This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

The purpose of the present study is to provide further empirical evidence of the January and size effects on stock returns. The data used in this study are monthly stock returns, shares outstanding, and prices of all the stocks listed on the NYSE, AMEX, and NASDAQ. The data of monthly stock...

Using the vector autoregression (VAR) analysis, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis...