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Asset Pricing in the Dark: The Cross Section of OTC Stocks
Ang, Andrew; Shtauber, Assaf A.; Tetlock, Paul C. - National Bureau of Economic Research (NBER) - 2013
. Compared to premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility … premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums …
Persistent link: https://www.econbiz.de/10010950781
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Growth Expectations, Dividend Yields, and Future Stock Returns
Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 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/10010950997
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Building Castles in the Air: Evidence from Industry IPO Waves
Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 2012
We provide empirical support for the conventional wisdom that there are times when optimistic investors tend to build their hopes into castles in the air, and pay a large premium over intrinsic value for stocks of firms in the early stages of their life cycles with perceived growth...
Persistent link: https://www.econbiz.de/10010951370
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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10010951430
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The Supply and Demand of S&P 500 Put Options
Constantinides, George M.; Lian, Lei - National Bureau of Economic Research (NBER) - 2015
We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-neutral variance, contrary to the implications of a broad class of no-arbitrage models. The key to the puzzle lies in recognizing that …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …
Persistent link: https://www.econbiz.de/10011276422
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The Myth of Long-Horizon Predictability
Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert - National Bureau of Economic Research (NBER) - 2005
The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost...
Persistent link: https://www.econbiz.de/10005087466
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Equity Yields
Binsbergen, Jules H. van; Hueskes, Wouter; Koijen, Ralph; … - National Bureau of Economic Research (NBER) - 2011
We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend...
Persistent link: https://www.econbiz.de/10009294891
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Information Aggregation, Investment, and Managerial Incentives
Hellwig, Christian; Albagli, Elias; Tsyvinski, Aleh - National Bureau of Economic Research (NBER) - 2011
information aggregation leads to excess price volatility, over-valuation of shares in response to good news, and undervaluation in …
Persistent link: https://www.econbiz.de/10009251503
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What Does Equity Sector Orderflow Tell Us about the Economy?
Beber, Alessandro; Brandt, Michael W.; Kavajecz, Kenneth A. - National Bureau of Economic Research (NBER) - 2010
Investors rebalance their portfolios as their views about expected returns and risk change. We use empirical measures of portfolio rebalancing to back out investors' views, specifically their views about the state of the economy. We show that aggregate portfolio rebalancing across equity sectors...
Persistent link: https://www.econbiz.de/10008727847
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The Demographics of Innovation and Asset Returns
Panageas, Stavros; Gârleanu, Nicolae; Kogan, Leonid - National Bureau of Economic Research (NBER) - 2009
We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation increases the competitive pressure on existing firms and workers, reducing the profits of existing firms and eroding the human capital of older workers. Due to the lack of...
Persistent link: https://www.econbiz.de/10008628367