Commercial and Industrial Credit as a Stock Market Driver
...evidence indicates that the net change in commercial and industrial credit standards as measured by the Federal Reserve Board's quarterly survey of senior loan officers may be a useful predictor of U.S. stock market returns at horizons up to about a...
Inflation Forecast Update
The Inflation Forecast now incorporates actual total and core Consumer Price Index data for December 2011. The actual total (core) inflation rate for December is about the same as (slightly higher than) forecasted. The inflation seasonality summary (s...
Real Bond Returns and Inflation [PREMIUM]
A subscriber asked: “Everyone says I should not invest in bonds today because the interest rate is so low (and inflation is daunting). But real bond returns over the last 30 years are great, even while interest rates are low. Could you analyze wh...
Stock Market Reaction to FOMC Meeting Minutes Releases
Does the U.S. stock market reliably exhibit extreme behavior on days when the Federal Open Market Committee (FOMC) of the Federal Reserve Board issues its meeting minutes? Are the minutes systematically encouraging, discouraging, calming or exciting? U...
Economic Announcements and VIX [PREMIUM]
Do economic announcements systematically remove uncertainty from financial markets and thus reliably lower implied volatility indexes? In their September 2010 paper entitled “The Impact of Macroeconomic Announcements on Implied Volatilities”...
Do Any Style ETFs Reliably Lead or Lag the Market?
Do any of the various U.S. stock market size and value/growth styles systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we consider the the following six exchange-traded funds (ETF...
Do Any Sector ETFs Reliably Lead or Lag the Market?
Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by the Select Sector Standard ...
Money Velocity and the Stock Market
Regarding “Money Supply (M2) and the Stock Market”, a subscriber responded: “I’ve always thought…that both M2 and velocity were needed. If there’s more money, but it is not circulating, then it doesn’t have a c...
Money Supply (M1) and the Stock Market
A reader wrote: “I couldn’t find an analysis for the M1 money supply similar to the one for M2. How about it? M2 cannot be an accurate money supply measure because it includes non-cash investments such as money market mutual funds. When the...
Money Supply (M2) and the Stock Market
Some investing experts cite change in money supply as a potentially important indicator of future stock market behavior. When the money supply grows (shrinks), they theorize, nominal asset prices go up (down). Or, money supply growth drives inflation, ...
When and Why of the Size Effect [PREMIUM]
Does the size effect vary in an usefully predictable way? In the October 2011 revision of his paper entitled “Predicting the Small Stock Premium Over Different Horizons: What Do We Learn About Its Source?”, Valeriy Zakamuline examines whe...
Size Effect and the Economy [PREMIUM]
Does the size effect vary with the state of the economy? In his October 2010 paper entitled “The Behaviour of Small Cap vs. Large Cap Stocks in Recessions and Recoveries: Empirical Evidence for the United States and Canada”, Lorne Switzer
