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Equity is Cheap for Large Financial Institutions : The International Evidence
Gandhi, Priyank - 2016
In most countries, equity is a cheap source of funding for a country's largest financial institutions. On average, the stocks of the top 10% financial companies in a country account for over a quarter of total market capitalization, but these stocks earn returns that are significantly lower than...
Persistent link: https://www.econbiz.de/10012988503
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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10013073570
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Rare Events and Long-Run Risks
Barro, Robert J. - 2016
, including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent … parts) and LRR (including stochastic volatility) and estimate this model with long-term data on aggregate consumption for 42 … country- specific events. LRR reflects gradual and evolving processes that influence long-run growth rates and volatility. A …
Persistent link: https://www.econbiz.de/10013001224
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Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency
Breugem, Matthijs - 2017
We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...
Persistent link: https://www.econbiz.de/10012952505
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012960787
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Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel - 2015
findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …
Persistent link: https://www.econbiz.de/10013017087
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Comovement Revisited
Chen, Honghui - 2015
Recent evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009) challenges traditional finance theory. Based on a simple model, we show that the bivariate regressions relied upon in the literature...
Persistent link: https://www.econbiz.de/10013020678
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Levered Returns
Welch, Ivo - 2016
Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...
Persistent link: https://www.econbiz.de/10012994892
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Understanding Defensive Equity
Novy-Marx, Robert - 2014
High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the … the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …
Persistent link: https://www.econbiz.de/10013045289
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The Effect of Uncertainty on Investment : Evidence from Texas Oil Drilling
Kellogg, Ryan - 2010
future oil price volatility derived from the NYMEX futures options market. Using a dynamic model of firms' investment problem …, I find that oil companies respond to changes in expected price volatility by adjusting their drilling activity by a …
Persistent link: https://www.econbiz.de/10013135876