We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that...

The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in...

We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...

We provide a tractable model of firm-level expected holding period returns using two firm fundamentals ― book-to-market ratio and ROE ― and study the cross-sectional properties of the model-implied expected returns. We find that: 1) firm level expected returns and expected profitability are...

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

The correlation between stock and bond returns is a cornerstone of asset allocation decisions. The correlation can move considerably over time, which can have a large impact on portfolio construction. Our empirical evidence points to inflation and real returns on short-term bonds, and the...

To shed light on the formation, expansion, and deflation of bubbles, we study how the cross section of stocks evolves during the 2015 Chinese stock market bubble. Using data on administrative account-level stock holdings covering a representative sample of 18 million retail investors and all...

We investigate both theoretically and empirically how unemployment level and its growth affect future stock returns. We find that both a higher unemployment rate and higher growth of unemployment positively predict future stock market returns. In our model, the effects come through their...

We comprehensively investigate the usefulness of tail risk measures proposed in the literature. We evaluate both the statistical and the economic validity of the measures. The option-implied measure of Bollerslev and Todorov (2011b) (BT11Q) performs the best overall. While some other tail risk...

Stock prices following earnings announcements have become more efficient. Prices on announcement dates incorporate more quickly earnings surprises, leading to the disappearance of post-announcement price drifts. Evidence suggests that trading frictions commonly associated with market...