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Displaying results 1 to 6 of 6.

  1. The global equity premium revisited
    what human rights Imply for assets’ purchasing power
    Author: Białkowski, Je̜drzej; Ronn, Ehud I.
    Published: 2017
    Publisher:  Department of Economics and Finance, College of Business and Economics, University of Canterbury, Christchurch, New Zealand

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 92 (2017,19)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury ; no. 2017, 19
    Subjects: Rare (“black swan”) events; Equity premium; International political crises; Property, civil and human rights; World War II; World equity index
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. Time-varying consumption correlation and the dynamics of the equity premium
    evidence from the G-7 countries
    Published: Apr. 2004
    Publisher:  Federal Reserve Bank of New York, New York, NY

    We examine the implications of time variation in the correlation between the equity premium and nondurable consumption growth for equity return dynamics in G-7 countries. Using a VAR-GARCH (1,1) model, we find that the correlation increases with... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1140 (181)
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 207 (181)
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    We examine the implications of time variation in the correlation between the equity premium and nondurable consumption growth for equity return dynamics in G-7 countries. Using a VAR-GARCH (1,1) model, we find that the correlation increases with recession indicators such as above-average unemployment growth and with proxies for stock market wealth. The combined effect is that the correlation increases during a recession. We find that the effect of a countercyclical correlation is that the equity premium, Sharpe ratio, and risk aversion are also generally countercyclical. These findings survive several robustness checks such as allowing the mean return to depend on its conditional variance and controlling for lower consumption volatility during the post-1990 period. The evidence is stronger for countries that have larger stock market capitalization relative to GDP. Our results show the importance of combining financial and macroeconomic indicators for explaining time variation in the consumption correlation and the equity premium.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/60563
    Edition: [Elektronische Ressource]
    Series: Staff reports / Federal Reserve Bank of New York ; 181
    Subjects: Risikoprämie; Privater Konsum; G7-Staaten; Stocks; Stocks; Risk; Consumption (Economics); Equity premium
    Scope: Online Ressource (PDF-Datei: 55 S., 990 KB), graph. Darst.
    Notes:

    Record-last-verfied: 07-07-04
  3. What order?
    perturbation methods for stochastic volatility asset pricing and business cycle models
    Author: De Groot, Oliver
    Published: 7 September 2016
    Publisher:  University of St. Andrews, St. Andrews

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: School of Economics and Finance discussion papers ; no. 1611
    Subjects: Numerical solution methods; Time-varying uncertainty; Equity premium; DSGE models; Welfare
    Scope: 1 Online-Ressource (circa 28 Seiten)
  4. Forecasting stock returns
    a predictorconstrained approach
    Author: Pettenuzzo, Davide; Pan, Zhiyuan; Wang, Yudong
    Published: October 17, 2017
    Publisher:  Brandeis University, Department of Economics and International Business School, Waltham, MA

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Brandeis University, Department of Economics and International Businesss School ; 116
    Subjects: Equity premium; Predictive regressions; Predictor constraints; 12-month high; Model combinations
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  5. Risk & returns around FOMC press conferences
    a novel perspective from computer vision
    Author: Marchal, Alexis
    Published: 2021
    Publisher:  Swiss Finance Institute, Geneva

    I propose a new tool to characterize the resolution of uncertainty around FOMC press conferences. It relies on the construction of a measure capturing the level of discussion complexity between the Fed Chair and reporters during the Q&A sessions. I... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 544
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    I propose a new tool to characterize the resolution of uncertainty around FOMC press conferences. It relies on the construction of a measure capturing the level of discussion complexity between the Fed Chair and reporters during the Q&A sessions. I show that complex discussions are associated with higher equity returns and a drop in realized volatility. The method creates an attention score by quantifying how much the Chair needs to rely on reading internal documents to be able to answer a question. This is accomplished by building a novel dataset of video images of the press conferences and leveraging recent deep learning algorithms from computer vision. This alternative data provides new information on nonverbal communication that cannot be extracted from the widely analyzed FOMC transcripts. This paper can be seen as a proof of concept that certain videos contain valuable information for the study of financial markets

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 21, 18
    Subjects: FOMC; Machine learning; Computer vision; Alternative data; Video data; Asset pricing; Equity premium
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  6. Limited memory, time-varying expectations and asset pricing
    Author: Ascari, Guido; Zhang, Yifan
    Published: [2023]
    Publisher:  Università di Pavia, Department of Economics and Management, Pavia

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 727
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: DEM working paper series ; # 211 (07-23)
    Subjects: Asset pricing; Expectations; Limited memory; Equity premium
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen