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There is a Risk-Return Tradeoff after All
Santa-Clara, Pedro - 2012
This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns -- the Mixed Data Sampling (or MIDAS) approach. Using...
Persistent link: https://www.econbiz.de/10012755732
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A Dynamic Model of Characteristic-Based Return Predictability
Alti, Aydogan - 2019
We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...
Persistent link: https://www.econbiz.de/10012871563
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Forecast Evaluation of Small Nested Model Sets
Hubrich, Kirstin - 2010
models simultaneously rather than sequentially, and do not require reestimation of models as part of a bootstrap procedure …
Persistent link: https://www.econbiz.de/10012758057
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Testing Conditional Factor Models
Ang, Andrew - 2011
, we estimate conditional CAPM and multifactor models on book-to-market and momentum decile portfolios. We reject the null …
Persistent link: https://www.econbiz.de/10013118847
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The Robustness of Tests for Consumer Choice Inconsistencies
Abaluck, Jason - 2015
We explore the in- and out- of sample robustness of tests for consumer choice inconsistencies based on parameter restrictions in parametric models, with a focus on tests proposed by Ketcham, Kuminoff and Powers (2015). We start by arguing that non-parametric alternatives are inherently...
Persistent link: https://www.econbiz.de/10013013932
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Comparing Predictive Accuracy, Twenty Years Later : A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
Diebold, Francis X. - 2012
The Diebold-Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Unfortunately, however, much of the large subsequent literature uses DM-type tests for comparing models, in (pseudo-)...
Persistent link: https://www.econbiz.de/10013100671
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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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The Cross-Section of Currency Risk Premia and Us Consumption Growth Risk
Lustig, Hanno N. - 2012
growth is low. As a result, the risk premia predicted by the Consumption-CAPM match the average excess returns on these …
Persistent link: https://www.econbiz.de/10012755710
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CAPM for Estimating the Cost of Equity Capital : Interpreting the Empirical Evidence
Da, Zhi - 2010
We argue that the empirical evidence against the Capital Asset Pricing Model (CAPM) based on stock returns does not … returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our … arguments by developing a method for estimating firms' project CAPM-betas and project returns. Our findings justify the …
Persistent link: https://www.econbiz.de/10012757537