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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

Schorfheide, Frank; Yaron, Amir; Song, Dongho - National Bureau of Economic Research (NBER) - 2014

We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …

Persistent link: https://www.econbiz.de/10010821674

Maximum likelihood estimation of the equity premium

Wachter, Jessica A.; Avdis, Efstathios - National Bureau of Economic Research (NBER) - 2013

, based on maximum likelihood, that takes into account information contained in dividends and prices. Applied to the postwar …

Persistent link: https://www.econbiz.de/10010796711

Econometric Analysis of Present Value Models When the Discount Factor Is near One

West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012

This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches 1 as the sample size...

Persistent link: https://www.econbiz.de/10010785624

. . . and the Cross-Section of Expected Returns

Harvey, Campbell; Liu, Yan; Zhu, Heqing - National Bureau of Economic Research (NBER) - 2014

Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0....

Persistent link: https://www.econbiz.de/10010950737

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012

vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible … estimators for the limiting variance. We provide semiparametric tests for the option price dynamics based on the distance between … the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates the …

Persistent link: https://www.econbiz.de/10011271459

Are Firms in "Boring" Industries Worth Less?

Chen, Jia; Hou, Kewei; Stulz, René M. - National Bureau of Economic Research (NBER) - 2015

Using theories from the behavioral finance literature to predict that investors are attracted to industries with more salient outcomes and that therefore firms in such industries have higher valuations, we find that firms in industries that have high industry-level dispersion of profitability...

Persistent link: https://www.econbiz.de/10011133503

Momentum Trading, Return Chasing, and Predictable Crashes

Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...

Persistent link: https://www.econbiz.de/10011096567

A Taxonomy of Anomalies and their Trading Costs

Novy-Marx, Robert; Velikov, Mihail - National Bureau of Economic Research (NBER) - 2014

This paper studies the performance of a large number of anomalies after accounting for transaction costs, and the effectiveness of several transaction cost mitigation strategies. It finds that introducing a buy/hold spread, which allows investors to continue to hold stocks that they would not...

Persistent link: https://www.econbiz.de/10011096569

High-frequency, Algorithmic Spillovers Between NASDAQ and Forex

Ito, Takatoshi; Yamada, Masahiro - National Bureau of Economic Research (NBER) - 2015

on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each … market, our results show that HFTs in Nasdaq trade intensively on the market-wide information more rapidly than other market … participants, and that their order flows contain more information about the Forex rates than those of the Forex themselves. As a …

Persistent link: https://www.econbiz.de/10011266645

A Welfare Criterion for Models with Distorted Beliefs

Brunnermeier, Markus K.; Xiong, Wei; Simsek, Alp - National Bureau of Economic Research (NBER) - 2014

This paper proposes a welfare criterion for economies in which agents have heterogeneously distorted beliefs. Instead of taking a stand on whose belief is correct, our criterion asserts that an allocation is belief-neutral efficient (inefficient) if it is efficient (inefficient) under any convex...

Persistent link: https://www.econbiz.de/10011079882