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The Shorting Premium and Asset Pricing Anomalies
Drechsler, Itamar - 2014
Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...
Persistent link: https://www.econbiz.de/10012458384
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Robust-H-infinity Forecasting and Asset Pricing Anomalies
Tornell, Aaron - 2000
We present an alternative expectation formation mechanism that helps rationalize well known asset pricing anomalies, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational expectations (RE), the expectation formation mechanism we consider...
Persistent link: https://www.econbiz.de/10012470997
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Rational Asset Prices
Constantinides, George M. - 2002
The mean, co-variability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample...
Persistent link: https://www.econbiz.de/10012469889
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Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
Campbell, John - 1993
return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …
Persistent link: https://www.econbiz.de/10012474630
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The New Fama Puzzle
Bussiere, Matthieu - 2018
correlated, contrary to what theory suggests - for eight advanced country exchange rates against the US dollar, over the period …
Persistent link: https://www.econbiz.de/10012453372
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Volatility, the Macroeconomy and Asset Prices
Bansal, Ravi - 2012
aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …
Persistent link: https://www.econbiz.de/10012460556
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Risk, Mispricing, and Asset Allocation : Conditioning on Dividend Yield
Shanken, Jay - 2001
In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and...
Persistent link: https://www.econbiz.de/10012470049
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Sources of Risk and Expected Returns in Global Equity Markets
Ferson, Wayne E. - 1994
This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world...
Persistent link: https://www.econbiz.de/10012474312
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Heterogeneity and Persistence in Returns to Wealth
Fagereng, Andreas - 2016
We provide a systematic analysis of the properties of individual returns to wealth using twenty years of population … percentile. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and … risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth …
Persistent link: https://www.econbiz.de/10012455858
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Speculative Betas
Hong, Harrison - 2012
We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and experience a greater divergence-of-opinion about their...
Persistent link: https://www.econbiz.de/10012460112