RISK-RETURN SEASONALITY AND MACROECONOMIC VARIABLES

In this paper I examine seasonality in the pricing of the Chen, Roll, and Ross (1986) macroeconomic variables. January seasonality is observed in the risk premia from 1932 to 1990. Examination of the 1932–57 period indicates nonstationary seasonals in the risk premia. The results cannot be attributed to the previously documented firm size effect. Residual risk is priced, and a strong January seasonality is observed in the residual risk premia. The market portfolio is not priced in the presence of the other variables. Trading volume is not priced in the individual months, but appears significant when all months are considered together.     

温家宝在《求是》杂志发表的《关于当前宏观经济形势和经济工作》一文中指出:坚持宏观调控取向不变 把握好宏观经济政策的方向 力度和节奏

今年以来,我国经济增长由政策刺激向自主增长有序转变,继续朝着宏观调控的预期方向发展。上半年经济运行的主要情况和特点:一是国民经济平稳较快发展,国内生产总值增长9.6%。三大需求对经济增长的拉动都在正常水平,内需的作用增大。社会消费品零售总额增长16.8%,固定资产投资增长25.6%,进出口总额     

MACROECONOMIC NEWS AND STOCK MARKET CALENDAR AND WEATHER ANOMALIES

An analysis of six stock market calendar and weather anomalies from 1980 to 2003 shows that (1) returns on trading days in which macroeconomic announcements were made generate the anomalies and (2) five of the six anomalies are not present at all on the trading days in which such announcements were not made (more than 60% of the sample). The results suggest that the market response to macroeconomic news, not psychological or institutional factors, is the main source of calendar and weather anomalies.     

MACROECONOMIC NEWS,STOCK TURNOVER,AND VOLATILITY CLUSTERING IN DAILY STOCK RETURNS

We study volatility clustering in daily stock returns at both the index and firm levels from 1985 to 2000. We find that the relation between today's index return shock and the next period's volatility decreases when important macroeconomic news is released today and increases with the shock in today's stock market turnover. Collectively, our results suggest that volatility clustering tends to be stronger when there is more uncertainty and disperse beliefs about the market's information signal. Our findings also contribute to a better understanding of the joint dynamics of stock returns and trading volume.     

FISCAL DEFICITS AND MACROECONOMIC PERFORMANCE IN DEVELOPING COUNTRIES

Although fiscal adjustment was urged on developing countriesduring the 1980s to lead them out of economic malaise, considerableuncertainty remains about the relations between fiscal policyand macroeconomic performance. To illustrate how financial markets,private spending, and the external sector react to fiscal policies,the behavior of holdings of money and public debt, private consumptionand investment, the trade balance, and the real exchange rateis modeled for a sample of ten developing countries. The studiesfind strong evidence that over the medium term, money financingof the deficit leads to higher inflation, while debt financingleads to higher real interest rates or increased repressionof financial markets, with the fiscal gains coming at increasinglyunfavorable terms. Consumers respond differently to conventionaltaxes, unconventional taxes (through inflation or interest andcredit controls), and debt financing, in ways that make fiscaladjustment the most effective means of increasing national saving.Private investment—but not private consumption—issensitive to the real interest rate, which rises under domesticborrowing to finance the deficit. Contrary to the popular presumption,in some countries private investment increases when public investmentdecreases. There is strong evidence that fiscal deficits spillover into external deficits, leading to appreciation of thereal exchange rate. Fiscal deficits and growth are self-reinforcing:good fiscal management preserves access to foreign lending andavoids the crowding out of private investment, while growthstabilizes the budget and improves the fiscal position. Thevirtuous circle of growth and good fiscal management is oneof the strongest arguments for a policy of low and stable fiscaldeficits.      

PRIVATE INVESTMENT AND MACROECONOMIC ADJUSTMENT:A Survey

This article reviews theories of investment behavior and examinesempirical studies of investment in developing countries. Theemphasis is on understanding the interactions among macroeconomicpolicies, structural adjustment, and private investment. Thearticle deals with the effect of exchange rate policy on investment,the relationship between public and private investment, theimportance of market imperfections and financial constraintson capital formation, and the effect of economic instabilityon irreversible investment decisions.      

FACTORS AFFECTING THE BEHAVIOUR OF UK CLOSED END FUND DISCOUNTS 1968 TO 1977

This paper examines the behaviour of UK investment trust discounts for a sample of funds over the ten-year period 1968 to 1977. The cross section variability of fund discounts is considered using fundamental analysis and a large number of potentially important factors are isolated and measured. Using multiple regression analysis, the optimal set of explanatory factors is ascertained, and it is found that the best fitting linear model changes substantially from year to year. The results indicate that fundamental analysis using cross section data may not be useful in the analysis and forecasting of UK closed end fund discounts.     

MACROECONOMIC VARIABLES AND SEASONAL MEAN REVERSION IN STOCK RETURNS

In this paper I investigate whether seasonal mean reversion in stock portfolio returns is related to common macroeconomic risk factors. I decompose excess returns into explained and unexplained returns using a multifactor pricing model. The explained excess returns exhibit January mean reversion; the unexplained excess returns do not. The mean reversion can be attributed to the components of return related to unexpected inflation, bond default premium, and market risk. The results do not depend on the time-series properties of the portfolio betas. Bond default premia and excess market returns are mean reverting in January.     

FIRM CHARACTERISTICS AND ANALYST FOLLOWING IN THE UK

Bhushan (1989) proposed a model of analyst following, which he tested for US companies in 1985. The model was successful, in that the eight variables considered likely to influence analyst following were found to be significant in the regression model used, and an adjusted R²of 70% was achieved. The aim of this paper is to adapt his model and test it for UK companies using survey and other data from 1991. Bhushan found that the level of analyst following for a firm was positively associated with level of institutional investment, variability of returns, the correlation between the firm return and the market return and firm size. There was a negative association with the level of insider shareholdings and industrial diversification. The industrial category of the firm also was significant. This study shows similar results using data on analyst following of UK quoted companies, although industrial diversification does not appear to be an important factor in the UK, and the overall explanatory power of the model is lower than in Bhushan's study. An additional variable, the number of overseas listings, was found to add to the explanatory power of the model.     

DEREGULATION AND THE VOLATILITY OF UK STOCK PRICES

This paper examines the behaviour of the UK stock market for significant changes in volatility over the four years surrounding Big Bang i.e. 27 October, 1986 when the market was substantially deregulated. The main findings are that after Big Bang but prior to Black Monday, the UK stock market was no more volatile than prior to Big Bang, but that after Black Monday, the UK market was more volatile than prior to Big Bang even after adjusting for increases in global volatility.