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Banks as Secret Keepers
Gorton, Gary; Holmstrom, Bengt; Ordonez, Guillermo L.; … - National Bureau of Economic Research (NBER) - 2014
Banks are optimally opaque institutions. They produce debt for use as a transaction medium (bank money), which requires that information about the backing assets - loans - not be revealed, so that bank money does not fluctuate in value, reducing the efficiency of trade. This need for opacity...
Persistent link: https://www.econbiz.de/10010969202
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Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013
Shiller, Robert J.; Bunn, Oliver D. - National Bureau of Economic Research (NBER) - 2014
from Campbell and Shiller (1998, 2001) of the return predictability of the CAPE ratio for the overall stock market and … perform valuation comparisons across sectors. In addition to establishing the prediction of subsequent return differences …, generating slightly more than 1:09% annualized, inflation-adjusted excess total return over the market benchmark during a period …
Persistent link: https://www.econbiz.de/10010885301
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Market Liquidity -- Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - National Bureau of Economic Research (NBER) - 2012
In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity...
Persistent link: https://www.econbiz.de/10010951230
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Buffett's Alpha
Frazzini, Andrea; Pedersen, Lasse Heje; Kabiller, David - National Bureau of Economic Research (NBER) - 2013
more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha …
Persistent link: https://www.econbiz.de/10010951286
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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option …
Persistent link: https://www.econbiz.de/10010951430
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Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
Zitzewitz, Eric; Cremers, Martijn; Petajisto, Antti - National Bureau of Economic Research (NBER) - 2012
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas arise primarily from the disproportionate weight the Fama-French factors place on small...
Persistent link: https://www.econbiz.de/10011271442
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Weak and Semi-Strong Form Stock Return Predictability Revisited
Ferson, Wayne; Heuson, Andrea; Su, Tie - National Bureau of Economic Research (NBER) - 2005
This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has...
Persistent link: https://www.econbiz.de/10005078633
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Information Immobility and the Home Bias Puzzle
Van Nieuwerburgh, Stijn; Veldkamp, Laura - National Bureau of Economic Research (NBER) - 2007
Many argue that home bias arises because home investors can predict home asset payoffs more accurately than foreigners can. But why doesn't global information access eliminate this asymmetry? We model investors, endowed with a small home information advantage, who choose what information to...
Persistent link: https://www.econbiz.de/10005084715
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Investor Sentiment in the Stock Market
Baker, Malcolm; Wurgler, Jeffrey - National Bureau of Economic Research (NBER) - 2007
Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The "top down" approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two...
Persistent link: https://www.econbiz.de/10005085269
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Market Selection
Westerfield, Mark M.; Kogan, Leonid; Ross, Stephen; … - National Bureau of Economic Research (NBER) - 2009
selection hypothesis is valid for economies with bounded endowments or bounded relative risk aversion, but it cannot be … risk attitudes. The price impact of inaccurate forecasts is distinct from survival because price impact is determined by …
Persistent link: https://www.econbiz.de/10005087445