Topic: Causal relations among stock returns and macroeconomic variables in a small,

open economy

Methodology:
3. Definitions of variables and the data Compared to previous VAR studies, we use a broader set of variables, including domestic financial variables (stock returns, interest rates, and inflation), real sector variables (industrial production and consumption), as well as international factors assumed to be important for Norway (the OECD industrial production index, the foreign exchange rate NOK/USD, and oil prices). While the first four variables are natural candidates to be included in our study, the consumption variable has been included primarily to assess whether implications of the consumption based asset pricing models hold, i.e. whether assets will be priced according to their covariances with aggregate consumption. The international variables have been selected on an a priori assumption of which factors are essential for Norway

Topic: Are correlations of stock returns justified by subsequent changes in national

outputs?

Methodology:
2. A first look at the data In the empirical analysis below, we focus on the behavior of industrial production and stock returns in 12 OECD countries10 on a monthly basis from January 1970 to June 1996. The monthly frequency is dictated by the fact that the time period of the sample cannot be extended and that more frequent data do improve the precision of estimates of second moments. Fig. 1 shows a positive relation between the correlation of a countrys output with OECD output and the correlation of that countrys stock market returns with OECD stock returns. We report a countrys correlation with the other countries, itself excluded. This is in order to abstract from the effect of a countrys size. Had we calculated the correlation of a country with the world, including the country itself, larger countries would automatically have shown a larger correlation. The index of the other countries output is calculated with annually updated GDP weights.11

Topic: How do accounting variables explain stock price movements? Theory and
evidence

Methodology
3.2. Data Of the five factors in return model (5), data for the first three (earnings yield, change in profitability, and capital investment) are readily available from reported financial statements. Growth opportunities are not observable. We use the consensus analyst forecast of the firm's long-term growth rate as a proxy,13 and revisions of the consensus forecast as

a proxy for changes in growth opportunities. We use the change in the yield on 10-year US government bonds as a proxy for the change in the discount rate

Topic: Bank stock returns and economic growth Methodology:

3.1. Data Our data set includes information about 38 markets, and covers the period from 1973 to 2001. The selection of markets is based on data availability on bank equity prices, quarterly GDP series and short-term interest rates. After a tedious selection process by checking data from different databases, we have 18 developed and 18 developing markets left in our data set, with the longest time series of 28 years for Australia, Canada, Italy, Japan, United Kingdom and United States, and the shortest of 6 years for Poland.

Topic: Stock returns and inflation revisited: An evaluation of the inflation illusion
hypothesis

Methodology:
For stock returns and dividend yields, we use S&P 500 Composite Index and dividends from Robert Shillers website, and CRSP value-weighted returns.2 To obtain excess returns used in the dividend yield formula, we use three-month T-bill rates as in Campbell and Vuolteenaho (2004). The sample period is from 1927 to 2007

Topic: Exchange rates and stock prices: implications for European convergence Methodology: 2. Methodology and results
Stock prices and exchange rates can be directly modelled in a conventional asset parity condition, in which the return on equities is used rather than the return on bonds (see Bahmani-Oskooee & Sohrabian, 1992, for a discussion on causality and additional motivation for this relationship). The basis for such a relationship is derived from Rolls (1979) efficient market version of purchasing power parity (PPP). The main difference is that instead of using a commodity price index, a stock price index is used. This relationship can be viewed as an alternative version of uncovered interest parity (UIP), where the return (capital gain) on domestic equities exceeds the return on foreign equities to compensate for the expected depreciation of the currency. The estimating equation, derived from Roll (1979), is an error correction model (ECM), with a non-linear error correction term. This produces the following ECM:

Topic: The impact of leverage on firm investment: Canadian evidence Methodology: 3. Data and description of variables
The data used in this paper are the Compustat Canadian 1999 Annual File. This file contains financial, statistical, and market information on 1035 major Canadian industrial

companies existing at the end of 1999. The 1999 annual data file covers the period from 1982 to 1999. The average age of the firms in the sample is 8.2. After checking and screening for apparent coding errors and missing variables, an unbalanced panel of 6231 observations of 863 firms remained for estimation. We use two alternative measures of leverage. One is book value of total liabilities divided by book value of total assets, while the other is book value of long-term debt divided by total assets.5 Both measures have been used in the literature. The first measure does not distinguish between short-term debt and long-term debt while the second one emphasizes the dominant role of long-term debt as a determinant of investment. We try both definitions in our estimation. Tobin's Q is defined as the market value of total assets of the firm divided by the book value of assets and is a proxy for growth opportunities. We calculate the market value of the firm as the sum of total liabilities, the value of the common stocks, and the estimated value of preferred stocks.6 Cash flow is measured as the sum of earnings before extraordinary items and depreciation, and Sale is defined as net sales deflated by net fixed assets

