What significance can be attached to changes in the level of common stock prices? Ceteris paribus we usually assume that common stock prices are an external reflection of the performance of the firm in comparison with its profitability and growth.¹ This notion is generally referred to as the Baumol Hypothesis. The fact remains, however, that the usefulness of this hypothesis rests upon its ability to explain and predict stock price changes. In other words, it must be possible to discern a statistically significant relationship between the variables which reflect the activity of the firm (i.e., internal measures of performance) and the price of its stock (i.e., external measure of performance). This paper reports the results of an extended study of the relationship between stock price and the internal measures of firm performance. It employs annual financial data (over the period 1948-1966) for 99 of the 200 largest manufacturing corporations. The individual company stock price index used was computed from a monthly company stock price series. This base series contains the market price and the number of shares outstanding of each issue on the last Friday of each month. The other financial data was gathered from Moody's Industrials. Using this data, a series of simple regressions was computed to test for any significant relationship between stock prices and the selected measures of performance. The results were analyzed by cross~section analysis and by two- and three-digit industry analysis. It was found that assets, sales, net worth and profits all exhibit consistently significant and high r² values, whereas the profit ratios are much less important in explaining stock price variations. / Master of Arts

A multi-market model relating the variance of relative price changes to unanticipated inflation and real income was developed by Richard Parks for an article in the Journal of Political Economy. Parks used annual data in his estimation, and his use of the current rate of inflation as a predictor for next period's rate was rather simplistic. In this paper, his model was tested with two alternative specifications for anticipated inflation and with quarterly rather than annual data for the period 1947 through 1978. Anticipated inflation was estimated by (1) a time-series of past interest rates, and (2) a time-series of past inflation rates and the money supply. The multi-market model was estimated by employing the Cochrane-Orcutt iterative technique. The regression results gave additional support for Parks' model, but the respective roles for the two causal variables, unanticipated inflation, and real income, were reversed. Unanticipated inflation was seen to have a stronger effect in the quarterly data than it had in Parks' estimation with annual data. Relative price changes that result from an inflation that is unanticipated was said to be a temporary phenomenon. This was suggested to be the reason for the role reversal of the two causal variables because a temporary relationship such as the model attempts to estimate would be expected to show itself more significantly in quarterly data than it would in annual data. It was also suggested that unanticipated inflation may play a role in the persistence of staflation. / M.A.

This dissertation reports a multimethod investigation of the relationship between market price knowledge and the width of the acceptable price range. Psychophysics and Social judgment theory are discussed as supporting the existence of acceptable price thresholds (limits) and acceptable price range. Hypotheses stemming from Social judgment theory are offered directly relating market price knowledge with the width of the acceptable price range. The relationship between market price knowledge and acceptable price range was investigated using two different methods, the Stoetzel and the Own-Category method. Unlike the previous acceptable price limit studies, this research assessed the reliability and construct validity of each of those methods. The research design used was a laboratory experiment with a series of 2 x 2 factorials based on the Solomon 4 group-six study design. The dependent variables were: (1) the acceptable lower price limit, (2) the acceptable upper price limit, and (3) the acceptable price range. The independent variable was market price knowledge. The two-way anova design had two factors. The first factor had two levels: absence and presence of market price knowledge. The second factor consisted of two levels: pretest and no pretest treatments. The research hypothesis was tested using (1) two-way analysis of variance, (2) analysis of covariance using sex and prior price knowledge as covariates, and (3) paired t-tests. Test-retest reliability of the two methods were assessed using Pearson's correlation coefficient. Pearson correlation coefficients were also used to set validity coefficients. Those coefficients were used to assess construct validity of the two measures in terms of convergent and discriminant validity within the context of Campbell and Fiske's multitrait-multimethod zero-order correlation matrix. In general, the experimental results partially confirmed the hypothesis that the acceptable price range would be narrower for subjects possessing market price knowledge than for those subjects possessing little or no market price knowledge. The results of the Stoetzel method supported the hypothesis, but the hypothesis was not supported when the same subjects used the OwnCa Category method. The results did support the hypothesis that the two methods were valid measures of ac~eptable price thresholds with the OwnCa Category method producing higher reliability scores than the Stoetzel method. Results of the dissertation are discussed with respect to the major findings and significance to price theory and research. The dissertation concludes with a discussion of the study limitations and directions for future research. / Ph. D.

