منابع مشابه
Increasing Returns and Long-Run Growth
This paper presents a fully specified model of long-run growth in which knowledge is assumed to be an input in production that has increasing marginal productivity. It is essentially a competitive equilibrium model with endogenous technological change. In contrast to models based on diminishing returns, growth rates can be increasing over time, the effects of small disturbances can be amplified...
متن کاملEndogenous Events and Long Run Returns
We analyze event abnormal returns when returns predict events. In xed samples we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided that the process of the number of events is stationary. Non-stationarity in the number of events process is needed to generate a large negative bi...
متن کاملLong-Run Policy Analysis and Long-Run Growth
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متن کاملShort-run and Long-run Consumption Risks, Dividend Processes and Asset Returns
We examine the implications of shortand long-run consumption growth fluctuations on the momentum and contrarian profits and the value premium in a unified economic framework. By allowing time-varying firm cash flow exposures to the short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a long way in generating the momentum and ...
متن کاملThe Long-run Impact of Sentiment on Stock Returns∗
We examine the explanatory and predictive power of fundamental macroeconomic and behavioral factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we nd signi cant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that Reuters sent...
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ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 1986
ISSN: 0022-3808,1537-534X
DOI: 10.1086/261420