Earnings press releases are the primary mechanism by which managers announce quarterly earnings and make other concurrent disclosures to investors and other stakeholders. A largely unexplored element of earnings press releases is the language that managers use throughout the press release, which...

A large literature studies the information contained in national-level economic indicators, such as financial and aggregate economic activity variables, for forecasting U.S. business cycle phases (expansions and recessions.) In this paper, we investigate whether there is additional information...

This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income, allowing for nonstationary, nonlinearities, asymmetries, and time-varying relationships among the series. We propose a multivariate regime switching unobserved components model...

We compare forecasts of recessions using four different specifications of the probit model: a time invariant conditionally independent version; a business cycle specific conditionally independent model; a time invariant probit with autocorrelated errors; and a business cycle specific probit with...

This paper proposes a flexible framework for analyzing the joint time series properties of the level and volatility of expected excess stock returns. An unobservable dynamic factor is constructed as a nonlinear proxy for the market risk premia with its first moment and conditional volatility...

This paper proposes a flexible framework for analyzing the joint time series properties of the level and volatility of expected excess stock returns. An unobservable dynamic factor is constructed as a nonlinear proxy for the market risk premia with its first moment and conditional volatility...

In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a nonlinear coincident financial indicator. The indicator is constructed as an unobservable factor whose first moment and conditional volatility are driven by a two state Markov...

This paper explores the dynamic relationship between stock market fluctuations and the business cycle. Presumably, stock market movements reflect positions taken by market participants based on their assessment about the current state of the economy. Given the forward-looking behavior of stock...

This paper examines the dynamic relationship between stock market movements and business cycles at the monthly frequency. Given the forward-looking behavior of stock market investors, it explores the possibility of using fluctuations in the stock market to forecast business cycle turning points...