This paper explores the relationship between lagged stock returns and export growth in a panel of worldwide markets. Previous studies have focused on analyzing the effect of future economic output growth on stock returns. This study finds that annualized changes in a foreign country’s exports to the United States five to seven years in the future, defined as long-term, positively predict the annual stock market returns while the nation’s total export changes are already priced-in. An additional percentage point increase in long-term exports to the United States growth results in a 0.1 to 3.5 percentage point rise in annual stock returns. However, both growth in total exports and those to the United States do not predict equity returns over the short-term, defined as average annual growth from year 0 to year 4. Thus, establishing a foothold and cracking the highly competitive and homogeneous United States market is not guaranteed and unpredictable, requiring 5 years of investments before successful foreign firms are able convert it into earnings. Alternatively, investors may be shortsighted, uninformed, and pay limited attention about a foreign country’s exports to the United States beyond their forecast horizon, for example, five years. Moreover, the analysis finds that GDP growth at both the foreign country and United States level does not affect lagged foreign stock returns and could be priced-in, unlike long-term growth in the nation’s exports to United States.

Typescript. / Thesis (Ph.D.)--University of Hawaii at Manoa, 1986. / Bibliography: leaves 115-120. / Microfilm. / x, 120 leaves 29 cm

Thesis (M.A.)--University of North Texas, Aug., 2007. / Title from title page display. Includes bibliographical references.

Diss. (sammanfattning) Uppsala : Sveriges lantbruksuniversitet, 2005. / Härtill 3 uppsatser.

Thesis (Ph. D.)--University of Notre Dame, 1996. / Includes bibliographical references (leaves 241-261).

Thesis (Ph. D.)--Syracuse University, 2005. / Vita. Includes bibliographical references (leaves 59-63).

Thesis (Ph. D.)--State University of New York at Binghamton, Department of Sociology, 2008. / Includes bibliographical references.

abstract: I study the importance of financial factors and real exchange rate shocks in explaining business cycle fluctuations, which have been considered important in the literature as non-technological factors in explaining business cycle fluctuations. In the first chapter, I study the implications of fluctuations in corporate credit spreads for business cycle fluctuations. Motivated by the fact that corporate credit spreads are countercyclical, I build a simple model in which difference in default probabilities on corporate debts leads to the spread in interest rates paid by firms. In the model, firms differ in the variance of the firm-level productivity, which is in turn linked to the difference in the default probability. The key mechanism is that an increase in the variance of productivity for risky firms relative to safe firms leads to reallocation of capital away from risky firms toward safe firms and decrease in aggregate output and productivity. I embed the above mechanism into an otherwise standard growth model, calibrate it and numerically solve for the equilibrium. In my benchmark case, I find that shocks to variance of productivity for risky and safe firms account for about 66% of fluctuations in output and TFP in the U.S. economy. In the second chapter, I study the importance of shocks to the price of imports relative to the price of final goods, led by the real exchange rate shocks, in accounting for fluctuations in output and TFP in the Korean economy during the Asian crisis of 1997-98. Using the Korean data, I calibrate a standard small open economy model with taxes and tariffs on imported goods, and simulate it. I find that shocks to the price of imports are an important source of fluctuations in Korea's output and TFP in the Korean crisis episode. In particular, in my benchmark case, shocks to the price of imports account for about 55% of the output deviation (from trend), one third of the TFP deviation and three quarters of the labor deviation in 1998. / Dissertation/Thesis / Ph.D. Economics 2011

Este trabalho estuda o desempenho do comércio externo brasileiro no período 1999-2005, especialmente a evolução do saldo comercial, das exportações e das importações de vários produtos da indústria nacional. Além de fazer uma análise da composição do saldo, estimam-se as funções valor das exportações e valor das importações de produtos industriais, de acordo com a classificação por produto do Sistema de Contas Nacionais do IBGE, através da técnica econométrica de painel. Os principais resultados mostram a importância do ambiente internacional e da demanda doméstica para explicar os resultados comerciais brasileiros, o primeiro com influência positiva e o segundo, negativa. A taxa de câmbio é considerada uma variável relevante apenas para explicar o valor das importações. / This thesis investigates the performance of the Brazilian foreign trade in the period 1999-2005, particularly the evolution of the trade balance, the exports and the imports of several national industrial products. Apart from performing an analysis of the trade balance, it estimates the exports value and the imports value of industrial goods through econometric panel data, according to the IBGE (Brazilian Bureau of Data) classification sector. The main results show the importance of the international commerce and of the domestic demand so as to explain the Brazilian trade results, the former with positive influence and the latter with negative. The exchange rate is significative only to explain the imports value.

Este trabalho estuda o desempenho do comércio externo brasileiro no período 1999-2005, especialmente a evolução do saldo comercial, das exportações e das importações de vários produtos da indústria nacional. Além de fazer uma análise da composição do saldo, estimam-se as funções valor das exportações e valor das importações de produtos industriais, de acordo com a classificação por produto do Sistema de Contas Nacionais do IBGE, através da técnica econométrica de painel. Os principais resultados mostram a importância do ambiente internacional e da demanda doméstica para explicar os resultados comerciais brasileiros, o primeiro com influência positiva e o segundo, negativa. A taxa de câmbio é considerada uma variável relevante apenas para explicar o valor das importações. / This thesis investigates the performance of the Brazilian foreign trade in the period 1999-2005, particularly the evolution of the trade balance, the exports and the imports of several national industrial products. Apart from performing an analysis of the trade balance, it estimates the exports value and the imports value of industrial goods through econometric panel data, according to the IBGE (Brazilian Bureau of Data) classification sector. The main results show the importance of the international commerce and of the domestic demand so as to explain the Brazilian trade results, the former with positive influence and the latter with negative. The exchange rate is significative only to explain the imports value.