SSRN Author: Nicolas MougeotNicolas Mougeot SSRN Content
https://www.ssrn.com/author=3015283
https://www.ssrn.com/rss/en-usSun, 18 Nov 2018 01:07:28 GMTeditor@ssrn.com (Editor)Sun, 18 Nov 2018 01:07:28 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Monetary Policy and Equity ValuationThe Taylor rule (1993) states that Fed funds rates have an inflation beta equal to 1.5. If equity investors infer their long-term discount rate based upon guidance from the Federal Reserve using the Taylor rule, then earnings yields should display a positive beta to inflation. This provides a rational explanation to the empirically observed relationship between earnings yield and inflation, refuting the Money Illusion Hypothesis of Modigliani and Cohn (1979). Using an ARDL model, I find that Fed funds rates had an inflation beta between 1.55 and 1.85 over the 1978-2017 period, implying an inflation beta of earnings growth lying around one over the past 40 years. Equity investors therefore rationally discount nominal cash flows at nominal discount rate, accounting for the fact that Fed funds rates are described by the Taylor rule.
https://www.ssrn.com/abstract=3186936
https://www.ssrn.com/1739857.htmlSat, 17 Nov 2018 15:39:03 GMTREVISION: Monetary Policy and Equity ValuationThe Taylor rule (1993) states that Fed funds rates have an inflation beta equal to 1.5. If equity investors infer their long-term discount rate based upon guidance from the Federal Reserve using the Taylor rule, then earnings yields should display a positive beta to inflation. This provides a rational explanation to the empirically observed relationship between earnings yield and inflation, refuting the Money Illusion Hypothesis of Modigliani and Cohn (1979). Using an ARDL model, I find that Fed funds rates had an inflation beta between 1.55 and 1.85 over the 1978-2017 period, implying an inflation beta of earnings growth lying around one over the past 40 years. Equity investors therefore rationally discount nominal cash flows at nominal discount rate, accounting for the fact that Fed funds rates are described by the Taylor rule.
https://www.ssrn.com/abstract=3186936
https://www.ssrn.com/1739514.htmlFri, 16 Nov 2018 04:05:53 GMTNew: The Synthetic Cost of LiquidityWe propose a new approach to model the cost of liquidity based on the synthetic replication of the sale of a liquid asset. Assuming that markets are complete, the sale of a liquid asset can be replicated by a) taking the decision to sell an illiquid asset and effectively sell it at a later date at its fair value b) borrowing cash until the sale is completed and c) short-selling an equivalent liquid asset or portfolio of assets in order to cancel out the economic exposure over the same period. The synthetic replication implies that the cost of liquidity should equal the investor's credit spread plus the securities lending cost or cost of borrow, accounting for the time to liquidate and the holding period. The model produces annualized liquidity cost that can range from a few basis points for liquid stocks to 60bps for real estate and up to 3% for illiquid assets such as infrastructure or private equity. This approach links market and funding liquidity measures and can explain ...
https://www.ssrn.com/abstract=3189052
https://www.ssrn.com/1700371.htmlSun, 17 Jun 2018 05:49:44 GMTREVISION: Monetary Policy and Equity ValuationThe Taylor rule (1993) states that Fed funds rates have an inflation beta equal to 1.5. If equity investors infer their long-term discount rate based upon guidance from the Federal Reserve using the Taylor rule, then earnings yields should display a positive beta to inflation. This provides a rational explanation to the empirically observed relationship between earnings yield and inflation, refuting the Money Illusion Hypothesis of Modigliani and Cohn (1979). Using an ARDL model, I find that Fed funds rates had an inflation beta between 1.55 and 1.85 over the 1978-2017 period, implying an inflation beta of earnings growth lying around one over the past 40 years. Equity investors therefore rationally discount nominal cash flows at nominal discount rate, accounting for the fact that Fed funds rates are described by the Taylor rule.
https://www.ssrn.com/abstract=3186936
https://www.ssrn.com/1696675.htmlThu, 31 May 2018 05:51:37 GMT