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The stock market and investment
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In this article, a decomposition of the explanatory power of stock returns is presented, based on the exponential exponential power of the stock returns, which is a measure of the number of times a stock return can be explained.Abstract:
11. The behaviour of equity prices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Investment and share prices.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A. Theoretical considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B. Empirical evidence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . i ) Incremental explanatory power . . . . . . . . . . . . . . . . . . . . . . . . . . . iii) Event analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ii) A decomposition of the explanatory power of stock returns. . . . . .read more
Citations
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Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies
TL;DR: In this paper, the authors investigated the link between real stock price changes and economic growth and developed a simple growth model, which presents the relationship between stock prices and output, using the Vector Autoregression (VAR) methodology.
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Investigating The Links Between Growth And Real Stock Price Changes With Empirical Evidence From The G-7 Economies
TL;DR: In this article, the authors investigated the link between real stock price changes and economic growth and developed a simple growth model, which presents the relationship between the real stock prices and output.
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The Stock Market and the Corporate Sector: A Profit-Based Approach
Anwar Shaikh,Anwar Shaikh +1 more
TL;DR: In this paper, the authors show that the empirical movements of stock prices can be explained directly by fundamentals and that the real stock market rate of return closely follows the real incremental rate of profit of the corporate sector, with the two rates displaying similar means and standard deviations.
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Fundamentals, Financial Factors, and the Dynamics of Investment in Emerging Markets
TL;DR: In this paper, the authors used a panel vector autoregression approach to analyze the dynamics of the transition of investment to shocks to fundamental and financial factors in emerging market economies and found that investment sluggishly adjusts to its own shocks, gross domestic product and equity price shocks have a positive and sizable impact on investment.
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Are sectoral stock prices useful for predicting euro area GDP
TL;DR: In this paper, the authors evaluate how well sectoral stock prices forecast future economic activity compared to traditional predictors such as the term spread, dividend yield, exchange rates and money growth.
References
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Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
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Noise Trader Risk in Financial Markets
TL;DR: In this article, the authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns.
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Efficient Capital Markets: II
TL;DR: A review of the market efficiency literature can be found in this article, where the authors discuss the work that they find most interesting, and offer their views on what we have learned from the research on market efficiency.
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Permanent and Temporary Components of Stock Prices
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: This article found that a slowly mean-reverting component of stock prices tends to induce negative autocorrelation in returns, which is weak for the daily and weekly holding periods common in market efficiency tests but stronger for long-horizon returns.
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Positive Feedback Investment Strategies and Destabilizing Rational Speculation
TL;DR: In this paper, the role of rational speculators in financial markets was analyzed and it was shown that an increase in the number of forward-looking rational traders can lead to increased volatility of prices about fundamentals.