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Journal Article
Volatile firms, stable economy
Guo, Hui (2004-03)
National Economic Trends , Issue Mar

Journal Article
Stock margins and the condition probability of price reversals
Moser, James T.; Kofman, Paul (2001-07)
Does the cost of trading affect stock prices? Yes, according to the evidence in this article. The authors find that high costs seem to reduce the frequency of price reversals.
Economic Perspectives , Volume 25 , Issue Q III , Pages 2-12

Working Paper
Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?
Amromin, Gene; Sharpe, Steven A. (2008)
Data obtained from special questions on the Michigan Survey of Consumer Attitudes over several years are used to analyze stock market beliefs and portfolio choices of household investors. Consistent with other survey results, expected future returns appear to be extrapolated from past realized returns. The data also indicate that expected risk and return are strongly influenced by economic prospects. When investors believe macroeconomic conditions are more expansionary, they tend to expect both higher returns and lower volatility, which implies that household Sharpe ratios are procyclical. ...
Finance and Economics Discussion Series , Paper 2008-17

Working Paper
Why Has U.S. Stock Ownership Doubled Since the Early 1980s? Equity Participation Over the Past Half Century
Duca, John V.; Walker, Mark (2022-11-18)
The U.S. stock ownership rate doubled between 1983 and 2001 but remains below predictions of some equity participation models. Consistent with calibration studies by Heaton and Lucas (2000) and Gomes and Michaelides (2005), mutual fund costs and indicators of background labor risk are significantly related to stock ownership over 1964-2019. Coefficient estimates and continuous data on driving variables can be used to create a continuous proxy for stock ownership, which could help researchers gauge the effects of shocks that are transmitted via equity participation. Typically omitted asset ...
Working Papers , Paper 2222

Journal Article
The effect of employee stock options on the evolution of compensation in the 1990s
Tracy, Joseph; Mehran, Hamid (2001-12)
Between 1995 and 1998, actual growth in compensation per hour (CPH) accelerated from approximately 2 percent to 5 percent. Yet as the labor market continued to tighten in 1999, CPH growth unexpectedly slowed. This article explores whether this aggregate "wage puzzle" can be explained by changes in the pay structure?specifically, by the increased use of employee stock options in the 1990s. The CPH measure captures these options on their exercise date, rather than on the date they are granted. By recalculating compensation per hour to reflect the options' value on the grant date, the ...
Economic Policy Review , Issue Dec , Pages 17-34

Working Paper
Earnings forecasts and the predictability of stock returns: evidence from trading the S&P
Douvogiannis, Martha; Orphanides, Athanasios; Lander, Joel (1997)
We develop a simple error-correction model, based on a well-known theory, espoused by Benjamin Graham and David Dodd and others, which presumes stock returns tend to restore an equilibrium relationship between the forecasted earnings yield on common stocks and the yield on bonds. The estimation uses I/B/E/S analysts forecasts of S&P earnings. To evaluate the model, we use rolling regressions to obtain out-of-sample forecasts of excess returns. Tests of association show the implicit timing signals to be statistically significant. Further, a strategy of investing in cash, when the excess return ...
Finance and Economics Discussion Series , Paper 1997-6

Working Paper
Is value premium a proxy for time-varying investment opportunities: some time series evidence
Yang, Jian; Savickas, Robert; Wang, Zijun; Guo, Hui (2006)
We uncover a positive, empirical risk-return tradeoff in the stock market after controlling for the covariance of stock market returns with the value premium. The underlying premise is that, as conjectured by Fama and French (1996), the value premium is a proxy for time-varying investment opportunities. By ignoring the value premium, early specifications suffer from an omitted variable problem that leads to a downward bias in the estimate of the risk-return tradeoff. The paper also documents a new finding on a significantly positive relation between the value premium and its conditional ...
Working Papers , Paper 2005-026

Working Paper
The role of warrants in corporate reorganizations
Longhofer, Stanley D. (1995)
An argument that informational asymmetries explain why the original shareholders of some firms emerge from Chapter 11 bankruptcy proceedings with stock in the reorganized company, while others receive warrants. By proposing a reorganization plan in which they receive warrants, the original stockholders of a firm with good future prospects can signal their superior information to the creditors in a way that firms with poor prospects will not wish to mimic.
Working Papers (Old Series) , Paper 9512

Journal Article
Dow-Jones futures
Dew, Kurt (1978)
FRBSF Economic Letter

Working Paper
The Stock of External Sovereign Debt: Can We Take the Data at ‘Face Value’?
Dias, Daniel A.; Richmond, Christine; Wright, Mark L. J. (2014-05-09)
The stock of sovereign debt is typically measured at face value. Defined as the undiscounted sum of future principal repayments, face values are misleading when debts are issued with different contractual forms or maturities. In this paper, we construct alternative measures of the stock of external sovereign debt for 100 developing countries from 1979 through 2006 that correct for differences in contractual form and maturity. We show that our alternative measures: (1) paint a very different quantitative, and in some cases also qualitative, picture of the stock of developing country external ...
Working Paper Series , Paper WP-2014-5

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