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Journal Article
How now, Dow Jones?
Working Paper
Information sharing and stock market participation: evidence from extended families
Using the Panel Study of Income Dynamics, we document that, controlling for observable characteristics, household investors' likelihood of entering the stock market within the next five years is about 30 percent higher if their parents or children had entered the stock market during the previous five years. Because even family members who live far away from each other tend to communicate frequently, despite the fact that interactions among people living close geographically have declined with the rise of alternative social channels, we argue that these findings highlight the significance of ...
Working Paper
Market timing with aggregate and idiosyncratic stock volatilities
Guo and Savickas [2005] show that aggregate stock market volatility and average idiosyncratic stock volatility jointly forecast stock returns. In this paper, we quantify the economic significance of their results from the perspective of a portfolio manager. That is, we evaluate the performance, e.g., the Sharpe ratio and Jensen's alpha, of a mean-variance manager who tries to time the market based on those two variables. We find that, over the period 1968-2004, the associated market-timing strategy outperforms the buy-and-hold strategy, and the difference is statistically and economically ...
Journal Article
The evolution of the Philadelphia Stock Exchange
In "The Evolution of the Philadelphia Stock Exchange," one of our visiting scholars, Swarthmore College professor John Caskey, explains some of the factors that account for the PHLX's long life. Although Caskey focuses on the evolution of the PHLX, he also profiles some of the seismic shifts in U.S. securities markets in recent decades and illuminates the role of the largely overlooked regional stock exchanges.
Working Paper
The evolution of the Philadelphia Stock Exchange: 1964-2002
This paper analyzes the evolution of the Philadelphia Stock Exchange (PHLX), America's oldest stock exchange, from 1964 through 2002. The paper seeks to explain how the PHLX managed to attract a sufficient volume of trading orders to support its members and cover its operating costs during this period, and how it adapted to survive in an era with profound changes in the structure of securities markets.
Journal Article
Practical monetarism and the stock market
Journal Article
The baby boom, the housing market and the stock market
Working Paper
Monetary policy and stock market booms and busts in the 20th century
This paper examines the association between monetary policy and stock market booms and busts in the United States, United Kingdom, and Germany during the 20th century. Booms tended to arise when output growth was rapid and inflation was low, and end within a few months of an increase in inflation and monetary policy tightening. Latent variable VAR analysis of post-war data finds that inflation has had a particularly strong impact on market conditions, with disinflation shocks moving the market toward a boom and positive inflation shocks moving the market toward a bust. We conclude that ...
Working Paper
Money demand and equity markets
Money demand in part reflects a portfolio decision. As equities have become a significant store of household wealth, it seems plausible that variations in equity markets could affect money demand. We re-specify a standard money demand equation to include stock market volatility and revisions to analyst earnings projections. We find that these equity market variables are statistically significant and reduce the errors from money demand models.