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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory 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...
Persistent link: https://www.econbiz.de/10013040236
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The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds
Brown, Keith C. - 2013
Using data for more than 800 college and university endowment funds over 2003-2011, we provide a comprehensive analysis of the spending policies used in practice as well as how frequently and why those mandates are revised over time. Given the long-term and relatively static nature of the...
Persistent link: https://www.econbiz.de/10013074591
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Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency
Breugem, Matthijs - 2017
We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...
Persistent link: https://www.econbiz.de/10012952505
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Factor Momentum and the Momentum Factor
Ehsani, Sina - 2019
Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...
Persistent link: https://www.econbiz.de/10012892574
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Commodities for the Long Run
Levine, Ari - 2016
This paper analyzes a novel data set of commodity futures prices over a long sample period starting in 1877, which allows us to shed new light on several important and controversial questions. We document that commodity futures returns (1) have been positive on average; (2) vary significantly...
Persistent link: https://www.econbiz.de/10012979781
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Tax-Efficient Asset Management : Evidence from Equity Mutual Funds
Sialm, Clemens - 2015
Investment taxes have a substantial impact on the performance of taxable mutual fund investors. Mutual funds can reduce the tax burdens of their shareholders by avoiding securities that are heavily taxed and by avoiding realizing capital gains that trigger higher tax burdens to the funds'...
Persistent link: https://www.econbiz.de/10013024877
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Understanding Defensive Equity
Novy-Marx, Robert - 2014
High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the poor absolute performance of the most aggressive stocks. In conjunction with the well documented inability of the Fama and French three-factor model to price small growth stocks,...
Persistent link: https://www.econbiz.de/10013045289
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The Cross-Section of Risk and Return
Daniel, Kent D. - 2018
In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We...
Persistent link: https://www.econbiz.de/10012931218
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Impacts of Climate Change and Extreme Weather on U.S. Agricultural Productivity : Evidence and Projection
Wang, Sun Ling - 2017
This paper employs a stochastic frontier approach to examine how climate change and extreme weather affect U ….S. agricultural productivity using 1940-1970 historical weather data (mean and variation) as the norm. We have four major findings …. Fourth, we project potential impacts of climate change and extreme weather on U.S. regional productivity based on the …
Persistent link: https://www.econbiz.de/10012953514
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Adaptation and the Mortality Effects of Temperature Across U.S. Climate Regions
Heutel, Garth - 2017
We estimate how the mortality effects of temperature vary across U.S. climate regions to assess local and national damages from projected climate change. Using 22 years of Medicare data, we find that both cold and hot days increase mortality. However, hot days are less deadly in warm places...
Persistent link: https://www.econbiz.de/10012960170