The Aggregate Change In Shares And The Level Of Stock Prices PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Aggregate Change In Shares And The Level Of Stock Prices PDF full book. Access full book title The Aggregate Change In Shares And The Level Of Stock Prices.
Author | : William Richard Nelson |
Publisher | : |
Total Pages | : 54 |
Release | : 1999 |
Genre | : Stocks |
ISBN | : |
Download The Aggregate Change in Shares and the Level of Stock Prices Book in PDF, ePub and Kindle
Author | : William R. Nelson |
Publisher | : |
Total Pages | : 46 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download The Aggregate Change in Shares and the Level of Stock Prices Book in PDF, ePub and Kindle
The average change in shares of equity is negatively correlated with estimates of the equity premium calculated using the dividend-ratio model of Campbell and Shiller, as well as with a variant of the model written in terms of the earnings-price ratio. This correlation is consistent with corporations issuing equity when it is a relatively inexpensive source of finance and repurchasing equity when it is a relatively good investment. However, when the retirement of shares resulting from mergers are included, the average change in shares is no longer significantly correlated with the equity premium.
Author | : Frank K. Reilly |
Publisher | : |
Total Pages | : 92 |
Release | : 1979 |
Genre | : Stocks |
ISBN | : |
Download An Analysis of Changes in Aggregate Stock Market Volatility Book in PDF, ePub and Kindle
General price studies on the level of volatility for aggregate stock market have derived conflicting results. Using daily stock price changes for the period 1926-1975, the paper examines the characteristics of the distribution of daily stock price changes. Subsequently we examined changes in several measures of stock price volatility. The results indicated significant changes over time and especially in 1973-1975.
Author | : Hongjun Yan |
Publisher | : |
Total Pages | : 39 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download The Behavior of Individual and Aggregate Stock Prices Book in PDF, ePub and Kindle
News about an individual stock normally has only a trivial impact on the aggregate economy. The news of the aggregate stock market, however, may have a significant impact on the prospects of the economy, and so has a large impact on the pricing kernel. This difference between the aggregate stock market and individual stocks is analyzed in a dynamic general equilibrium setting with incomplete information. The main findings are as follows. First, consistent with existing empirical evidence, the correlation between stock returns and earnings surprises is, on average, positive at the individual stock level and is lower or even negative at the aggregate level. Second, a stock's return is less sensitive to its earnings surprises if the expected earnings growth of the stock is more pro-cyclical. Third, a decrease of information quality of a stock increases its risk premium if the stock accounts for a small fraction of the economy, but decreases its risk premium if the stock accounts for a large fraction.
Author | : Robert A. Haugen |
Publisher | : |
Total Pages | : 74 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download The Effect of Volatility Changes on the Level of Stock Prices and Expected Future Returns Book in PDF, ePub and Kindle
Author | : Michael Royour Turner |
Publisher | : |
Total Pages | : 132 |
Release | : 1972 |
Genre | : Stocks |
ISBN | : |
Download Monetary changes and the general level of stock prices Book in PDF, ePub and Kindle
Author | : Terry A. Marsh |
Publisher | : Forgotten Books |
Total Pages | : 82 |
Release | : 2015-06-16 |
Genre | : Business & Economics |
ISBN | : 9781330279526 |
Download Dividend Behavior for the Aggregate Stock Market Book in PDF, ePub and Kindle
Excerpt from Dividend Behavior for the Aggregate Stock Market In this paper, we develop a model of the dividend process for the aggregate stock market. Previous research has focused almost exclusively on dividend behavior at the micro level of the individual firm. Hence, to motivate the focus here on aggregate dividend behavior, we begin with a brief review of these earlier micro studies, this to be followed by a discussion which locates the place of our aggregate analysis within this body of research. In Sections 2-5, we derive and fit our econometric model of the dividend process. In Section 6, we compare the performance of the model with other models in the literature. Although long a staple of financial management textbooks, corporate dividend policy remains a topic on which the field has failed to arrive at even a local sense of closure. Fischer Black (1976) has aptly described this lack of closure as the "dividend puzzle." The pivotal point in this puzzle is the classical work of Miller and Modigliani (1961) which demonstrated the irrelevance of dividend policy for determining the firm's cost of capital. Miller and Modigliani showed that when investors can create any payout pattern they want by selling and purchasing shares, the expected return required to induce them to hold these shares will be invariant to the way in which firms "package" gross dividend payments and new issues of stock (and/or other zero net present value transactions). Since neither the firm's expected future net cash flows nor its discount rate is affected by the choice of dividend policy per se, its current market value cannot be changed by a change in that policy. Thus, dividend policy "does not matter." About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1986 |
Genre | : |
ISBN | : 9780262024761 |
Download NBER Macroeconomics Annual Book in PDF, ePub and Kindle
Author | : John Y. Campbell |
Publisher | : |
Total Pages | : 76 |
Release | : 1995 |
Genre | : Capital assets pricing model |
ISBN | : |
Download By Force of Habit Book in PDF, ePub and Kindle
We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets. Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habit-persistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution.
Author | : Frederic Drew Bond |
Publisher | : |
Total Pages | : 138 |
Release | : 1911 |
Genre | : Speculation |
ISBN | : |
Download Stock Prices Book in PDF, ePub and Kindle