We show that the long-term total market and average investor's compounded stock returns are determined by GDP growth and are much less than believed because of the infeasible assumption that dividends can be fully reinvested. The long-term stock return closely approximates the return on...

Two 'event' scales for financial markets, called 'scale of market shocks' (SMS), are introduced, which measure the importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset volatilities over time horizons that range from 1...

Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly...

This five-chapter introduction into international money and foreign exchange markets covers all the basics, theoretical, institutional, as well as empirical. After a brief review of the money market, we discuss the size and structure of the foreign exchange markets. This information is then used...

Until a few months ago, the stock market narrative in the United States could have been summarized by the popular acronym BTFD – or ‘buy the fucking dip’. Analysts and strategists, emboldened by the world’s synchronized recovery, Trump’s pro-business policies and ample liquidity,...

For more than a century, political economists have sought to understand the nature of capital. The prevailing wisdom is that there must be something ‘real’ – some productive capacity – that underpins capitalized values. This thinking, I argue, is a mistake. Building on Jonathan Nitzan...

Reflections on leveraging finance against finance.

The present study investigates the possible existence of a systematic relation between beta and excess-return for portfolios of Turkish equities. In the process, no systematic relation is found between beta and realized portfolio excessreturn, in an unconditional sense. However, the study does...

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research...

Today's knowledge-based economy requires an entirely new system of assessing the value of companies--a system tapping the vast communication capabilities of the Internet.