Download or read book A Reexamination of Stock Returns and Inflation written by Thomas John Zwirlein and published by . This book was released on 1985 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Reexamining Stock Valuation and Inflation written by Steven Alan Sharpe and published by . This book was released on 2001 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Casual Relations Among Stock Returns Real Activity Inflation and Money Growth written by Kwangwoo Park and published by . This book was released on 1996 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using various regression models and a vector autoregressions (VAR) framework, this paper examines causal relations and dynamic interactions among stock returns, interest rates, real activity, inflation, and money growth using the post-war United States data. While stock returns have long been presumed as an important indicator of real activity in theory, the predictive ability of the stock market as perceived by macro-economists has been questioned. The purpose of this paper is to answer following two main questions: (1) What causal relationship exists among macro-economic variables behind the apparent negative stock returns-inflation relations in the post-war U.S. data? and (2) Is the stock market a good predictor of the future real activity? Major findings of this paper are that (1) the negative inflation-stock returns relations are in part induced by the negative inflation-future output relations during most of the post-war U.S. data. (2) The persistent component of inflation predicts future output better than temporary output in the regression results. (3) In a dynamic framework of real stock returns, real activity, inflation, and money in the VAR system, the theory by Fama (1981) holds well during the period 1972 to 1995, which suggests aggregate supply shocks have been pronounced in the recent two decades. (4) Stock returns (both real and nominal) seem to Granger cause and explain a substantial fraction of the variance in real activity. (5) Real activity also explains a substantial fraction of variance in inflation. This shows that additional spending has been purely inflationary for the post-war U.S. economy. (6) The asymmetry effects of real stock returns have been captured. Positive real stock returns seem to better predict the real activity, and the 'proxy' hypothesis of Fama does not hold in both cases.
Download or read book Stock Returns Inflation and Macroeconomy written by Marc Chopin and published by . This book was released on 2002 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the inverse relationship between stock returns and inflation in the post- World War II period. Fama (1981) theorizes that the inverse inflation-stock return correlation is a proxy for the negative relationship between inflation and real activity. Geske and Roll (1983) argue that the inflation-stock return correlation reflects changes in government expenditures, real economic conditions and monetization of budget deficits. We test these hypotheses simultaneously using a multivariate vector-Error-Correction Model (VECM) proposed by Johansen and Juselius (1992, 1994). We find that both real activity and monetary fluctuations generate the contemporaneous correlation between stock returns and inflation. However, the Federal Reserve bank seems not to monetize Federal deficits, nor do government deficits appear to drive changes in real economic activity during the period examined. Thus, our results appear more compatible with Fama's explanation than that of Geske and Roll. More intriguingly, the sources of both real activity and monetary fluctuations are the long-run disequilibria of macroeconomy.
Download or read book A Re examination of the Book to Market Effect in Stock Returns written by Padmaja Kadiyala and published by . This book was released on 1995 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Relationship Between Stock Returns and Inflation written by Choon Seng Lim and published by . This book was released on 1989 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Relation Between Stock Returns and Inflation written by Stephen Thomas and published by . This book was released on 1992 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Returns Inflation and the Proxy Hypothesis written by Pierluigi Balduzzi and published by . This book was released on 2008 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reexamines the proxy hypothesis of Fama (American Economic Review, 1981, 71, 545-565) as the main explanation for the negative correlation between stock returns and inflation. We look at quarterly data on industrial-production growth, monetary-base growth, CPI inflation, three-month Treasury-bill rates, and returns on the equally-weighted NYSE portfolio, for the 1954-1976 and 1977-1990 periods. Using time-series techniques, we find that production growth induces only a weak negative correlation between inflation and stock returns, and explains less of the covariance between the two series than inflation and interest-rate innovations.
Download or read book Stock Returns and Inflation written by Nicolaas Groenewold and published by . This book was released on 1994 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stocks Bonds Bills and Inflation written by Roger G. Ibbotson and published by . This book was released on 1989 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Inflation Risk and Stock Returns written by John Ammer and published by . This book was released on 1994 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Financial Econometrics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2014-09-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Download or read book Financial Analysis Planning And Forecasting Theory And Application Third Edition written by Cheng Few Lee and published by World Scientific Publishing Company. This book was released on 2016-08-10 with total page 1390 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction-level text that reviews, discusses, and integrates both theoretical and practical corporate analysis and planning. The field can be divided into five parts: (1) Information and Methodology for Financial Analysis; (2) Alternative Finance Theories and Cost of Capital; (3) Capital Budgeting and Leasing Decisions; (4) Corporate Policies and their Interrelationships; (5) Financial Planning and Forecasting.The theories used and discussed in this book can be grouped into the following classical theoretical areas of corporate finance: (1) Pre-M&M Theory, (2) M&M Theory, (3) CAPM, and (4) Option Pricing Theory (OPT). The interrelationships among these theories are carefully analyzed. Real world examples are used to enrich the learning experience; and alternative planning and forecasting models are used to show how the interdisciplinary approach can be used to make meaningful financial-management decisions.In this third edition, we have extensively updated and expanded the topics of financial analysis, planning and forecasting. New chapters were added, and some chapters combined to present a holistic view of the subject and much of the data revised and updated.
Download or read book Ibss Economics 1999 written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 2000-12-07 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Download or read book Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry ICEMCI 2022 written by Hrushikesh Mallick and published by Springer Nature. This book was released on 2023-01-13 with total page 2160 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022) to be held in Chongqing (Online) on October 14-16, 2022. As the leader of the global trend of scientific and technological innovation, China is constantly creating a more open scientific and technological innovation environment, expanding the depth and breadth of academic cooperation, and building a shared innovation community. These efforts are making new contributions to globalization and building a community with a shared future for mankind. ICEMCI aims to bring together innovative academics and industry experts in Economic Management and Cultural Industry into a common forum. We will discuss and research on areas such as International Economics and Trade, Sustainable Economic Development, Economic Statistics, Economic Policy, The impact of cultural industries on the economy, etc. ICEMCI 2022 also aims to provide a platform for experts, scholars, engineers, technicians and technology R&D personnel to share scientific research results and cutting-edge technologies, understand academic development trends, expand research ideas, strengthen academic research and discussion, and promote cooperation in the industrialization of academic achievements . With the theme "Economic Management and Cultural Industry", ICEMCI 2022 aspires to keeping up with advances and changes to a consistently morphing field. Leading researchers and industry experts from around the globe will be presenting the latest studies through papers, keynote speeches and oral presentations. We warmly invite you to participate in ICEMCI 2022 and look forward to seeing you in Chongqing !
