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Common stock returns, expected inflation, and the rational expectations hypothesis
Loo, Jean C. H. - In: The journal of financial research 11 (1988) 2, pp. 165-171
Persistent link: https://www.econbiz.de/10003619512
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The informational content of prices when policy makers react to financial markets
Siemroth, Christoph - In: Journal of economic theory 179 (2019), pp. 240-274
Persistent link: https://www.econbiz.de/10012131495
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Time-Varying Expectation Effects of Switching Financial Uncertainty
Chang, Yoosoon; Kim, Hwagyun; Qiu, Shi - 2022
This paper investigates the effects of dynamic capital market conditions in a general equilibrium model, employing a process of switching steady-state levels of the volatility of market conditions (SS-uncertainty). Decision-makers predict SS-uncertainty regimes using past fundamental shocks, but...
Persistent link: https://www.econbiz.de/10013404953
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Anticipated inflation and the stock market
Carmichael, Benoît - In: The Canadian journal of economics 18 (1985) 2, pp. 285-293
Persistent link: https://www.econbiz.de/10001978261
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Nonlinear expectation formation in the U.S. stock market : empirical evidence from the Livingston survey
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...
Persistent link: https://www.econbiz.de/10011452463
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Household forming inflation expectations : why do they ‘overreact’?
Easaw, Joshy Z. - 2015
inflation forecasts. The paper contributes to the existing literature and the understanding of how inflation expectations are … formed in two ways. Firstly, we present an integrated model of how non-experts form their inflation expectations. The paper … initially outlines how professionals form inflation forecast. Subsequently, the model presents the non-expert’s expectations …
Persistent link: https://www.econbiz.de/10011471487
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Real stock market returns and inflation : evidence from uncertainty hypotheses
Chiang, Thomas C. - In: Finance research letters 53 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472359
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Explaining Asset Mispricing Using the Resale Option and Inflation Illusion
Hayunga, Darren K. - 2013
We investigate the overconfidence theory and inflation illusion hypothesis of asset mispricing. Both concepts address … markets. Further, we find that asset turnover subsumes expected inflation in certain specifications; suggesting that …
Persistent link: https://www.econbiz.de/10013094362
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Explaining Asset Mispricing Using the Resale Option and Inflation Illusion
Hayunga, Darren K. - 2010
We investigate the overconfidence theory and inflation-illusion hypothesis of asset mispricing. Both concepts address … markets. Further, we find that asset turnover subsumes expected inflation in certain specifications; suggesting that …
Persistent link: https://www.econbiz.de/10013146535
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Towards a general theory of the stock market
Fender, John - 2015
Persistent link: https://www.econbiz.de/10011389962