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Effective machine learning estimates of stock market returns using Taylor-rule inputs 使用泰勒规则输入的股票市场收益的有效机器学习估计
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2025-12-29 DOI: 10.1016/j.econlet.2025.112805
Y.F. Roumani, Z. AlSalman, A. Murphy
{"title":"Effective machine learning estimates of stock market returns using Taylor-rule inputs","authors":"Y.F. Roumani,&nbsp;Z. AlSalman,&nbsp;A. Murphy","doi":"10.1016/j.econlet.2025.112805","DOIUrl":"10.1016/j.econlet.2025.112805","url":null,"abstract":"<div><div>We apply a machine learning approach to estimate 1-year-ahead U.S. excess stock market returns over the 1964-2024 period using lagged inflation and output gap variables as inputs in a Taylor-rule framework. Utilizing a 60-month rolling training window, our Support Vector Regression (SVR) estimates account for 40% of the ex-post variation in realized excess returns. Subsample analysis confirms significant explanatory power across different monetary-policy environments. We show that the SVR framework captures nonlinear, time-varying relationships between Taylor-rule inputs and equity risk premia, suggesting that SVR effectively detects the dynamically complex interrelationships between the Federal Reserve’s policy targets and future equity returns.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"259 ","pages":"Article 112805"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145880978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The cost of money is part of the cost of living 钱的成本是生活成本的一部分
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2025-12-04 DOI: 10.1016/j.econlet.2025.112728
Marijn A. Bolhuis , Judd N.L. Cramer , Karl Oskar Schulz , Lawrence H. Summers
{"title":"The cost of money is part of the cost of living","authors":"Marijn A. Bolhuis ,&nbsp;Judd N.L. Cramer ,&nbsp;Karl Oskar Schulz ,&nbsp;Lawrence H. Summers","doi":"10.1016/j.econlet.2025.112728","DOIUrl":"10.1016/j.econlet.2025.112728","url":null,"abstract":"<div><div>As the US economy bounced back from the post-pandemic inflation surge, consumer sentiment remained depressed even though unemployment was low, and inflation was falling. This confounded economists, who historically rely on these two variables to gauge how consumers feel about the economy. We propose that borrowing costs, which grew at rates they had not reached in decades, do much to explain this gap. The cost of money is not currently included in traditional price indexes, indicating a disconnect between the measures favored by economists and the effective costs borne by consumers. We show that the lows in US consumer sentiment that cannot be explained by unemployment and official inflation are strongly correlated with borrowing costs and consumer credit supply. Concerns over borrowing costs, which have historically tracked the cost of money, were at their highest levels since the Volcker-era. We then develop alternative measures of inflation that include borrowing costs and can account for almost three-quarters of the gap in US consumer sentiment in 2023.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"259 ","pages":"Article 112728"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145750281","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Beyond military sales: The market premium on dual-use R&D in the defence sector 军售之外：国防领域军民两用研发的市场溢价
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2026-01-12 DOI: 10.1016/j.econlet.2026.112820
Marco Albori, Fabrizio Ferriani, Livia Ristuccia
{"title":"Beyond military sales: The market premium on dual-use R&D in the defence sector","authors":"Marco Albori,&nbsp;Fabrizio Ferriani,&nbsp;Livia Ristuccia","doi":"10.1016/j.econlet.2026.112820","DOIUrl":"10.1016/j.econlet.2026.112820","url":null,"abstract":"<div><div>We examine how financial markets value defence firms’ R&amp;D investments in the context of rising European military spending. Using data for listed European and US contractors, we relate equity valuation and expected earnings to R&amp;D intensity and dual-use (civilian and military) activities. We find that higher R&amp;D intensity is linked to stronger equity valuations, especially for firms with substantial dual-use exposure.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"260 ","pages":"Article 112820"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145974724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Green and guilty: The interplay of environmental quality and greenwashing 绿色与罪恶：环境质量与洗绿的相互作用
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2025-12-16 DOI: 10.1016/j.econlet.2025.112744
Federico Boffa , Piersilvio De Bortoli , Andrea Nicolodi
