This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

Purpose - The purpose of this paper is to investigate the dynamic effect of Tobin's q ratio on price-to-earnings (PE) ratio. Design/methodology/approach -The objective of this study is to investigate the dynamic effect of Tobin's q on PE ratio. To achieve this objective, a vector autoregressive...

Based on the theoretical framework of financial amplification, this study investigates the dynamic effects of financial stress on the performance of the U.S. real estate market proxied by Real Estate Investment Trust (REIT) returns in the United States using vector autoregressive (VAR) analysis....

Purpose – The purpose of this paper is to investigate the dynamic effect of Tobin's q ratio on price-to-earnings (PE) ratio. Design/methodology/approach – The objective of this study is to investigate the dynamic effect of Tobin's q on PE ratio. To achieve this objective, a vector...