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Leaving Home and Living Alone: An Historical Perspective

Wall, Richard - C.E.P.R. Discussion Papers - 1987

continuities in household composition. In particular, households in the pre-industrial era were no more likely than present … resulted in a household composition which resembles that produced by early widowhood in the seventeenth century. Nor has the … to illustrate household types. The paper concludes by suggesting that a standard set of tables should be agreed upon and …

Persistent link: https://www.econbiz.de/10005497727

Myopia, the 'Dividend Puzzle', and Share Prices

Nickell, Stephen; Wadhwani, Sushil B - C.E.P.R. Discussion Papers - 1987

The view that the stock market is myopic is commonly expressed in the financial press. However, the existing econometric evidence does not support this view. In this paper, we report econometric evidence suggesting that the market attaches too high a weight to current dividends relative to...

Persistent link: https://www.econbiz.de/10005497792

Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency

Thomas, Stephen H; Wickens, Michael R. - C.E.P.R. Discussion Papers - 1989

It is widely thought that neither the foreign exchange markets nor equity markets are efficient, in the sense that tests of the unbiasedness hypothesis and of the present value relationship, respectively, typically lead to rejection. Interest has therefore turned to whether a risk premium...

Persistent link: https://www.econbiz.de/10005497800

The Stock Market Crash Really Did Cause the Great Recession

Farmer, Roger E A - C.E.P.R. Discussion Papers - 2013

This note shows that a big stock market crash, in the absence of central bank intervention, will be followed by a major recession one to four quarters later. I establish this fact by studying the forecasting ability of three models of the unemployment rate. I show that the connection between...

Persistent link: https://www.econbiz.de/10011083701

The Wealth-Consumption Ratio

Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012

We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...

Persistent link: https://www.econbiz.de/10011083953

Local Bias and Stock Market Conditions

Giannetti, Mariassunta; Laeven, Luc - C.E.P.R. Discussion Papers - 2012

We show that the local bias in U.S. mutual fund portfolios varies significantly over time and is more pronounced at times of heightened market uncertainty, such as during financial crises. Similarly, the local bias is less pronounced in periods when market sentiment is strong. These results do...

Persistent link: https://www.econbiz.de/10011084583

Measuring Co-Movements Between US and European Stock Markets

Bonfiglioli, Alessandra; Favero, Carlo A. - C.E.P.R. Discussion Papers - 2000

-term fluctuations of the US share prices spill over to European share prices and is such co-movement stable in the event of high …

Persistent link: https://www.econbiz.de/10005067572

Market Size, the Informational Content of Stock Prices and Risk: A Multiasset Model and some Evidence

Pagano, Marco - C.E.P.R. Discussion Papers - 1986

Market thinness can be an important determinant of the riskiness of stock returns, because it reduces the reliability of stock prices as predictors of future dividends. This paper analyses the relationship between market size and risk as the outcome of rational expectations equilibrium in a...

Persistent link: https://www.econbiz.de/10005661719

Endogenous Market Thinness and Stock Price Volatility

Pagano, Marco - C.E.P.R. Discussion Papers - 1986

Thin equity markets cannot accommodate temporary bulges of buy or sell orders without large price movements: the resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus thinness and the consequent price volatility may become...

Persistent link: https://www.econbiz.de/10005662005

Imperfect Labour Markets, the Stock Market and the Inefficiency of Capitalism

Manning, Alan - C.E.P.R. Discussion Papers - 1989

In a capitalist economy capitalists can sell their stake in a firm on the stock market whereas workers cannot sell their jobs. It is argued that when workers have some bargaining power this asymmetry in property rights leads to inefficiencies. The consequences of this are explored and certain...

Persistent link: https://www.econbiz.de/10005662149