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Ghosh, Anisha - 2017

consumption, proxies well for investors' relevant information set …

Persistent link: https://www.econbiz.de/10012454993

Semiparametric Conditional Factor Models : Estimation and Inference

Chen, Qihui; Roussanov, Nikolai; Wang, Xiaoliang - National Bureau of Economic Research - 2023

This paper introduces a simple and tractable sieve estimation of semiparametric conditional factor models with latent factors. We establish large-N-asymptotic properties of the estimators without requiring large T. We also develop a simple bootstrap procedure for conducting inference about the...

Persistent link: https://www.econbiz.de/10014421243

Financial Constraints and Stock Returns

Lamont, Owen - 1997

We test whether the impact of financial constraints on firm value is observable in asset" returns. We form portfolios of firms based on observable characteristics related to financial" constraints, and test for common covariation in the stock returns of these firms. Using several" different...

Persistent link: https://www.econbiz.de/10012472600

Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term

Fischer, Stanley - 1985

Optimal portfolios differ according to the length of time they are held without being rebalanced. For the case in which asset returns are identically and independently distributed, it has been shown that optimal portfolios become less diversified as the holding period lengthens.We show that the...

Persistent link: https://www.econbiz.de/10012477455

Factor Momentum and the Momentum Factor

Ehsani, Sina - 2019

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

Persistent link: https://www.econbiz.de/10012479505

Do Trade Creditors Possess Private Information? Stock Returns Evidence

Hirshleifer, David - 2019

Theories of customer supplier relationships hold that the private information of suppliers about buyers explains the … use of trade credit even when there is a competitive banking sector. If suppliers possess private information about their … buyers, then the buyer's order size and ability to pay on time should reflect that information. Using a novel dataset of …

Persistent link: https://www.econbiz.de/10012479507

A Dynamic Model of Characteristic-Based Return Predictability

Alti, Aydoğan - 2019

We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...

Persistent link: https://www.econbiz.de/10012479727

Premium for Heightened Uncertainty : Solving the FOMC Puzzle

Hu, Grace Xing - 2019

The substantial stock market return prior to FOMC announcements without major increase in conventional measures of risk, as documented by Lucca and Moench (2015), presents a "puzzle" to the simple notion of risk-return trade off. We hypothesize that the arrival of macroeconomic news, with FOMC...

Persistent link: https://www.econbiz.de/10012479767

Predicting Returns With Text Data

Ke, Zheng Tracy - 2019

We introduce a new text-mining methodology that extracts sentiment information from news articles to predict asset …

Persistent link: https://www.econbiz.de/10012480131

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

Adam, Klaus - 2018

Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the asset pricing literature are consistent with the survey...

Persistent link: https://www.econbiz.de/10012480774

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