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Can reinvestment risk explain the dividend and bond term structures?

Gonçalves, Andrei S. - 2018 - This Version: January, 2018

tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns … long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the …

Persistent link: https://www.econbiz.de/10011963382

Dividends, investment and cash flow uncertainty : evidence from China

Deng Lu; Li, Sifei; Liao, Mingqing; Wu, Weixing - In: International review of economics & finance : IREF 27 (2013), pp. 112-124

Persistent link: https://www.econbiz.de/10009740856

Forward-looking information on growth and uncertainty implied by derivative securities : evidence from an emerging market

Yen, Yu-min - In: International review of economics & finance : IREF 62 (2019), pp. 240-266

Persistent link: https://www.econbiz.de/10012205548

Dividend policy, risk and the cross-section of stock returns : evidence from India

Ali, Heba Ahmed Abass; Hegazy, Aya Yasser - In: International review of economics & finance : IREF 79 (2022), pp. 169-192

Persistent link: https://www.econbiz.de/10013343379

The role of financial conditions in portfolio choices : the case of insurers

Ge, Shan; Weisbach, Michael S. - 2019

Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which...

Persistent link: https://www.econbiz.de/10012104637

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...

Persistent link: https://www.econbiz.de/10011962224

Why has idiosyncratic risk been historically low in recent years?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2018

Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in the late 1990s that has drawn considerable attention in the literature, average market-model IR is 44% lower in 2013-2017 than in 1996-2000. Macroeconomic variables help explain...

Persistent link: https://www.econbiz.de/10011969105

Housing risk and the cross-section of returns across many asset classes

Ma, Sai; Zhang, Shaojun - 2020

When households consume both nondurable goods and housing services, external habit preference over nondurable consumption generates procyclical demand for housing. Marginal utility falls when housing demand rises and innovations to housing demand arise as a risk factor. Motivated by theory, we...

Persistent link: https://www.econbiz.de/10012216697

Delegation uncertainty

Li, Ye; Wang, Chen - 2018

Delegation bears an intrinsic form of uncertainty. Investors hire managers for their superior models of asset markets, but delegation outcome is uncertain precisely because managers' model is unknown to investors. We model investors' delegation decision as a trade-off between asset return...

Persistent link: https://www.econbiz.de/10011976244

Expectations uncertainty and household economic behavior

Ben-David, Itzhak; Fermand, Elyas; Kuhnen, Camelia M.; … - 2018

We show that there exists significant heterogeneity across U.S. households in how uncertain they are in their expectations regarding personal and macroeconomic outcomes, and that uncertainty in expectations predicts households' choices. Individuals with lower income or education, more precarious...

Persistent link: https://www.econbiz.de/10011976251