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Multifrequency News and Stock Returns
Calvet, Laurent E. - 2013
Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of...
Persistent link: https://www.econbiz.de/10012754523
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Investor Information, Long-Run Risk, and the Term Structure of Equity
Croce, Mariano (Max) Massimiliano - 2012
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...
Persistent link: https://www.econbiz.de/10012755422
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Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
Gallmeyer, Michael F. - 2010
We examine the relationship between monetary-policy-induced changes in short interest rates and yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural...
Persistent link: https://www.econbiz.de/10012759951
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The Empirical Foundations of the Arbitrage Pricing Theory I : the Empirical Tests
Lehmann, Bruce N. - 2010
analysis of large cross-sections of securities. Our empirical implementation of the theory proved in capable of explaining … with the CAPM employing the usual market proxies failed. In addition, it appears that the zero beta version of the APT is … factor versions of the theory …
Persistent link: https://www.econbiz.de/10012760225
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The Asset Price Approach to the Analysis of Capital Income Taxation
Summers, Lawrence H. - 2010
This paper summarizes my recent research directed at the development of an asset price approach to the analysis of capital income taxation. While asset prices play a crucial role in many macroeconomic models, they have been subordinate in most previous efforts to study the effects of capital...
Persistent link: https://www.econbiz.de/10012760328
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A Skeptical Appraisal of Asset-Pricing Tests
Lewellen, Jonathan - 2010
It has become standard practice in the cross-sectional asset-pricing literature to evaluate models based on how well they explain average returns on size- and B/M-sorted portfolios, something many models seem to do remarkably well. In this paper, we review and critique the empirical methods used...
Persistent link: https://www.econbiz.de/10012760823
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Asset Prices When Agents are Marked-to-Market
Gorton, Gary B. - 2010
quot;Risk managementquot; in securities markets refers to the oversight of portfolio managers and professional traders when they trade on behalf of investors in security markets. Monitoring of their trading performance, profit and loss, and risk-taking behavior, is measured by principals using...
Persistent link: https://www.econbiz.de/10012761724
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Investor Attention : Overconfidence and Category Learning
Xiong, Wei - 2010
Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors' attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to ``category-learningquot; behavior, i.e., investors tend...
Persistent link: https://www.econbiz.de/10012762445
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Anomalies
Zhang, Lu - 2010
I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically...
Persistent link: https://www.econbiz.de/10012762464
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Asset Pricing Theories
Rothschild, Michael - 2010
This article compares two leading models of asset pricing: the capital asset pricing model (CAPM) and the arbitrage … pricing theory (APT): I argue that while the APT is compatible with the data available for testing theories of asset pricing …, the CAPM is not. In reaching this conclusion emphasis is placed on the distinction between the unconditional (relatively …
Persistent link: https://www.econbiz.de/10012762597