Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations PDF Download
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Author: Thiago R.T. Ferreira
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ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are important drivers of business cycles, identifying these shocks using both vector autoregressions and a dynamic stochastic general equilibrium model. Financial skewness appears to reflect the exposure of financial firms to the economic performance of their borrowers.
Author: Thiago R.T. Ferreira
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are important drivers of business cycles, identifying these shocks using both vector autoregressions and a dynamic stochastic general equilibrium model. Financial skewness appears to reflect the exposure of financial firms to the economic performance of their borrowers.
Author: Ian Dew-Becker
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Category :
Languages : en
Pages :
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Book Description
This paper presents a novel and unique measure of cross-sectional uncertainty constructed from stock options on individual firms. Cross-sectional uncertainty varied little between 1980 and 1995, and subsequently had three distinct peaks -- during the tech boom, the financial crisis, and the coronavirus epidemic. Cross-sectional uncertainty has had a mixed relationship with overall economic activity, and aggregate uncertainty is much more powerful for forecasting aggregate growth. The data and moments can be used to calibrate and test structural models of the effects of uncertainty shocks. In international data, we find similar dynamics and a strong common factor in cross-sectional uncertainty. The data is available on our websites. A companion paper [Dew-Becker and Giglio, "Real-time forward-looking skewness over the business cycle"] finds firm-level skewness is significantly procyclical.
Author: Martin Iseringhausen
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ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 42
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Book Description
We develop a data-rich measure of expected macroeconomic skewness in the US economy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cyclicality in the skewness of real variables, is highly correlated with the cross-sectional skewness of firm-level employment growth, and is distinct from financial market skewness. Revisions in expected skewness deliver dynamics that are nearly indistinguishable from those produced by the main business cycle shock of Angeletos et al. (2020). This result is robust to controlling for macroeconomic volatility and uncertainty, and alternative macroeconomic shocks. Our findings highlight the importance of higher-order dynamics for business cycle theories.
Author: Jörg Döpke
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ISBN:
Category : Business cycles
Languages : en
Pages : 46
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Author: Simon Oh
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Category :
Languages : en
Pages : 0
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Book Description
This paper evaluates skewness in the cross-section of stock returns in light of predictions from a well-known class of models. Cross-sectional skewness in monthly returns far exceeds what the standard lognormal model of returns would predict. However, skewness in long-run returns substantially understates what the lognormal model would predict. Nonstationary share dynamics imply a breakdown in the distinction between market and idiosyncratic risk in the lognormal model. We present an alternative model that matches the skewness in the data and implies stationary wealth shares. In this model, idiosyncratic risk is the primary driver of growth in the economy.
Author: Edgar Lawrence Smith
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 232
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Book Description
Author: Paramsothy Silvapulle
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ISBN:
Category : Business cycles
Languages : en
Pages : 40
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Author: Marcelle Chauvet
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ISBN:
Category :
Languages : en
Pages : 31
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Book Description
This paper explores the dynamic relationship between stock market fluctuations and the business cycle. Presumably, stock market movements reflect positions taken by market participants based on their assessment about the current state of the economy. Given the forward-looking behavior of stock market investors, this paper explores the possibility of predicting business cycle turning points using promptly available financial variables. Stock market fluctuations and business cycles are represented by nonlinear dynamic factors at the monthly frequency. The proposed model generates predictions of business cycle turning points using the business cycle factor, and anticipation of these predicted turns using the stock market factor. The findings indicate that the extracted stock market factor is found to be a leading indicator of the state of the business cycle and can be used to anticipate its turning points in real time.
Author: Ed Easterling
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ISBN:
Category : Business & Economics
Languages : en
Pages : 302
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Book Description
Before you read any how-to investment books or seek financial advice, read Unexpected Returns, the essential resource for investors and investment professionals who want to understand how and why the financial markets are not the same now as they were in the 1980s and 1990s. In addition to explaining the fundamentals, this book takes you on a graphic journey through the seasons of the market, tying together economics and finance to explain the stock market's cycles. Using comprehensive full-color charts and graphs, it offers an in-depth exploration of what has changed over the past five years - and what you can do about it to avoid disappointment with your investments. This unique combination of investment science and investment art will enable you to differentiate between irrational hope and a rational view of the current financial markets. Based on years of meticulous research, it provides the sensible conclusions that will drive your future investment choices and give you the confidence to rely on your investment outlook, whatever your financial strategy. Book jacket.
Author: Ian Dew-Becker
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper measures option-implied skewness for individual firms and the overall stock market between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly procyclical, while macro skewness is acyclical; 2. Micro skewness leads the business cycle and is strongly linked to credit spreads, suggesting one potential causal channel; 3. Micro skewness is significantly, and not mechanically, correlated with macro volatility, implying that there is a common shock driving them both, which is also linked to the business cycle.
