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139 records from EconBiz based on author Name
1. The role of the discount rate in investment and employment decisions
Møller, Stig Vinther; Priestley, Richard;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 2. Economic Growth and the Stock Market
abstractWe decompose stock market returns into cash flow news and discount rate news and show that an increase (decrease) in discount rate news, which reflects an increase in the quantity of risk or level of risk aversion in the economy, predicts a decrease (increase) in future aggregate output. Discount rate news dominates cash flow news and other known predictors of output based on frictions and sentiment. The results extend across other measures of macroeconomic fluctuations. International evidence confirms U.S. results and also shows that global discount rate news predicts cross country output stronger than country specific discount rate news
Møller, Stig Vinther; Priestley, Richard;2022
Availability: Link Link
3. A global macroeconomic risk model for value, momentum, and other asset classes
Cooper, Ilan; Mitrache, Andreea; Priestley, Richard;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 4. Production, Consumption, and Time Varying Expected Returns
abstractThis paper develops an empirical test of the q-theory production based asset pricing model. In general equilibrium, with habit utility and adjustment costs of investment, it must be the case that when the consumption surplus predicts stock returns corresponding investment patterns must predict investment returns to the same extent. The no arbitrage condition also implies investment patterns must predict stock returns in the same way as the consumption surplus. Using this insight, we find strong empirical support for the production based model without encountering the difficulties of calculating investment returns. Consequently, previous rejections of the model most likely stem from the failure of one or more of the many assumptions that are needed to construct investment returns
Priestley, Richard;2021
Availability: Link Link
5. The Role of the Discount Rate in Investment and Employment Decisions
abstractTime variation in the discount rate affects investment and employment decisions in a manner consistent with Q-theory predictions. This evidence is uncovered when using cyclical consumption as proxy for the discount rate. The results, which are consistent across both U.S. and international data, suggest that firms respond rationally to variations in the cost of capital and that the discount rate has a substantial impact on macroeconomic dynamics and hence business cycle fluctuations
Møller, Stig Vinther; Priestley, Richard;2021
Availability: Link
6. The Role of the Discount Rate in Investment and Employment Decisions
abstractWe show that time variation in the discount rate affects investment and employment decisions in a manner consistent with both short and long run Q-theory predictions. Uncovering this novel evidence requires a proxy for the discount rate that reliably predicts stock returns. We gain further insights into the role of the discount rate when we take into account the adjustment costs of investment and employment. The results suggest that firms respond rationally to variations in the cost of capital and that the discount rate affects macroeconomic dynamics
Møller, Stig Vinther; Priestley, Richard;2020
Availability: Link Link
7. A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
abstractValue and momentum returns and combinations of them are explained by their loadings on global macroeconomic risk factors across both countries and asset classes. These loadings describe why value and momentum have positive return premia while at the same time being negatively correlated. The global macroeconomic risk factors also perform well in capturing the returns on other characteristic-based portfolios. The findings identify a global macroeconomic source of the common variation in returns across asset classes and countries
Cooper, Ilan; Mitrache, Andreea; Priestley, Richard;2020
Availability: Link Link
Citations: 8 (based on OpenCitations)
8. Consumption Fluctuations and Expected Returns
abstractThis paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time-variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables
Atanasov, Victoria; Møller, Stig Vinther; Priestley, Richard;2019
Availability: Link Link
Citations: 2 (based on OpenCitations)
9. Short Interest, Macroeconomic Variables and Aggregate Stock Returns
abstractRapach, Ringgenberg and Zhou (2016) claim that for the sample period 1973 to 2014 "short interest is arguably the strongest known predictor of aggregate stock returns", that it "outperforms a host of popular predictors", and that it represents "informed traders who are able to anticipate changes in future aggregate cashflows". We show that the entire evidence regarding these claims disappears if we exclude data on short interest for the calendar year of 2008 when the financial crisis had its largest impact on stock markets. In contrast, we show that macroeconomic variables can predict aggregate returns and combining forecasts based on macroeconomic variables provides consistent and stable forecasts in periods that include and exclude the financial crisis
Priestley, Richard;2019
Availability: Link Link
Citations: 1 (based on OpenCitations)
10. EMU and European Stock Market Integration
abstractThe launch of the single currency in Europe in January 1999 was preceded by a period of regulatory harmonization, convergence in bond yields and inflation rates, and strict fiscal policy across the Eurozone countries. We examine whether the 1990s also were characterized by increased stock market integration. The results indicate that, as forward interest differentials benchmarked against Germany and inflation differentials benchmarked against the three best performing states shrank toward zero, stock markets converged toward full integration. The United Kingdom, a country that chose not to enter the Eurozone, shows no such increase in stock market integration
Hardouvelis, Gikas A.; Malliaropulos, Dimitris; Priestley, Richard;2022
