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The Empirical Risk-Return Relation : A Factor Analysis Approach

Ludvigson, Sydney C. - 2005

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount of conditioning information used to model the conditional mean and conditional volatility of excess stock market returns. To the extent that financial market participants have...

Persistent link: https://www.econbiz.de/10012467202

Capital Share Risk in U.S. Asset Pricing

Lettau, Martin - 2014

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...

Persistent link: https://www.econbiz.de/10012457922

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …

Persistent link: https://www.econbiz.de/10013210100

A Factor Analysis of Bond Risk Premia

Ludvigson, Sydney C. - 2009

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal...

Persistent link: https://www.econbiz.de/10012463461