The expected return to equity - typically measured as a historical average - is a key variable in the decision…

This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets were impacted by…

This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth…

This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to…

We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be…

Bayesian Model Averaging techniques are used to analyse how robustly it is possible to identify factors that may lead to…

The paper first reviews the main drivers of the growth and real convergence process in central, eastern and south-eastern Europe…

This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity…

equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is commonly believed that…

This paper shows that emerging market equity prices are influenced by growing global factors, and therefore global factors constitute a…

This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and…

This paper investigates the link between fiscal policy shocks and movements in asset markets using a Fully Simultaneous System approach…

We study exchange rate and equity price dynamics, in general equilibrium, in the presence of news shocks about future productivity…

This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and…

Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly…

This paper analyses the determinants of the natural rate of interest in a non-linear model where agents are uncertain over…

The paper analyzes whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above…

We find that the difference between implied and realized variances, or the variance risk premium, is able to explain more…

Asian equity markets have grown significantly in size since the early 1990s, driven by strong international investor inflows, growing regional…

This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in…

We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition of EU banks’stock…

calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of…

We use data obtained from a series of Michigan Surveys of Consumer Attitudes to study stock market beliefs and portfolio…

We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for…

This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives both of measuring the…

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that…

With asset values falling sharply in recent years, many companies around the world are under pressure to restore the solvency…

It is well accepted that households increase consumption of goods and services in response to an unexpected increase in wealth.…

This paper investigates the presence of asymmetric conditional second moments in international equity and bond returns. The analysis is carried…

Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of…

This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run…

This paper examines pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy…

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and…

This paper compares the predictions for the market value of firms from the Gordon growth model with those from a…

This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies.…

The stock of firms that issue equity has, on average, performed poorly in subsequent years, while the stock of firms…