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Business conditions, monetary policy, and expected security returns

Jensen, Gerald R.; Mercer, Jeffrey M.; Johnson, Robert R. - In: Journal of financial economics 40 (1996) 2, pp. 213-238

Persistent link: https://www.econbiz.de/10006529392

FIXED INCOME - DO TRADERS BENEFIT FROM RIDING THE T-BILL YIELD CURVE?

Mercer, Jeffrey M.; Moore, Mark E.; Winters, Drew B. - In: The journal of portfolio management : a publication of … 36 (2009) 1, pp. 131-140

Persistent link: https://www.econbiz.de/10008332078

An Alternative Specification for Intraday Simultaneity in Spot and Futures Markets

Mercer, Jeffrey M. - In: The quarterly review of economics and finance : journal … 37 (1997) 3, pp. 667-682

Persistent link: https://www.econbiz.de/10007699242

Security markets and the information content of monetary policy turning points

Jensen, Gerald R.; Mercer, Jeffrey M. - In: The quarterly review of economics and finance : journal … 46 (2006) 4, pp. 477-494

Persistent link: https://www.econbiz.de/10007619028

Price Discovery in the Treasury‐Bill When‐Issued Market

Mercer, Jeffrey M.; Moore, Mark E.; Whitby, Ryan J.; … - In: The financial review : the official publication of the … 48 (2013) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010067704

REIT Momentum and Characteristic-Related REIT Returns

Goebel, Paul R.; Harrison, David M.; Mercer, Jeffrey M.; … - In: The journal of real estate finance and economics 47 (2013) 3, pp. 564-581

Persistent link: https://www.econbiz.de/10010181169

New Evidence on Size and Price-to-Book Effects in Stock Returns

Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M. - In: Financial analysts' journal : FAJ 53 (1997) 6, pp. 34-42

Persistent link: https://www.econbiz.de/10006310456

ECONOMICS - Is Fed Policy Still Relevant for Investors?

Conover, C.Mitchell; Jensen, Gerald R.; Johnson, Robert R. - In: Financial analysts' journal : FAJ 61 (2005) 1, pp. 70-79

Persistent link: https://www.econbiz.de/10006240032

MONETARY POLICY INDICATORS AS PREDICTORS OF STOCK RETURNS

Becher, David A.; Jensen, Gerald R.; Mercer, Jeffrey M. - In: Journal of Financial Research 31 (2008) 4, pp. 357-379

We explore the linkage between stock return predictability and the monetary sector by examining alternative proxies for monetary policy. Using two complementary methods, we document that failure to condition on the Fed's broad policy stance causes a substantial understatement in the ability of...

Persistent link: https://www.econbiz.de/10005161623

New Evidence on Optimal Asset Allocation

Jensen, Gerald R.; Mercer, Jeffrey M. - In: The Financial Review 38 (2003) 3, pp. 435-454

Brocato and Steed (1998) showed that portfolio rebalancing based on NBER business cycle turning points substantially improves in-sample Markowitz efficiency. In a similar vein, we investigate potential improvements from rebalancing based on turning points in the monetary cycle. We find that the...

Persistent link: https://www.econbiz.de/10005164741