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Journal Article
Comovements among national stock markets
Kasa, Kenneth (1995)
This paper uses the methodology of Hansen and Jaganathan (1991) to derive a lower bound on the correlation between any pair of asset returns under the hypothesis of complete markets. The bound is a simple function of the two assets' Sharpe ratios and the coefficient of variation of a unique stochastic discount factor. The paper uses this bound to conduct robust, nonparametric tests of the hypothesis that international equity markets are integrated. ; Using monthly stock return data from the U.S., Japan, and Great Britain for the period 1980 through 1993, I find that conclusions about market ...
Economic Review

Working Paper
Fluctuating confidence and stock-market returns
David, Alexander (1993)
The drift of two different diffusion processes (asset returns) is determined by a state variable which can take on two values. It jumps between the two according to Poisson increments (this is called a 'regime-switch'). For any given position of the state variable the drift of one process is high and the other is low. I find that the posterior probability that the 1st asset has higher average returns, conditional on observing the path (returns) of each process, follows a diffusion process and calculate its infinitesimal parameters. I also derive analytical expressions for its stationary ...
International Finance Discussion Papers , Paper 461

Journal Article
A price history for controlling shares of small banks in the Tenth District
Meeker, Larry G.; Joy, O. Maurice; Dollarhide, Laura M. (1983)
Financial Industry Perspectives

Conference Paper
Monetary policy and stock market booms
Motto, Roberto; Rostagno, Massimo; Ilut, Cosmin; Christiano, Lawrence J. (2010)
Proceedings - Economic Policy Symposium - Jackson Hole

Report
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures
Menkveld, Albert J.; Sarkar, Asani; Van der Wel, Michel (2007)
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

Working Paper
Nonaddictive habit formation and the equity premium puzzle
Shrikhande, Milind M. (1996)
I analyze a model in a simple representative-agent economy with one risky and one riskless asset, populated by habit-forming consumer-investors. These consumer-investors exhibit nonaddictive habit formation in the sense that the current consumption rate of the consumer-investors can fall below the habit-forming past consumption rate. I endogenize the real riskless rate of return in this representative-agent economy and find that the equity premium puzzle is resolved for values of the coefficient of relative risk aversion, the discount rate, and the intensity of nonaddictive habit formation, ...
FRB Atlanta Working Paper , Paper 96-1

Journal Article
Expectations, money, and the stock market
Keran, Michael W. (1971-01)
Review , Volume 53 , Issue Jan , Pages 16-31

Working Paper
On the frequency of large stock returns: putting booms and busts into perspective
De Vries, Casper G.; Jansen, Dennis W. (1988)
Numerous articles have investigated the distribution of share prices, and find that the yields are leptokurtic. There is still controversy about the amount of leptokurtosis, and hence about the most appropriate distribution to use in modeling returns. This controversy has proven hard to resole, as the alternatives are non-nested. We propose to employ extreme value theory focusing exclusively on the larger observations, in order to assess the leptokurtosis within a unified framework. This enables one to generate robust probabilities on large changes, which put the recent stock market swings ...
Working Papers , Paper 1989-006

Discussion Paper
The equity premium and the allocation of income risk
Danthine, Jean-Pierre; Donaldson, John B.; Mehra, Rajnish (1992)
This paper examines the extent to which the equity premium puzzle can be resolved by taking account of the fact that stockholders bear a disproportionate share of output uncertainty. We do this in the context of a non-Walrasian RBC model where risk reallocation is justified by borrowing restrictions. The risk shifting mechanism we propose has the same effect as would arise from a substantial increase in the risk aversion parameter of the representative agent. As with more standard RBC models, it remains that our model is unable to replicate key financial statistics. In particular, the ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 60

Conference Paper
Lessons from the crash of '87: systemic issues
Garcia, Gillian (1988)
Proceedings , Paper 188

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