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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10013073570
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Why Does the Stock Market Fluctuate?
Barsky, Robert - 2002
Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...
Persistent link: https://www.econbiz.de/10012787482
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The Cross-Section of Volatility and Expected Returns
Ang, Andrew - 2010
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we … find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we … find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average …
Persistent link: https://www.econbiz.de/10012762558
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Stock Return Predictability : Is it There?
Bekaert, Geert - 2010
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012763174
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Productivity and Machinery Investment : A Long Run Look 1870-1980
DeLong, J. Bradford - 2010
Over the past century the long-run growth of six economies shows a strong association between investment in machinery and economic growth that holds both within and across nations and periods. A similar strong association holds for the post-world War II period for a broader cross section of...
Persistent link: https://www.econbiz.de/10012763337