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Keywords:Stock - Prices 

Journal Article
The recent ascent in stock prices: how exuberant are you?

The Region , Volume 13 , Issue Dec , Pages 8-11, 47

Journal Article
The relationship between the S&P 500 index and S&P 500 index futures prices

Economic Review , Issue May , Pages 2-10

Working Paper
Equilibrium liquidity premia

This paper studies in a general framework the relative prices of perpetuities with identical dividends and different bid-ask spreads. It establishes four sets of conditions under which the liquidity premium is always positive (i.e., an asset with smaller spread always commands a higher price). To show that the liquidity premium is not necessarily positive, the paper presents two examples of general equilibrium in which the liquidity premium is sometimes negative. The paper also establishes four sets of conditions under which the price-spread relation is convex and uses results on asset price ...
International Finance Discussion Papers , Paper 615

Margin requirements, speculative trading and stock price fluctuations: the case of Japan

Research Paper , Paper 9006

Journal Article
Coordinating circuit breakers in stock and futures markets

Economic Review , Volume 75 , Issue Mar , Pages 35-48

Working Paper
Rational bubbles in stock prices?

Working Papers , Paper 87-20

The CAPM is alive and well

In empirical studies of the CAPM, it is commonly assumed that, (a) the return to the value-weighted portfolio of all stocks is a reasonable proxy for the return on the market portfolio of all assets in the economy, and (b) betas of assets remain constant over time. Under these assumptions, Fama and French (1992) find that the relation between average return and beta is flat. We argue that these two auxiliary assumptions are not reasonable. We demonstrate that when these assumptions are relaxed, the empirical support for the CAPM is very strong. When human capital is also included in measuring ...
Staff Report , Paper 165

Journal Article
The IPO underpricing puzzle

FRBSF Economic Letter

Working Paper
Stock prices, expected returns, and inflation

This paper examines the effect of expected inflation on stock prices and expected long-run returns. An ex ante estimates measure of expected long-run returns is derived by incorporating estimates of expected of future corporate cash flows into a variant of the Campbell-Shiller dividend-price ratio model. In this model, the log earnings-price ratio is expressed as a linear function of expected future returns, expected earnings growth rates, and the log of the current dividend-payout ratio. Expectations of earnings growth are inferred from equity analysts' earnings forecasts, while inflation ...
Finance and Economics Discussion Series , Paper 1999-02

Working Paper
The effect of markups on the exchange rate exposure of stock returns

This paper examines how to properly specify and test for factors that affect the exchange-rate exposure of stock returns. We develop a theoretical model, which explicitly identifies three channels of exposure. An industry's exposure increases (1) by greater competitiveness in the market where its final output is sold, (2) the interaction of greater competitiveness in its export market and a larger share of exports in production and, (3) the interaction of less competitiveness in its imported input market and the smaller the share of imports in production. Using a sample of 82 U.S. ...
International Finance Discussion Papers , Paper 661



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Sharpe, Steven A. 10 items

Hardouvelis, Gikas A. 9 items

Guo, Hui 8 items

Kupiec, Paul H. 8 items

Moser, James T. 7 items

Jagannathan, Ravi 6 items

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