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Keywords:Stock - Prices 

Working Paper
The temporal relationship between individual stocks and individual bonds

This paper investigates the comovements of stocks and bonds at the individual firm level. Based on a sample of 702 corporate bonds, individual stock returns and bond yield changes are found to be negatively correlated, suggesting that the comovements of individual stocks and bonds are largely driven by information about the mean value of the firms' assets, rather than the variance of asset returns. Furthermore, lagged stock returns are found to have explanatory power for current bond yield changes, but current stock returns are unrelated to lagged bond yield changes, indicating that stocks ...
Working Papers in Applied Economic Theory , Paper 95-03

Working Paper
Efficiency in index options markets and trading in stock baskets

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. Pricing efficiency within options markets improves, and the evidence supports the hypothesis that a stock basket enhances the connection between markets. However, when transactions costs and short sales constraints are ...
FRB Atlanta Working Paper , Paper 99-5

Working Paper
The stock market and cross country differences in relative prices

This paper studies the impact of stock market development on cross country relative prices (the real exchange rate). A nonlinear relationship is uncovered in the cross section: prices and the stock market increase together in the beginning; then prices fall as the stock market continues to develop. In fact, among rich countries the relationship between prices and the stock market is negative. This result obtains after controlling for per capita income and for endogeneity issues by using legal origins. A small open economy model is presented to explain the connection between stock market ...
Working Papers , Paper 05-6

Discussion Paper
Stock returns and volatility in emerging financial markets

In this paper we study the dynamic behavior of stock returns and volatility in emerging financial markets. In particular, we focus our attention on the following questions: (1) Does stock return volatility in emerging markets change over time? If so, are volatility changes predictable? (2) How frequent are big surprises in emerging stock markets? (3) Is there any relationship between market risk and expected returns? (4) Has liberalization affected return volatility in emerging financial markets? ; Our findings can be summarized as follows. First, there is strong evidence of predictable ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 93

Journal Article
Explaining stock price movements: is there a case for fundamentals?

Some observers have argued that the run-up in the Standard & Poor's 500 stock price index during the 1990s was due to irrational exuberance rather than market fundamentals. This article presents evidence that the case for market fundamentals is stronger than it appears on the surface. Nathan Balke and Mark Wohar show that movements in the price-dividend and price-earnings rations have exhibited substantial persistence, particularly since World War II. Hence, using the long-run historical average value of the price/earnings or price/dividend ratio as the "normal" valuation ratio is ...
Economic and Financial Policy Review , Issue Q III , Pages 22-34

Report
Arbitrage pricing theory

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios. Consequently, applying the model to evaluate managed portfolios is contradictory to the no-arbitrage spirit of the model. An empirical test of the APT entails a procedure to identify features of the underlying factor structure rather than ...
Staff Reports , Paper 216

Working Paper
Stock prices, inflation and real activity: a test of the Fama hypothesis, 1920-84

Also called: Inflation and stock prices: a long term view
Working Papers , Paper 1986-001

Journal Article
International linkages among equities markets and the October 1987 market break

Quarterly Review , Volume 13 , Issue Sum , Pages 34-46

Working Paper
Weekends can be rough: revisiting the weekend effect in stock prices

The performance of stock prices during breaks in trading has received considerable attention in recent years. While some studies focus on performance surrounding periods of unscheduled trading breaks (trading halts in individual stocks, circuit breakers for exchanges), other studies look at performance around periods of scheduled trading breaks (holidays, weekends). This paper fits into the second group. We revisit the "weekend effect" in common stock returns. Our focus is on two characteristics of differential returns over intraweek trading days and over weekends: the mean return, or ...
Working Papers , Paper 98-6

Working Paper
Microeconomic sources of beta risk instability

Finance and Economics Discussion Series , Paper 69

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