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Working Paper
From the horse's mouth: gauging conditional expected stock returns from investor surveys
Amromin, Gene; Sharpe, Steven A. (2005)
We use data obtained from a series of Michigan Surveys of Consumer Attitudes to study stock market beliefs and portfolio choices of individual investors. We find that expected returns over the medium- and long-term horizon appear to be extrapolated from past realized returns. The findings also indicate that a more optimistic assessment of macroeconomic conditions coincides with higher expected returns and lower expected volatility, implying strongly procyclical Sharpe ratios. These results are given added credence by the empirical finding that reported portfolio concentrations in equities ...
Finance and Economics Discussion Series , Paper 2005-26

Journal Article
Why do stock prices react to the Fed?
Guo, Hui (2004-07)
Monetary Trends , Issue Jul

Working Paper
Do stock prices follow interest rates or inflation?
Bishop, David G.; Golob, John E. (1996)
Market analysts often forecast changes in stock prices by comparing earnings-price ratios on stocks to nominal interest rates. This paper shows that stock prices have followed inflation more closely than interest rates over the last thirty years. This result has implications for recent stock valuations, because the spread between nominal interest rates and inflation has recently been above historic averages. That is, stock prices appear more overvalued when the earnings-price ratio is compared to nominal interest rates than when the earnings-price ratio is compared to inflation. Our result ...
Research Working Paper , Paper 96-13

Working Paper
Stock market volatility and the Great Moderation
Campbell, Sean D. (2005)
Using data on corporate profits forecasts from the Survey of Professional Forecasters, I decompose real stock returns into a fundamental news component and a return news component and analyze the effects of the Great Moderation on each. Empirically, the response of each component of real stock returns to the Great Moderation has been quite different. The volatility of fundamental news shocks has declined by 50% since the onset of the Great Moderation, suggesting a strong link between underlying fundamentals and the broader macroeconomy. Alternatively, the volatility of return news shocks has ...
Finance and Economics Discussion Series , Paper 2005-47

Journal Article
Investor expectations and fundamentals: disappointment ahead?
Carlson, John B.; Pelz, Eduard A. (2000-05)
The average annual return of the S&P 500 since 1994 has exceeded 25 percent. Confidence is high and investors are looking forward to continued above-average returns. The authors of this Economic Commentary attempt to reconcile investors' expectations with a decline in the equity premium, using a standard approach to stock-price valuation.
Economic Commentary , Issue May

Working Paper
Risk-adjusted, ex ante, optimal technical trading rules in equity markets
Neely, Christopher J. (2001)
Allen and Karjalainen (1999) used genetic programming to develop optimal ex ante trading rules for the S&P 500 index. They found no evidence that the returns to these rules were higher than buy-and-hold returns but some evidence that the rules had predictive ability. This comment investigates the risk-adjusted usefulness of such rules and more fully characterizes their predictive content. These results extend Allen and Karjalainen's (1999) conclusion by showing that although the rules' relative performance improves, there is no evidence that the rules significantly outperform the buy-and-hold ...
Working Papers , Paper 1999-015

Report
Jump-robust volatility estimation using nearest neighbor truncation
Dobrev, Dobrislav; Schaumburg, Ernst; Andersen, Torben G. (2010)
We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical efficiency properties than the tripower variation measure and displays better finite-sample robustness to both jumps and the occurrence of ?zero? returns in the sample. Unlike the bipower variation measure, the new estimators allow for the development of an asymptotic limit theory in the presence of ...
Staff Reports , Paper 465

Journal Article
Solid performance marked by district publicly traded companies
Grunewald, Rob (2004-09)
Fedgazette , Volume 16 , Issue Sep , Pages 22

Journal Article
Can stock prices reliably predict recessions?
Mills, Leonard O. (1988-09)
Business Review , Issue Sep , Pages 3-14

Report
Have financial markets become more informative?
Philippon, Thomas; Bai, Jennie; Savov, Alexi (2012)
The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The magnitude of earnings surprises, however, has increased. A baseline model predicts that as the efficiency of information production increases, prices become more disperse and covary more strongly with future earnings. The forecastable component of earnings improves capital allocation and serves as a direct ...
Staff Reports , Paper 578

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