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Capital Share Risk in U.S. Asset Pricing

Lettau, Martin - 2014

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

Persistent link: https://www.econbiz.de/10012457922

CAViaR : Conditional Value at Risk by Quantile Regression

Engle, Robert F. - 1999

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … conditional on current information, we propose a new approach to quantile estimation which does not require any of the extreme …

Persistent link: https://www.econbiz.de/10012471443

Cross-Sectional Dispersion of Risk in Trading Time

Andersen, Torben - 2019

priced risk …

Persistent link: https://www.econbiz.de/10012480274

Optimal Estimation of Discrete Choice Demand Models with Consumer and Product Data

Grieco, Paul L. E.; Murry, Charles; Pinkse, Joris; … - National Bureau of Economic Research - 2025

We propose a conformant likelihood estimator with exogeneity restrictions (CLEER) for random coefficients discrete choice demand models that is applicable in a broad range of data settings. It combines the likelihoods of two mixed logit estimators--one for consumer level data, and one for...

Persistent link: https://www.econbiz.de/10015195043

Indexing and the Incorporation of Exogenous Information Shocks to Stock Prices

Morck, Randall; Yavuz, Mehmet Deniz - National Bureau of Economic Research - 2023

Savings increasingly flow to low-cost index funds, which simply buy and hold the stocks in a major index, such as the S&P 500. Increased indexing impedes incorporation of idiosyncratic information into stock prices. We limit endogeneity bias by showing that exogenous idiosyncratic currency...

Persistent link: https://www.econbiz.de/10014447296

Why Do Index Funds Have Market Power? : Quantifying Frictions in the Index Fund Market

Brown, Zach Y.; Egan, Mark L.; Jeon, Jihye; Jin, Chuqing; … - National Bureau of Economic Research - 2023

Index funds are one of the most common ways investors access financial markets and are perceived to be a transparent and low-cost alternative to active investment management. Despite these purported virtues of index fund investing and the introduction of new products and competitors, many funds...

Persistent link: https://www.econbiz.de/10014421203

Generalized Transform Analysis of Affine Processes and Applications in Finance

Chen, Hui - 2011

model of time-varying labor income risk and study the implications of stochastic covariance between labor income and … dividends for the dynamics of the risk premiums on financial wealth and human capital …

Persistent link: https://www.econbiz.de/10012461751

The Risk and Return of Venture Capital

Cochrane, John H. - 2001

This paper measures the mean, standard deviation, alpha and beta of venture capital investments, using a maximum likelihood estimate that corrects for selection bias. Since firms go public when they have achieved a good return, estimates that do not correct for selection bias are optimistic. The...

Persistent link: https://www.econbiz.de/10012470663

Continuous Record Asymptotics for Rolling Sample Variance Estimators

Foster, Dean P. - 1994

It is widely known that conditional covariances of asset returns change over time. Researchers adopt many strategies to accommodate conditional heteroskedasticity. Among the most popular are: (a) chopping the data into short blocks of time and assuming homoskedasticity within the blocks, (b)...

Persistent link: https://www.econbiz.de/10012474103

Heterogeneity in Target-Date Funds : Optimal Risk-Taking or Risk Matching?

Balduzzi, Pierluigi - 2012

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

Persistent link: https://www.econbiz.de/10012460773