{"title":"Green and guilty: The interplay of environmental quality and greenwashing","authors":"Federico Boffa ,&nbsp;Piersilvio De Bortoli ,&nbsp;Andrea Nicolodi","doi":"10.1016/j.econlet.2025.112744","DOIUrl":"10.1016/j.econlet.2025.112744","url":null,"abstract":"<div><div>We develop a model with environmentally-conscious consumers whose utility depends on their perception of imperfectly observable firms’ environmental investments, and consumers differ in their level of sophistication. Firms can engage in greenwashing, i.e, in sending a costly message overstating their level of actual investments. We show that in equilibrium firms engage in greenwashing, and that greenwashing is complement to authentic green investments, rationalizing the available empirical evidence. We also show that both greenwashing and genuine investment decrease when consumers’ sophistication increases, and that a two product monopolist induces less (more) greenwashing and actual investments than two single product duopolists when products are substitutes (complements). Our findings imply a novel tradeoff between policies aimed at discouraging greenwashing or at fostering consumers’ awareness and the equilibrium level of genuine environmental investments.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"260 ","pages":"Article 112744"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145974725","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A self-employed pure altruist can donate both time and money 一个自雇的纯利他主义者可以奉献时间和金钱
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2026-01-12 DOI: 10.1016/j.econlet.2026.112823
Olurotimi O. Soneye
{"title":"A self-employed pure altruist can donate both time and money","authors":"Olurotimi O. Soneye","doi":"10.1016/j.econlet.2026.112823","DOIUrl":"10.1016/j.econlet.2026.112823","url":null,"abstract":"<div><div>In models of voluntary contributions to public goods, pure altruists are typically held to donate either time or money, but not both. I show that under self-employment, a pure altruist can rationally contribute both time and money when the opportunity cost of time is endogenously linked to productivity. This link segments giving into time-only, money-only, and joint regimes. An implication is that observing joint contributions of time and money does not necessarily imply behavior driven by warm glow.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"260 ","pages":"Article 112823"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145974726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Yielding to relevance: How treasury yields impact accounting relevance 相关性收益：国债收益率如何影响会计相关性
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2026-01-04 DOI: 10.1016/j.econlet.2026.112807
Min Cao, Philipp D. Schaberl
{"title":"Yielding to relevance: How treasury yields impact accounting relevance","authors":"Min Cao,&nbsp;Philipp D. Schaberl","doi":"10.1016/j.econlet.2026.112807","DOIUrl":"10.1016/j.econlet.2026.112807","url":null,"abstract":"<div><div>The rapid shifts in Treasury yields from 2020 to 2024 necessitate an understanding of the value relevance of accounting information under different yield levels. We examine whether and how Treasury yields impact the price relevance of two key accounting constructs: the book value of equity and earnings. Our findings reveal positive relationships between Treasury yields and the combined relevance of book value and earnings, as well as the relevance of book value alone in price-based relevance models. Further analysis using decomposition and normalization shows that rising Treasury yields shift valuation weights from earnings to book value. These effects are particularly pronounced for high-leverage firms. Our results are consistent with the abandonment hypothesis. This study contributes to the understudied area of how macroeconomic factors influence the usefulness of accounting information in market valuations and has important implications for investors, analysts, and policymakers in interpreting financial statements under varying economic conditions.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"260 ","pages":"Article 112807"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145923923","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Hysteresis through learning by doing: Estimating endogenous productivity 从做中学到的滞后：内生生产力的估计
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2026-01-07 DOI: 10.1016/j.econlet.2026.112818
Timothy Watson , Juha Tervala
