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Keywords:Stock market 

Report
Returns on capital assets and variations in economic growth and volatility: a model of Bayesian learning

Research Paper , Paper 9128

Journal Article
Primer on U.S. stock price indices

The measurement of the "average" price of common stocks is a matter of widespread interest. Investors want to know how "the market" is doing, and to be able to compare their returns with a meaningful benchmark. Money managers often have their compensation tied to performance, typically measured by comparing their results to a benchmark portfolio, so they and their clients are interested in the benchmark portfolio's returns. And policymakers want to judge the potential for sudden adjustments in stock prices when differences from "fundamental value emerge. ; This article discusses some ...
New England Economic Review , Issue Nov , Pages 25-40

Working Paper
Pre-announcement effects, news, and volatility: monetary policy and the stock market

I examine pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions. The results suggest that the stock market tends to be relatively quiet--conditional volatility is abnormally low--on days preceding regularly scheduled policy announcements. Although this calming effect is routinely reported in anecdotal press accounts, it is statistically significant only over the past four to five years, a result that I attribute to changes in the Federal Reserve's disclosure practices in early 1994. The paper also looks at how the actual ...
Finance and Economics Discussion Series , Paper 2000-50

Working Paper
The stock market and monetary policy: the role of macroeconomic states

Working Papers , Paper 9516

Working Paper
Stock market dispersion and real economic activity: evidence from quarterly data

Working Paper Series, Macroeconomic Issues , Paper 90-15

Working Paper
An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures

This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative on Tuesday and anomalous; this phenomenon is known as the Japanese-Tuesday effect. One explanation for the Japanese-Tuesday effect is that there exists a cause and effect relationship with Monday returns in New York. Historically, Monday returns in New York are negative, a phenomenon known as the ...
FRB Atlanta Working Paper , Paper 2000-6

Working Paper
Do fundamentals, bubbles or neither determine stock prices? Some international evidence

Working Papers , Paper 1989-003

Journal Article
Margin requirements as a policy tool?

FRBSF Economic Letter

Journal Article
California IPO wealth effects: what's left?

FRBSF Economic Letter

Journal Article
New technology may cause stock volatility

The Regional Economist , Issue Apr

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