Topic: Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5

countries

Methodology: 3. Data
Monthly data from 1985 to 1996 is used in this study. The choice of time period corresponds to the parallel growth in stock markets and economies in all five ASEAN countries. ASEAN stock prices are the end-of-period closing share price indices. They are the Jakarta composite stock price index (JCSPI) for Indonesia, the Kuala Lumpur stock exchange composite index (KLSE) for Malaysia, Philippine stock exchange composite index (PSE) for Philippines, the stock exchange of Singapore index (SES) for Singapore, and the stock exchange of Thailand index (SET) for Thailand. These stock price indexes are obtained from the World Stock Exchange Fact Book (1997) and DataStream (Thailand). All other variables are obtained from the June 1999 volume of International Financial Statistics CD-ROM. Nominal GNP is used as a measure of economic activity. Since the monthly data on GNP or the industrial production index for these countries is not available, we interpolated the nominal GNP annual series to the monthly frequency by using the expand procedure in SAS/ETS. CPI represents the aggregate price level. M1 is used to represent the money supply. Short term interest rate is represented by the treasury bill rate in Philippines. The remaining ASEAN-4 countries use the money market rate for the short term interest rate. Exchange rate is represented by the market rate in Indonesia, Philippines and Singapore. The official rate is used for Malaysia and Thailand. All series are transformed into natural logs prior to the empirical analysis.1

Topic: The impact of monetary policy on stock prices Methodology: 4. Data and descriptive statistics
We employ monthly stock prices and interest rates data from 13 countries over the period January 1972 to July 2002. The data are obtained from OECD's Main Economic Indicators: Historical Statistics. Our sample of advanced economies, includes the G7 (United States, United Kingdom, Japan, Germany, France, Italy and Canada), and other European economies: Sweden, Finland, Switzerland, Belgium, Netherlands, Spain. Out of the nine

European Union sample countries: Germany, France, Italy, Finland, Belgium, Netherlands, Spain, UK, Sweden, the first seven have adopted the single European currency and common monetary policy in the context of the European Monetary Union (EMU) ever since 1999.

Topic: The joint response of stock and foreign exchange markets to macroeconomic
surprises: Using US and Japanese data

Methodology: 3. Data and methodology

3.1. Data We use as data the seasonally-adjusted M1, the Consumer Price Index (CPI), the seasonally-adjusted Industrial Production Index (IPI), 3-month T-bill rates, and the ratio of the index of export prices to the index of import prices as proxies for the money supply, price level, output, interest rates, and terms of trade, respectively.12 The stock market indices used are the S&P 500 Index and the Tokyo Stock Exchange Price Index (TOPIX) of Japan. We obtain these data from International Financial Statistics and Global Financial Database (GFD). Stock market returns are computed as the difference of the logarithm of the stock market index. Exchange rates are expressed as the US dollar per unit of the Japanese yen. Money growth, inflation, and output growth are measured as the difference of the logarithm of M1, the consumer price index, and the industrial production index, respectively. Interest rates are logged and in first differences for all regressions of this study. The terms of trade ratio between the US and Japan is expressed by the logarithm of the ratio of the US terms of trade to Japans terms of trade.

Topic: What drives volatile emerging stock market returns? Methodology: 2. The methodology
We employ the methodology developed in [15] and [Vuolteenaho, 2002] that treats net income as cash flows relevant to investors. His methodology is similar in spirit to the approach of Campbell (1991). Both Vuolteenaho and Campbell work through the loglinearization process of the discounted cash flow equation of the stock price. Then, after a forward expansion of the linearized equation, they use the VAR technique and decompose the variance of stock returns into three components: cash flow news variance, expected return news variance and covariance of cash flow news and expected returns news.

Topic: Methodology: