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Market risk factors and stock returns in the Nigerian bourse

Ogiemudia, Omorose A.; Osifo, Osagie; Eghosa, Igbinovia L. - In: CBN journal of applied statistics 13 (2022) 2, pp. 79-115

This study examines the link between market risk and equity return in Nigeria between 1980 to 2019. It employs the vector error correction model (VECM) to determine the short run dynamics and long run effect of market risk factors on stock return. The findings revealed that a dynamic...

Persistent link: https://www.econbiz.de/10014364194

The paradox of monetary profits : an obstacle to understanding financial and economic Crisis?

Bruun, Charlotte; Heyn-Johnsen, Carsten - 2009

financial spheres. The monetary profit inducing capitalist production, emanates from the sphere of finance. In a world of …

Persistent link: https://www.econbiz.de/10003905099

A no-arbitrage analysis of macroeconomic determinants of term structures and the exchange rate

Chabi-Yo, Fousseni (contributor); Yang, Jun (contributor) - 2007

We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...

Persistent link: https://www.econbiz.de/10003462987

Bank Stock Returns under Money Supply Endogeneity : Empirical Evidence Using Panel Data

Ariff, Mohamed - 2009

There is as yet a study of money supply effect on the aggregate bank stock prices using modern money supply theories …'s profitability, thus stock prices. Whether money endogeneity is in fact the way the money supply behaves has also not yet been widely … money endogeneity as a proposition, also shows significant money supply effect on the aggregate prices of banking shares …

Persistent link: https://www.econbiz.de/10013156236

Taxes, Spending, and Market Returns

Diercks, Anthony M. - 2017

How fiscal policy impacts equity and bond returns is an open question. Unlike previous studies, we address this issue in a way that decomposes current returns into news about cash flows and news about discount rates. Moreover, we use narrative methods to identify plausibly exogenous shocks to...

Persistent link: https://www.econbiz.de/10012972756

Are Sticky Prices Costly? Evidence from the Stock Market

Gorodnichenko, Yuriy - 2017

firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and …

Persistent link: https://www.econbiz.de/10012974569

The Real and Nominal Determinants of Stock and Bond Returns Comovement

Liu, Yunting - 2018

The comovement between returns to stocks and nominal Treasury bonds varies over time in both magnitude and direction. Earlier research attempts to interpret this phenomenon as a consequence of variations in the link between inflation and future economic activity. I present some opposing...

Persistent link: https://www.econbiz.de/10012922711

Mathematical Model of MMT with Profit Return under Monopolistic Competition

Tanaka, Yasuhito - 2022

Even under constant returns to scale technology there is a positive profit return if the goods are produced in …

Persistent link: https://www.econbiz.de/10013322287

Rich and ever richer : differential returns across socio-economic groups

Ederer, Stefan; Mayerhofer, Maximilian; Rehm, Miriam - 2019

This paper estimates rates of return across the gross wealth distribution in eight European countries. Like differential saving rates, differential rates of return matter for Post Keynesian theory, because they impact the income and wealth distribution and add an explosive element to growth...

Persistent link: https://www.econbiz.de/10012182820

Equilibrium Yield Curves with Imperfect Information

Tanaka, Hiroatsu - 2022

I study the dynamics of default-free bond yields and term premia using a novel equilibrium term structure model with a New-Keynesian core and imperfect information about productivity. The model generates term premia that are on average positive with sizable countercyclical variation that arises...

Persistent link: https://www.econbiz.de/10014239105

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