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An Important Predictor of Market Bubbles, Crashes and Corrections

Saint-Pierre, Jacques - 2017

We propose a predictor of market bubbles, crashes and corrections that is based on the relationship between the following two ratios: (Market value of the firm compared to its intrinsic value, MV/IV) and the (return on capital of the firm versus its cost of capital, R/C*). We apply the model to...

Persistent link: https://www.econbiz.de/10012954789

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

Persistent link: https://www.econbiz.de/10010478516

Entropy, the Information Processing Cycle, and the Forecasting of Bull and Bear Market Peaks and Troughs

Parker, Edgar - 2018

limitations and errors. On the other hand, traditional financial theory has ignored limits that physics would impose on human …

Persistent link: https://www.econbiz.de/10012932832

Inflation uncertainty and disagreement in bond risk premia

D'Amico, Stefania; Orphanides, Athanasios - 2014

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

Persistent link: https://www.econbiz.de/10010441139

Would a Stricter Fed Policy and Financial Regulation Have Averted the Financial Crisis?

Gokhale, Jagadeesh - 2009

Many commentators have argued that if the Federal Reserve had followed a stricter monetary policy earlier this decade when the housing bubble was forming, and if Congress had not deregulated banking but had imposed tighter financial standards, the housing boom and bust - and the subsequent...

Persistent link: https://www.econbiz.de/10013155688

Cross-Sectional PEG Ratios, Market Equity Premium, and Macroeconomic Activity

Jiang, Xiaoquan - 2012

This paper exploits information contained in cross-sectional PEG ratios to extract estimates of the market's expectations for aggregate returns and economic fundamentals. By combining the loglinear present-valuation model and the Capital Asset Pricing Model (CAPM) logic, we establish a theoretic...

Persistent link: https://www.econbiz.de/10013101421

What Explains the Variance of Prices and Returns? : Time-series Vs. Cross-section

Chaves, Denis B. - 2009

This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected...

Persistent link: https://www.econbiz.de/10013154202

A Collection on the Versatility and Predictive Power of Survey Expectations Data

Guzman, Giselle - 2014

This collection of papers analyzes the versatility and predictive power of survey expectations data in asset pricing and macroeconomic forecasting. The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment...

Persistent link: https://www.econbiz.de/10013055949

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …

Persistent link: https://www.econbiz.de/10011709342

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to "good news," but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

Persistent link: https://www.econbiz.de/10009787494

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