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Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …
Persistent link: https://www.econbiz.de/10012456159
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The Time Series of the Cross Section of Asset Prices
Menzly, Lior - 2002
In this paper we propose a general equilibrium model that successfully reproduces the historical experience of the cross section of US stock prices as well as the realized history of the market portfolio. The model achieves this while addressing traditional concerns in the asset pricing...
Persistent link: https://www.econbiz.de/10012469492
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Monetary Policy and the Stock Market : Time-Series Evidence
Neuhierl, Andreas - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012455849
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Long-run Bulls and Bears
Albuquerque, Rui - 2015
A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock...
Persistent link: https://www.econbiz.de/10012457808
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Time-Varying Betas and Asymmetric Effect of News : Empirical Analysis of Blue Chip Stocks
Cho, Young-Hye - 1999
We investigate whether or not a beta increases with bad news and decreases with good news, just as does volatility. Using daily returns for nine stocks in a double beta model with EGARCH specifications, we show that news asymmetrically affects the betas of individual stocks. We find that betas...
Persistent link: https://www.econbiz.de/10012471454
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What Does Stock Ownership Breadth Measure?
Choi, James J. - 2010
Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year....
Persistent link: https://www.econbiz.de/10012462066
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Money Illusion in the Stock Market : The Modigliani-Cohn Hypothesis
Cohen, Randolph B. - 2005
Modigliani and Cohn [1979] hypothesize that the stock market suffers from money illusion, discounting real cash flows at nominal discount rates. While previous research has focused on the pricing of the aggregate stock market relative to Treasury bills, the money-illusion hypothesis also has...
Persistent link: https://www.econbiz.de/10012467669
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Expected Returns and Expected Dividend Growth
Lettau, Martin - 2003
We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth make an important contribution to...
Persistent link: https://www.econbiz.de/10012469093
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What Do Financial Markets Think of War in Iraq?
Leigh, Andrew - 2003
We analyze financial market data in order to produce an ex-ante assessment of the economic consequences of war with Iraq. The novel feature of our analysis derives from the existence of a market for Saddam Securities,' a new future traded on an online betting exchange that pays only if Saddam...
Persistent link: https://www.econbiz.de/10012469112
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Efficiency and the Bear : Short Sales and Markets around the World
Goetzmann, William N. - 2003
We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider whether short-sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach...
Persistent link: https://www.econbiz.de/10012469237