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The Dynamics of Emerging Market Equity Flows

Bekaert, Geert - 1999

We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging markets. We estimate a vector autoregressionn with these variables to measure the degree to which lower interest rates contribute to increased capital flows and shocks in flows...

Persistent link: https://www.econbiz.de/10012471570

Predictive Regressions

Stambaugh, Robert F. - 1999

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression …

Persistent link: https://www.econbiz.de/10012471691

Good Carry, Bad Carry

Bekaert, Geert - 2019

We distinguish between "good" and "bad" carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and highly negative return skewness....

Persistent link: https://www.econbiz.de/10012479376

Liquidity Risk After 20 Years

Pastor, Lubos - 2019

The Critical Finance Review commissioned Li, Novy-Marx, and Velikov (2017) and Pontiff and Singla (2019) to replicate the results in Pástor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates of the liquidity risk premium. In...

Persistent link: https://www.econbiz.de/10012479724

Skill and Fees in Active Management

Stambaugh, Robert F. - 2019

Greater skill of active investment managers can mean less fee revenue in a general equilibrium. Although more … portfolio choices. Greater skill also means, however, that active management corrects prices better and thus reduces managers … rationally allocate less to active funds and more to index funds if active management is more skilled …

Persistent link: https://www.econbiz.de/10012479976

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2009

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...

Persistent link: https://www.econbiz.de/10012463390

Asset Return Dynamics under Bad Environment Good Environment Fundamentals

Bekaert, Geert - 2009

We introduce a "bad environment-good environment" technology for consumption growth in a consumption- based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while...

Persistent link: https://www.econbiz.de/10012463427

Predictive Systems : Living with Imperfect Predictors

Pastor, Lubos - 2008

We develop a framework for estimating expected returns---a <i>predictive system</i>---that allows predictors to be imperfectly correlated with the conditional expected return. When predictors are imperfect, the estimated expected return depends on past returns in a manner that hinges on the correlation...

Persistent link: https://www.econbiz.de/10012464843

Predictive Systems : Living with Imperfect Predictors

Pastor, Lubos - 2007

The standard regression approach to modeling return predictability seems too restrictive in one way but too lax in another. A predictive regression models expected returns as an exact linear function of a given set of predictors but does not exploit the likely economic property that innovations...

Persistent link: https://www.econbiz.de/10012465843

Stock and Bond Returns with Moody Investors

Bekaert, Geert - 2006

volatility of equity and long term bond risk premia as well as salient features of the nominal short rate, the dividend yield …

Persistent link: https://www.econbiz.de/10012466421