Volatility and Links between National Stock Markets
The empirical objective of this study is to account for the time-variation in the covariances between stock markets, and to assess the extent of...
Does the CAPM Explain Why the Dividend Yield Helps Predict Returns?
This paper measures risk using proxies based on a GARCH-M model or an instrumental variables method. Using US data, it finds that the lagged dividend...
The Effect of the Term Spread, Dividend Yield and Real Activity on Stock Returns: Evidence From 15 Countries
This study investigates the effect of two predictor variables, the term spread and the dividend yield, on stock returns for 15 countries. It finds...
Feedback Traders and Stock Return Autocorrelations: Evidence From a Century of Daily Data
High frequency stock returns may show mild positive autocorrelation because of non-trading. However in a noise traders model the degree of...
A Heteroscedastic Factor Model of Asset Returns and Risk Premia With Time-Varying Volatility: An Application to Sixteen World Stock Markets
The empirical objective of this study is to account for the time-variation in the covariances between markets. Using data on sixteen national stock...
The Effects of Inflation and Interest Rates on Stock Returns: Evidence From Three Centuries of UK Data
Using data since 1700, this paper finds that:- (i) The oft-cited negative correlation between expected inflation and stock returns is confined to the...
Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons From Japan
The paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mis-measured risk. Therefore, three...
Risk, Gordon's Growth Model and the Predictability of Stock Market Returns
This paper measures risk by using proxies based on lagged squared returns, the GARCH -M model and consumption correlatedness. It finds :-
(i) Even...
