Analysis of Earnings, Stock Prices and Bond Yields: The Fed Model Approach

Prediction of the stock market valuation is a common interest to all market participants. Theoretically sound market valuation can be achieved by discounting future earnings of equities to present. Competing valuation models seek to find variables that affect the equity market valuation in a way that the market valuation can be explained and also variables that could be used to predict market valuation. In this paper we test the contemporaneous relationship between stock prices, forward looking earnings and long-term government bond yields. We test this so-called Fed model in a long- and short-term time series analysis. In order to test the dynamics of the relationship, we use the cointegration framework. The data used in this study spans over four decades of various market conditions between 1964-2007, using data from United States. The empirical results of our analysis do not give support for the Fed model. We are able to show that the long-term government bonds do not play statistically significant role in this relationship. The effect of forward earnings yield on the stock market prices is significant and thus we suggest the use of standard valuation ratios when trying to predict the future paths of equity prices. Also, changes in the long-term government bond yields do not have significant short-term impact on stock prices.

Does Rigidity of Prices Hide Collusion?

Cartel detection is one of the most basic and most complicated tasks of competition authorities. In recent years, however, variance filters have provided a fairly simple tool for rejecting the existence of price-fixing, with the added advantage that the methodology requires only a low volume of data. In this paper we analyze two aspects of variance filters: 1- the relationship established between market structure and price rigidity, and 2- the use of different benchmarks for implementing the filters. This paper addresses these two issues by applying a variance filter to a gasoline retail market characterized by a set of unique features. Our results confirm the positive relationship between monopolies and price rigidity, and the variance filter's ability to detect non-competitive behavior when an appropriate benchmark is used. Our findings should serve to promote the implementation of this methodology among competition authorities, albeit in the awareness that a more exhaustive complementary analysis is required.

The evolution and distribution of second-hand house prices in Barcelona

The aim of this study is to collect and analyze variables that could have a relationship with the second-hand house prices in Barcelona, as much disaggregated as possible from 2008 to 2011 and make a statistical analysis. The study consists of two parts. The first part is the preliminary study of the data and the second part is the econometric analysis of the data to see if there is any relationship between the second-hand house prices and the variables chosen. Finally, we looked at if there was any atypical observation and if the model presented multicollinarity. With all this information, we extract some conclusions and then, we analyzed more deeply the information.

Analysis of outliers in electricity spot prices with exampleof New England and New Zealand markets

Electricity spot prices have always been a demanding data set for time series analysis, mostly because of the non-storability of electricity. This feature, making electric power unlike the other commodities, causes outstanding price spikes. Moreover, the last several years in financial world seem to show that ’spiky’ behaviour of time series is no longer an exception, but rather a regular phenomenon. The purpose of this paper is to seek patterns and relations within electricity price outliers and verify how they affect the overall statistics of the data. For the study techniques like classical Box-Jenkins approach, series DFT smoothing and GARCH models are used. The results obtained for two geographically different price series show that patterns in outliers’ occurrence are not straightforward. Additionally, there seems to be no rule that would predict the appearance of a spike from volatility, while the reverse effect is quite prominent. It is concluded that spikes cannot be predicted based only on the price series; probably some geographical and meteorological variables need to be included in modeling.

A comparison of electricity spot prices simulation using ARMA-GARCH and mean-reverting models

The aim of this work is to compare two families of mathematical models for their respective capability to capture the statistical properties of real electricity spot market time series. The first model family is ARMA-GARCH models and the second model family is mean-reverting Ornstein-Uhlenbeck models. These two models have been applied to two price series of Nordic Nord Pool spot market for electricity namely to the System prices and to the DenmarkW prices. The parameters of both models were calibrated from the real time series. After carrying out simulation with optimal models from both families we conclude that neither ARMA-GARCH models, nor conventional mean-reverting Ornstein-Uhlenbeck models, even when calibrated optimally with real electricity spot market price or return series, capture the statistical characteristics of the real series. But in the case of less spiky behavior (System prices), the mean-reverting Ornstein-Uhlenbeck model could be seen to partially succeeded in this task.

Forecasting financial weather - can we foresee market sentiment? Quantitative analysis of nodal prices in the New Zealand Electricity Spot Market

Time series of hourly electricity spot prices have peculiar properties. Electricity is by its nature difficult to store and has to be available on demand. There are many reasons for wanting to understand correlations in price movements, e.g. risk management purposes. The entire analysis carried out in this thesis has been applied to the New Zealand nodal electricity prices: offer prices (from 29 May 2002 to 31 March 2009) and final prices (from 1 January 1999 to 31 March 2009). In this paper, such natural factors as location of the node and generation type in the node that effects the correlation between nodal prices have been reviewed. It was noticed that the geographical factor affects the correlation between nodes more than others. Therefore, the visualisation of correlated nodes was done. However, for the offer prices the clear separation of correlated and not correlated nodes was not obtained. Finally, it was concluded that location factor most strongly affects correlation of electricity nodal prices; problems in visualisation probably associated with power losses when the power is transmitted over long distance.

