The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy

2017 ◽  
Vol 73 (3) ◽  
pp. 32-52 ◽  
Author(s):  
Philip U. Straehl ◽  
Roger G. Ibbotson
Keyword(s):  
Stock Returns ◽  
Real Economy ◽  
The Real ◽  
Long Run

Long-Run Stock Returns: Participating in the Real Economy

2003 ◽  
Vol 59 (1) ◽  
pp. 88-98 ◽  
Author(s):  
Roger G. Ibbotson ◽  
Peng Chen
Keyword(s):  
Stock Returns ◽  
Real Economy ◽  
The Real ◽  
Long Run

scholarly journals Macroeconomic Variables and Stock Returns Revisited

2020 ◽  
Vol 03 (10) ◽  
Author(s):  
Feifei Wang ◽  
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Explanatory Power ◽  
Macroeconomic Factors ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
The Real ◽  
Vector Error ◽  
Long Run ◽  
Short Run

I revisit the relation between macroeconomic activities and stock prices by selecting the most important macroeconomic variables that are appropriate for analyzing their impact on stock returns. Using vector autogressive models (VAR), combined with co integration analysis and the vector error correction model (VECM) I estimate the explanatory power of each macroeconomic variable on the variations of the stock prices and distinguish the short-run from long-run movements among all key macroeconomic variables. I find that (1) in the short-run macroeconomic variables do not appear help explain changes in stock returns, (2) in the long-run the real interest rate and industrial production are the most important macroeconomic factors, and (3) in the long-term the real economic activity and stock returns Granger-cause each other.

scholarly journals A Study on Regional Financial Risks Based on CoCVaR Model

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Mingxin Li ◽  
Jun Tang
Keyword(s):  
Stock Returns ◽  
Listed Company ◽  
Guangdong Province ◽  
Financial Risks ◽  
Real Estate Finance ◽  
Real Economy ◽  
Daily Consumption ◽  
The Real ◽  
Energy Companies ◽  
The Impact

For the purpose of accurate measurement of regional systemic financial risks and prevention of regional economic turmoil, this paper proposes a new measure called the CoCVaR model, based on the tail mean loss, which is applied to measure the impact of stock returns of each listed company on the overall stock returns in Guangdong Province, China, from January 2010 to December 2020. It is found that there are significant CoVaR and CoCVaR for real estate, finance, utilities, and energy companies, while the risk spillover to the real economy market in Guangdong Province is more significant when companies in these industries are in extreme situations. There are insignificant CoCVaR for daily consumption, information technology, and health care. The risk spillover to the real economy market in Guangdong Province is smaller when companies in these industries are in crisis.

scholarly journals The joint dynamics of investor beliefs and trading during the COVID-19 crash

2021 ◽  
Vol 118 (4) ◽  
pp. e2010316118
Author(s):  
Stefano Giglio ◽  
Matteo Maggiori ◽  
Johannes Stroebel ◽  
Stephen Utkus
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Real Economy ◽  
Market Outcomes ◽  
Stock Market Crash ◽  
Long Run ◽  
Retail Investors ◽  
Joint Dynamics ◽  
Short Run ◽  
Investor Expectations

We analyze how investor expectations about economic growth and stock returns changed during the February−March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at three points in time: 1) on February 11–12, around the all-time stock market high, 2) on March 11–12, after the stock market had collapsed by over 20%, and 3) on April 16–17, after the market had rallied 25% from its lowest point. Following the crash, the average investor turned more pessimistic about the short-run performance of both the stock market and the real economy. Investors also perceived higher probabilities of both further extreme stock market declines and large declines in short-run real economic activity. In contrast, investor expectations about long-run (10-y) economic and stock market outcomes remained largely unchanged, and, if anything, improved. Disagreement among investors about economic and stock market outcomes also increased substantially following the stock market crash, with the disagreement persisting through the partial market recovery. Those respondents who were the most optimistic in February saw the largest decline in expectations and sold the most equity. Those respondents who were the most pessimistic in February largely left their portfolios unchanged during and after the crash.

Contemporary Survey on the Empirical Literature of Islamic Finance and Economic Growth Relationship

2019 ◽  
Vol 8 (2) ◽  
pp. 14-26
Author(s):  
Ibrahim Musa Gani ◽  
Zakaria Bin Bahari
Keyword(s):  
Economic Growth ◽  
Causal Relationship ◽  
Significant Contribution ◽  
Empirical Studies ◽  
Empirical Literature ◽  
Islamic Finance ◽  
Real Economy ◽  
The Real ◽  
Long Run ◽  
Short Run

Financial sector activities are part of the main ingredients for the growth of any economy. The financial activities that were most widely practiced are Interest-based conventional financial activities which are prohibited in Islam. Thus, non-interest Islamic financial activities were introduced and it has been accepted and practiced all around the globe. Therefore, this study surveyed, explored and analysed using library review method, the empirical studies conducted on Islamic finance and the economic growth nexus. The study revealed that the majority of the findings of the empirical studies are in support of a positive and significant contribution of Islamic finance to the growth of the real economy in short run and long run, few of the findings indicate an insignificant contribution. The causal relationship between Islamic finance and growth is mostly bi-directional as reported in many of the studies, but supply leading hypothesis also emerged in some of the few studies. It was concluded that Islamic finance is immensely contributing to the growth of the real economy.

scholarly journals Short-Run and Long-Run Effects of Milton Friedman's Presidential Address

2018 ◽  
Vol 32 (1) ◽  
pp. 121-134 ◽  
Author(s):  
Robert E. Hall ◽  
Thomas J. Sargent
Keyword(s):  
Monetary Policy ◽  
Phillips Curve ◽  
Presidential Address ◽  
Real Economy ◽  
The Real ◽  
Long Run ◽  
Invariance Hypothesis ◽  
Short Run ◽  
The Right ◽  
Main Message

The centerpiece of Milton Friedman's (1968) presidential address to the American Economic Association, delivered in Washington, DC, on December 29, 1967, was the striking proposition that monetary policy has no longer-run effects on the real economy. Friedman focused on two real measures, the unemployment rate and the real interest rate, but the message was broader—in the longer run, monetary policy controls only the price level. We call this the monetary-policy invariance hypothesis. By 1968, macroeconomics had adopted the basic Phillips curve as the favored model of correlations between inflation and unemployment, and Friedman used the Phillips curve in the exposition of the invariance hypothesis. Friedman's presidential address was commonly interpreted as a recommendation to add a previously omitted variable, the rate of inflation anticipated by the public, to the right-hand side of what then became an augmented Phillips curve. We believe that Friedman's main message, the invariance hypothesis about long-term outcomes, has prevailed over the last half-century based on the broad sweep of evidence from many economies over many years. Subsequent research has not been kind to the Phillips curve, but we will argue that Friedman's exposition of the invariance hypothesis in terms of a 1960s-style Phillips curve is incidental to his main message.

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