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Tail Risk and Asset Prices
Kelly, Bryan; Jiang, Hao - National Bureau of Economic Research (NBER) - 2013
We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures...
Persistent link: https://www.econbiz.de/10010692234
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A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - National Bureau of Economic Research (NBER) - 2011
We provide a first in-depth look at robust estimation of integrated quarticity (IQ) based on high frequency data. IQ is … considerable interest in applications. We document the significant empirical challenges for IQ estimation posed by commonly …
Persistent link: https://www.econbiz.de/10009147537
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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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Inflation and the Stock Market:Understanding the "Fed Model"
Bekaert, Geert; Engstrom, Eric - National Bureau of Economic Research (NBER) - 2009
correlation between the yield on nominal bonds and the dividend yield on equities. This positive correlation is often attributed … commoves with nominal bond yields for well-known reasons, the positive correlation between expected inflation and equity yields … high correlation between bond yields and equity yields and we confirm that this is true in a panel of international data …
Persistent link: https://www.econbiz.de/10005025656
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The Recovery Theorem
Ross, Stephen A. - National Bureau of Economic Research (NBER) - 2011
We can only estimate the distribution of stock returns but we observe the distribution of risk neutral state prices. Risk neutral state prices are the product of risk aversion - the pricing kernel - and the natural probability distribution. The Recovery Theorem enables us to separate these and...
Persistent link: https://www.econbiz.de/10009251521
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Predictive Regressions: A Present-value Approach
Binsbergen, Jules H. van; Koijen, Ralph S.J. - National Bureau of Economic Research (NBER) - 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/10008532140
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Predictability of Returns and Cash Flows
Van Nieuwerburgh, Stijn; Koijen, Ralph S.J. - National Bureau of Economic Research (NBER) - 2010
We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries.
Persistent link: https://www.econbiz.de/10008776834
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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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Global Asset Pricing
Lewis, Karen K. - National Bureau of Economic Research (NBER) - 2011
Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both...
Persistent link: https://www.econbiz.de/10009228888
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The Tactical and Strategic Value of Commodity Futures
Harvey, Campbell; Erb, Claude B. - National Bureau of Economic Research (NBER) - 2005
Historically, commodity futures have had excess returns similar to those of equities. But what should we expect in the future? The usual risk factors are unable to explain the time-series variation in excess returns. In addition, our evidence suggests that commodity futures are an inconsistent,...
Persistent link: https://www.econbiz.de/10005830327