Macroeconomic risk and the determination of expected returns on stocks

Article Abstract:

The relationship between the stock market and a set of macroeconomic variables is investigated. The changes in the expected excess returns on a broad stock market index are also examined. The expected risk on the stock market is related to macroeconomic risk. Industrial growth, inflation and interest rates determine the behavior of excess returns on stocks. Volatile macroeconomic factors mean high risks in the stock market.

Risk (Economics)

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R/S analysis and long term dependence in stock market indices

Article Abstract:

A mean reversion process was established from recent studies on the long-term dependence in stock market indices. The use of rescaled range analysis, however, indicate the absence of a mean reversion process. Long term persistence in a nonperiodic cycle has been found instead. The issue on long-term dependence is investigated using rescaled range analysis. Empirical results imply dependence from the general economic cycle.

Securities & Commodities Exchanges

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Covariance analysis as an alternative event-study methodology

Article Abstract:

Analysis of Covariance may be used to study abnormal events and returns in finance related areas. The technique offers flexibility that the commonly used benchmark approach lacks. Underperformance and overperformance are key elements on covariance analysis and underperform options usually allow investors to earn excess returns while the overperform options lack a certain degree of accuracy but are generally correct.

Usage, Analysis of covariance, Covariance analysis

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