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Working Paper
Testing for speculative bubbles in stock prices
Demirgüč-Kunt, Asli; Dezhbakhsh, Hashem
(1988)
A modification of Kenneth West's method for investigating speculative bubbles in stock prices, in which a direct test of the "no bubble" hypothesis is applied to long-term annual U.S. stock-market data.
Working Papers (Old Series)
, Paper 8807
Working Paper
A comparison of discount rate models using international stock market data
Kasa, Kenneth
(1994)
This paper compares the ability of four discount rate models to explain the cross-sectional and time-series variation of stock returns in the U.S., Japan, England, Germany, and Canada. The data consist of quarterly returns (in dollars) on Morgan Stanley's Capital International indices for the period 1972 through 1991. The following four models are considered: (1) A consumption CAPM model, linking the discount rate to the intertemporal marginal rate of substitution in consumption, (2) A production CAPM model, linking the discount rate to the intertemporal marginal rate of transformation in ...
Working Papers in Applied Economic Theory
, Paper 94-15
Journal Article
Trading activity and price transparency in the inflation swap market
Sporn, John; Fleming, Michael J.
(2013-05)
The issues of liquidity and price transparency in derivatives markets have taken on greater import given regulatory efforts under way to improve their transparency. To date, the lack of transaction data has impeded the understanding of how the inflation swap and other derivatives markets operate. This article broadens that understanding by using a novel transaction data set to examine trading activity and price transparency in the quickly growing U.S. inflation swap market. The authors find that the market appears reasonably liquid and transparent, despite its over-the-counter nature and ...
Economic Policy Review
, Volume 19
, Issue May
, Pages 45-57
Journal Article
Stock margins and the condition probability of price reversals
Moser, James T.; Kofman, Paul
(2001-07)
Does the cost of trading affect stock prices? Yes, according to the evidence in this article. The authors find that high costs seem to reduce the frequency of price reversals.
Economic Perspectives
, Volume 25
, Issue Q III
, Pages 2-12
Journal Article
Coordinating circuit breakers in stock and futures markets
Morris, Charles S.
(1990-03)
Economic Review
, Volume 75
, Issue Mar
, Pages 35-48
Report
Margin requirements, volatility and the transitory component of stock prices
Hardouvelis, Gikas A.
(1989)
Research Paper
, Paper 8909
Journal Article
Economic factors, monetary policy and expected returns on stocks and bonds
Booth, Lena Chua; Booth, James R.
(1997)
This paper examines the impact of the stance of monetary policy on security returns. The two measures of the stance of monetary policy used, the federal funds rate and an index based on the changes in the discount rate, contain significant information that can be used to forecast expected stock and bond portfolio returns. Specifically, we find that a restrictive (expansive) monetary policy stance decreases (increases) returns of large and small stock portfolios and in some cases, corporate bond portfolios. The monetary policy stance measures have explanatory power in forecasting stock and ...
Economic Review
Journal Article
Industry effects in the stock returns of banks and nonfinancial firms
Neuberger, Jonathan A.
(1994)
FRBSF Economic Letter
Journal Article
Has programmed trading made stock prices more volatile?
Santoni, G. J.
(1987-05)
Review
, Issue May
, Pages 18-29
Working Paper
Price discovery in the stock market
Merrick, John J.
(1987)
Working Papers
, Paper 87-4
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