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"Campbell and Vuolteenaho (2004) and Brennan, Wang, and Xia (2004) recently argue that the value premium co-moves with investment opportunities and thus reflects rational pricing. This paper extends their analysis by showing that the ICAPM interpretation of the value premium also sheds light on...
Persistent link: https://www.econbiz.de/10002995301
returns from the dividend yield give rise to a non-monotonic relationship between the investment horizon and the demand for …
Persistent link: https://www.econbiz.de/10002917579
"This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...
Persistent link: https://www.econbiz.de/10002917580
"This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size--and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that...
Persistent link: https://www.econbiz.de/10002917584
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"This paper examines the implications of delinquency on the performance of subprime mortgages. Specifically, we examine whether delinquency has any predictive power of the future performance of a mortgage. Using a sample of subprime mortgages from the loan performance database on securitized...
Persistent link: https://www.econbiz.de/10002977392
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