Download or read book Stock Prices News and Economic Fluctuations written by André Kurmann and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Prices News and Economic Fluctuations written by Paul Beaudry and published by . This book was released on 2003 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we show that the joint behavior of stock prices and TFP favors a view of business cycles driven largely by a shock that does not affect productivity in the short run -- and therefore does not look like a standard technology shock -- but affects productivity with substantial delay -- and therefore does not look like a monetary shock. One structural interpretation we suggest for this shock is that it represents news about future technological opportunities which is first captured in stock prices. We show that this shock causes a boom in consumption, investment and hours worked that precede productivity growth by a few years. Moreover, we show that this shock explains about 50\% of business cycle fluctuations.

Download or read book Stock Prices as Statistical Indicators of Economic Fluctuations written by Walter Leon Jenkins and published by . This book was released on 1959 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The news View of Economic Fluctuations written by Paul Beaudry and published by . This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper uses aggregate Japanese data and sectoral U.S. data to explore the properties of the joint behavior of stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating business cycle theories. The approach used follows that presented in Beaudry and Portier [2004b]. The main findings are that (i) in both Japan and the U.S., innovations in stock prices that are contemporaneously orthogonal to TFP precede most of the long run movements in total factor productivity and (ii) such stock prices innovations do not affect U.S. sectoral TFPs contemporaneously, but do precede TFP increases in those sectors that are driving U.S. TFP growth, namely durable goods, and among them equipment sectors"--National Bureau of Economic Research web site.

Download or read book Stock Prices and Economic News written by Douglas K. Pearce and published by . This book was released on 1984 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the daily response of stock prices to announcements about the money supply, inflation, real economic activity, and the discountrate. Except for the discount rate, survey data on market participants' expectations of these announcements are used to identify the unexpected component of the announcements in order to test the efficient markets hypothesis that only the unexpected part of any announcement, the surprise, moves stock prices. The empirical results support this hypothesis and indicate further that surprises related to monetary policy significantly affect stock prices. There is only limited evidence of an impact from inflation surprises and no evidence of an impact from real activity surprises on the announcement days. There is also only weak evidence of stock price responses to surprises beyond the announcement day.

Download or read book Stock Prices News and Business Conditions written by Grant McQueen and published by . This book was released on 1990 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous research finds that fundamental macroeconomic news has little effect on stock prices. This study shows that after allowing for different stages of the business cycle, a stronger relationship between stock prices and news is evident. In particular, the empirical results suggest that the effect of news about real economic activity depends on the varying responses of expected cash flows relative to equity discount rates. When the economy is strong, for example, the stock market responds negatively to good news about real economic activity, reflecting the larger effect on discount rates relative to expected cash flows.

Download or read book Speculation Stock Prices Industrial Fluctuations written by James Alexander Ross (jr) and published by . This book was released on 1938 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Selection and Asset Pricing written by Shouyang Wang and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.

Download or read book Which News Moves Stock Prices written by Jacob Boudoukh and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A basic tenet of financial economics is that asset prices change in response to unexpected fundamental information. Since Roll's (1988) provocative presidential address that showed little relation between stock prices and news, however, the finance literature has had limited success reversing this finding. This paper revisits this topic in a novel way. Using advancements in the area of textual analysis, we are better able to identify relevant news, both by type and by tone. Once news is correctly identified in this manner, there is considerably more evidence of a strong relationship between stock price changes and information. For example, market model R-squareds are no longer the same on news versus no news days (i.e., Roll's (1988) infamous result), but now are 16% versus 33%; variance ratios of returns on identified news versus no news days are 120% higher versus only 20% for unidentified news versus no news; and, conditional on extreme moves, stock price reversals occur on no news days, while identified news days show an opposite effect, namely a strong degree of continuation. A number of these results are strengthened further when the tone of the news is taken into account by measuring the positive/negative sentiment of the news story.

Download or read book Why Do Stock Prices Sometimes Fall in Response to Good Economic News written by Timothy Cogley and published by . This book was released on 1996 with total page 3 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Prices and Monetary Policy written by Paul De Grauwe and published by CEPS. This book was released on 2008 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: The question of whether central banks should target stock prices so as to prevent bubbles and crashes from occurring has been hotly debated. This paper analyses this question using a behavioural macroeconomic model. This model generates bubbles and crashes. It analyses how 'leaning against the wind' strategies, which aim to reduce the volatility of stock prices, can help in reducing volatility of output and inflation. We find that such policies can be effective in reducing macroeconomic volatility, thereby improving the trade-off between output and inflation variability. The strength of this result, however, depends on the degree of credibility of the inflation-targeting regime. In the absence of such credibility, policies aiming at stabilising stock prices do not stabilise output and inflation.

