1,720,967 research outputs found
Stocks hedge against inflation in the long run: evidence from a cointegration analysis for Denmark
No full textWe suggest an alternative approach to testing whether stocks provide a hedge against inflation in the long run. Based on a simple structural model, we test the hedge hypothesis in terms of the long-run linkage between stock prices and the general price level, as estimated by cointegration analysis. Using data for the Danish stock market over the post-World War II-period, results give strong support for the hedge property, defined in the narrow sense of a perfect hedge. This contrasts with the weak support found in the literature and also represents stronger support than produced by standard methods. We argue that our approach has the advantage of allowing for a clear distinction between short- and long-run dynamics of stock prices which adjust slowly to long-run equilibrium
A Simple Explanation of Stock Price Behavior in the Long Run: Evidence for Denmark
No full textUsing Danish data for the post-World War II-period, we estimate a simple model for the long-run behavior of stock prices. We find a stable and strong cointegrating relation between stock prices and two macroeconomic fundamentals variables, firm profits and the nominal bond rate. Both fundamentals are highly significant. Growth in profits drives the long-run trend in stock prices while the bond rate explains the observed large deviations from trend growth. The behavior of the bond rate accounts for the evident split of the Danish stock market into a bearish period before the early 1980s and a subsequent bullish period. Likewise, a decline in the bond rate explains a major part of the large capital gains realized in recent years
En forbrugsrelation for husholdningerne
Get PDFIn this paper, we estimate a consumption function based on a new set of data for household wealth. The basis is a standard error correction model where consumption is driven by income and wealth developments in the long run. The model which is estimated on quarterly data for the period 1973-2005 is characterized by a long-run relationship which is significant and stable over time. Moreover, the model satisfies a homogeneity requirement, implying that consumption is proportional to income and wealth in the long-run. The model can, basically, be interpreted as a re-estimated version of the existing consumption function in Mona, which is based on income and wealth data for the aggregate private sector. However, the latter model has difficulties in explaining consumption developments in the years after 1998 where the relationship between consumption and wealth ratios for the private sector has turned out not longer to be valid. The use of data for households is theoretically more adequate when modelling private consumption and, at the same time, solves the problem of model instability over the most recent years
STOCKS HEDGE AGAINST INFLATION IN THE LONG RUN: EVIDENCE FROM A COIN- TEGRATION ANALYSIS FOR DENMARK
No full textWe suggest an alternative approach to testing whether stocks provide a hedge against inflation in the long run. Based on a simple structural model, we test the hedge hypothesis in terms of the long-run linkage between stock prices and the general price level, as estimated by cointegration analysis. Using data for the Danish stock market over the post-World War II-period, results give strong support for the hedge property, defined in the narrow sense of a perfect hedge. This contrasts with the weak support found in the literature and also represents stronger support than produced by standard methods. We argue that our approach has the advantage of allowing for a clear distinction between short- and long-run dynamics of stock prices which adjust slowly to long-run equilibrium.Stocks; Hedge; Inflation; Denmark; Stock prices
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
REGIME-SWITCHING STOCK RETURNS AND MEAN REVERSION
No full textWe estimate a well-specified two-state regime-switching model for Danish stock returns. The model identifies two regimes which have low return-low volatility and high return-high volatility, respectively. The low return-low volatility regime dominated, except in a few, short episodes, until the beginning of the 70s whereas the 80s and 90s have been characterized by high return and high volatility. We propose an alternative test of mean reversion which allows for multiple regimes with potentially different constant and autoregressive terms and different volatility. Using this test procedure we find mean reversion at 10% but not at 5% significance level which is weaker evidence than produced by estimating a standard autoregressive model for returns. Furthermore, when analyzing contributions of the two regimes we find that the indication of mean reversion is due to the recent high return-high volatility regime only.Regime-Switching; Stock returns; Mean reversion; Denmark
Risiko for kollaps på aktiemarkedet - eller hvad?
Get PDFMed afsæt i et historisk lavt dividende-pris (D-P) forhold har Tom Engsted & Carsten Tanggaard prædikteret, at det danske aktiemarked vil falde med 50 % i.f.t niveauet i 1996, idet en tilbagevenden af D-P ratioen til det historiske gennemsnit hævdes primært at komme i stand via styrtdykkende aktie kurser. Forecastet bygger på den præmis, at D-P forholdet vil vende tilbage til det historiske gennemsnit, men det behøver ingenlunde at være tilfældet grundet fundamentalt ændrede skatteregler. Vi præsenterer alternative forecasts baseret ikke kun på D-P ratioen, men også på en række andre nøgletal, jf. Olesen & Risager (1998). Disse forecasts er ikke følsomme overfor præmisser vedrørende D-P forholdets tilbagevenden til det historiske gennemsnit
- …
