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Stock-Market Equilibrium and the Dividend Yield

Stock-Market Equilibrium and the Dividend Yield »

Source: Stock-Market Equilibrium and the Dividend Yield

Volume/Issue: 1996/90

Series: IMF Working Papers

Author(s): Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1996

ISBN: 9781451951981

Keywords: stock market, stock prices, stock returns, financial economics, bonds

Can fundamentals account for the recent performance of the U.S. stock market? The price/earnings ratio is out of line with historical averages, and the dividend/price ratio has recently reached a historic low. Thes...

Monetary Policy and Intangible Investment*

Monetary Policy and Intangible Investment* »

Source: Monetary Policy and Intangible Investment

Volume/Issue: 2020/160

Series: IMF Working Papers

Author(s): Robin Döttling , and Lev Ratnovski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 August 2020

ISBN: 9781513552521

Keywords: Intangible Investment, Monetary Policy, Stock Returns, Heterogeneity.

We contrast how monetary policy affects intangible relative to tangible investment. We document that the stock prices of firms with more intangible assets react less to monetary policy shocks, as identified from Fe...

International Stock Returns and Market Integration

International Stock Returns and Market Integration »

Source: International Stock Returns and Market Integration : A Regional Perspective

Volume/Issue: 2002/202

Series: IMF Working Papers

Author(s): Marco Del Negro , and Robin Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2002

ISBN: 9781451874419

Keywords: Diversification, risk, stock market, global stock market, stock portfolio, stock markets, stock returns,

We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide...

Stock Market Equilibrium and Macroeconomic Fundamentals

Stock Market Equilibrium and Macroeconomic Fundamentals »

Source: Stock Market Equilibrium and Macroeconomic Fundamentals

Volume/Issue: 1997/15

Series: IMF Working Papers

Author(s): Lamin Leigh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1997

ISBN: 9781451843224

Keywords: Singapore, stock market, stock exchange, stock returns, stock price, stock prices

This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper es...

The Egyptian Stock Market

The Egyptian Stock Market »

Source: The Egyptian Stock Market : Efficiency Tests and Volatility Effects

Volume/Issue: 1999/48

Series: IMF Working Papers

Author(s): Mauro Mecagni , and Maged Sawky Sourial

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1999

ISBN: 9781451846720

Keywords: Emerging stock markets, GARCH models, stock exchange, stock returns, stock market, capital market, capital market authority

The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M mod...

Firm-Level Evidenceon International Stock Market Comovement

Firm-Level Evidenceon International Stock Market Comovement »

Source: Firm-Level Evidenceon International Stock Market Comovement

Volume/Issue: 2003/55

Series: IMF Working Papers

Author(s): Robin Brooks , and Marco Del Negro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451847642

Keywords: Diversification, risk, stock market, global stock market, stock returns, capital account restrictions, capital markets,

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model...

Stock Returns and Output Growth in Emerging and Advanced Economies

Stock Returns and Output Growth in Emerging and Advanced Economies »

Source: Stock Returns and Output Growth in Emerging and Advanced Economies

Volume/Issue: 2000/89

Series: IMF Working Papers

Author(s): Paolo Mauro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2000

ISBN: 9781451851274

Keywords: Leading indicators, emerging markets, stock returns, stock market, correlation, stock price, statistics

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market econom...

Macroeconomic Fluctuations and Equilibrium Discount Factors

Macroeconomic Fluctuations and Equilibrium Discount Factors »

Source: Macroeconomic Fluctuations and Equilibrium Discount Factors

Volume/Issue: 1996/118

Series: IMF Working Papers

Author(s): Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1996

ISBN: 9781451940886

Keywords: time series, stock returns, stochastic discount, statistics, linear model

The estimation of discount factors is a central issue in empirical finance, particularly in the literature on excess volatility. In particular, it is difficult to find empirical discount factors that are volatile e...

Nonlinearity and Endogeneity in Macro-Asset Pricing

Nonlinearity and Endogeneity in Macro-Asset Pricing »

Source: Nonlinearity and Endogeneity in Macro-Asset Pricing

Volume/Issue: 1995/32

Series: IMF Working Papers

Author(s): Charles Kramer , and Craig Hiemstra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1995

ISBN: 9781451845082

Keywords: granger causality, stock returns, time series, statistics, bonds

We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the i...

Country Transparency and the Global Transmission of Financial Shocks

Country Transparency and the Global Transmission of Financial Shocks »

Source: Country Transparency and the Global Transmission of Financial Shocks

Volume/Issue: 2013/156

Series: IMF Working Papers

Author(s): Luis Brandao Marques , R. Gelos , and Natalia Melgar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 July 2013

ISBN: 9781484397237

Keywords: transmission of global financial shocks, bond, stock returns, equity markets, bond spreads, bond returns, Asset Pricing,

This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers. We provide a simple model where, in the presence of ambiguity...