Relative price variability, real shocks, and the stock market

Article Abstract:

In this paper, we investigate the effects of relative price variability on output and the stock market and gauge the extent to which inflation proxies for relative price variability in stock return-inflation regressions. The evidence shows that the negative stock return-inflation relations proxy for the adverse effects of relative price variability on economic activity, particularly during the seventies, when the US experienced oil supply shocks. Hence, it appears that inflation spuriously affects the stock market in two ways: the aggregate output link of Fama (1981) and the supply shocks reflected in relative price variability. (Reprinted by permission of the publisher.)

Research, Economic aspects, Investments, Inflation (Finance), Stock price forecasting, Inflation (Economics)

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Oil and the stock markets

Article Abstract:

We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the postwar period, the reaction of United States and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the United Kingdom and Japan, innovations in oil prices appear to cause larger changes in stock prices than can be justified by subsequent changes in real cash flows or by changing expected returns. (Reprinted by permission of the publisher.)

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, PETROLEUM AND COAL PRODUCTS, Petroleum, Petroleum and Coal Products Manufacturing, United Kingdom, United States, Canada, Japan, Prices and rates, Exchanges, Securities, Cash flow

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The January effect and aggregate insider trading

Article Abstract:

This study investigates the seasonal pattern of aggregate insider trading to help distinguish between two competing explanations for the seasonal pattern of security returns. The first potential explanation examined is that the January effect arises from predictable changes in turn-of-the-year demand for securities. The second potential explanation examined is that the January effect represents compensation for the higher risk of trading against informed traders at the turn of the year. (Reprinted by permission of the publisher.)

Insider trading in securities, Insider trading (Securities), Financial research

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