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The Shorting Premium and Asset Pricing Anomalies
Drechsler, Itamar - 2014
Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...
Persistent link: https://www.econbiz.de/10013050316
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Volatility, the Macroeconomy and Asset Prices
Bansal, Ravi - 2012
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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The New Fama Puzzle
Bussière, Matthieu - 2018
correlated, contrary to what theory suggests – for eight advanced country exchange rates against the US dollar, over the period …
Persistent link: https://www.econbiz.de/10012927015
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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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Risk, Mispricing, and Asset Allocation : Conditioning on Dividend Yield
Shanken, Jay A. - 2010
In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and...
Persistent link: https://www.econbiz.de/10012763077
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Sources of Risk and Expected Returns in Global Equity Markets
Ferson, Wayne E. - 2010
This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world...
Persistent link: https://www.econbiz.de/10012763466
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Speculative Betas
Hong, Harrison G. - 2012
We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and experience a greater divergence-of-opinion about their...
Persistent link: https://www.econbiz.de/10013097774
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Heterogeneity and Persistence in Returns to Wealth
Fagereng, Andreas - 2016
We provide a systematic analysis of the properties of individual returns to wealth using twenty years of population … percentile. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and … risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth …
Persistent link: https://www.econbiz.de/10012979360
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Kolmogorov-Smirnov Tests for Distribution Function Similarity with Applications to Portfolios of Common Stock
Meyer, Jack; Rasche, Robert - 2021
If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify...
Persistent link: https://www.econbiz.de/10013239386
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Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In...
Persistent link: https://www.econbiz.de/10013076911