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Campbell, John Y. - 2011

We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...

Persistent link: https://www.econbiz.de/10013133237

Hard Times

Campbell, John Y. - 2010

This paper shows that the stock market downturns of 2000-2002 and 2007-09 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to corporate profits by rational investors, while the late 2000's saw a decrease in rational expectations of future...

Persistent link: https://www.econbiz.de/10013139890

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

Information, Analysts, and Stock Return Comovement

Hameed, Allaudeen - 2010

We examine information spillover as a source of stock return synchronicity, where information about highly-followed "prominent" stocks is used to price other "neglected" stocks sharing a common fundamental component. We find that stocks followed by few analysts co-move significantly with...

Persistent link: https://www.econbiz.de/10013146492

Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks

Kim, Jung-Wook - 2013

Using complete order books from the Korea Stock Exchange for a four-year period including the 1997 Asian financial crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably finite elasticities. These fall markedly, by about 40%,...

Persistent link: https://www.econbiz.de/10012753216

What Do We Learn from Stock Price Reactions to China's First Announcement of Anti-Corruption Reforms?

Lin, Chen - 2016

China's markets gained 3.86% around December 4, 2012, when the Party announced anti-corruption reforms. State-owned enterprises (SOEs) with higher past entertainment and travel costs (ETC) gained more. NonSOEs gained in more liberalized provinces, especially those with high past ETC,...

Persistent link: https://www.econbiz.de/10012998417

Shareholder Democracy in Canada

Morck, Randall - 2010

-style takeover defences, such as poison pills and staggered boards, but allows voting caps and pyramiding in their stead. Various … investors and mandatory takeover bids …

Persistent link: https://www.econbiz.de/10013135809

Do Managerial Objectives Drive Bad Acquisitions?

Morck, Randall - 2013

This paper documents for a sample of 327 US acquisitions between 1975 and 1987 three forces that systematically reduce the announcement day return of bidding firms. The returns to bidding shareholders are lower when their firm diversifies, when it buys a rapidly growing target , and when the...

Persistent link: https://www.econbiz.de/10012753943

Alternative Mechanisms for Corporate Control

Morck, Randall - 2013

change: internally precipitated management turnover, hostile takeover, and friendly takeover. We find that firms experiencing … is also weaker evidence that hostile takeover targets underperform their industry peers. We interpret this evidence as … relative to industry, but that an external challenge in the form of a hostile takeover is often required when the whole …

Persistent link: https://www.econbiz.de/10012754746

Household Finance

Campbell, John Y. - 2010

The welfare benefits of financial markets depend in large part on how effectively households use these markets. The study of household finance is challenging because household behavior is difficult to measure accurately, and because households face constraints that are not captured by textbook...

Persistent link: https://www.econbiz.de/10012761660