Narrow search
Showing 1 - 10 of 1,306
Cover Image
A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
Cover Image
Weak and Semi-Strong Form Stock Return Predictability, Revisited
Ferson, Wayne E. - 2010
This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has...
Persistent link: https://www.econbiz.de/10012762601
Cover Image
Predicting the Equity Premium Out of Sample : Can Anything Beat the Historical Average?
Campbell, John Y. - 2009
A number of variables are correlated with subsequent returns on the aggregate US stock market in the 20th Century. Some of these variables are stock market valuation ratios, others reflect patterns in corporate finance or the levels of short- and long-term interest rates. Amit Goyal and Ivo...
Persistent link: https://www.econbiz.de/10012767549
Cover Image
Efficient Tests of Stock Return Predictability
Campbell, John Y. - 2009
Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid...
Persistent link: https://www.econbiz.de/10012767723
Cover Image
The European Union, the Euro, and Equity Market Integration
Bekaert, Geert - 2010
At a time of historic challenges to the viability of the Eurozone, we assess the contribution of the EU and the Euro to …
Persistent link: https://www.econbiz.de/10013135396
Cover Image
Over-Optimistic Official Forecasts in the Eurozone and Fiscal Rules
Frankel, Jeffrey A. - 2012
. The members of the eurozone are supposedly constrained by the fiscal caps of the Stability and Growth Pact. Yet ever since …:•Governments' budget forecasts are biased in the optimistic direction, especially among the Eurozone countries, especially when they have …-optimistic during booms.•Despite the well-known tendency of eurozone members to exceed the 3% cap on budget deficits, often in …
Persistent link: https://www.econbiz.de/10013102194
Cover Image
Bias in Official Fiscal Forecasts : Can Private Forecasts Help?
Frankel, Jeffrey A. - 2016
Government forecasts of GDP growth and budget balances are generally more over-optimistic than private sector forecasts. When official forecasts are especially optimistic relative to private forecasts ex ante, they are more likely also to be over-optimistic relative to realizations ex post. For...
Persistent link: https://www.econbiz.de/10012988513
Cover Image
Generalized Transform Analysis of Affine Processes and Applications in Finance
Chen, Hui - 2011
Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities, computing equilibrium, and conducting structural estimations. We extend the transform analysis in Duffie, Pan, and Singleton (2000) by providing analytical treatment of a general...
Persistent link: https://www.econbiz.de/10013127979
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
Regression Discontinuity and the Price Effects of Stock Market Indexing
Chang, Yen-Cheng - 2013
Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner...
Persistent link: https://www.econbiz.de/10013077962