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1
The Determinants of Stock and Bond Return Comovements
Baele, Lieven
-
2010
We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...
Persistent link: https://www.econbiz.de/10013151357
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2
The Cross-Section of Risk and Return
Daniel, Kent D.
-
2018
In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We...
Persistent link: https://www.econbiz.de/10012931218
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3
Betting Against Beta
Frazzini, Andrea
-
2010
We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....
Persistent link: https://www.econbiz.de/10013135232
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4
International Home Bias in International Finance and Business Cycles
Lewis, Karen K.
-
2008
rates tend to have a lower
correlation
across countries than do output growth rates. Moreover, consumption growth in each …
Persistent link: https://www.econbiz.de/10012774915
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5
Cash-Flow Risk, Discount Risk, and the Value Premium
Santos, Tano
-
2006
value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional
CAPM
… rationalizes why the conditional
CAPM
and a Fama and French (1993) HML factor outperform the unconditional
CAPM
…
Persistent link: https://www.econbiz.de/10012783344
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6
The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles M.
-
2010
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE...
Persistent link: https://www.econbiz.de/10012763456
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7
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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8
The Significance of the Market Portfolio
Athanasoulis, Stefano
-
2010
The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a social-welfare-minded contract designer would never create a contract that would allow trading the market...
Persistent link: https://www.econbiz.de/10012763547
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9
Comovement
Barberis, Nicholas
-
2002
A number of studies have identifed patterns of positive
correlation
of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012787252
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10
Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel
-
2015
information-based model demonstrates that the
correlation
of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the
correlation
between predicted and actual is 0.63. Our …
Persistent link: https://www.econbiz.de/10013017087
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