Does economic policy uncertainty in the U.S. influence stock markets in China and India? : time-frequency evidence

Li, Rong; Li, Sufang; Yuan, Di; Yu, Keming - In: Applied economics 52 (2020) 39, pp. 4300-4316

Persistent link: https://www.econbiz.de/10012259034

The causal relationship between economic policy uncertainty and stock returns in China and India : evidence from a bootstrap rolling window approach

Li, Xiao-Lin; Balcilar, Mehmet; Gupta, Rangan; Chang, … - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 674-689

Persistent link: https://www.econbiz.de/10011562548

The French paradox : a financial crisis during the golden age of the 1960s

Blancheton, Bertrand; Bonin, Hubert; Le Bris, David - In: Business history 56 (2014) 3, pp. 391-413

Persistent link: https://www.econbiz.de/10010359004

Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

Persistent link: https://www.econbiz.de/10013179569

Does the stock market contain information about economic growth? : time-varying out of sample causality tests

Ciner, Cetin - In: Applied economics letters 26 (2019) 13, pp. 1138-1142

Persistent link: https://www.econbiz.de/10012204566

The causal relationship between economic policy uncertainty and stock market : a panel data analysis

Wu, Tsung-Pao; Liu, Shu-Bing; Hsueh, Shun-Jen - In: International economic journal 30 (2016) 1, pp. 109-122

Persistent link: https://www.econbiz.de/10011704446

Stock markets, growth, and policy

Levine, Ross - 1990

Persistent link: https://www.econbiz.de/10000131440

Stock volatility in the periods of booms and stagnations

Kaizoji, Taisei - 2010

The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to...

Persistent link: https://www.econbiz.de/10011524072

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