This paper examines the dependence structure between the emerging stock markets of the
BRICS countries and influential global factors. Using the quantile regression approach, our …

I review empirical research on the relation between capital markets and financial statements.
The principal sources of demand for capital markets research in accounting are fundamental …

We test whether the reaction of international stock markets to oil shocks can be justified by
current and future changes in real cash flows and/or changes in expected returns. We find …

Stock market returns are significantly correlated with inflation and money growth. The impact
of real macroeconomic variables on aggregate equity returns has been difficult to establish …

We show that the joint behavior of stock prices and TFP favors a view of business cycles
driven largely by a shock that does not affect productivity in the short run–and therefore does …

Motivated by the evidence that risk premia are large and countercyclical, this paper studies a
tractable real business cycle model with a small risk of economic disaster, such as the Great …

This paper studies asset returns in different versions of the one-sector real business cycle
model. We show that a model with habit formation preferences and capital adjustment costs …

This paper investigates the joint time series behavior of monthly stock returns and growth in
industrial production. We find that stock returns are well characterized by year‐long …

Previous research finds that fundamental macroeconomic news has little effect on stock
prices. We show that after allowing for different stages of the business cycle, a stronger …

Within the framework of a standard discounted value model, we examine whether a number
of macroeconomic variables influence stock prices in the US and Japan. A cointegration …