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Keywords:Stock - Prices 

Working Paper
Animal spirits, margin requirements, and stock price volatility

Finance and Economics Discussion Series , Paper 91

Working Paper
Rational and near-rational bubbles without drift

This paper derives a general class of intrinsic rational bubble solutions in a standard Lucas-type asset pricing model. I show that the rational bubble component of the price-dividend ratio can evolve as a geometric random walk without drift. The volatility of bubble innovations depends exclusively on fundamentals. Starting from an arbitrarily small positive value, the rational bubble expands and contracts over time in an irregular, wholly endogenous fashion, always returning to the vicinity of the fundamental solution. I also examine a near-rational solution in which the representative agent ...
Working Paper Series , Paper 2007-10

Journal Article
October postmortem

FRBSF Economic Letter

Report
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures

Customer order flow correlates with permanent price changes in equity and non-equity markets. We examine macro news events in the thirty-year Treasury futures market to identify causality from customer flow to risk-free rates. We remove the positive feedback trading effect and establish that, in the fifteen minutes subsequent to the news, intermediaries rely on customer orders to determine a substantial part of the announcement?s effect on risk-free rates?about one-third relative to the instantaneous effect. Intermediaries appear to benefit from privately observing informed customers, since ...
Staff Reports , Paper 307

Discussion Paper
Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market

In Japan, as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income earn a higher return on average. Whereas the stock-index beta can only explain 2 percent of the cross-sectional variation in the average return on stock portfolios, the stock-index beta and the labor-beta together explain 75 percent of the variation. We find that the labor-beta drives out the size effect but not the book-to-market-price effect that is documented in the literature. We explore the extent to which these results are an artifact of seasonal patterns in ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 117

Journal Article
Why no crunch from the crash?

Quarterly Review , Volume 12 , Issue Win , Pages 2-7

Report
Market declines: Is banning short selling the solution?

In response to the sharp decline in prices of financial stocks in the fall of 2008, regulators in a number of countries banned short selling of particular stocks and industries. Evidence suggests that these bans did little to stop the slide in stock prices, but significantly increased costs of liquidity. In August 2011, the U.S. market experienced a large decline when Standard and Poor?s announced a downgrade of U.S. debt. Our cross-sectional tests suggest that the decline in stock prices was not significantly driven or amplified by short selling. Short selling does not appear to be the root ...
Staff Reports , Paper 518

Working Paper
When is inter-transaction time informative?

We investigate the information content of inter-transaction time and find that it varies both across stocks and over time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude of the information content is found to be larger for less liquid, but still fairly actively traded stocks. In general, trades arriving quickly move prices more than trades arriving more slowly. Further, the information content of inter-transaction time is negatively correlated with proxies for the amount of private information in the trading of a particular ...
Working Paper Series , Paper WP-03-04

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

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