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Growth Expectations, Dividend Yields, and Future Stock Returns
Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 2014
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...
Persistent link: https://www.econbiz.de/10010950997
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The Golden Dilemma
Harvey, Campbell; Erb, Claude B. - National Bureau of Economic Research (NBER) - 2013
While gold objects have existed for thousands of years, gold's role in diversified portfolios is not well understood. We critically examine popular stories such as 'gold is an inflation hedge'. We show that gold may be an effective hedge if the investment horizon is measured in centuries. Over...
Persistent link: https://www.econbiz.de/10010951171
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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
Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10010951430
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Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity
Robinson, David T.; Sensoy, Berk A. - National Bureau of Economic Research (NBER) - 2011
Public and private equity waves move together. Using quarterly cash-flow data for a large sample of venture capital and buyout funds from 1984-2010, we investigate the implications of this co-cyclicality for understanding private equity cash flows and performance. In the cross-section, varying...
Persistent link: https://www.econbiz.de/10009294903
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What Does Equity Sector Orderflow Tell Us about the Economy?
Beber, Alessandro; Brandt, Michael W.; Kavajecz, Kenneth A. - National Bureau of Economic Research (NBER) - 2010
foot-print of sector rotation has predictive power for the evolution of the economy and future bond market returns, even …
Persistent link: https://www.econbiz.de/10008727847
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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - National Bureau of Economic Research (NBER) - 2013
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the...
Persistent link: https://www.econbiz.de/10010692203
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The Equity Premium: Why is it a Puzzle?
Mehra, Rajnish - National Bureau of Economic Research (NBER) - 2003
This article takes a critical look at the equity premium puzzle the inability of standard intertemporal economic models to rationalize the statistics that have characterized U.S. financial markets over the past century. A summary of historical returns for the United States and other...
Persistent link: https://www.econbiz.de/10005714522
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Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
Campbell, John Y.; Viceira, Luis M.; Sunderam, Adi - National Bureau of Economic Research (NBER) - 2009
The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was … of these state variables enables the model to ...fit the changing covariance of bond and stock returns. Log bond yields … concavity of the yield curve - the level of intermediate-term bond yields, relative to the average of short- and long-term bond …
Persistent link: https://www.econbiz.de/10005828572
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The Equity Premium and Structural Breaks
Pastor, Lubos; Stambaugh, Robert F. - National Bureau of Economic Research (NBER) - 2000
A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the...
Persistent link: https://www.econbiz.de/10005830947
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Horizon Length and Portfolio Risk
Gollier, Christian; Zeckhauser, Richard - National Bureau of Economic Research (NBER) - 1997
In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are identical except that the first investor will live longer than the" second one. In one of the models under consideration, there are two assets at every period. The" first asset has a...
Persistent link: https://www.econbiz.de/10005779013