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The Rate of Return to Corporate Capital and Factor Shares : New EstimatesUsing Revised National Income Accounts and Capital Stock Data

Poterba, James M. - 1999

This paper presents new evidence on the rate of return on tangible assets in the United" States, incorporating the recently-revised national accounts as well as new estimates of the" replacement cost of the reproducible physical capital stock. The pretax return on capital in the" nonfinancial...

Persistent link: https://www.econbiz.de/10012471737

The Persistence of Volatility and Stock Market Fluctuations

Poterba, James M. - 1984

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist. These shocks can therefore have only a small...

Persistent link: https://www.econbiz.de/10012477626

The Effective Tax Rate and the Pretax Rate of Return

Feldstein, Martin - 1981

This paper presents new estimates of the taxes paid on nonfinancial corporate capital, on the pretax rate of return to capital, and on the effective tax rate. The basic time series show that both the pretax rate of return and the effective tax rate have varied substantially in the past quarter...

Persistent link: https://www.econbiz.de/10012478375

Venture Capital and Other Private Equity : A Survey

Metrick, Andrew - 2010

exists, what private equity managers do with their portfolio companies, what returns they earn, who earns more and why, what … determines the design of contracts signed between (i) private equity managers and their portfolio companies and (ii) private … equity managers and their investors (limited partners), and how/whether these contractual designs affect outcomes. Findings …

Persistent link: https://www.econbiz.de/10012462004

Investor Sentiment and Corporate Finance : Micro and Macro

Lamont, Owen A. - 2005

We document that net equity issuance is considerably more sensitive to aggregate stock returns and Q's than to firm-level stock returns and Q's. Very similar patterns also emerge when we look at merger activity. In light of earlier work (Campbell 1991, Vuolteenaho 2002) which finds that...

Persistent link: https://www.econbiz.de/10012466789

Dumb Money : Mutual Fund Flows and the Cross-Section of Stock Returns

Frazzini, Andrea - 2005

We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money -- by reallocating across different mutual funds, retail investors reduce their wealth in the long...

Persistent link: https://www.econbiz.de/10012467153

Consumption-Wealth Comovement of the Wrong Sign

Choi, James J. - 2004

Economic theory predicts that an unexpected wealth windfall should increase consumption shortly after the windfall is received. We test this prediction using administrative records on over 40,000 401(k) accounts. Contrary to theory, we estimate a negative short-run marginal propensity to consume...

Persistent link: https://www.econbiz.de/10012468239

Evaluating Value Weighting : Corporate Events and Market Timing

Lamont, Owen A. - 2002

Corporate events, such as new issues and new lists, appear in waves. These waves imply that the market portfolio has a time-varying weight in new lists, and one can decompose the market return into a fixed weight return plus a timing return. Most of the reduction in aggregate market returns...

Persistent link: https://www.econbiz.de/10012469664

Short Sale Constraints and Stock Returns

Jones, Charles M. - 2001

Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand...

Persistent link: https://www.econbiz.de/10012470224

Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs

Lamont, Owen A. - 2001

Recent equity carve-outs in US technology stocks appear to violate a basic premise of financial theory: identical assets have identical prices. In our 1998-2000 sample, holders of a share of company A are expected to receive x shares of company B, but the price of A is less than x times the...

Persistent link: https://www.econbiz.de/10012470422