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This article analyzes the immediate reaction of a representative sample of commodity prices and two T-bill yields to the unanticipated components of thirteen macroeconomic announcements. Surprises in the monetary variables cause the majority of the significant commodity price responses; while...
Persistent link: https://www.econbiz.de/10013155905
Until the advent of exchange-traded funds (ETFs), closed-end funds (CEFs) were the only professionally managed portfolios suitable for non-accredited investors that could be traded like individual stocks. We hypothesize that the introduction of an ETF in an asset class similar to an existing CEF...
Persistent link: https://www.econbiz.de/10013156517
Until the advent of exchange-traded funds (ETFs), closed-end funds (CEFs) were the only professionally managed portfolios suitable for non-accredited investors that could be traded like individual stocks. We hypothesize that the introduction of an ETF in an asset class similar to an existing CEF...
Persistent link: https://www.econbiz.de/10013156531
We examine the predictive ability of earnings-price ratios or yields for the Samp;P 500 index. We decompose the aggregate earnings-price ratio into its positive and negative components (quot;winnersquot; vs quot;losersquot;) and find that the negative component has the most predictive ability....
Persistent link: https://www.econbiz.de/10012766381
In this paper a familiar, but unsettling result in the foreign exchange literature is reexamined: that the forward rate is not an unbiased predictor of the future spot rate. The paper outlines why some frequently used tests of unbiasedness are noninformative in the sense that they are incapable...
Persistent link: https://www.econbiz.de/10012767978
Simultaneous-equations techniques are being used more often in corporate governance research. However, when no formal theoretical model is present, misspecification in one or more of the first or second stage regression is likely, causing empirical results to be seriously biased. This paper...
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