Predicting Country Equity Returns: Data, Methods, and Empirical Evidence

2020 ◽  
pp. 309-349
Author(s):  
Tomasz Miziołek ◽  
Ewa Feder-Sempach ◽  
Adam Zaremba
Keyword(s):  
Empirical Evidence ◽  
Equity Returns

scholarly journals Oil, Equities, and the Zero Lower Bound

2021 ◽  
Vol 13 (2) ◽  
pp. 214-253
Author(s):  
Deepa D. Datta ◽  
Benjamin K. Johannsen ◽  
Hannah Kwon ◽  
Robert J. Vigfusson
Keyword(s):  
Lower Bound ◽  
Interest Rates ◽  
Empirical Evidence ◽  
Equity Returns ◽  
Economic Environment ◽  
Zero Lower Bound ◽  
Macroeconomic News ◽  
Nominal Interest Rates ◽  
Theoretical Predictions

From late 2008 to 2014, oil and equity returns were more positively correlated than in other periods. In addition, we show that both oil and equity returns became more responsive to macroeconomic news. We provide empirical evidence that these changes resulted from the zero lower bound (ZLB) on nominal interest rates, consistent with the theoretical predictions of a model that includes the ZLB. Although the ZLB alters the economic environment in theory, supportive empirical evidence has been lacking. Our paper provides clear evidence of the ZLB altering the economic environment. (JEL E12, E32, E43, G12, G14, Q43)

scholarly journals Natural Expectations and Macroeconomic Fluctuations

2010 ◽  
Vol 24 (4) ◽  
pp. 67-84 ◽  
Author(s):  
Andreas Fuster ◽  
David Laibson ◽  
Brock Mendel
Keyword(s):  
Empirical Evidence ◽  
Rational Expectations ◽  
Financial Time Series ◽  
Large Body ◽  
Negative Relationship ◽  
Equity Returns ◽  
Macroeconomic Fluctuations ◽  
Economic Agents ◽  
Long Run ◽  
High Volatility

A large body of empirical evidence suggests that beliefs systematically deviate from perfect rationality. Much of the evidence implies that economic agents tend to form forecasts that are excessively influenced by recent changes. We present a parsimonious quasi-rational model that we call natural expectations, which falls between rational expectations and (naïve) intuitive expectations. (Intuitive expectations are formed by running growth regressions with a limited number of right-hand-side variables, and this leads to excessively extrapolative beliefs in certain classes of environments). Natural expectations overstate the long-run persistence of economic shocks. In other words, agents with natural expectations turn out to form beliefs that don't sufficiently account for the fact that good times (or bad times) won't last forever. We embed natural expectations in a simple dynamic macroeconomic model and compare the simulated properties of the model to the available empirical evidence. The model's predictions match many patterns observed in macroeconomic and financial time series, such as high volatility of asset prices, predictable up-and-down cycles in equity returns, and a negative relationship between current consumption growth and future equity returns.

SKEWNESS AND KURTOSIS IN JAPANESE EQUITY RETURNS: EMPIRICAL EVIDENCE

1989 ◽  
Vol 12 (3) ◽  
pp. 253-260 ◽  
Author(s):  
Raj Aggarwal ◽  
Ramesh P. Rao ◽  
Takato Hiraki
Keyword(s):  
Empirical Evidence ◽  
Equity Returns ◽  
Skewness And Kurtosis

Challenges to the social motivation theory of autism: The dangers of counteracting an imprecise theory with even more imprecision

2019 ◽  
Vol 42 ◽  
Author(s):  
Mirko Uljarević ◽  
Giacomo Vivanti ◽  
Susan R. Leekam ◽  
Antonio Y. Hardan
Keyword(s):  
Empirical Evidence ◽  
Social Motivation ◽  
Motivation Theory ◽  
The Social

Abstract The arguments offered by Jaswal & Akhtar to counter the social motivation theory (SMT) do not appear to be directly related to the SMT tenets and predictions, seem to not be empirically testable, and are inconsistent with empirical evidence. To evaluate the merits and shortcomings of the SMT and identify scientifically testable alternatives, advances are needed on the conceptualization and operationalization of social motivation across diagnostic boundaries.

Integrating perspectives: How the development of second-personal competence lays the foundation for a second-personal morality

2020 ◽  
Vol 43 ◽  
Author(s):  
John Corbit ◽  
Chris Moore
Keyword(s):  
Empirical Evidence ◽  
Developmental Process ◽  
Focal Point ◽  
Personal Information ◽  
Personal Competence ◽  
Triadic Interactions ◽  
Personal Morality ◽  
Integrative Process

Abstract The integration of first-, second-, and third-personal information within joint intentional collaboration provides the foundation for broad-based second-personal morality. We offer two additions to this framework: a description of the developmental process through which second-personal competence emerges from early triadic interactions, and empirical evidence that collaboration with a concrete goal may provide an essential focal point for this integrative process.

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