Download or read book Stock Prices News and Business Conditions written by Grant Richard McQueen and published by . This book was released on 2010 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous research finds that fundamental macroeconomic news has little effect on stock prices. This study shows that after allowing for different stages of the business cycle, a stronger relationship between stock prices and news is evident. In particular, the empirical results suggest that the effect of news about real economic activity depends on the varying responses of expected cash flows relative to equity discount rates. When the economy is strong, for example, the stock market responds negatively to good news about real economic activity, reflecting the larger effect on discount rates relative to expected cash flows.

Download or read book Stock Prices News and Business Conditions written by and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Reaction of Stock Prices to Unanticipated Changes in Money written by Douglas K. Pearce and published by . This book was released on 1982 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stock Market s Reaction to Unemployment News written by John H. Boyd and published by . This book was released on 2001 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that on average an announcement of rising unemployment is 'good news' for stocks during economic expansions and 'bad news' during economic contractions. Thus stock prices usually increase on news of rising unemployment, since the economy is usually in an expansion phase. We provide an explanation for this phenomenon. Unemployment news bundles two primitive types of information relevant for valuing stocks: information about future interest rates and future corporate earnings and dividends. A rise in unemployment typically signals a decline in interest rates, which is good news for stocks, as well as a decline in future corporate earnings and dividends, which is bad news for stocks. The nature of the bundle -- and hence the relative importance of the two effects -- changes over time depending on the state of the economy. For stocks as a group, and in particular for cyclical stocks, information about interest rates dominates during expansions and information about future corporate earnings dominates during contractions

Download or read book stock market development and long run growth written by Ross Levine and published by World Bank Publications. This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Effects of Macroeconomic Variables on Stock Prices Conventional Versus News Models written by John Vaz and published by . This book was released on 2011 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock prices are usually analysed and explained in terms of underlying financial indicators, such as earnings per share or dividend payout ratios. Nevertheless, fluctuations in the conditions of the economy can result in changes in demand, which can impact on profits and dividends. Since macroeconomic variables affect financial indicators it follows that macroeconomic variables affect stock prices. If markets are rational and efficient, then stock prices will reflect all known information regarding macroeconomic factors that are perceived to affect stock prices. It follows that stock prices should not change significantly unless there is a surprise or news about the state of the economy (as reflected in unexpected changes in macroeconomic variables). Intuitively, this implies that models of stock price determination based on news ought to be superior to conventional models that use the levels or changes in variables. The utilisation of news in research on stock prices is very limited. Two approaches have been traditionally used to represent the news in the absence of surveys of expectations: either by assuming announcements are news such as those in event studies or by using an econometric time series approach to extract the news components from total changes in the variables, as is the case with the news model. The majority of studies involving news models have been in the foreign exchange market using news estimated econometrically-very little has been done in estimating and testing a macro news model of stock prices and certainly nothing has been done on stock prices in developed economies such as Australia. Thus this research is motivated by the significant gaps in the literature with respect to the development, estimation and testing of a news model of stock prices. Most of the studies that investigate the relations between macro variables and stock prices have been carried out using conventional approaches by estimating models that use the variables in their levels. Some of the multivariable models of stock prices arise as a result of anomalies found in implementing the capital asset pricing model. Other multivariable approaches such as the arbitrage pricing theory (APT), due to Ross (1976), suggest that macro variables are useful, but APT is silent on the appropriate macroeconomic explanatory variables. Furthermore, there have been limited attempts to examine macroeconomic variables collectively, but not with the aim of developing a macro model of stock prices. This thesis presents the results of research that uses comprehensive econometric procedures to investigate which macroeconomic variables have significant effects on Australian stock prices and whether news about such variables can enhance the performance of conventional stock price determination models. Seven macroeconomic variables are examined: interest rates, inflation, the money supply, economic activity, commodity prices, exchange rates and a foreign stock market index to account for spill-over effects. This provides a valuable contribution to the understanding of the individual effects of macroeconomic variables on stock prices and adds to the limited literature regarding the usefulness of news in models of stock price determination. The results from this research demonstrate that although news is a theoretically sound and intuitively plausible basis for improving macro models of stock prices, in practice there is no ex-ante exploitation possible by estimating news utilising econometric methods. Simply put, news cannot be predicted-this is established by using three comprehensive methods of estimating news, which is the residual of a model fitted to the time series data of a particular variable.