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Discussion Paper
A Way With Words: The Economics of the Fed’s Press Conference
Rosa, Carlo; Duarte, Fernando M. (2013-11-25)
When central bankers speak, traders, journalists, and politicians listen with bated breath. The marked asset price reaction to Chairman Bernanke’s June press conference confirms the importance of his comments in the marketplace.
Liberty Street Economics , Paper 20131125

Report
Board structure, antitakeover provisions, and stockholder wealth
Mahoney, Joseph T.; Mahoney, James M.; Sundaramurthy, Chamu (1995)
This paper's regression analyses from a sample of 261 firms that adopted 486 antitakeover provisions (supermajority, classified boards, fair-price, reduction in cumulative voting, anti-greenmail and poison pills) in the 1984-1988 period indicate that the negative market reactions to antitakeover provisions vary depending on firms' board structures. This paper's empirical evidence indicates that while separating the positions of CEO and chairperson of the board reduces the negative effect, increased outsider representation increases negative market reactions.
Research Paper , Paper 9516

Journal Article
The transition to consumption taxation, Part 2: the impact on existing financial assets
Viard, Alan D. (2001-04)
Replacing the income tax with a consumption tax is likely to reduce the total value of the capital stock. Alan D. Viard reviews how this decline is divided between bondholders and stockholders and the effect on household borrowers and lenders. He explains that the results depend on whether monetary policy accommodates the tax through a higher price level. Without accommodation, the decline in the value of capital is largely borne by stockholders and there is little reallocation of wealth between household borrowers and lenders. If the tax is fully accommodated, bondholders bear heavier ...
Economic and Financial Policy Review , Issue Q II , Pages 20-31

Working Paper
The Stambaugh bias in panel predictive regressions
Hjalmarsson, Erik (2007)
This paper analyzes predictive regressions in a panel data setting. The standard fixed effects estimator suffers from a small sample bias, which is the analogue of the Stambaugh bias in time-series predictive regressions. Monte Carlo evidence shows that the bias and resulting size distortions can be severe. A new bias-corrected estimator is proposed, which is shown to work well in finite samples and to lead to approximately normally distributed t-statistics. Overall, the results show that the econometric issues associated with predictive regressions when using time-series data to a large ...
International Finance Discussion Papers , Paper 914

Journal Article
Pooled trust preferred stock -- a new twist on an older product
Jordan, Paul (2000-03)
Emerging Issues , Issue Mar

Working Paper
Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis
Szerszen, Pawel J. (2009)
In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either compound Poisson or Lvy alpha-stable jumps. To be able to estimate the models with latent Lvy alpha-stable jumps, I construct a new Markov chain Monte Carlo algorithm. I estimate all model specifications with S&P500 daily returns. I find that models with Levy alpha-stable jumps perform well in capturing return characteristics if diffusion is a source of ...
Finance and Economics Discussion Series , Paper 2009-40

Working Paper
Density selection and combination under model ambiguity: an application to stock returns
D'Amico, Stefania (2005)
This paper proposes a method for predicting the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler 'distance' (KLD) from a reference nonparametric density estimate. Given that the KLD represents a measure of uncertainty about the true structure, in the second step, its information content is used to rank and combine the estimated models. The paper shows that the KLD between the nonparametric and the parametric density estimates is asymptotically normally distributed. ...
Finance and Economics Discussion Series , Paper 2005-09

Working Paper
Evidence of excess returns on firms that issue or repurchase equity
Nelson, William R. (1999)
Between 1927 and 1992, portfolios of the stock of the 5 percent of firms with the lowest annual growth in shares outstanding (generally a reduction in shares outstanding) posted returns over the subsequent five years that averaged 12 percentage points more per year than the returns to portfolios of the 5 percent of firms with the highest annual growth in shares. The difference in returns is greater in more recent years and was positive for all of the final 33 years of the sample. The difference is apparent for portfolios of firms of all sizes and industries. The market beta of the returns to ...
Finance and Economics Discussion Series , Paper 1999-06

Working Paper
Are stocks a hedge against inflation? International evidence using cointegration analysis
Robinson, Kenneth J.; Ely, David P. (1994)
Financial Industry Studies Working Paper , Paper 94-3

Journal Article
Are stocks overtaking real estate in household portfolios?
Tracy, Joseph; Schneider, Henry; Chan, Sewin (1999-04)
The rapid growth of the stock market since 1990 has encouraged the view that corporate equity holdings are becoming the primary asset for a broad spectrum of American households. A closer look at the evidence, however, reveals that real estate continues to eclipse stocks as a share of most households' portfolios.
Current Issues in Economics and Finance , Volume 5 , Issue Apr

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