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Equity Valuation Cannot Outgrow the Economy Over the Long Run
Han, JC - 2016
Macroeconomic Theory and historical evidence suggest that bond prices help cause long-run convergence between stock …
Persistent link: https://www.econbiz.de/10012991589
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End-of-the-year economic growth and time-varying expected returns : a reexamination
Hsiao(Xiao), Shisong - 2021
Møller and Rangvid (2015) report that economic growth at the end of the year is a strong predictor of future stock returns for the post-WWII period, whereas economic growth during the rest of the year does not. Revisiting these results with an extended period 1926-2020, we find that this...
Persistent link: https://www.econbiz.de/10013323390
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Stock volatility in the periods of booms and stagnations
Kaizoji, Taisei - 2010
of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the …
Persistent link: https://www.econbiz.de/10011524072
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The Long Memory of Equity Volatility and the Macroeconomy : International Evidence
Dräger, Lena - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …
Persistent link: https://www.econbiz.de/10012853413
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Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence
Kuo, Chris - 2011
documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is …, this paper examines the predictive ability of the size-portfolio idiosyncratic volatility for GDP growth. It concludes that … size-portfolio idiosyncratic volatility contain significant information for forecasting future GDP growth for both the U …
Persistent link: https://www.econbiz.de/10013117807
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The Macroeconomic Determinants of the US Term-Structure during the Great Moderation
Paccagnini, Alessia - 2014
The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...
Persistent link: https://www.econbiz.de/10014144946
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Cash Flow Growth and Stock Return
Jansen, Benjamin - 2020
I extend financial literature by presenting a model that expresses a firm's expected stock return as a function of the expected free cash flow growth, as opposed to dividends or profits. I find empirical evidence which supports the hypothesis that realized cash flow growth and expected cash flow...
Persistent link: https://www.econbiz.de/10012855137
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The Persistence and Pricing of Merger-Related Transitory Growth and Its Implications for Growth Anomalies and Asset Pricing Models
Collins, Daniel W. - 2015
Prior literature in accounting and financial economics measures asset growth as year-over-year growth in total assets. Such growth estimates are upward biased when firms engage in mergers and acquisitions. We decompose asset growth into merger-related and organic growth components, and find that...
Persistent link: https://www.econbiz.de/10013036298
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Global Economic Growth and Expected Returns Around the World : The End-of-the-Year Effect
Møller, Stig Vinther - 2015
Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic growth at other times of the year does not predict international returns. Low growth...
Persistent link: https://www.econbiz.de/10013027578
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Government Debt, Dividend Growth, and Stock Returns
Sun, Yulong - 2020
This paper documents that the increase in public debt can lead to higher dividend payout to shareholders, which suggests public debt can be a strong cash flow predictor which helps better predict future stock returns. Specifically, the higher public debt-to-GDP ratio can predict both higher...
Persistent link: https://www.econbiz.de/10014103307