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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: 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...

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...

Stock Market Equilibrium and Macroeconomic Fundamentals

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

DOI: http://dx.doi.org/10.5089/9781451843224.001

ISBN: 9781451843224

Keywords: 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...

Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets

Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets »

Source: Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets

Volume/Issue: 1999/151

Series: IMF Working Papers

Author(s): Anthony Richards , and David Deddouche

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1999

ISBN: 9781451857016

Keywords: Event Study, Rating Changes, Bank Stock Prices, bond, stock prices, stock market, bank stocks, stock returns

This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies. The data suggest that downgrades on average have followed periods of negative cu...

Stock Market Volatility and Corporate Investment

Stock Market Volatility and Corporate Investment »

Source: Stock Market Volatility and Corporate Investment

Volume/Issue: 1995/102

Series: IMF Working Papers

Author(s): Zuliu Hu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1995

ISBN: 9781451852585

Keywords: stock market, stock market volatility, stock returns, stock prices, stock market price

Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whethe...

Determinants of Stock Prices

Determinants of Stock Prices »

Source: Determinants of Stock Prices : The Case of Zimbabwe

Volume/Issue: 1997/117

Series: IMF Working Papers

Author(s): T. Oyama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1997

ISBN: 9781451941616

Keywords: DDM, ECM, CAPM, APT, stock market, stock prices, stock exchange, stock returns, stock market index

This paper examines the general relationship between stock prices and macroeconomic variables in Zimbabwe, using the revised dividend discount model, error-correction model, and multi-factor return-generating model...

Stock-Market Equilibrium and the Dividend Yield

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

DOI: http://dx.doi.org/10.5089/9781451951981.001

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...

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...

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia »

Source: Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Volume/Issue: 2002/154

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451857245

Keywords: Price spillovers, volatility spillovers, asymmetric GARCH models, spillovers, stock market, stock returns, stock price,

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: th...

Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets

Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets »

Volume/Issue: 1999/151

Series: IMF Working Papers

Author(s): Anthony Richards , and David Deddouche

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1999

DOI: http://dx.doi.org/10.5089/9781451857016.001

ISBN: 9781451857016

Keywords: Event Study, Rating Changes, Bank Stock Prices, bond, stock prices, stock market, bank stocks, stock returns

This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies. The data suggest that downgrades on average have followed periods of negative cu...