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The US Bond Market Before 1926 : Investor Total Return from 1793, Comparing Federal, Municipal, and Corporate Bonds Part I: 1793 to 1857

McQuarrie, Edward F. - 2019

US securities markets took root after Alexander Hamilton's refunding of the Federal debt in the early 1790s. Accordingly, a market in bonds has been in operation in the US for over two centuries. Until recently, however, little was known about bond market returns prior to 1857. This paper...

Persistent link: https://www.econbiz.de/10012897910

Macroeconomic factors and index option returns

Lai, Ya-Wen - In: International review of economics & finance : IREF 48 (2017), pp. 452-477

Persistent link: https://www.econbiz.de/10011747332

Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks

Xyngis, Georgios - 2017

A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging...

Persistent link: https://www.econbiz.de/10014133052

Boundaries of Time Series Momentum - Equity Returns Over the Business Cycle

Suominen, Matti - 2021

I first show that taking moving averages of the term spread, the dividend yield, and the Shiller’s CAPE, significantly increases their ability to predict one month and 12-month forward equity market excess returns, and the state of the business cycle. Dividend yield, CAPE and term spread are...

Persistent link: https://www.econbiz.de/10013245419

Is Financial Market Volatility Informative to Predict Recessions?

Valckx, Nico; De Ceuster, Marc J.; Annaert, Jan - 2003

whether interest rate and stock market volatility play an additional role as recession indicators. Both risk-return analysis … and stock return volatility do not contribute systematically to the forecasting of recessions in the US using the NBER … definition, but do so, to some extent, when using the OECD dating. In Germany and Japan, using a variety of volatility indicators …

Persistent link: https://www.econbiz.de/10014076057

Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach

Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014288917

A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy

Chauvet, Marcelle - 2012

In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as the beginning and end of economic recessions at...

Persistent link: https://www.econbiz.de/10013104542

Quantiles of the realized stock-bond correlation and links to the macroeconomy

Aslanidis, Nektarios; Christiansen, Charlotte - In: Journal of empirical finance 28 (2014), pp. 321-331

Persistent link: https://www.econbiz.de/10011285626

A Re-Examination of Stock Market Returns from 1871-1897 : Did Cowles Get It Right?

McQuarrie, Edward F. - 2020

Siegel (2014), Shilling (2015) and others rely on the work of Alfred C. Cowles to capture US stock market returns before 1926. Cowles in turn relied on Frederick Macaulay's work for data on railroad stocks during this era. This study attempts to re-construct Cowles' index from the ground up, by...

Persistent link: https://www.econbiz.de/10012838294

The common and specific components of dynamic volatility

Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255

Persistent link: https://www.econbiz.de/10003320262

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