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Volatility, the Macroeconomy and Asset Prices
Bansal, Ravi - 2012
We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …
Persistent link: https://www.econbiz.de/10013106078
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Asset Returns and Intertemporal Preferences
Kandel (deceased), Shmuel - 2008
determining the means of both equity returns and interest rates, implications about the volatility and the predictability of …
Persistent link: https://www.econbiz.de/10012774517
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Rational Pessimism, Rational Exuberance, and Asset Pricing Models
Bansal, Ravi - 2007
financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …
Persistent link: https://www.econbiz.de/10012776940
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Predictive Regressions
Stambaugh, Robert F. - 2010
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....
Persistent link: https://www.econbiz.de/10012763765
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Stambaugh, Robert F. - 2012
explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among …
Persistent link: https://www.econbiz.de/10013097661
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Interpretable Asset Markets?
Bansal, Ravi - 2010
In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …
Persistent link: https://www.econbiz.de/10012762886
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Risks for the Long Run : Estimation with Time Aggregation
Bansal, Ravi - 2012
prices, including the equity premia, risk-free rate and volatility puzzles …
Persistent link: https://www.econbiz.de/10013101822
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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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Liquidity Risk and Expected Stock Returns
Pastor, Lubos - 2010
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of...
Persistent link: https://www.econbiz.de/10012763119
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Costs of Equity Capital and Model Mispricing
Pastor, Lubos - 2010
Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return...
Persistent link: https://www.econbiz.de/10012763608