A Tale of Tails: New Evidence on the Growth-Return Nexus

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00120754" target="_blank" >RIV/00216224:14560/21:00120754 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1544612319310347#" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612319310347#</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2020.101526" target="_blank" >10.1016/j.frl.2020.101526</a>

Result language
angličtina
Original language name
A Tale of Tails: New Evidence on the Growth-Return Nexus
Original language description
Existing theoretical models predict that asset prices should be strongly related to economic fundamentals. Yet empirical studies usually find a weak correlation. We find that the stock market declines tend to be followed by slower economic growth within two-to-four quarters. However, the relationship is not linear as it tends to be weaker when market prices increase. This result holds for most of 20, mostly developed, countries in our sample. Controlling for the development in interest rates does not change our conclusions. Therefore, we provide new evidence that economic fundamentals and stock prices are related in quantiles.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)