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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance Research Letters

ISSN

1544-6123

e-ISSN

—

Svazek periodika

38

Číslo periodika v rámci svazku

January

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

12

Strana od-do

1-12

Kód UT WoS článku

000614074100017

EID výsledku v databázi Scopus

2-s2.0-85083891313