Showing 91 - 100 of 371,089
This paper applies a time-varying parameter vector autoregressive approach to estimate the relative effects of housing and stock returns on the growth rate of US consumption over time. We use annual data from 1890 to 2012 and find that at the one- and two-year horizons and over time, generally...
Persistent link: https://www.econbiz.de/10013025463
This paper attempts to estimate and study the role of 'other information', as posited in the residual income valuation model of Ohlson (1995), for tracking and predicting future returns of the S&P 500. 'Other information' is an unobserved variable and defined as a summary of value-relevant...
Persistent link: https://www.econbiz.de/10012830124
Persistent link: https://www.econbiz.de/10011715994
This research starts from the observation that common desmoothing models are likely to generate some extreme returns. Such returns will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction based index were...
Persistent link: https://www.econbiz.de/10012052120
This paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses...
Persistent link: https://www.econbiz.de/10011905243
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...
Persistent link: https://www.econbiz.de/10011883257
to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and … employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and … spanning the period from 1890 to 2013 indicate that the interest rate responds more strongly to asset returns during low-volatility …
Persistent link: https://www.econbiz.de/10012997726
Stock markets worldwide have rewarded patient investors, hence the common advice to ‘buy and hold'. Yet even with a large body of research over a prolonged period, proving this concept remains an onerous exercise for academics. We use Tobin's Q and the dividend yield to build an equilibrium...
Persistent link: https://www.econbiz.de/10012845670
This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …
Persistent link: https://www.econbiz.de/10009635972
This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …
Persistent link: https://www.econbiz.de/10011506571