Similar Search Results

The taxation of equity, dividends, and stock prices

Kopcke, Richard W. - Federal Reserve Bank of Boston - 2005

reduced the top tax rate on capital gains. This paper explores the likely effect of JGTRRA on the composition of returns on … response to the recovery in earnings. In the longer run, the tax cuts will principally reduce companies’ cost of capital …, fostering capital deepening, when the economy is at full employment. With constant returns to scale prevailing at full …

Persistent link: https://www.econbiz.de/10005352073

Comovements among national stock markets

Kasa, Kenneth - In: Economic Review (1995), pp. 14-20

This paper uses the methodology of Hansen and Jaganathan (1991) to derive a lower bound on the correlation between any pair of asset returns under the hypothesis of complete markets. The bound is a simple function of the two assets' Sharpe ratios and the coefficient of variation of a unique...

Persistent link: https://www.econbiz.de/10005352258

Equity shares and the financial markets

Runyon, Herbert - In: Economic Review (1976) Sum, pp. 25-33

Persistent link: https://www.econbiz.de/10005352362

Economic factors, monetary policy and expected returns on stocks and bonds

Booth, James R.; Booth, Lena Chua - In: Economic Review (1997), pp. 32-42

This paper examines the impact of the stance of monetary policy on security returns. The two measures of the stance of monetary policy used, the federal funds rate and an index based on the changes in the discount rate, contain significant information that can be used to forecast expected stock...

Persistent link: https://www.econbiz.de/10005352440

Stock prices, inflation and real activity: a test of the Fama hypothesis, 1920-84

Kool, Clemens J.M.; Hafer, R.W. - Federal Reserve Bank of St. Louis - 1988

Also called: Inflation and stock prices: a long term view

Persistent link: https://www.econbiz.de/10005352770

Do fundamentals, bubbles or neither determine stock prices? Some international evidence

Gerald P. Dwyer, Jr.; Hafer, R.W. - Federal Reserve Bank of St. Louis - 1989

Persistent link: https://www.econbiz.de/10005352795

Limited stock market participation and asset prices in a dynamic economy

Guo, Hui - Federal Reserve Bank of St. Louis - 2003

We present a consumption-based model that explains the equity premium puzzle through two channels. First, because of borrowing constraints, the shareholder cannot completely diversify his income risk and requires a sizable risk premium on stocks. Second, because of limited stock market...

Persistent link: https://www.econbiz.de/10005352913

On the frequency of large stock returns: putting booms and busts into perspective

Jansen, Dennis; Vries, Casper de - Federal Reserve Bank of St. Louis - 1988

Numerous articles have investigated the distribution of share prices, and find that the yields are leptokurtic. There is still controversy about the amount of leptokurtosis, and hence about the most appropriate distribution to use in modeling returns. This controversy has proven hard to resole,...

Persistent link: https://www.econbiz.de/10005352921

On the cross section of conditionally expected stock returns

Guo, Hui; Savickas, Robert - Federal Reserve Bank of St. Louis - 2003

In this paper, we use macrovariables advocated by recent authors to make out-of-sample forecast for returns on individual stocks and then sort stocks equally into ten portfolios on this proxy of conditionally expected returns. The average returns increase monotonically from the first decile...

Persistent link: https://www.econbiz.de/10005353010

Risk-adjusted, ex ante, optimal technical trading rules in equity markets

Neely, Christopher J. - Federal Reserve Bank of St. Louis - 2001

Allen and Karjalainen (1999) used genetic programming to develop optimal ex ante trading rules for the S&P 500 index. They found no evidence that the returns to these rules were higher than buy-and-hold returns but some evidence that the rules had predictive ability. This comment investigates...

Persistent link: https://www.econbiz.de/10005353017