This paper develops an augmented Artificial Neural Network forecast-simulation procedure for estimating both the current fundamental price of a financial asset and the state-dependent distribution (including volatilities) from which future returns will be fundamentally drawn. The results provide...

The structure of this paper is as follows. in section 1, I describe the welfare gain function. In section 2, I use stock returns for the G-7 countries to examine stock returns using standard mean- variance analysis. In section 3, I develop a single general equilibrium framework for examining...

This Occasional Paper provides an overview of the main challenges facing Hong Kong SAR as it continues to become more closely integrated with the mainland of China. Section I provides an overview of recent macroeconomic developments and the main policy issues in Hong Kong SAR. Section II...

Event study analysis is a branch of econometrics which attempts to measure the effects of economic events on the value of firms by examining stock market data. Providing that share prices reflect the underlying economic values of assets, changes in equity values will properly capture expected...

This paper reviews the behavior of stock prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US...