Settlement Delays and Stock Prices

Stock prices and house prices: Which one affects the other?

Stocks and houses as two major assets which play important role in the balance sheet of Iranian households. Changes in two markets have a large influence on wealth and the general economy. The purpose of this study is to examine the relationship between stock and house prices over a thirty-year period using vector auto-regression (VAR). Using yearly data for the period from 1985 to 2013, we con...

Technological Revolutions and Stock Prices

During technological revolutions, stock prices of innovative firms tend to exhibit high volatility and bubble-like patterns, which are often attributed to investor irrationality. We develop a general equilibrium model that rationalizes the observed price patterns. The high volatility results from high uncertainty about the average productivity of a new technology. Investors learn about this pro...

Forecasting UK stock prices

The Vector Autoregressive (VAR) model, the Error Correction Model (ECM), and the Kalman Filter Model (KFM) are used to forecast UK stock prices. The forecasting performance of the three models is compared using out of sample forecasting. The results show that the forecasting performance of the ECM is better than that of the VAR and the KFM, and that the VAR performs a forecasting better than th...

IPO Waves and Stock Prices

This paper explores why IPO volume changes over time and how it relates to stock prices. We develop a model of optimal IPO timing in which IPO volume °uctuates due to time variation in market conditions. IPO waves in our model are caused by declines in expected market return, increases in expected aggregate pro ̄tability, or increases in prior uncertainty about the average future pro ̄tability of...

Modelling Stock Prices