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Animal spirits, the stock market, and the unemployment rate : some evidence for German data

Fritsche, Ulrich; Pierdzioch, Christian - 2016 - First version: January 2016

", stock-market fluctuations should Granger cause fluctuations of the unemployment rate. We performed several Granger … (2015) for U.S. data, we found that the stock market Granger causes unemployment in the short run and the long run when we … control for a deterministic trend in the unemployment rate. Results of a frequency-domain test show that, in the short run …

Persistent link: https://www.econbiz.de/10011415821

An empirical analysis of US equity market spillover effects into the equity and labor markets of Brazil

Bangura, Alhassan; Curci, Roberto - In: Latin American financial markets : developments in …, (pp. 365-381). 2004

Persistent link: https://www.econbiz.de/10002608254

Time-varying Granger causality between the stock market and unemployment in the United States

Fromentin, Vincent - In: Applied economics letters 30 (2023) 3, pp. 371-378

Persistent link: https://www.econbiz.de/10013553475

Earnings Dispersion and the Stock Market Reaction to Aggregate Earnings News

Subasi, Musa - 2011

Using monthly and quarterly cross-sectional dispersion in firm level earnings news as a proxy for investor uncertainty about the implications of current aggregate earnings for future discount rates, I find that higher investor uncertainty leads to a lower stock market reaction to aggregate...

Persistent link: https://www.econbiz.de/10013125333

Earnings Beta

Ellahie, Atif - 2020

The literature on ‘cash flow' or ‘earnings' beta is theoretically well-motivated in its use of fundamentals, instead of returns, to measure systematic risk. However, empirical measures of earnings beta based on either log-linearizing the return equation or log-linearizing the clean-surplus...

Persistent link: https://www.econbiz.de/10012832530