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1
Comovement
Barberis, Nicholas
-
2002
A number of studies have identifed patterns of positive
correlation
of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012787252
Saved in:
2
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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3
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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4
Testing Strategic Bargaining Models Using Stock Market Data
Tracy, Joseph S.
-
2021
This paper presents three empirical teats of a class of asymmetric information bargaining models using stock market data. The basic idea behind these models is that protracted bargaining can be used to infer information that is privately known by another party to the negotiations. A fundamental...
Persistent link: https://www.econbiz.de/10013220000
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5
Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel
-
2015
information-based model demonstrates that the
correlation
of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the
correlation
between predicted and actual is 0.63. Our …
Persistent link: https://www.econbiz.de/10013017087
Saved in:
6
Levered Returns
Welch, Ivo
-
2016
Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...
Persistent link: https://www.econbiz.de/10012994892
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7
The Lucas Orchard
Martin, Ian
-
2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10013118845
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8
Governance and Comovement Under Common Ownership
Edmans, Alex
-
2014
derive empirical predictions for the direction of
correlation
and for whether governance is stronger or weaker with multiple …
Persistent link: https://www.econbiz.de/10013048056
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9
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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10
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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