I examine the ability of U.S. equity and bond market illiquidity to predict U.S. macroeconomic variables, between 1946 and 2010. In contrast to existing studies, I allow for illiquidity's predictive ability to be state contingent, using a Markov regime switching model. I uncover strong evidence...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with realized uncertainty than survey respondents perceptions for both in flation and output growth. Survey estimates contain short-term variation in short-horizon uncertainty which is...

Based on U.S. stock returns from 1973 to 2015, this study found that the asset growth anomaly does not seem to be pervasive and investable. The trading strategy is robust only among a tiny portion of the equity market in terms of both number of stocks and capitalization. In addition to...

We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...

We use the residual-income valuation model to simultaneously estimate firm-specific implied long-term growth rate in abnormal earnings and cost of capital by relating earnings-to-price and book-to-market ratios in a linear fashion. This simple framework estimates investors' consensus beliefs...

Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan.Design/methodology/approach: The study uses a six-factor asset pricing model to derive the realized volatility measure for the GARCH-type...

I examine the ability of equity market illiquidity to predict Australian macroeconomic variables, between 1976 and 2010. In contrast to existing, U.S.-based, studies, I find that stock market illiquidity does not, on average, have much predictive power over economic growth. Consistent with the...