This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible...

According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore, demand for financial advise should be high in a bull market and low in a bear market. Thus, we test the hypothesis whether the demand for business magazines is somehow related...

While the positive return differential of the United States has attracted a lot of attention in the literature, the factors underlying the dynamics of the investment income balance have so far not been systematically investigated. Here, we propose a novel decomposition framework that accounts...

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

Using a unique survey dataset, the author studies how financial market experts form their stock market expectations. He documents a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the...

Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...