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Building Castles in the Air: Evidence from Industry IPO Waves
Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 2012
% per year, during the subsequent four-year period after adjusting for risk and firm characteristics differentials. Further …, the average future returns on these firms are even below the corresponding risk-free returns. Our findings contribute to …
Persistent link: https://www.econbiz.de/10010951370
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Inflation and the Stock Market:Understanding the "Fed Model"
Bekaert, Geert; Engstrom, Eric - National Bureau of Economic Research (NBER) - 2009
uncertainty about real growth prospects and habit -- based risk version. In the US, high expected inflation has tended to … coincided with periods of heightened uncertainty about real economic growth and unusually high risk aversion, both of which …
Persistent link: https://www.econbiz.de/10005025656
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What Ties Return Volatilities to Price Valuations and Fundamentals?
David, Alexander; Veronesi, Pietro - National Bureau of Economic Research (NBER) - 2009
Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic...
Persistent link: https://www.econbiz.de/10008635936
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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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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
We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...
Persistent link: https://www.econbiz.de/10010885301
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jorda, Oscar; Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2009
The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...
Persistent link: https://www.econbiz.de/10008628426
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Performance Evaluation of Zero Net-Investment Strategies
Jorda, Oscar; Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2011
directional trading strategies, risk-adjusted returns, and the investor's decisions under uncertainty as the core of our analysis … connection between model-based risk characteristics and the no-arbitrage conditions for market efficiency. Moreover, we extend …
Persistent link: https://www.econbiz.de/10009147543
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Currency Carry Trades
Jorda, Oscar; Taylor, Alan M.; Berge, Travis J. - National Bureau of Economic Research (NBER) - 2010
between our returns and a conventional set of so-called risk factors. …
Persistent link: https://www.econbiz.de/10008684847
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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 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 to determine the market's forecast of returns and the market's risk …
Persistent link: https://www.econbiz.de/10009251521