{"title":"Hysteresis through learning by doing: Estimating endogenous productivity","authors":"Timothy Watson ,&nbsp;Juha Tervala","doi":"10.1016/j.econlet.2026.112818","DOIUrl":"10.1016/j.econlet.2026.112818","url":null,"abstract":"<div><div>Learning by doing (LBD), a mechanism whereby productivity depends on past employment, is increasingly used in macroeconomic models to capture hysteresis and endogenous productivity. A key challenge has been calibrating its structural parameters, primarily due to the limited availability of empirical estimates. We estimate a productivity persistence of 0.91 and an elasticity of productivity with respect to lagged employment ranging from 0.13 to 0.30, with seven statistically significant estimates averaging 0.22. These results provide empirically grounded parameters and demonstrate the value of LBD as a tractable approach to capturing endogenous and procyclical productivity dynamics in macroeconomic models.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"260 ","pages":"Article 112818"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145923902","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Measuring the headwinds to Black self-employment 衡量黑人自主创业的阻力
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2026-01-06 DOI: 10.1016/j.econlet.2025.112788
Ahmet Akyol , Kartik Athreya , Simon Farbman , Urvi Neelakantan
{"title":"Measuring the headwinds to Black self-employment","authors":"Ahmet Akyol ,&nbsp;Kartik Athreya ,&nbsp;Simon Farbman ,&nbsp;Urvi Neelakantan","doi":"10.1016/j.econlet.2025.112788","DOIUrl":"10.1016/j.econlet.2025.112788","url":null,"abstract":"<div><div>In the US, Black self-employment rates are roughly half the overall rate and half of that predicted by a standard life cycle model of occupational choice. Even the total elimination of credit access from the model leaves predicted Black self-employment 50% above actual rates. Given that the literature has documented a variety of barriers to self-employment, it is useful to have a measure of their total effect. The contribution of this paper is to demonstrate that a surprisingly simple measure — a constant 20% wedge on self-employment productivity — quantitatively captures the total effect of these headwinds over the entire life-cycle.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"260 ","pages":"Article 112788"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145923904","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The persistence of news sentiment: Implications for return predictability 新闻情绪的持续性：对收益可预测性的影响
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2026-01-22 DOI: 10.1016/j.econlet.2025.112803
Dilan Aksoy-Yurdagul , Axel Buchner , Abalfazl Zareei
{"title":"The persistence of news sentiment: Implications for return predictability","authors":"Dilan Aksoy-Yurdagul ,&nbsp;Axel Buchner ,&nbsp;Abalfazl Zareei","doi":"10.1016/j.econlet.2025.112803","DOIUrl":"10.1016/j.econlet.2025.112803","url":null,"abstract":"<div><div>This paper introduces sentiment momentum – the persistence of news sentiment – and examines its role in stock return predictability. Using firm-level RavenPack data for U.S. equities (2000–2023), we show that sentiment persistence leads to nonlinear return patterns: short-term sentiment momentum predicts positive abnormal returns, while long-term persistence signals reversals, reflecting the correction of sentiment-driven mispricing. These findings distinguish sentiment momentum from price momentum and highlight how the pace of market correction depends on the persistence of investor sentiment.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"260 ","pages":"Article 112803"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146023999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Present-biased preferences and corporate carbon emission management 当前偏偏好与企业碳排放管理
IF 1.8 4区 经济学
Economics Letters Pub Date : 2026-02-01 Epub Date: 2026-01-19 DOI: 10.1016/j.econlet.2026.112825
Xin Xia , Liu Gan
{"title":"Present-biased preferences and corporate carbon emission management","authors":"Xin Xia ,&nbsp;Liu Gan","doi":"10.1016/j.econlet.2026.112825","DOIUrl":"10.1016/j.econlet.2026.112825","url":null,"abstract":"<div><div>This paper develops a structural model to investigate the optimal dynamic management of corporate carbon emissions within carbon trading systems when entrepreneurs display present-biased preferences. Entrepreneurs pursue optimal carbon emission management by adjusting production scale, abatement, green innovation, and carbon credit trading. We show that, compared to their fully rational counterparts, present-biased entrepreneurs either expand or reduce the firm’s optimal production scale, depending on the carbon credit balance. Moreover, entrepreneurs with a stronger present-bias preference strategically accelerate carbon credit sales and tend to favor abatement over green innovation for emission reduction. Reputational benefits from green innovation investment and time-decaying innovation subsidies can mitigate the adverse impact of entrepreneurs’ present bias on the firm’s innovation-driven sustainability.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"260 ","pages":"Article 112825"},"PeriodicalIF":1.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146024056","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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