Search Results - subject:"STOCK PRICES"

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Market efficiency and international linkage of stock prices: An analysis with high-frequency data

Tsutsui, Yoshiro; Hirayama, Kenjiro - 2004

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

Persistent link: https://www.econbiz.de/10010332406

Inference, arbitrage, and asset price volatility

Adrian, Tobias - Federal Reserve Bank of New York - 2004

This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the …

Persistent link: https://www.econbiz.de/10005420543

Do stock price bubbles influence corporate investment?

Gilchrist, Simon; Himmelberg, Charles P.; Huberman, Gur - Federal Reserve Bank of New York - 2004

Building on recent developments in behavioral asset pricing, we develop a model in which an increase in the dispersion of investor beliefs under short-selling constraints predicts a "bubble," or a rise in a stock's price above its fundamental value. Our model predicts that managers respond to...

Persistent link: https://www.econbiz.de/10005420648

Forecasting Cross-Section Stock Returns using Theoretical Prices Estimated from an Econometric Model

Buckley, George; Holt, Richard - School of Economics, University of Edinburgh - 2004

We contribute to the debate over whether forecastable stock returns reflect an unexploited profit opportunity or rationally reflect risk differentials. We test whether agents could earn excess returns by selecting stocks which have a low market price compared to an estimate of the fundamental...

Persistent link: https://www.econbiz.de/10005369077

The Power Law and Dividend Yields

Lüders, Erik; Lüders-Amann, Inge; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2004

Recent research suggests that the power law is one of the most universal laws in nature and it also seems to work quite fine in economics and finance. In this paper we show that the power law explains extremely well the relationship between the value of broad-based market indices and their...

Persistent link: https://www.econbiz.de/10005098187

Household Reaction to Changes in Housing Wealth

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2004

It is widely claimed that housing wealth, as well as stock prices, have an impact on consumption and hence on aggregate …

Persistent link: https://www.econbiz.de/10005087372

Singapore; 2003 Article IV Consultation-Staff Report; Staff Supplement; and Public Information Notice on the Executive Board Discussion

International Monetary Fund (IMF); International … - 2004

The economic downturns and an ongoing industrial restructuring toward capital-intensive sectors, such as chemical and pharmaceuticals, have contributed to rising unemployment. With the economic recovery continuing to gain momentum, the near-term outlook has improved. With broad agreement on the...

Persistent link: https://www.econbiz.de/10005768513

The Effect on Stock Prices of the Swedish Wealth Tax

Jennergren, L. Peter - Economics Institute for Research (SIR), … - 2004

data relating to some 25 stocks that lost their wealth tax exemption in 1997, to see what that loss meant to stock prices …The effect on stock prices of the Swedish wealth tax L. Peter Jennergren ∗ November 12, 2004 SSE/EFI Working Paper … what that loss meant to stock prices. In the second place, it uses data from 2000 - 2003 to try to detect value diﬀerences …

Persistent link: https://www.econbiz.de/10005802513

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A.; Kim, Yoon Sook - International Monetary Fund (IMF) - 2004

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries,...

Persistent link: https://www.econbiz.de/10005605007

Toward a Framework for Safeguarding Financial Stability

International Monetary Fund (IMF); International … - 2004

This paper examines the emergence of financial stability as a key policy objective. It discusses the underlying trends in the financial system, as well as the role of finance in relation to money, the real economy, and public policy. Financial stability is defined in terms of its ability to help...

Persistent link: https://www.econbiz.de/10005825656