Stock Market Valuations across U.S. States

The Role of Financial Reporting in Reducing Financial Risks in the Market

Increased globalization of financial and product markets has raised the interest of both market participants and regulators in the quality of financial reporting worldwide. The rise in the volatility of stock returns across the globe in the past couple of years has also been a concern. Could greater transparency in financial statement information reduce volatility and produce more accurate stoc...

Pre-Labeling Market Valuations in the U.S. Green Building Stock and the Causal Effect of Green Labels

Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain

The interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative a...

Exchange rate volatility and its effect on stock market volatility

This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...

The structure of equity markets across countries: Scarcity and stock valuations

We build a dataset of the industrial composition of the stock market and the economy for 26 countries. This composition is far from representative of that of the economy, particularly in less-developed markets. Based on this, we build a measure of scarcity of investable securities and show that industries that are underrepresented relative to the economy exhibit higher valuations. Moreover, val...