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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
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The Global Spatial Distribution of Economic Activity : Nature, History, and the Role of Trade
Henderson, J. Vernon - 2016
We study the distribution of economic activity, as proxied by lights at night, across 250,000 grid cells of average area 560 square kilometers. We first document that nearly half of the variation can be explained by a parsimonious set of physical geography attributes. A full set of country...
Persistent link: https://www.econbiz.de/10012994896
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Commodity Trade and the Carry Trade : A Tale of Two Countries
Ready, Robert C. - 2013
Persistent differences in interest rates across countries account for much of the profitability of currency carry trade strategies. "Commodity currencies'' tend to have high interest rates while low interest rate currencies belong to exporters of finished goods. This pattern arises in a...
Persistent link: https://www.econbiz.de/10013076915
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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
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10013050301
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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
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Four Centuries of Return Predictability
Golez, Benjamin - 2015
We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for...
Persistent link: https://www.econbiz.de/10013031015
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Exchange Rate Prediction Redux : New Models, New Data, New Currencies
Cheung, Yin-Wong - 2017
Previous assessments of nominal exchange rate determination, following Meese and Rogoff (1983) have focused upon a narrow set of models. Cheung et al. (2005) augmented the usual suspects with productivity based models, and "behavioral equilibrium exchange rate" models, and assessed performance...
Persistent link: https://www.econbiz.de/10012960174
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Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around the World
Edmans, Alex - 2014
We study the relationship between employee satisfaction and abnormal stock returns around the world, using lists of the … investing ("SRI") strategies around the world. In particular, they emphasize the importance of taking institutional features …
Persistent link: https://www.econbiz.de/10013050302
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Staying Afloat When the Wind Shifts : External Factors and Emerging-Market Banking Crises
Eichengreen, Barry - 2008
We analyze banking crises using a panel of macroeconomic and financial data for more than one hundred developing countries from 1975 through 1992. We find that banking crises in emerging markets are strongly associated with adverse external conditions. In particular Northern interest rates are...
Persistent link: https://www.econbiz.de/10012774910