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Stock (geology)
About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.
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TL;DR: In this paper, the authors present evidence concerning the number of common stochastic trends in the equity markets of the U.S., Japan, England, Germany, and Canada.
1,007 citations
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TL;DR: This paper used a log-linear asset pricing framework and a vector autoregressive model to break down movements in stock and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess returns on stocks and bonds.
Abstract: This paper uses a log-linear asset pricing framework and a vector autoregressive model to break down movements in stock and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess returns on stocks and bonds. In monthly postwar U.S. data, excess stock returns are found to be driven largely by news about future excess stock returns, while excess 10-year bond returns are driven largely by news about future inflation. Real interest rate changes have little impact on either stock or 10-year bond returns, although they do affect the short-term nominal interest rate and the slope of the term structure. These findings help to explain why postwar excess stock and bond returns have been almost uncorrelated.
1,007 citations
TL;DR: In this paper, the authors explore the fundamental factors that affect cross-country stock return correlations and find that large shocks to broad-based market indices (Nikkei Stock Average and Standard and Poor's 500 Stock Index) positively impact both the magnitude and persistence of the return correlations.
Abstract: This article explores the fundamental factors that affect cross-country stock return correlations. Using transactions data from 1988 to 1992, we construct overnight and intraday returns for a portfolio of Japanese stocks using their NYSE-traded American Depository Receipts (ADRs) and a matched-sample portfolio of U. S. stocks. We find that U. S. macroeconomic announcements, shocks to the Yen/Dollar foreign exchange rate and Treasury bill returns, and industry effects have no measurable influence on U.S. and Japanese return correlations. However, large shocks to broadbased market indices (Nikkei Stock Average and Standard and Poor's 500 Stock Index) positively impact both the magnitude and persistence of the return correlations. STOCK RETURN CROSS-COUNTRY COVARIANCES play a key role in international finance. Changes in these covariances affect the volatility of portfolios and asset prices. As these covariances increase, one expects that: (a) fewer domestic risks are internationally diversifiable, so portfolio volatility increases; (b) the risk premium on the world market portfolio increases;1 (c) the cost of capital increases for individual firms; and, (d) the domestic version of the CAPM becomes increasingly inadequate.2 Despite the important economic consequences of changes in cross-country covariances, the determinants of the levels and dynamics of these covariances have been little studied from an academic
1,002 citations
TL;DR: In this paper, the authors study the out-of-sample and post-publication return predictability of 97 variables shown to predict cross-sectional stock returns and find that publication-informed trading results in a lower return.
Abstract: We study the out-of-sample and post-publication return predictability of 97 variables shown to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data mining effects. We estimate a 32% (58%–26%) lower return from publication-informed trading. Post-publication declines are greater for predictors with higher in-sample returns, and returns are higher for portfolios concentrated in stocks with high idiosyncratic risk and low liquidity. Predictor portfolios exhibit post-publication increases in correlations with other published-predictor portfolios. Our findings suggest that investors learn about mispricing from academic publications.
993 citations
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TL;DR: In this article, the authors estimate the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news and show that it is difficult to explain more than one third of the return variance from this source, and explore the possibility that the stock market responds to information that is omitted from their specifications.
Abstract: This paper estimates the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news First, we consider macroeconomic news and show that it is difficult to explain more than one third of the return variance from this source Second, to explore the possibility that the stock market responds to information that is omitted from our specifications, we also examine market moves coincident with major political and world events The relatively small market responses to such news, along with evidence that large market moves often occur on days without any identifiable major news releases, casts doubt on the view that stock price movements are fully explicable by news about future cash flows and discount rates(This abstract was borrowed from another version of this item)
989 citations