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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: Fama as discussed by the authors analyzed the relation between real stock returns and real activity from 18891988 to 1989 and found that stock returns are highly correlated with future production growth rates for 1953-1987, and the degree of correlation increases with the length of the holding period.
Abstract: This paper analyzes the relation between real stock returns and real activity from 18891988. It replicates Fama's (1990) results for the 1953-1987 period using an additional 65 years of data. It also compares two measures of industrial production in the tests: (1) the series produced by Babson for 1889-1918, spliced with the Federal Reserve Board index of industrial production for 1919-1988, and (2) the new Miron and Romer (1989) index spliced with the Federal Reserve Board index in 1941. Fama's findings are robust for a much longer period-future production growth rates explain a large fraction of the variation in stock returns. The new Miron-Romer measure of industrial production is less closely related to stock price movements than the older Babson and Federal Reserve Board measures. FAMA (1990) SHOWS THAT MONTHLY, quarterly, and annual stock returns are highly correlated with future production growth rates for 1953-1987. Moreover, the degree of correlation increases with the length of the holding period. He argues that the relation between current stock returns and future production growth reflects information about future cash flows that is impounded in stock prices. Fama uses multiple regression tests to control for variation in expected stock returns that is reflected in dividend yields on stocks D(t)/V(t), default spreads on corporate bonds DEF(t), and term spreads on bonds TERM(t). Finally, he analyzes the effects of shocks to expected returns on stock returns. Combining these sources of variation in stock returns, he explains up to 59 percent of the variation in annual stock returns from 1953-1987. Nevertheless, as Fama (1990, pp. 18-19) notes, One could also argue, however, that the regressions overstate explanatory power. The variables used to explain returns are chosen largely on the basis of goodness-of-fit rather than the directives of a well-developed theory.... It is possible that with fresh data, the explanatory power of the variables used here would be lower than that measured for 1953-87.
652 citations
TL;DR: The authors analyzed the long-run relationship between the world price of crude oil and international stock markets over 1971:1-2008:3 using a cointegrated vector error correction model with additional regressors.
650 citations
TL;DR: This paper found that constrained stocks underperform during the period 1988-2002 by a significant 215 basis points per month on an equally weighted basis, although by only an insignificant 39 basis points on a valueweighted basis.
648 citations
TL;DR: In this paper, the authors investigate the relation between stock repurchases and distribution, investment, capital structure, corporate control, and compensation policies over the 1977-96 period and find that, throughout the sample period, firms repurchase stock to take advantage of potential undervaluation and, in many periods, to distribute excess capital.
Abstract: In this article, I investigate the relation between stock repurchases and distribution, investment, capital structure, corporate control, and compensation policies over the 1977-96 period. I allow the significance of each motive to change over time to account for adjustments in the percentage of firms influenced by each motive. I find that, throughout the sample period, firms repurchase stock to take advantage of potential undervaluation and, in many periods, to distribute excess capital. However, firms also repurchase stock during certain periods to alter their leverage ratio, fend off takeovers, and counter the dilution effects of stock options. Copyright 2000 by University of Chicago Press.
647 citations
TL;DR: This article used mutual fund flows as a measure of individual investor sentiment for different stocks, and found that high sentiment predicts low future returns, which is related to the value effect: high sentiment stocks tend to be growth stocks, interpretable as companies increasing the supply of shares in response to investor demand.
647 citations