Showing 1 - 10 of 23
A major puzzle in international finance is the inability of models based on monetary fundamentals to produce better out-of-sample forecasts of the nominal exchange rate than a naive random walk. While prior research has generally evaluated exchange rate forecasts using conventional statistical...
Persistent link: https://www.econbiz.de/10009485266
We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. In contrast to previous work, we use a scaled stochastic discount factor instead of scaled or managed portfolio returns. Our...
Persistent link: https://www.econbiz.de/10011080125
Persistent link: https://www.econbiz.de/10011198087
We study the cross-section of expected corporate bond returns using an intertemporal CAPM with three factors; innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of bond market index portfolios of different...
Persistent link: https://www.econbiz.de/10005086758
We re-visit a puzzling result that in U.S. post-WW II data the dividend price ratio can predict aggregate returns but not dividend growth. We find that predictive regressions are sensitive to the method used to aggregate firm-level data. Using value weighted firm-level data we find strong...
Persistent link: https://www.econbiz.de/10013035803
Hundreds of anomalies, factors, or characteristic portfolios have been discovered whose risk-return spread is not explained by benchmark empirical factor models. Each of these is a potential candidate as a factor in such models. Efforts to narrow down this plethora of candidates to a...
Persistent link: https://www.econbiz.de/10013243877
We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...
Persistent link: https://www.econbiz.de/10013120594
We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...
Persistent link: https://www.econbiz.de/10013101597
Economically relevant factors in asset pricing models should impound information on the future path of state variables that drive asset risk premia. Imposing this condition, we investigate which publicly available characteristics predict individual stock returns during the sample period used by...
Persistent link: https://www.econbiz.de/10012845119
In this paper we find that the decline in the momentum profitability is partly driven by option trading. Momentum profits arise from the short leg and therefore on barriers to short selling. We find strong evidence that the presence of stock options creates alternate avenues for short selling,...
Persistent link: https://www.econbiz.de/10012851949