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This study examines the effect of shocks observed in financial markets on output and employment during the Great Depression. We present three main findings. First, an adverse financial shock leads to a decline in the manufacturing sector's output and employment that peaks about 11 months...
Persistent link: https://www.econbiz.de/10013115113
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This study examines the effect of shocks observed in financial markets on output and employment during the Great Depression. We present three main findings. First, an adverse financial shock leads to a decline in the manufacturing sector's output and employment that peaks about 11 months...
Persistent link: https://www.econbiz.de/10008498931
Persistent link: https://www.econbiz.de/10009405730
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While many studies find that the tail distribution of high frequency stock returns follow a power law, there are only a few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law property of high frequency stock returns. The power...
Persistent link: https://www.econbiz.de/10011500196
We quantify how much nonfundamental movements in stock prices affect firm decisions. We estimate a dynamic investment model in which firms can finance with equity or cash (net of debt). Misvaluation affects equity values, and firms optimally issue and repurchase overvalued and undervalued...
Persistent link: https://www.econbiz.de/10014121059
The expected return to equity — typically measured as a historical average — is a key variable in the decision making of investors. A recent literature uses analysts' forecasts, investor surveys or present-value relationships and finds estimates of expected returns that are sometimes much...
Persistent link: https://www.econbiz.de/10013038081