Results 211 to 220 of about 30,405 (252)
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Journal of Finance, 1985
ABSTRACTPrevious research has documented a negative relation between common stock returns and inflation. Recently, Fama[3]and Geske and Roll[6]have argued that this relation results from a more fundamental one between real activity and expected inflation.
Christopher James
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ABSTRACTPrevious research has documented a negative relation between common stock returns and inflation. Recently, Fama[3]and Geske and Roll[6]have argued that this relation results from a more fundamental one between real activity and expected inflation.
Christopher James
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The Real Channel for Nominal Bond-Stock Puzzles
SSRN Electronic Journal, 2021We present evidence that the mix of transitory and permanent shocks to consumption is changing over time. We study the implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and equity curves, upward sloping nominal yield curve, and sign-switching correlation between equities and ...
Mikhail Chernov +2 more
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The role of the nominal tax system in the common stock returns/expected inflation relationship
Journal of Monetary Economics, 1989Abstract Recent empirical evidence suggests that common stock returns and expected inflation are negatively related. This paper focuses on one explanation of this relationship, a nominal tax approach. According to this theory, in countries with specific nominal tax components to their tax systems, inflation increases the effective tax rate, thereby ...
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SSRN Electronic Journal, 2017
In this paper, we find that high price stocks show significantly higher Sharpe Ratios than low price stocks. Also, price as an investment style seems to be especially beneficial when applied in a multi investment style setting, reducing portfolio standard deviations of returns while potentially adding additional alpha.
Ulrich Hammerich +2 more
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In this paper, we find that high price stocks show significantly higher Sharpe Ratios than low price stocks. Also, price as an investment style seems to be especially beneficial when applied in a multi investment style setting, reducing portfolio standard deviations of returns while potentially adding additional alpha.
Ulrich Hammerich +2 more
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Odd-Lot Trading Activity and Nominal Stock Price
SSRN Electronic Journal, 2020We examine the rising of odd-lot trading activity and nominal stock prices in recent years. We find that odd-lot trading activity is positively associated with nominal stock price, on both cross-sectional and time-series basis. After a stock split (reverse split), the odd-lot trading activity decreases (increases) significantly.
Kalok Chan, Jinming XIE
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Managerial actions and nominal stock price levels
The European Journal of Finance, 2015We examine nominal and real stock prices and the sequential price pattern of stock dividends and stock splits. We find that the average stock price has been fairly stable over time except for two decades in the beginning and end of the twentieth century. Inclusion of these periods yield a decline over time which is generally consistent with the drop in
Adri De Ridder, David A. Burnie
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Tests of the nominal contracting hypothesis using stocks and bonds of the same firms
Journal of Banking & Finance, 1992Abstract We test the nominal contracting hypothesis by examining the price responses of stocks and long-term bonds issued by the same firms to inflation surprises. We fail to find evidence that unexpected inflation transfers wealth to real from nominal contract holders, i.e., to stockholders from bondholders. An alternative interpretation of previous
Pinegar, MJ, Chang, EC, McQueen, GR
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The Real and Nominal Determinants of Stock and Bond Returns Comovement
SSRN Electronic Journal, 2018The comovement between returns to stocks and nominal Treasury bonds varies over time in both magnitude and direction. Earlier research attempts to interpret this phenomenon as a consequence of variations in the link between inflation and future economic activity.
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NounBank.DS: a Lexical Repository of Nominal Frames from Stock Market Tweets in Brazilian Portuguese
Anais do XVI Simpósio Brasileiro de Tecnologia da Informação e da Linguagem Humana (STIL 2025)This paper describes NounBank.DS, a project that provides argument structure for instances of predicate nouns in DANTEStocks, a Dependency-Analyzed corpus of stock market Tweets in Portuguese. NounBank.DS is part of a larger effort to add additional semantic layers of annotation to DANTEStocks.
Bryan K. S. Barbosa, Ariani Di Felippo
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