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Co-movement of revenue: structural changes in the business cycle

  • Stefan Erdorf


  • Nicolas Heinrichs


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    Article provided by Springer in its journal Financial Markets and Portfolio Management.

    Volume (Year): 25 (2011)
    Issue (Month): 4 (December)
    Pages: 411-433

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    Handle: RePEc:kap:fmktpm:v:25:y:2011:i:4:p:411-433
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    1. Michael Verhofen, 2005. "Markov Chain Monte Carlo Methods in Financial Econometrics," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 397-405, December.
    2. Jegadeesh, Narasimhan & Livnat, Joshua, 2006. "Revenue surprises and stock returns," Journal of Accounting and Economics, Elsevier, vol. 41(1-2), pages 147-171, April.
    3. Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
    4. Norman Morin & John J. Stevens, 2004. "Diverging measures of capacity utilization: an explanation," Finance and Economics Discussion Series 2004-58, Board of Governors of the Federal Reserve System (U.S.).
    5. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    6. German Bernhart & Stephan Höcht & Michael Neugebauer & Michael Neumann & Rudi Zagst, 2011. "Asset Correlations In Turbulent Markets And The Impact Of Different Regimes On Asset Management," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 28(01), pages 1-23.
    7. Hess, Dieter E. & Huang, He & Niessen-Ruenzi, Alexandra, 2008. "How do commodity futures respond to macroeconomic news?," CFR Working Papers 08-03, University of Cologne, Centre for Financial Research (CFR).
    8. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
    9. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
    10. Veronesi, Pietro, 1999. "Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 975-1007.
    11. Dieter Hess & He Huang & Alexandra Niessen, 2008. "How do commodity futures respond to macroeconomic news?," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 127-146, June.
    12. Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
    13. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
    14. Carol Corrado & Joe Mattey, 1997. "Capacity Utilization," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 151-167, Winter.
    15. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer, vol. 20(3), pages 309-337, September.
    16. Evan F. Koenig, 1996. "Capacity utilization as a real-time predictor of manufacturing output," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 16-23.
    17. Stefan Erdorf & Thomas Hartmann-Wendels & Nicolas Heinrichs, 2011. "Diversification in Firm Valuation: A Multivariate Copula Approach," Cologne Graduate School Working Paper Series 02-01, Cologne Graduate School in Management, Economics and Social Sciences.
    18. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
    19. Itay Kama, 2009. "On the Market Reaction to Revenue and Earnings Surprises," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 31-50.
    20. Julio Pindado & Luis Rodrigues, 2005. "Determinants of Financial Distress Costs," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 343-359, December.
    21. Nadine Gatzert & Hato Schmeiser & Stefan Schuckmann, 2008. "Enterprise risk management in financial groups: analysis of risk concentration and default risk," Financial Markets and Portfolio Management, Springer, vol. 22(3), pages 241-258, September.
    22. Heinrichs, Nicolas & Hess, Dieter & Homburg, Carsten & Lorenz, Michael & Sievers, Soenke, 2011. "Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions," CFR Working Papers 11-11, University of Cologne, Centre for Financial Research (CFR).
    23. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
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