Confidence, bond risks, and equity returns

Zhao, Guihai

doi:10.1016/j.jfineco.2017.09.007

Cited by 17 publications

(16 citation statements)

References 60 publications

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“…These differences suggest a sample break in the late 1990s. Next, and more specific to 1997, Zhao (2017) finds that the relation between inflation and ambiguity about future consumption growth switched, on average, from positive to negative in 1997. His study on stock returns and inflation analyzes separately the 1979–1996 and 1997–2011 periods.…”

Section: Data Description and Methodology Choicesmentioning

confidence: 99%

“…Prior literature has presented evidence suggestive of items 1 and 2 above; see David and Veronesi (2013), Zhao (2017), Boons et al (2020), and Zeng and Zhao (2021). Thus, to this point in our paper, our primary contribution lies in documenting the behavior in items 3 through 5 above.…”

Section: Stock‐inflation Dynamics Over We Timesmentioning

confidence: 98%

“…Section 5.2, motivated by Zhao (2017), shows that inflation shocks are more positively (negatively) related to ambiguity about expected consumption growth over WE times during our pre‐1997 (post‐1997) period. These findings suggest that Zhao's ambiguity‐averse framework could be another contributing channel behind our main results that the stock‐inflation correlation is stronger during WE times.…”

Section: Introductionmentioning

confidence: 98%

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Stock returns and inflation shocks in weaker economic times

Connolly

Stivers

Sun

2021

Financial Management

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We show that the concurrent relation between quarterly stock returns and inflation shocks is economically and robustly significant only over weaker economic (WE) times, strongly negative prior to the late 1990s, and strongly positive afterwards. Conversely, in the stronger economic times over our 1981 to 2017 sample, this stock-inflation relation is relatively much smaller and usually marginally negative. Our evidence suggests a role for two complementary channels. First, we find consistent state-dependent patterns in how inflation shocks are related to expected economic growth and the equity risk premium, indicating that inflation nonneutrality is stronger over WE times. Second, our findings imply that the inflation signal about the underlying economic state intensifies during WE times, due to the elevated economic-state uncertainty then. We also contribute by contrasting subjective (survey-based) versus objective inflation shocks and by evaluating the relation between inflation shocks and forward equity yields.

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Section: Data Description and Methodology Choicesmentioning

confidence: 99%

Section: Stock‐inflation Dynamics Over We Timesmentioning

confidence: 98%

Section: Introductionmentioning

confidence: 98%

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Stock returns and inflation shocks in weaker economic times

Connolly

Stivers

Sun

2021

Financial Management

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“…Whether "All-or-Nothing" type or "Keep-it-All" type for equity crowdfunding of the utilities tunnel project, the founder should pay dividend D S (D S1 ) to backers from project revenue, which can increase the confidence of backers for the utilities tunnel project. If the utilities tunnel project has good revenue at operation period, the founder can increase the dividend rate g D to backers [28][29][30].…”

Section: Equity Crowdfunding With Dividend and Capital Revenuementioning

confidence: 99%

An Exploratory Pledging Framework of Crowdfunding for Utilities Tunnel Engineering Project

Sun

Liu

2022

Mathematical Problems in Engineering

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This paper gives an exploratory mathematical framework for crowdfunding pledging of utilities tunnel engineering project. For two typical types of “All-or-Nothing” and “Keep-it-All” platforms, it analyzes the crowdfunding process how to operate on the platforms for the project. There are four types of crowdfunding modes, and a utilities tunnel project can flexibly choose one or several crowdfunding types analyzed in this paper to improve project construction according to the status of the project. Debt crowdfunding should design rational interest payment mechanism and Macaulay duration, and equity crowdfunding should consider the backers may get dividend and capital revenue for a utilities tunnel project. Simulation analyses of debt crowdfunding and equity crowdfunding give some cases for project fulfillment. The founder of reward crowdfunding can give free or low price energy products to the backers, while the backers of donation crowdfunding are completely philanthropic to supply the pledged capital.

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“…7 Recent papers that study the multiple-priors preference and its applications include Epstein and Schneider (2007), Ilut (2012), Ilut and Schneider (2014), Ulrich (2013) , Gagliardini et al (2009), Bianchi et al (2017), Ilut et al (2018), Zhao (2017), andZhao (2020), among many others. Papers on robustness applications include Anderson, Hansen, andSargent (2003), Cagetti, Hansen, Sargent, andWilliams (2002), Hansen (2007), and Sargent (2001, 2010).…”

Section: Related Literaturementioning

confidence: 99%

Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields

Zhao

2020

SSRN Journal

Self Cite

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Bank of Canada staff working papers provide a forum for staff to publish work-in-progress research independently from the Bank's Governing Council. This research may support or challenge prevailing policy orthodoxy. Therefore, the views expressed in this paper are solely those of the authors and may differ from official Bank of Canada views. No responsibility for them should be attributed to the Bank.

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Confidence, bond risks, and equity returns

Cited by 17 publications

References 60 publications

Stock returns and inflation shocks in weaker economic times

Stock returns and inflation shocks in weaker economic times

An Exploratory Pledging Framework of Crowdfunding for Utilities Tunnel Engineering Project

Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields

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