Showing 1 - 10 of 27
This paper develops an extension of Cochrane's (2008) joint hypothesis framework by allowing the coefficients to depend on the state of the economy. For recessions the results are clear-cut. Dividend yields vary entirely due to return predictability. However, in expansions, the "dog that did not...
Persistent link: https://www.econbiz.de/10013034972
Persistent link: https://www.econbiz.de/10009736243
Persistent link: https://www.econbiz.de/10011285064
Persistent link: https://www.econbiz.de/10003769867
Persistent link: https://www.econbiz.de/10003384284
Persistent link: https://www.econbiz.de/10003746308
Persistent link: https://www.econbiz.de/10011573986
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10013098630
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10013104113
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10012988766