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On risk, rational expectations, and efficient asset markets

Stevens, Guy V.G.; Akbarian, Dara - Federal Reserve Board (Board of Governors of the … - 1994

portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …

Persistent link: https://www.econbiz.de/10005368265

Bank equity values, bank risk, and the implied market values of banks' assets and liabilities

Kuester, Kathleen A.; O'Brien, James M. - Federal Reserve Board (Board of Governors of the … - 1989

Persistent link: https://www.econbiz.de/10005514181

Cash flows and discount rates, industry and country effects, and co-movement in stock returns

Ammer, John; Wongswan, Jon - Federal Reserve Board (Board of Governors of the … - 2004

discount rates arising from perceptions of common elements of risk, rather than national market segmentation. …

Persistent link: https://www.econbiz.de/10005368137

Stock markets, growth, and policy

Levine, Ross - Federal Reserve Board (Board of Governors of the … - 1990

In a model that emphasizes technological progress and human capital creator as essential features of economic development, this paper establishes a theoretical link between the financial system and per capita output growth. More specifically, it demonstrates that stock markets--by facilitating...

Persistent link: https://www.econbiz.de/10005368147

The stock market and exchange rate dynamics

Gavin, Michael K. - Federal Reserve Board (Board of Governors of the … - 1986

This paper articulates a model of the small, open economy in which the stock market, rather than the bond market, determines domestic aggregate demand. It resembles in many respects the widely adopted dynamic Mundell-Fleming approach, but can, in some circumstances, exhibit output and asset...

Persistent link: https://www.econbiz.de/10005368168

Real-time price discovery in global stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Federal Reserve Board (Board of Governors of the … - 2006

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics...

Persistent link: https://www.econbiz.de/10005368290

Inflation, inflation risk, and stock returns

Ammer, John - Federal Reserve Board (Board of Governors of the … - 1994

the return earned by investors in the firm--relative to the "risk premium story" that has been credited to Tobin (1958 …). However, for the United States and the United Kingdom, estimates of the arbitrage pricing theory (APT) model with a … conditionally heteroscedastic inflation risk factor suggest that inflation may have increased the average real cost of equity …

Persistent link: https://www.econbiz.de/10005368374

Strategic returns to international diversification: an application to the equity markets of Europe, Japan, and North America

Ammer, John; Mei, Jianping - Federal Reserve Board (Board of Governors of the … - 1995

We undertake a decomposition of the risk factor loadings of fifteen national stock market returns from 1972 to 1990 … with other risk factors. Also, the international heterogeneity we find in factor loadings suggests that a global portfolio …

Persistent link: https://www.econbiz.de/10005368494

Stock market wealth and consumer spending

Starr-McCluer, Martha - Federal Reserve Board (Board of Governors of the … - 1998

This paper investigates the effects of stock market wealth on consumer spending. Traditional macroeconometric models estimate that a dollar's increase in stock market wealth boosts consumer spending by 3-7 cents per year. With the substantial 1990s rise in stock prices, the nature and magnitude...

Persistent link: https://www.econbiz.de/10005513025

Reexamining the relationship between stock returns and stock return volatility

Duffee, Gregory R. - Federal Reserve Board (Board of Governors of the … - 1992

Persistent link: https://www.econbiz.de/10005513082

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