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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
How did the 2003 dividend tax cut affect stock prices and corporate payout policy?
Liang, J. Nellie; Harrison, Paul; Amromin, Gene; Sharpe, Steven A. (2005)
We examine the effects of the 2003 dividend tax cut on U.S. stock prices and corporate payout policies. First, using an event-study methodology, we compare the performance of U.S. stocks to that of other securities that should not have benefited from the tax change. We find that U.S. large-cap and small-cap indexes do not outperform their European counterparts, nor REIT stocks, over the event windows, suggesting little if any aggregate stock market effect from the tax change. In cross-sectional analysis, high-dividend stocks outperformed low-dividend stocks by a few percentage points over the ...
Finance and Economics Discussion Series , Paper 2005-57

Working Paper
Using stock returns to identify government spending shocks
Fisher, Jonas D. M.; Peters, Ryan (2009)
This paper explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors. This strategy is used to estimate the dynamic responses of output, hours, consumption and real wages to a government spending shock. We find that positive government spending shocks are associated with increases in output, hours, and consumption. Real wages initially decline after a government spending ...
Working Paper Series , Paper WP-09-03

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

Newsletter
What is Driving the Return Spread Between “Safe” and “Risky” Assets?
Gourio, Francois; Farhi, Emmanuel (2019)
Real interest rates on U.S. government bonds have declined persistently since the 1980s. U.S. government bonds are backed by the full faith and credit of the federal government and, hence, are considered one of the safest assets because the risk of default is extremely low. More broadly, interest rates on other safe assets, such as highly rated corporations, have also declined.
Chicago Fed Letter

Journal Article
The Value of Loyal Customers
Rudanko, Leena (2017-04)
Is there a rational reason that stock prices in some industries greatly exceed book values? The answer may lie in the idea that customers are capital.
Economic Insights , Volume 2 , Issue 2 , Pages 11-17

Journal Article
Preserving Chicagoland's Small Multifamily Housing Stock
Markowski, John G. (Jack) (2015)
On May 22, 2014, more than 75 lenders, regulators and housing stakeholders gathered at the Federal Reserve Bank of Chicago to discuss lending to small rental properties (5 to 49 units). Co-hosted by the Federal Deposit Insurance Corporation (FDIC), the Office of the Comptroller of the Currency (OCC), the Institute for Housing Studies at DePaul University (IHS), Community Investment Corporation (CIC) and The Preservation Compact, the discussion focused on causes and potential solutions for the dearth of lending to small rental buildings in Chicagoland?s low? and moderate?income communities.
Profitwise , Issue 1 , Pages 1-4

Journal Article
What long-run returns can investors expect from the stock market?
Bishop, David G.; Golob, John E. (1997-07)
This article analyzes how macroeconomic fundamentals and high price-earnings ratios on stocks will affect long-run returns. The first section reviews the stock market's recent performance and describes how investors and analysts have reacted to this performance. The second section shows how macroeconomic trends imply that long-run returns will remain close to their 10 percent historical average. The third section analyzes the long-run relationship between price-earnings ratios and returns. The section shows that high price-earnings ratios are consistent with lower long-run returns, and argues ...
Economic Review , Volume 82 , Issue Q III , Pages 5-20

Working Paper
Inter-industry contagion and the competitive effects of financial distress announcements: evidence from commercial banks and life insurance companies
Jackson, William E.; Brewer, Elijah (2002)
Contagion usually refers to the spillover of the effects of shocks from one or more firms to other firms. Most studies of contagion limit their analysis to how shock affect firms in the same industry, or "intra-industry" contagion. The purpose of this paper is to explore and document the likely magnitude of "inter-industry" contagion. In their comprehensive study of intra-industry contagion using many individual industries Lang and Stulz (1992) argue that if contagion is not simply an informational effect it will impose a social cost on our economic system. If this is true for ...
Working Paper Series , Paper WP-02-23

Journal Article
Will the shift to stocks and bonds by households be destabilizing?
Morgan, Donald P. (1994-04)
In the last decade, households have tended to shift out of bank deposits and money market funds and into stocks and bonds. Some analysts and journalists worry that the shift could be destabilizing to the economy and financial markets. Consumption spending, it is argued, might fluctuate more because households have invested in riskier stocks and bonds. Financial markets also could be more volatile because households might behave as short-sighted novices who will sell assets in panic at the first dip in the market. In addition, the pension and mutual funds through which households invest tend ...
Economic Review , Volume 79 , Issue Q II , Pages 31-44

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