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Kacperczyk, Marcin - 2011

Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has … picking skills and little evidence of timing skills among successful managers. This paper estimates skill separately in booms … and recessions and finds that the extent to which managers focus on stock picking or market timing fluctuates with the …

Persistent link: https://www.econbiz.de/10012461042

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

Predictability of Returns and Cash Flows

Koijen, Ralph S.J. - 2010

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries

Persistent link: https://www.econbiz.de/10012462008

The Cross-Section and Time-Series of Stock and Bond Returns

Koijen, Ralph S.J. - 2010

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium provided that good news about future output lowers the...

Persistent link: https://www.econbiz.de/10012462964

Rational Attention Allocation Over the Business Cycle

Kacperczyk, Marcin - 2009

The question of whether and how mutual fund managers provide valuable services for their clients motivates one of the … evidence that some investment managers have skill and that attention is allocated rationally …

Persistent link: https://www.econbiz.de/10012463199

Information Acquisition and Under-Diversification

Van Nieuwerburgh, Stijn - 2008

If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future value of these assets before he invests, which assets should he learn about? The best assets to acquire information about are ones the investor expects to hold. But the assets the...

Persistent link: https://www.econbiz.de/10012464743

The Wealth-Consumption Ratio

Lustig, Hanno - 2008

We set up an exponentially affine stochastic discount factor model for bond yields and stock returns in order to estimate the prices of aggregate risk. We use the estimated risk prices to compute the no-arbitrage price of a claim to aggregate consumption. The price-dividend ratio of this claim...

Persistent link: https://www.econbiz.de/10012464751

Can Housing Collateral Explain Long-Run Swings in Asset Returns?

Lustig, Hanno - 2006

To explain the low-frequency variation in US equity and debt returns in the 20th century, we solve an equilibrium model in which households face housing collateral constraints. An increase in the ratio of housing to human wealth loosens these borrowing constraintsthus allowing for more risk...

Persistent link: https://www.econbiz.de/10012465895