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What Moves Equity Markets? A Term Structure Decomposition for Stock Returns

Gonçalves, Andrei - 2020

Several papers decompose stock returns into cash flow and discount rate news to study equity market fluctuations. This paper develops and explores an alternative decomposition for stock returns based on the idea that equity volatility must come from variation in the present value of short- and...

Persistent link: https://www.econbiz.de/10012848221

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard - 2016

Persistent link: https://www.econbiz.de/10012991280

Market Volatility and Stock Returns : The Role of Liquidity Providers

Chung, Kee H. - 2018

This study shows that market volatility affects stock returns both directly and indirectly through its impact on liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk premiums but also greater illiquidity premiums that are...

Persistent link: https://www.econbiz.de/10012934316

Modelling Extreme Financial Returns of Global Equity Markets

Cotter, John - 2007

divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …

Persistent link: https://www.econbiz.de/10014049088

Present Value Model between Prices and Dividends with Constant and Time-Varying Expected Returns : Enterprise-Level Brazilian Stock Market Evidence from Non-Stationary Panels

Rivera Rivera, Edward; Martin, Diógenes; Marçal, … - 2022

Finance Theory. The objective of this work is to analyze the validity of the PVM between prices and dividends at the firm …

Persistent link: https://www.econbiz.de/10013405493

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

Debt, equity and the equity price puzzle

Finocchiaro, Daria; Mendicino, Caterina - 2015

We show that in a model with equity and debt financing, the specfication of the borrowing constraint is crucial to generate empirically plausible responses of macro variables and asset prices to financial shocks. The interaction between financial frictions and labor demand, as in Jermann and...

Persistent link: https://www.econbiz.de/10011410405

The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market

Lihn, Stephen H.T. - 2009

This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals … distribution, which is the lognormal cascade equation in our theory. This shows that the fluctuations of the market index are a …

Persistent link: https://www.econbiz.de/10013159227

Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations

R.T. Ferreira, Thiago - 2020

Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...

Persistent link: https://www.econbiz.de/10014115594

Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation

Franke, Reiner; Westerhoff, Frank H. - 2011

The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market...

Persistent link: https://www.econbiz.de/10009424773