Stock returns, discount rates, real activity, and money.

Description

by Ho King-hang. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 51-53). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF TABLES --- p.v / LIST OF FIGURES --- p.vi / PREFACE --- p.vii / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- LITERATURE REVIEW --- p.4 / Macroeconomic Variables as State Variables --- p.4 / Stock Returns and Real Activity --- p.5 / Efficient Capital Markets and Real Activity --- p.5 / Innovations in Real Variables --- p.7 / Impact of Real Activity across Different States of Economy --- p.9 / Stock Returns and Money --- p.10 / The Quantity Theory of Money --- p.10 / Wealth Effect and Substitution Effect --- p.12 / "Money Supply Process: Linkage between Stock Returns, Real Activity, and Money" --- p.14 / Stock Returns and Discount Rates --- p.15 / Chapter III --- DATA AND METHODOLOGY --- p.17 / The Data --- p.17 / Statistical Properties of the Data --- p.18 / Research Methodology --- p.20 / Vector Autoregression (VAR) Analysis --- p.20 / Multiple Regression Analysis --- p.24 / Chapter IV --- EMPIRICAL RESULTS --- p.27 / Crosscorrelations --- p.27 / Stock Returns and Real Activity --- p.27 / "Stock Returns, Real Activity, and Money" --- p.28 / "Real Activity, Money, and Discount Rates" --- p.30 / Unit Root Tests --- p.31 / Specification of the VAR Model --- p.35 / Stock Returns and Real Activity --- p.35 / "Stock Returns, Real Activity, and Money" --- p.35 / "Real Activity, Money, and Discount Rates" --- p.39 / Multiple Regression Analysis --- p.43 / Chapter V --- CONCLUDING REMARKS --- p.48 / BIBLIOGRAPHY --- p.51

Links & Downloads

1. cuhk:319315
2. http://library.cuhk.edu.hk/record=b5888015
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-319315

Tags

Stocks--Prices

Production (Economic theory)

Discount

Money supply

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_319315
Date	January 1994
Contributors	Ho, King-hang., Chinese University of Hong Kong Graduate School. Division of Business Administration.
Publisher	Chinese University of Hong Kong
Source Sets	The Chinese University of Hong Kong
Language	English
Detected Language	English
Type	Text, bibliography
Format	print, vii, 53 leaves : ill. ; 30 cm.
Rights	Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)