Stock returns, inflation, and economic activity: the survey evidence

Article Abstract:

Survey expectations data are used to study the empirical relationships between stock returns, inflation, and economic activity. In a general fashion, the use of proxies for expectations is examined, and recommendations are made for econometric techniques. The key empirical results of this analysis are: (1) the hypothesized relationships between expected economic activity and expected inflation are not necessarily important in explaining the negative relationship between expected inflation and stock returns, (2) the Livingston forecasts of economic activity are somewhat negatively related to expected inflation when monetary growth is held constant in a quantity theory specification; and (3) the cross-forecaster dispersion of economic activity forecasts, a proxy for real uncertainty, appears to be a significant determinant of stock returns, and its inclusion eliminates the negative impact of inflation.

Analysis, Stock price forecasting

---

Measuring the information content of stock trades

Article Abstract:

This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms. (Reprinted by permission of the publisher.)

Methods, Models, Evaluation, Prices and rates, Stocks, Stock-exchange, Stock exchanges, Securities, Securities prices, Investment analysis, Securities analysis

---

Intraday price formation in U.S. equity index markets

Article Abstract:

The article empirically examines price discovery in US equity indexes. Price discovery is found to occur primarily in small-denomination futures contracts for the Nasdaq 100 and Standard & Poor's 500 indexes, and in exchange-traded funds and regular futures contracts for the Standard & Poor's 400 MidCap.

United States, Science & research, Pricing Policy, Research, Economic aspects, Pricing, Comparative analysis, Index participations, Standard and Poor's 500-Stock Price Index (Index), Product price, Nasdaq 100 Index (Index), Standard and Poor's 400-Stock Price Index (Index)

Similar abstracts:

• Abstracts: Religious texts, moral prescriptions and economy: the case of interest. The Federal Deposit Insurance Corporation Improvement Act event in the bank commercial loan market
• Abstracts: A test of the free cash flow and debt monitoring hypotheses: evidence from audit pricing. Which types of analyst firms are more optimistic?
• Abstracts: Still silent - political market segmentation and the case of ethnic women. Election 2001- The Silent Majority: Women
• Abstracts: Incorporation and the audit market. The economic determinants of accounting choices: the unique case of equity carve-outs under SAB 51
• Abstracts: Commodity Transactions and the Private Investor. Maximising CGT Retirement Relief. Investing in Industrial Building after the Budget

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.