This paper examines the relationship between stock returns and inflation. We focus on various econometric techniques to test this relationship, using monthly values of the Athens Stock Exchange Price index and the Greek Consumer Price index over the period 1988-2002. The results from a simple OLS model show evidence of a positive but not significant relationship, while when we consider a system...

It is a common wisdom that individual stocks’ returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are proportional to the sensitivities to systematic risk factors. Fama and French (1993) three-factor model explains...

this paper analyses efficiency of short horizon event study methodology in general and efficiency of various test statistics based on price and trading volume in the period (iranian calendar) 1380:1389-q1 (2240 days) applying simulation method. we evaluate efficiency of 8 test statistics including parametric, non-parametric and induced variance statistics. we find various test statistics have e...

This article carries out an asset-pricing analysis of the U.S. metropolitan housing market. We use ZIP code–level housing data to study the cross-sectional role of volatility, price level, stock market risk and idiosyncratic volatility in explaining housing returns. While the related literature tends to focus on the dynamic role of volatility and housing returns within submarkets over time, our...

We provide a theoretical model linking firm characteristics and expected returns. The key ingredient of our model is technological shocks embodied in new capital (IST shocks), which affect the profitability of new investments. Firms’s exposure to IST shocks is endogenously determined by the fraction of firm value due to growth opportunities. In our structural model, several firm characteristics...

This paper is intended as an investigation of the statistical properties of absolute log-returns, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two periods, an inflationary period and a deflationary period. We have previously [18] fou...

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 ...

Reversal is the current stylized fact of weekly returns. To the contrary, we find a robust and dominant momentum in one-week returns. The brief reversal that follows extreme weekly returns is itself followed by an opposing stream of continuation in returns. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the fu...

in this study, 3 models of time-varying parameters (tvp), dynamic model selection (dms) and dynamic model averaging (dma) and a comparison with the ordinary least squares (ols) method in matlab in the time period 2003-2013 (with data on a monthly basis) are discussed. in the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...