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The Determinants of Stock and Bond Return Comovements
Baele, Lieven - 2010
We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …
Persistent link: https://www.econbiz.de/10013151357
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Robust Bond Risk Premia
Bauer, Michael - 2017
predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small …
Persistent link: https://www.econbiz.de/10012954916
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The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles M. - 2010
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …
Persistent link: https://www.econbiz.de/10012763456
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Cash-Flow Risk, Discount Risk, and the Value Premium
Santos, Tano - 2006
value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM … rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …
Persistent link: https://www.econbiz.de/10012783344
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Sources of Risk and Expected Returns in Global Equity Markets
Ferson, Wayne E. - 2010
unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …
Persistent link: https://www.econbiz.de/10012763466
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The Shorting Premium and Asset Pricing Anomalies
Drechsler, Itamar - 2014
Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...
Persistent link: https://www.econbiz.de/10013050316
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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 … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk … premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the …
Persistent link: https://www.econbiz.de/10013040236
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Facts and Fantasies About Commodity Futures Ten Years Later
Bhardwaj, Geetesh - 2015
Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively...
Persistent link: https://www.econbiz.de/10013021473
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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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Momentum Crashes
Daniel, Kent D. - 2015
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10013032704