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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 … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …
Persistent link: https://www.econbiz.de/10012984772
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Monetary Policy and the Stock Market : Time-Series Evidence
Neuhierl, Andreas - 2016
The slope factor is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns. It contains information about the speed of future monetary policy tightening and loosening, and...
Persistent link: https://www.econbiz.de/10012979350
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Long-Run Bulls and Bears
Albuquerque, Rui A. - 2015
A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock...
Persistent link: https://www.econbiz.de/10013030069
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What Does Stock Ownership Breadth Measure?
Choi, James J. - 2010
Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year....
Persistent link: https://www.econbiz.de/10013135241
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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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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth - 2004
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012786275
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Comovement
Barberis, Nicholas - 2002
A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded securities. We distinguish three views of such comovement. The traditional 'fundamentals' view explains the comovement of securities through positive correlations in the rational...
Persistent link: https://www.econbiz.de/10012787252
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Why Does the Stock Market Fluctuate?
Barsky, Robert - 2002
Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...
Persistent link: https://www.econbiz.de/10012787482
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What Do Financial Markets Think of War in Iraq?
Leigh, Andrew - 2010
We analyze financial market data in order to produce an ex-ante assessment of the economic consequences of war with Iraq. The novel feature of our analysis derives from the existence of a market for Saddam Securities,' a new future traded on an online betting exchange that pays only if Saddam...
Persistent link: https://www.econbiz.de/10012762835
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The Level and Persistence of Growth Rates
Chan, Louis K.C. - 2010
Expected long-term earnings growth rates are crucial inputs to valuation models and for cost of capital estimates. We analyze historical long-term growth rates across a broad cross-section of stocks using several operating performance indicators. We test whether growth persists, and whether it...
Persistent link: https://www.econbiz.de/10012763155