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Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns

Hoffmann, Mathias - 2021

Small businesses tend to be owned by wealthy households. Such entrepreneur households also own a large share of U.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the equity premium. The paper suggests an entrepreneurial...

Persistent link: https://www.econbiz.de/10013317587

Heterogeneity and Persistence in Returns to Wealth

Fagereng, Andreas - 2018

We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...

Persistent link: https://www.econbiz.de/10012913195

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Baumeister, Christiane - 2016

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

Persistent link: https://www.econbiz.de/10012996209

A Neglected Semi-Stylized Fact of Daily Stock Returns

Kraemer, Walter - 2016

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

Persistent link: https://www.econbiz.de/10012994582

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2021

This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...

Persistent link: https://www.econbiz.de/10013315674

Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets

Wdowinski, Piotr; Malecka, Marta - 2021

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...

Persistent link: https://www.econbiz.de/10013316234

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10013094817

The Role of the Log Transformation in Forecasting Economic Variables

Luetkepohl, Helmut - 2009

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...

Persistent link: https://www.econbiz.de/10012764276

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

norm, but it is likely to be punctuated with episodes of bubbles and crashes. The paper also considers if market …

Persistent link: https://www.econbiz.de/10013141185

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

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