This paper analyzes the links between the firms investment technology and financial asset prices within a general equilibrium production economy. The model assumes that real investment is irreversible and subject to convex adjustment costs. It shows how these basic features of real investment naturally generate rich dynamics of stock returns. Firm investment activity and firm characteristics, p...

This paper investigates the nature of information leadership of the US and Japan in the advanced Asia-Pacific stock markets. Instead of just relying on return and return volatility spillovers from major markets, specific and disaggregated news events are also utilized. In particular, the aim is to examine the nature of spillover effects of scheduled announcements of the US and Japanese macroeco...

Using novel data from a crowdsourcing platform for ranking stocks, we investigate how individuals form expectations about future stock returns in the cross-section. In each contest on this platform, participants rank 10 stocks based on their perceived future performance of these stocks over the course of the contest (usually one week). We find that, when forming expectations, investors extrapol...

investing in stock markets usually is involved in more risks than the bounds and bank deposits. it is expected that resulting returns (capital gain plus yields) from trading in a stock market to be more than those of in a risk free investment. therefore, developing accurate techniques of estimation and forecasting in volatility analysis of financial markets is inevitable. sum squares of weekly ...

the objective of this study is to derive a money demand function compatible with the islamic economic rules, i.e., prohibition of reba. this rule, evidently eliminates the loan market from the economy.therefore, we propose that the islamic financial markets could link the real and nominal sectors of the economy and provide the information needed by both the financial intermediaries and the cent...

We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is applied to analyze the stock market behavior of small firms in the month of January. Our findings sugges...

U.S. stock portfolios sorted on size, momentum, transaction costs, M/B, I/A and ROA ratios, and industry classification show considerable levels and variation of return predictability, inconsistent with asset pricing models. This means that a predictable risk premium is not equal to compensation for systematic risk as implied by asset pricing theory (Kirby 1998). We show that introducing market...

We propose a dynamically consistent framework that allows joint valuation and estimation of stock options and credit default swaps written on the same reference company. We model default as controlled by a Poisson process with a stochastic default arrival rate. When default occurs, the stock price drops to zero. Prior to default, the stock price follows a continuous process with stochastic vola...

When it comes to the inequality-growth relationship, the empirical literature offers contradictory assessments: Estimators based on time-series variation only (i.e., differencesbased estimators) indicate a strong positive link while estimators also exploiting the crosssectional variation (i.e., level-based estimators) suggest a negative relationship. Taking advantage of a new dataset, the prese...

The “middle-income trap” is the phenomenon of hitherto rapidly growing economies stagnating at middle-income levels and failing to graduate into the ranks of high-income countries. In this study we examine the middle-income trap as a special case of growth slowdowns, which are identified as large sudden and sustained deviations from the growth path predicted by a basic conditional convergence f...