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Financial Constraints and Stock Returns
Lamont, Owen A. - 2008
We test whether the impact of financial constraints on firm value is observable in assetquot; returns. We form portfolios of firms based on observable characteristics related to financialquot; constraints, and test for common covariation in the stock returns of these firms. Using severalquot;...
Persistent link: https://www.econbiz.de/10012774925
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Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel - 2015
Firm-level stock returns exhibit comovement above that in fundamentals, and the gap tends to be higher in developing countries. We investigate whether correlated beliefs among sophisticated, but imperfectly informed, traders can account for the patterns of return correlations across countries....
Persistent link: https://www.econbiz.de/10013017087
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Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...
Persistent link: https://www.econbiz.de/10012984772
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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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The Cross-Section and Time-Series of Stock and Bond Returns
Koijen, Ralph S. J. - 2010
Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium provided that good news about future output lowers the...
Persistent link: https://www.econbiz.de/10013148389
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Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
Campbell, John Y.; Sunderam, Adi; Viceira, Luis M. - 2021
The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953--2009, it was unusually high in the early 1980''s and negative in the 2000''s, particularly in the downturns of 2000--02 and 2007--09....
Persistent link: https://www.econbiz.de/10013244134
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The Real Value of China's Stock Market
Carpenter, Jennifer N. - 2015
China is the world's largest investor and greatest contributor to global economic growth by wide margins, and will … sustain this growth. This paper shows that China's stock market has a crucial role to play. Since the reforms of the last … decade, China's stock market has become as informative about future corporate profits as in the US. Moreover, though it is a …
Persistent link: https://www.econbiz.de/10013027692
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Pledgeability and Asset Prices : Evidence from the Chinese Corporate Bond Markets
Chen, Hui - 2019
in China.Institutional subscribers to the NBER working paper series, and residents of developing countries may download …
Persistent link: https://www.econbiz.de/10012858401
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Term Structures of Asset Prices and Returns
Backus, David K. - 2016
We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The...
Persistent link: https://www.econbiz.de/10012994905
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The External Impact of China's Exchange Rate Policy : Evidence from Firm Level Data
Eichengreen, Barry - 2011
China's exchange rate policy in 2005 and 2010 and data on 6,050 firms in 44 countries. Renminbi appreciation has a positive … effect on firms exporting to China but little positive or even a negative impact on those providing inputs for China …'s processing exports. Stock prices rise for firms competing with China in their home market while falling for firms importing …
Persistent link: https://www.econbiz.de/10013118251