Yes / As major financial crises, and the rise of China have shaped the new world order, so it is inevitable that those nations, especially in South East Asia, that once looked west for stability need to reappraise their situation. With the markets so intertwined in events, studying the propagation of equity price shocks within the wider set of macroeconomic variables allows us to say more about how relations are changing, and the likely impacts of any future crash. With data reaching into 2014, this paper is better able to reflect the post global financial crisis period. Using a Global Vector Autoregressive (GVAR) model we analyse these changes and what lies in store for South East Asia, and the ASEAN 4 in particular. Isolating three distinct trade patterns in our weight matrices responses to crises are clearly identifiable, and the opening up of China readily chartable. Indirect effects of China’s rise are highlighted; impacts on the ASEAN 4 being via other nations to date, but direct impact is appearing.

The Bureau of Labor Statistics (BLS) has historically collected retail meat prices from various supermarkets to use in its calculation of the Consumer Price Index. The Economic Research Service (ERS) of the U.S. Department of Agriculture is responsible for reporting retail meat prices, which it acquires from the BLS. The Mandatory Price Reporting legislation of 1999 mandated that the ERS develop and report a more extensive set of retail meat prices. The legislative initiative of 1999 came about due to the absence of prices for some species and classes of meat as well as the growing and pervasive belief that BLS price series were incorrect, inaccurate, or were at the very least not accounting for the large volume of meat sales at special and/or discounted prices. The main purpose of this thesis project was to identify some of the major data shortcomings of the current retail meat price series that should be addressed in the restructuring of a new price reporting system. A survey was administered to retail meat price users to establish which shortcomings in the historical retail meat price series they consider to be the most significant. The other aspect of this study was concerned with analyzing weekly retail scanner meat price data for five beef cuts to establish the impact of quantity-weighting on the mean and variance of the retail meat price series, as well as the own-price elasticity parameter. / Master of Science

This dissertation investigates the dissimilar use of price and intrinsic information in product quality assessments by differentially familiar buyers. Further, the impact of price and intrinsic information in evaluating monetary sacrifice, product value and purchase intention are examined. In particular, the impact of differing degrees of buyer familiarity with the product is hypothesized to affect the extent to which price or intrinsic information is used to assess product quality. A secondary set of hypotheses posits relationships between different cues used in value perceptions and manifestations of behavioral intention, depending on buyer familiarity with the product. Pre-experimental work was conducted to accomplish numerous objectives. First, it was necessary to identify a product which exhibited an objective quality-price association in the marketplace that would be used in the experiment. Second, price and intrinsic cue levels were established through pretests. Third, with the assistance of experts, a scale was developed to determine subject familiarity with the product. Based on refinements dictated by pre-experimental work, data were collected to examine the effects of price and intrinsic cues on perceptions of quality, sacrifice, value and willingness to buy, in a 4x2 between subjects factorial design. Subjects' familiarity with the product was assessed and, depending on their degree of familiarity, their responses were analyzed in one of three similar experiments. Data were collected using both magnitude and category scaling procedures. The degree to which variations in the independent variable resulted in variations in responses were compared for the three differentially familiar groups to assess support for the hypotheses. In general, there is a great deal of support for the primary hypotheses, suggesting that unfamiliar, moderately familiar and highly familiar buyers display different cue utilization strategies while assessing product quality. It is likely that all subjects not having the same value for money resulted in relatively weak support for the secondary hypotheses. The implications of the findings are discussed from the perspectives of conceptual, methodological and analytical advances as well as practitioner relevance. The limitations of the research effort are outlined as are potential areas of future research. / Ph. D.

No description available.

This study examines the dynamic interaction between housing prices, stock prices and the repo rate in the Stockholm region by using the Johansen tests for cointegration. Several studies have been done on this topic, but the results are mixed across the world, and not many have been done in Scandinavia. This study contributes to the literature by examining eleven years of monthly data for the housing prices in the Stockholm region. We find evidence of a long-run relationship between housing prices, stock prices and the interest rate. There is a negative relationship between housing prices and the interest rate as well as between stock prices and the interest rate, but a positive relationship between housing prices and stock prices.  However, the results are somewhat sensitive to model specification and therefore further studies on the topic are encouraged.

published_or_final_version / Economics and Finance / Master / Master of Economics

published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy