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Cited by 9Credit Risk and Financial RegulationsFinancial Markets and Investment StrategiesFinancial Risk and Volatility Modeling

The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.

A Global Version of Samuelson's Dictum

Open access
Xiao, Yaqing, Yan, Hongjun, Zhang, Jinfan·2022·American Economic Review: Insights
DOI 10.1257/aeri.20210186
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Abstract

Samuelson’s Dictum refers to the conjecture that there is more informational inefficiency at the aggregate stock market level than at the individual stock level. Our paper recasts it in a global setup: there should be more informational inefficiency at the global level than at the country level. We find that sovereign CDS spreads can predict future stock market index returns, GDP, and PMI of their underlying countries. Consistent with the global version of Samuelson’s Dictum, the predictive power for both stock returns and macro variables is almost entirely from the global, rather than country-specific, information from the sovereign CDS market. (JEL G12, G14, G17)

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Crossref · 10.1257/aeri.20210186

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Citations

Cites

Research works printed but not linked: 6

  1. Chang Jeffery, 2021, Journal of Financial Economics. https://www. sciencedirect.com/science/article/abs/pii/S0304405X21003500.
  2. Gârleanu Nicolae, 2021, The Review of Asset Pricing Studies. https://doi.org/10/1093/rapstu/raab020.
  3. Glasserman Paul, 2018, Columbia Business School Research Paper, 15
  4. O'Kane, Dominic. 2008. Modelling Single-Name and Multi-Name Credit Derivatives. Hoboken, NJ: John Wiley & Sons.
  5. Shiller Robert J, 1981, The American Economic Review, 71, 421
  6. Wang Xinjie, 2021, Journal of Banking and Finance 130 (C): 106191. https://doi.org/10.1016/j. jbankfin., 2021, 106191 · DOI

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Metadata

Authors
Xiao, Y., Yan, H., & Zhang, J.
Affiliations
  • Capital University of Economics and Business (CN)
  • DePaul University (US)
  • Chinese University of Hong Kong, Shenzhen (CN)
ORCID
Venue
American Economic Review: Insights
Publisher
American Economic Association
Published
2022-06-01
Volume
4
Issue
2
Pages
239-254
ISSN
  • 2640-205X (ISSN-L)
  • 2640-2068
DOI
10.1257/aeri.20210186
OpenAlex
W4281841999
Cited by
8
References
25
Citations by year
2025: 1 · 2024: 1 · 2023: 2 · 2022: 1
FWCI
0.92
Type
journal article
Language
en
Open access
Locations
  • American Economic Review Insights (publishedVersion)
  • SSRN Electronic Journal (acceptedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Credit Risk and Financial Regulations
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Keywords
information efficiency, sovereign credit default swaps, credit default swap spreads, stock index returns, international stock markets, macroeconomic forecasting, GDP forecasting

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.