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~institution:"Columbia University / Department of Economics"
~institution:"National Bureau of Economic Research"
~person:"Stein, Jeremy C."
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph
-
2000
-sectional regression specifications which attempt to
forecast
skewness in the daily returns of individual stocks. Negative skewness is most …-price bubbles. Analogous results also obtain when we attempt to
forecast
the skewness of the aggregate stock market, though our …
Persistent link: https://www.econbiz.de/10012471074
Saved in:
2
A Unified
Theory
of Underreaction, Momentum Trading and Overreaction in Asset Markets
Hong, Harrison
-
1997
We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...
Persistent link: https://www.econbiz.de/10012472491
Saved in:
3
Simple Forecasts and Paradigm Shifts
Hong, Harrison
-
2003
done better over the same period. This
theory
makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the
theory
yields …
Persistent link: https://www.econbiz.de/10012468685
Saved in:
4
Gradualism in Monetary Policy : A Time-Consistency Problem?
Stein, Jeremy C.
-
2015
We develop a model of monetary policy with two key features: (i) the central bank has private information about its long-run target for the policy rate; and (ii) the central bank is averse to bond-market volatility. In this setting, discretionary monetary policy is gradualist, or inertial, in the...
Persistent link: https://www.econbiz.de/10012457100
Saved in:
5
Breadth of Ownership and Stock Returns
Chen, Joseph
-
2001
breadth should
forecast
lower (higher) returns. Using quarterly data on mutual fund holdings over the period 1979-1998, we …
Persistent link: https://www.econbiz.de/10012470575
Saved in:
6
Investor Sentiment and Corporate Finance : Micro and Macro
Lamont, Owen A.
-
2005
We document that net equity issuance is considerably more sensitive to aggregate stock returns and Q's than to firm-level stock returns and Q's. Very similar patterns also emerge when we look at merger activity. In light of earlier work (Campbell 1991, Vuolteenaho 2002) which finds that...
Persistent link: https://www.econbiz.de/10012466789
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7
The Only Game in Town : Stock-Price Consequences of Local Bias
Hong, Harrison
-
2005
Theory
suggests that, in the presence of local bias, the price of a stock should be decreasing in the ratio of the …
Persistent link: https://www.econbiz.de/10012467191
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8
When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms
Baker, Malcolm
-
2002
We use a simple model of corporate investment to determine when investment will be sensitive to non-fundamental movements in stock prices. The key cross-sectional prediction of the model is that stock prices will have a stronger impact on the investment of firms that are 'equity dependent' -...
Persistent link: https://www.econbiz.de/10012469965
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9
Social Interaction and Stock-Market Participation
Hong, Harrison
-
2001
admits the possibility of multiple social equilibria. We then test the
theory
using data from the Health and Retirement Study …
Persistent link: https://www.econbiz.de/10012470362
Saved in:
10
Agency, Information and Corporate Investment
Stein, Jeremy C.
-
2001
work for broader issues in both macroeconomics and the
theory
of the firm …
Persistent link: https://www.econbiz.de/10012470382
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