Journal ArticleDOI
Macroeconomic Factors Do Influence Aggregate Stock Returns
About:
This article is published in Cfa Digest.The article was published on 2002-11-01. It has received 217 citations till now. The article focuses on the topics: Stock (geology).read more
Citations
More filters
Journal ArticleDOI
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Torben G. Andersen,Torben G. Andersen,Torben G. Andersen,Clara Vega,Tim Bollerslev,Tim Bollerslev,Francis X. Diebold,Francis X. Diebold +7 more
TL;DR: In this article, a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements) was used to characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and Euro.
Journal ArticleDOI
Does Earnings Guidance Affect Market Returns? The Nature and Information Content of Aggregate Earnings Guidance
TL;DR: The authors investigate whether earnings guidance affects aggregate stock returns through its effects on expectations about overall earnings performance and/or aggregate expected returns, and find that aggregate guidance, especially relative levels of quarterly downward guidance, is associated with analyst- and time-series-based measures of aggregate earnings news.
Journal ArticleDOI
The Macroeconomic Determinants of Volatility in Precious Metals Markets
TL;DR: In this article, the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals, which lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index.
Journal ArticleDOI
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
Pavel G. Savor,Mungo Ivor Wilson +1 more
TL;DR: The authors showed that stock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. And they demonstrated a trade-off between macroeconomic risk and asset returns, and provided an estimate of the premium investors demand to bear this risk.
Journal ArticleDOI
Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations?
TL;DR: In this paper, the authors examined the relationship among consumer price index, industrial production, stock market and oil prices in Greece and found that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run.
References
More filters
Journal ArticleDOI
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Torben G. Andersen,Torben G. Andersen,Torben G. Andersen,Clara Vega,Tim Bollerslev,Tim Bollerslev,Francis X. Diebold,Francis X. Diebold +7 more
TL;DR: In this article, a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements) was used to characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and Euro.
Journal ArticleDOI
Does Earnings Guidance Affect Market Returns? The Nature and Information Content of Aggregate Earnings Guidance
TL;DR: The authors investigate whether earnings guidance affects aggregate stock returns through its effects on expectations about overall earnings performance and/or aggregate expected returns, and find that aggregate guidance, especially relative levels of quarterly downward guidance, is associated with analyst- and time-series-based measures of aggregate earnings news.
Journal ArticleDOI
The Macroeconomic Determinants of Volatility in Precious Metals Markets
TL;DR: In this article, the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals, which lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index.
Journal ArticleDOI
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
Pavel G. Savor,Mungo Ivor Wilson +1 more
TL;DR: The authors showed that stock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. And they demonstrated a trade-off between macroeconomic risk and asset returns, and provided an estimate of the premium investors demand to bear this risk.
Journal ArticleDOI
Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations?
TL;DR: In this paper, the authors examined the relationship among consumer price index, industrial production, stock market and oil prices in Greece and found that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run.