Equity prices and fundamentals: a DDM–APT mixed approach

House Prices and Fundamentals:

This paper examines the long run relation between prices and rents for houses in Amsterdam from 1650 through 2005. We first demonstrate that these series are cointegrated, a necessary condition for studying movements of the rent-price ratio. We then estimate the deviation of house prices from fundamentals and find that these deviations can be persistent and long-lasting. Lastly, we look at the ...

Outsourcing Contracts and Equity Prices

As the focus of Information Technology outsourcing (ITO) and business process outsourcing (BPO) evolves from pure cost savings to diverse strategic objectives, the impact of externalizing these activities on the long‐term value of the firm surfaces as a key issue for researchers and practitioners. Principles of managing simple outsourcing initiatives may not be effective for c...

US Stock Prices and Macroeconomic Fundamentals

Fads versus Fundamentals in Farmland Prices

This paper develops an approach to decompose farmland price time series into three components: permanent fundamental component, temporary fundamental component, and nonfundamental component. This decomposition is useful for studying the importance of fundamental versus nonfundamental factors in explaining farmland price behavior and the dynamic response of farmland price to shocks to each of th...

Exchange Rates, Equity Prices and Capital Flows

We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity supply is not infinitely price elastic; 2) higher returns...