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The Distribution of Investor Beliefs, Stock Ownership and Stock Returns

Hardouvelis, Gikas A.; Karalas, Georgios; Vayanos, Dimitri - National Bureau of Economic Research - 2021

We study theoretically and empirically the relationship between investor beliefs, ownership dispersion and stock returns. We find that high dispersion, measured by high breadth or low Herfindahl index, forecasts returns positively for large stocks, as in Chen, Hong and Stein (2002), but...

Persistent link: https://www.econbiz.de/10012510575

The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment

Beeler, Jason - 2009

The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...

Persistent link: https://www.econbiz.de/10012463859

In Search of the Origins of Financial Fluctuations : The Inelastic Markets Hypothesis

Gabaix, Xavier; Koijen, Ralph S. J. - National Bureau of Economic Research - 2021

We develop a framework to theoretically and empirically analyze the fluctuations of the aggregate stock market. Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation in...

Persistent link: https://www.econbiz.de/10012585451

Turnover Liquidity and the Transmission of Monetary Policy

Lagos, Ricardo - 2018

We provide empirical evidence of a novel liquidity-based transmission mechanism through which monetary policy influences asset markets, develop a model of this mechanism, and assess the ability of the quantitative theory to match the evidence

Persistent link: https://www.econbiz.de/10012480757

Risk Preferences and The Macro Announcement Premium

Ai, Hengjie - 2016

uncertainty", for example, Gilboa and Schmeidler [30]. We also present a dynamic model to account for the evolution of equity …

Persistent link: https://www.econbiz.de/10012456152

Neighbors Matter : Causal Community Effects and Stock Market Participation

Brown, Jeffrey R. - 2007

This paper establishes a causal relation between an individual's decision of whether to own stocks and average stock market participation decision of the individual's community. We instrument for the average ownership of an individual's community with lagged average ownership of the states in...

Persistent link: https://www.econbiz.de/10012465485

Local Does as Local Is : Information Content of the Geography of Individual Investors' Common Stock Investments

Weisbenner, Scott - 2003

households exhibit a strong preference for local investment - the average household invests nearly a third of their portfolio in …

Persistent link: https://www.econbiz.de/10012469013

Optimal Value and Growth Tilts in Long-Horizon Portfolios

Jurek, Jakub W. - 2006

over wealth at a finite horizon who faces an investment opportunity set with time-varying risk premia, real interest rates … and inflation. The variation in investment opportunities is captured by a flexible vector autoregressive parameterization … is an affine function of the vector of state variables describing investment opportunities, with coefficients that are a …

Persistent link: https://www.econbiz.de/10012466654

Predictive Regressions : A Present-value Approach

van Binsbergen, Jules H. - 2010

We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict...

Persistent link: https://www.econbiz.de/10012462393

The "CAPS" Prediction System and Stock Market Returns

Avery, Christopher - 2011

We study the predictive power of approximately 2.5 million stock picks submitted by individual users to the "CAPS" website run by the Motley Fool company (www.caps.fool.com). These picks prove to be surprisingly informative about future stock prices. Indeed, a strategy of shorting stocks with a...

Persistent link: https://www.econbiz.de/10012461359

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