Time series analysis of the relationships among (macro) economic variables, the dividend yield and the price level of the S&P 500 Index

In this article, the relationships among the dividend yield on the S&P 500 Index, the yield on the 10 year Treasury note, the price level of the S&P 500 Index, the money supply, the level of the Industrial Production Index (IPI) and the level of the Consumer Price Index (CPI) are examined using monthly data from January 1959 to December 2009. We use a Vector Error Correction Model (VECM) to examine the possible simultaneous and cross short run relationships among the variables. The error correction portion of the model also allows us to examine long run relationships. We find evidence that there are simultaneous and significant interactions among the variables of interest. Specifically, all the variables exhibit endogeneity to some degree. Some of the discrepancies between our results and the results of others may lie in the sensitivity of the analysis to the time period of the sample. The two major implications of this study are to demonstrate that it would be a major folly of investors to consider only a direct cause and effect relationship among economic variables when selecting investments and to demonstrate that the endogeneity of macroeconomic and firm-specific variables needs to be taken into account when estimating econometric models.S&P Index, macroeconomic variables, time series analysis, dividend yield,

Why did some firms perform better in the global financial crisis?

We explore what firm and macroeconomic factors assisted Chinese firms to resist the global financial crisis. We find that firms with higher top ten shareholder ratios or firms that are older exhibited saliently higher performance during the crisis, but performed poorly during the non-crisis period. Firm size has a notably negative impact on firm performance. Firms audited by the Big Four accounting firms have a significantly negative correlation with performance. During the crisis, stock markets became less efficient in incorporating firm-specific information into stock prices, signifying that the determinants of firm performance vary across non-crisis and crisis periods