Multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference

Copyright @ 2011 University of BirminghamHere a multifactor model of UK stock returns is developed, replac- ingHere a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on US wealth. Two step Instrumental Variables and Generalized Method of Moments estimators are applied to reduce the impact of weak instruments. The standard errors are corrected for the generated regressor problem and the model is found to explain UK excess returns by UK consumption growth and expected US excess returns. Hence, controlling for nominal effects by subtracting a risk free rate and conditioning on real US excess returns provides an appealing explanation of the equity premium puzzle. US excess returns. Hence, controlling for nominal e¤ects by subtracting a risk free rate and conditioning on real US excess returns provides an appealing explanation of the equity premium puzzle

A multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference

Here a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on US wealth. Two step Instrumental Variables and Generalized Method of Moments estimators are applied to reduce the impact of weak instruments. The standard errors are corrected for the generated regressor problem and the model is found to explain UK excess returns by UK consumption growth and expected US excess returns. Hence, controlling for nomina l effects by subtracting a risk free rate and conditioning on real US excess returns provides a coherent explanation of the equity premium puzzle

Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies

In this paper we extend the time series analysis to the panel framework to test the C-CAPM driven by wealth references for developed countries. Specifically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error components. The empirical ndings of this two-factor model with various specifications all indicate that there is significant unobserved heterogeneity captured by cross-country fixed e¤ects when consumption growth is treated as a common factor, of which the average risk aversion coefficient is 4.285. However, the cross-sectional impact of home consumption growth varies dramatically over the countries, where unobserved heterogeneity of risk aversion can also be addressed by random effects

The monetary model of the US Dollar–Japanese Yen exchange rate: An empirical investigation

This article considers the long-run performance of the monetary approach to explain the dollar–yen exchange rates during a period of high international capital mobility. We apply the Johansen methodology to quarterly data over the period 1980:01–2009:04 and show that the historical inadequacy of the monetary approach is due to the breakdown of its underlying building-blocks, money demand stability and purchasing power parity. Our findings on long-run weak exogeneity tests emphasize the importance of the extended model employed here. This shows that cumulative shocks to nominal exchange rates can be explained by variables outside the usual price and interest rates

An empirical investigation of the relationship between the real economy and stock returns for the United States

This paper tests for the relationship between excess returns and economic growth rates in the U.S., using a Seemingly Unrelated Regression (SUR) approach. The system includes monthly data for inflation, consumption, narrow money supply and personal disposable income and each equation has up to 24-lagged Autoregressive terms. After removing the four major shocks associated with Black Monday, the Asian Crisis, “9·11” and its anniversary, we cannot find any ARCH behaviour in either the excess returns or the money series. The models are reduced to their parsimonious forms and the inflation and real consumption equations are corrected for ARCH. To make the result more robust we reduce our system to four equations by conditioning on income and testing the remaining equations for stability. The SUR model suggests strong long-run feedback between the financial sector and the real economy firstly through inflation, then consumption while the influence of real money supply appears transitory. Consumption is more sensitive to the economic variables in short and long run as compared with stock market windfalls

Determination of gas volume trapped in a closed fluid system

Technique involves extracting known volume of fluid and measuring system before and after extraction, volume of entrapped gas is then computed. Formula derived from ideal gas laws is basis of this method. Technique is applicable to thermodynamic cycles and hydraulic systems

On the linkages between stock prices and exchange rates: evidence from the banking crisis of 2007-2010

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated producing evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and bidirectional causality in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in the US and in the opposite direction in the euro area and Japan, whilst there is evidence of bidirectional feedback in Switzerland and Canada. The results of the time-varying correlations also show that the dependence between the two variables has increased during the recent financial crisis. These findings imply limited opportunities for investors to diversify their assets during this period

NASA scientific and technical program: User survey

Results are presented of an intensive user requirements survey conducted by NASA's Scientific and Technical Information (STI) Program with the goal of improving the foundation for the user outreach program. The survey was carried out by interviewing 550 NASA scientists, engineers, and contractors and by analyzing 650 individual responses to a mailed out questionnaire. To analyze the user demographic data, a data base was built and used, and will be applied to ongoing analysis by the NASA STI Program

Research in structures, structural dynamics and materials, 1989

Topics addressed include: composite plates; buckling predictions; missile launch tube modeling; structural/control systems design; optimization of nonlinear R/C frames; error analysis for semi-analytic displacement; crack acoustic emission; and structural dynamics

An empirical examination of the price-dividend relation with dividend management

Some recent empirical evidence suggests that stock prices are not properly modelled as the present discounted value of expected dividends. In this paper we estimate a present value model of stock price that is capable of explaining the observed long-term trends in stock prices. The model recognizes that firm managers control cash dividend payments. The model estimates indicate that stock price movements may be explained by managerial behavior.Stocks ; Stock market