The impact of companies’ demergers to the stock prices: a Finnish perspective

Tässä kauppatieteiden kandidaatintyössä tutkittiin millaisia vaikutuksia julkisesti noteerattujen yhtiöiden osakekurssissa tapahtuu, kun jo valmiiksi Helsingin pörssissä listattu yritys jakautuu kahdeksi uudeksi pörssiyritykseksi. Molempien yrityksien osakkeita voi tämän jakautumisen jälkeen vapaasti ostaa tai myydä. Aikaisempi tutkimus on pääsääntöisesti keskittynyt Yhdysvaltojen markkinoille ja näiden tutkimusten tuloksien perusteella on monessa tapauksessa havautta, että on mahdollista saavuttaa ylinormaaleja tuottoja, kun pörssiyritys jakautuu kahdeksi uudeksi pörssiyritykseksi. Tässä analyysissä jakautumiset ajallisesti tapahtuivat vuosien 1994 ja 2013 välisenä aikana Suomessa ja näitä jakautumia oli yhteensä 16 kappaletta. Tutkimuksessa on hyödynnetty tilastollisten menetelmien analyysiä sekä CAP-mallia, jotta voitaisiin löytää vastauksia seuraaviin kysymyksiin: Vaikuttaako pörssiyrityksen jakautuminen kahdeksi pörssiyritykseksi alkuperäisen yhtiön ja uuden yhtiön osakekursseihin? Onko vaikutus positiivinen, negatiivinen vai onko jakautumisella mitään havaittavaa vaikutusta? Tämän tutkimuksen tulokset antavat uutta tietoa tutkijoille, analyytikoille, opettajille, opiskelijoille, yrityksille ja yritysten johdolle sekä erityisesti sijoittajille. Tulosten mukaan on nähtävissä monia vaikutuksia osakekursseissa, kun pörssiyritys jakautuu. Vaikutus näyttää kuitenkin olevan jossain määrin yritys-riippuvainen. Kun sijoitetaan oikeaan aikaan, on monia jakautuvia yrityksiä, jotka antavat hyvän tuoton keskimäärin, mutta kuten tavallista ja tyypillistä osakemarkkinoille, on myös jakautuvia yhtiöitä, jotka antavat negatiivisia tuottoja tai tuotot ovat nollassa

Open Access in Times of Knowledge Unlatched : Cooperative Action for Books and Journals

Presentation at the seminar "Publishers and Funders for OA in Finland", Helsinki, May 24, 2016

Books on the border land : a Mennonite woman's memoir of reading and remembering the sacred

This arts-based thesis, written from my perspective as a Manitoba Mennonite woman and English Language Arts educator, is a memoir of books and reading. As a voracious reader, I am dismayed by the general perception of literacy in public schools as being a set of measureable tasks, and I have found that reading, in particular, has become divorced from its traditional link to life-giving and sacred things. In this thesis, I used life writing to share some of my reading history to illustrate, in part, the degree to which books may enrich our lives by helping us understand the past, present, and future - but only if we allow them to do so.

Minute Books and Tyler’s Register of Plantagenet Preceptory No.8 Knights Templar

The Sovereign Great Priority of Canada is a national Masonic organization which consists of seventy-six preceptories that are organized within fifteen districts. The no.8 Plantagenet, St. Catharines is listed under the Hamilton District .The warrant (document issued to authorize formation of a lodge) was issued to this preceptory on November 14th, 1866. This preceptory is still active and meets on the first Monday of every month excepting June, July, August and September. with information from the website Sovereign Great Priory of Canada Meaning of the Tyler/Tiler’s Register: Historically speaking, medieval craft guilds guarded their trade secrets. They placed a guard outside their doors. This person would generally be a junior apprentice who was not entitled to attend trade discussions. The Masons continued this use of doorkeepers. In 1723 in The First Book of Constitutions Dr. James Anderson mentioned “another brother to look after the door, but shall not be a member of it” and in regulation XXVI charged the use of “doorkeepers”. In the minutes of June 8, 1732 this person’s specific title was referred to as “the Tyler”. The word “tyler” appeared in print in new regulation XXVI of the 1738 Second Book of Constitutions. The Masonic ritual of today calls him “a brother without the door”. The Tyler is usually a Past Master who is very knowledgeable in Masonic law and customs. He does not need to be a member of the lodge. He greets brethren and assures that they are “duly qualified”. He gives the first impression of the lodge and insures that visitors and members sign the Tyler’s Register. with information from www.masonicsites.org

Between the panels: How anti-Black racism has recycled myths of the Black body in comic books

Anti-Black racism continues to be a widespread problem, and as such deserves investigation and elimination. As Jackson (2006) says; “There is a hyperawareness…of the negative inscriptions associated with the Black masculine body as criminal, angry and incapacitated.” (2) To continue the study of the changing face of racism, the researcher must be well equipped with a contemporary methodology which is adaptable and exploratory. Due to the malleability of racism, research into its elimination must make inroads to areas that have heretofore been neglected and overlooked by traditional academic study. This project achieves a unique perspective by undertaking a theoretical exploration of racist stereotypes and motifs in the world of mass produced superhero comic books, a genre of comics which has neither yet been thoroughly investigated for the use of racist stereotypes nor been the focus of anti-racist scholarship.

Beyond the Books: Understanding Connections Between Teachers and Pupils From the Perspective of the Student

Using a narrative inquiry approach from the perspective of the researcher’s own experiences, this paper explores the connections that developed with several teachers that facilitated and impacted his own academic and cognitive, affective, and behavioural personal development. Viewed through the analytical lens of Erikson’s theory of psychosocial development, this narrative investigates the potential effectiveness of this model in understanding the lasting and life- altering changes that may be experienced by a student through his or her interactions with memorable teachers. Last, in educational environments today, character and value based curricula are experiencing a resurgence in popularity due to their theoretical applicability for helping students to optimally develop academically, socially, and culturally. With this in mind, a student-based perspective of memorable student–teacher connections may provide a framework for developing more effective means of effectively implementing a character development curriculum.