Study of tau- --> V P- nu(tau) in the framework of resonance chiral theory

In this paper we study two kinds of tau decays: (a) tau- --> (rho pi-,omega pi-, phi pi-, K*0 K-) nu(tau), which belong to Delta S=0 processes and (b) Delta S = 1 processes, like tau- --> (rho K-, omega K-, phi K-, \bar{K*0} pi-) nu(tau), in the framework of resonance chiral theory. We fit the tau- --> omega pi- nu(tau) spectral function and the invariant mass distribution of omega K in the process of tau- --> omega K- nu(tau) to get the values of unknown resonance couplings. Then we make a prediction for branching ratios of all channels.Comment: Published version; References added. 20 pages, 3 figures, 2 table

Stock market dispersion and unemployment

Stock market ; Unemployment

Does stock market volatility forecast returns?

Stock - Prices

Stock prices, firm size, and changes in the federal funds rate target

The Fed targeted the federal funds rate during the period 1974-79; they returned to that procedure in the late 1980s and have maintained it since then. For both periods, we find that stock prices reacted significantly to unanticipated changes in the federal funds rate target, but not to anticipated ones. Consistent with the prediction of imperfect capital market theories, the estimated impact of monetary shocks is significantly larger for small stocks than for big stocks in the late 1970s, when business conditions were typically bad. However, the "size effect" is not present in the 1990s, when business conditions were typically good. We document a similar pattern using portfolios formed according to the book-to-market value ratio. Our evidence of the state-dependent monetary effect provides support for recent rationales about the anomalous size and value premiums.Stock - Prices ; Federal funds rate ; Corporations

Stock market returns, volatility, and future output

In this article, Hui Guo shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton’s (1973) Intertemporal Capital Asset Pricing Model. The model helps explain the recent finding that stock market volatility drives out returns in forecasting real gross domestic product growth because the predictive power of returns is hampered by their positive correlation with past volatility. If the positive relation between returns and past volatility is controlled for, however, the author finds that volatility provides no additional information beyond returns in forecasting output in the post-World War II sample.Stock market ; Capital assets pricing model

Higher risk does bring higher returns in stock markets worldwide

Stock market ; Risk

The less volatile U.S. economy

Business cycles

Volatile firms, stable economy

Stocks ; Rate of return

Time-varying risk premia and the cross section of stock returns

This paper develops and estimates a heteroskedastic variant of Campbell’s (1993) ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of predictive variables, which not only have superior forecasting abilities for stock returns and variance, but also are theoretically motivated. In contrast with the early authors, we find that Campbell’s ICAPM performs significantly better than the CAPM. That is, the additional factors account for a substantial portion of the two CAPM-related anomalies, namely, the value premium and the momentum profit.Stock market ; Capital assets pricing model