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Venture capital and other private equity : a survey

Metrick, Andrew; Yasuda, Ayako - 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/10008806638

The Cross-Section of Volatility and Expected Returns

Ang, Andrew - 2004

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10012467837

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

Analysts' Conflict of Interest and Biases in Earnings Forecasts

Chan, Louis K. C. - 2003

Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflict of interest and their incentives to adjust strategically...

Persistent link: https://www.econbiz.de/10012469156

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

Hedegaard, Esben - 2014

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional covariances of returns on assets with the return on the market and other state variables. We find a positive and significant price of risk for the covariance with the market return...

Persistent link: https://www.econbiz.de/10012458421

Venture Capital and Other Private Equity : A Survey

Metrick, Andrew - 2010

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

Modeling Financial Contagion Using Mutually Exciting Jump Processes

Aït-Sahalia, Yacine - 2010

Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we introduce a model for asset return dynamics with a...

Persistent link: https://www.econbiz.de/10012462802

Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data

Aït-Sahalia, Yacine - 2010

This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...

Persistent link: https://www.econbiz.de/10012462842

High Idiosyncratic Volatility and Low Returns : International and Further U.S. Evidence

Ang, Andrew - 2008

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world...

Persistent link: https://www.econbiz.de/10012464908