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Asset Prices, Consumption, and the Business Cycle

Campbell, John Y. - 1998

This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features...

Persistent link: https://www.econbiz.de/10012472320

Asset Pricing with Optimal Under-Diversification

Elenev, Vadim; Landvoigt, Tim - National Bureau of Economic Research - 2023

We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort requires equity stakes, and because investors gain...

Persistent link: https://www.econbiz.de/10014250139

Stock Market Liberalizations and the Repricing of Systematic Risk

Chari, Anusha - 2001

no significant relationship to differences in local and world covariances. These findings suggest that the CAPM has …

Persistent link: https://www.econbiz.de/10012470459

Estimation Risk, Market Efficiency, and the Predictability of Returns

Lewellen, Jonathan - 2000

In asset pricing, estimation risk refers to investor uncertainty about the parameters of the return or cashflow process …. We show that with estimation risk the observable properties of prices and returns can differ significantly from the …. Cross-sectionally, expected returns deviate from the CAPM even if investors attempt to hold mean-variance efficient …

Persistent link: https://www.econbiz.de/10012471062

The Empirical Risk-Return Relation : A Factor Analysis Approach

Ludvigson, Sydney C. - 2005

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount of conditioning information used to model the conditional mean and conditional volatility of excess stock market returns. To the extent that financial market participants have...

Persistent link: https://www.econbiz.de/10012467202

The Value Spread as a Predictor of Returns

Lu, Naiping - 2005

Recent studies have used the value spread to predict aggregate stock returns to construct cash-flow betas that appear to explain the size and value anomalies. We show that two related variables, the book-to-market spread (the book-to-market of value stocks minus that of growth stocks) and the...

Persistent link: https://www.econbiz.de/10012467357

Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?

Hau, Harald - 2004

influence the exchange rates and relative equity prices. In the estimation of the VAR system we do not impose any causal …

Persistent link: https://www.econbiz.de/10012468217

Efficient Tests of Stock Return Predictability

Campbell, John Y. - 2003

Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid...

Persistent link: https://www.econbiz.de/10012468672

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

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 using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012456159