ABSTRACT This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long‐run relationship. Moreover, changes in sentiment towards...

Value investment styles yield higher returns, on average, than investing in growth stocks. The literature is currently divided on the reasons for this finding. Fama and French (1998) suggest that value stocks are inherently more risky and this non-diversifiable risk should be rewarded in...

This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity...

This paper studies actual house prices relative to fundamental house prices. Using UK data and a time-varying present value approach, we find that deviations of house prices from their fundamental value (as warranted by real disposable income) are significant but not dominated by speculative...

Volatility in UK stock markets increased substantially during 1997-2000 relative to the past. This paper shows that much of that volatility can be attributed to a substantial increase in sector specific and sub-sector specific risk. Over this period the role of market risk as the driving force...

Using 54 years of quarterly data and a VAR model underpinned by a theoretical framework describing the relationship between US stock prices and the macroeconomy, this paper analyses the extent to which US stock prices deviate from economy-wide fundamentals. Focusing on real output and using a...

Using long-run data and a VAR approach, the study investigates whether US and UK stock markets have experienced excessively volatile prices and excessively high returns. Present value models, developed in a constant and non-constant risk CAPM framework, are used as benchmarks with which to...

We combine recent developments on extracting jumps from high frequency stock index data with the literature on option pricing with time varying volatility to model S&P 500 index returns from 2005. We compare the fit of several GARCH models, with and without jumps, from the historical return...