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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

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

Wu, Jin (Ginger) - 2010

We construct accounting-based costs of equity for dollar neutral long-short trading strategies formed on a comprehensive list of anomaly variables. These variables include book-to-market, size, composite issuance, net stock issues, abnormal investment, asset growth, investment-to-assets,...

Persistent link: https://www.econbiz.de/10013144161

Expected Returns, Yield Spreads, and Asset Pricing Tests

Campello, Murillo; Chen, Long; Zhang, Lu - 2021

We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected returns. We find that the market beta plays a much...

Persistent link: https://www.econbiz.de/10013311894

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

The Stock Market and Aggregate Employment

Chen, Long - 2010

We study the interactions between the stock market and the labor market. When aggregate risk premiums are time-varying, predictive variables for market excess returns should forecast long-horizon growth in the marginal benefit of hiring and thereby long-horizon aggregate employment growth....

Persistent link: https://www.econbiz.de/10013151372

A Model of Momentum

Liu, Laura Xiaolei - 2011

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …

Persistent link: https://www.econbiz.de/10013130782

The Value Spread as a Predictor of Returns

Liu, Naiping - 2005

Recent studies have used the value spread to predict aggregate stock returns to construct cash-flow betas that appear to explain the size and value anomalies. We show that two related variables, the book-to-market spread (the book-to-market of value stocks minus that of growth stocks) and the...

Persistent link: https://www.econbiz.de/10012784621

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

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

Searching for the Equity Premium

Bai, Hang; Zhang, Lu - 2022

annum, a stock market volatility of 11.8%, and a low average interest rate of 1.59%, while simultaneously retaining … plausible business cycle dynamics. The equity premium and stock market volatility are strongly countercyclical, while the …

Persistent link: https://www.econbiz.de/10013405094