Narrow search
Showing 1 - 10 of 2,201
Cover Image
Hybrid Tail Risk and Expected Stock Returns : When Does the Tail Wag the Dog?
Bali, Turan G. - 2013
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …
Persistent link: https://www.econbiz.de/10013075854
Cover Image
Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …
Persistent link: https://www.econbiz.de/10013040236
Cover Image
Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency
Breugem, Matthijs - 2017
about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces …
Persistent link: https://www.econbiz.de/10012952505
Cover Image
What Can Survey Forecasts Tell Us About Informational Rigidities?
Coibion, Olivier - 2009
This paper uses three different surveys of economic forecasts to assess both the support for and the properties of informational rigidities faced by agents. Specifically, we track the impulse responses of mean forecast errors and disagreement among agents after exogenous structural shocks. Our...
Persistent link: https://www.econbiz.de/10012765572
Cover Image
Equity is Cheap for Large Financial Institutions : The International Evidence
Gandhi, Priyank - 2016
stocks earn returns that are significantly lower than stocks of non-financial firms of the same size and with the same risk …
Persistent link: https://www.econbiz.de/10012988503
Cover Image
Robust Bond Risk Premia
Bauer, Michael - 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...
Persistent link: https://www.econbiz.de/10012954916
Cover Image
Innovative Originality, Profitability, and Stock Returns
Hirshleifer, David A. - 2017
We propose that innovative originality (InnOrig) is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, firms with greater InnOrig are undervalued. We find that firms' InnOrig strongly predicts higher, more persistent, and less volatile...
Persistent link: https://www.econbiz.de/10012955455
Cover Image
A Dynamic Model of Characteristic-Based Return Predictability
Alti, Aydogan - 2019
businesses to new projects and thus generates a source of systematic risk for portfolios of firms sorted on value, profitability …
Persistent link: https://www.econbiz.de/10012871563
Cover Image
Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and multiple stochastic volatility processes. The...
Persistent link: https://www.econbiz.de/10013050301
Cover Image
Growth Expectations, Dividend Yields, and Future Stock Returns
Da, Zhi - 2014
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...
Persistent link: https://www.econbiz.de/10013044614