This paper studies the effect of market belief risk on the cross-section of stock returns. Using actual and analyst EPS forecast data, the authors construct the market belief as the cross-sectional average of individual beliefs for all sample stocks, with individual belief defined as the mean analyst EPS forecast minus the one derived [...]
Posted on December 17th, 2012
A quarterly report containing brief commentary and statistics on the U.S. capital markets, including but not limited to: municipal debt, U.S. Treasury and agency debt, short-term funding and money market debt, mortgage-related, asset-backed and CDO debt; corporate bonds, equity and other, derivatives, and the primary loan market.
Posted on December 11th, 2012
Foreign investors are increasingly important participants in the local currency sovereign bond markets of developing countries. This note provides context on the overall growth of local currency sovereign debt markets in emerging markets and the growth of foreign investor participation in these markets, a short review of the relevant academic literature, and a [...]
Posted on December 10th, 2012
In under a decade, equity markets in the emerging world have flourished and become critical sources of finance for emerging markets (EM) businesses according to Ernst & Young’s Moving towards the mainstream report.
Equity markets in EM economies have surged at a breathtaking speed in the last decade. After hovering around 20-25% of GDP [...]
Posted on December 5th, 2012
The authors of this paper construct probability forecasts for episodes of price deflation (i.e., a falling price level) using yields on nominal and real U.S. Treasury bonds. The deflation probability forecasts identify two “deflation scares” during the past decade: a mild one following the 2001 recession and a more serious one starting in [...]