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Earnings Quality and Stock Returns
Chan, Konan - 2010
An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, negatively associated with future stock returns. Earnings increases that are accompanied by high accruals,...
Persistent link: https://www.econbiz.de/10012763145
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Investor Sophistication and Capital Income Inequality
Kacperczyk, Marcin T. - 2014
What contributes to the growing income inequality across U.S. households? We develop an information- based general equilibrium model that links capital income derived from financial assets to a level of investor sophistication. Our model implies income inequality between sophisticated and...
Persistent link: https://www.econbiz.de/10013052134
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Speculative Dynamics
Cutler, David M.; Poterba, James M.; Summers, Lawrence H. - 2021
This paper presents evidence on the characteristic speculative dynamics of a wide range of asset returns. It highlights three stylized facts. First, returns tend to be positively serially correlated at high frequency. Second, returns tend to be negatively serially correlated over long horizons....
Persistent link: https://www.econbiz.de/10013228632
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Greek Budget Realities : No Easy Options
House, Christopher L. - 2015
As of August 2015, Greece's loan repayments due to external creditors through 2057 summed to €319.5 billion, requiring … sufficient to increase Greece's primary balance by one percent of 2014 GDP – roughly a quarter of Greece's total debt obligations … overestimate the amount of actual revenue that Greece would raise due to the endogenous adjustment of capital and labor. Meeting …
Persistent link: https://www.econbiz.de/10013012694
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Generalized Transform Analysis of Affine Processes and Applications in Finance
Chen, Hui - 2011
Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities, computing equilibrium, and conducting structural estimations. We extend the transform analysis in Duffie, Pan, and Singleton (2000) by providing analytical treatment of a general...
Persistent link: https://www.econbiz.de/10013127979
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Margin-Based Asset Pricing and Deviations from the Law of One Price
Garleanu, Nicolae - 2011
In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns are characterized both by their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe...
Persistent link: https://www.econbiz.de/10013130262
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Predictive Regressions : A Present-Value Approach
van Binsbergen, Jules H. - 2010
We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict...
Persistent link: https://www.econbiz.de/10013139284
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Evaporating Liquidity
Nagel, Stefan - 2011
The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time-varying and highly predictable with the VIX index....
Persistent link: https://www.econbiz.de/10013117559
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The Leverage Effect Puzzle : Disentangling Sources of Bias at High Frequency
Ait-Sahalia, Yacine - 2011
The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies...
Persistent link: https://www.econbiz.de/10013118417
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Temperature, Aggregate Risk, and Expected Returns
Bansal, Ravi - 2011
In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument is based on evidence from global capital markets which shows that the covariance between country equity returns and temperature (i.e., temperature betas) contains sharp...
Persistent link: https://www.econbiz.de/10013118834