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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

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

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

Momentum Crashes

Daniel, Kent - 2014

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...

Persistent link: https://www.econbiz.de/10012458228

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2009

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...

Persistent link: https://www.econbiz.de/10012463390

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

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