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Analyzing Investments Whose Histories Differ in Length
Stambaugh, Robert F. - 2010
This study explores multivariate methods for investment analysis based on a sample of return histories that differ in length across assets. The longer histories provide greater information about moments of returns, not only for the longer-history assets, but for the shorter-history assets as...
Persistent link: https://www.econbiz.de/10012763664
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Estimating the Equity Premium
Campbell, John Y. - 2010
To estimate the equity premium, it is helpful to use finance theory: not the old-fashioned theory that efficient … markets imply a constant equity premium, but theory that restricts the time-series behavior of valuation ratios, and that … for stock returns. A steady-state approach suggests that the world geometric average equity premium was almost 4% at the …
Persistent link: https://www.econbiz.de/10012759797
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Understanding Risk and Return
Campbell, John Y. - 2021
This paper uses an intertemporal equilibrium asset pricing model to interpret the cross-sectional pattern of stock and bond returns. The model relates assets' mean returns to their covariances with the contemporaneous return and news about future returns on the market portfolio. In a departure...
Persistent link: https://www.econbiz.de/10013223885
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The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason; Campbell, John Y. - 2021
The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...
Persistent link: https://www.econbiz.de/10013225971
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Portfolio Inefficiency and the Cross-Section of Expected Returns
Kandel, Shmuel - 2011
A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...
Persistent link: https://www.econbiz.de/10013118691
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An Intertemporal CAPM with Stochastic Volatility
Campbell, John Y. - 2012
This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market rather than tilting towards value stocks and other equity portfolios that are attractive to short-term investors. We show that a...
Persistent link: https://www.econbiz.de/10013100357
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The Short of it : Investor Sentiment and Anomalies
Stambaugh, Robert F. - 2011
This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting where the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale...
Persistent link: https://www.econbiz.de/10013127985
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Macroeconomic Drivers of Bond and Equity Risks
Campbell, John Y. - 2014
Our new model of consumption-based habit formation preferences generates loglinear, homoskedastic macroeconomic dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest rate takes the form of an exactly loglinear consumption...
Persistent link: https://www.econbiz.de/10013054872
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Where Do Betas Come from? Asset Price Dynamics and the Sources of Systematic Risk
Campbell, John Y. - 2002
return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …
Persistent link: https://www.econbiz.de/10012787489
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A Variance Decomposition for Stock Returns
Campbell, John Y. - 2000
This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of...
Persistent link: https://www.econbiz.de/10012788532