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Asset Pricing Models : Implications for Expected Returns and Portfolio Selection

MacKinlay, A. Craig - 1999

Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of...

Persistent link: https://www.econbiz.de/10012471625

The Conditional CAPM does not Explain Asset-Pricing Anamolies

Lewellen, Jonathan - 2003

Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain … the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM … would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to …

Persistent link: https://www.econbiz.de/10012468723

Bond Risk Premia in Consumption-based Models

Creal, Drew D. - 2016

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing prices of risk, while structural models with recursive preferences credit it completely to stochastic volatility. We reconcile these competing channels by introducing a novel form...

Persistent link: https://www.econbiz.de/10012456492

Dispersion and Volatility in Stock Returns : An Empirical Investigation

Campbell, John Y. - 1999

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the...

Persistent link: https://www.econbiz.de/10012471650

The Subjective Inflation Expectations of Households and Firms : Measurement, Determinants, and Implications

Weber, Michael; D'Acunto, Francesco; Gorodnichenko, Yuriy; … - National Bureau of Economic Research - 2022

Households' and firms' subjective inflation expectations play a central role in macroeconomic and intertemporal microeconomic models. We discuss how subjective inflation expectations are measured, the patterns they display, their determinants, and how they shape households' and firms' economic...

Persistent link: https://www.econbiz.de/10013210074

What Do the Data Tell Us About Inflation Expectations?

D'Acunto, Francesco; Malmendier, Ulrike; Weber, Michael - National Bureau of Economic Research - 2022

Inflation expectations are central to economics because they affect the effectiveness of fiscal and monetary policy as well as realized inflation. We survey the recent literature with a focus on the inflation expectations of households. We first review standard data sources and discuss their...

Persistent link: https://www.econbiz.de/10013172125

Zero Lower Bound on Inflation Expectations

Gorodnichenko, Yuriy; Sergeyev, Dmitriy - National Bureau of Economic Research - 2021

We document a new fact: in U.S., European and Japanese surveys, households do not expect deflation, even in environments where persistent deflation is a strong possibility. This fact stands in contrast to the standard macroeconomic models with rational expectations. We extend a New Keynesian...

Persistent link: https://www.econbiz.de/10012696405

Rules, Discretion and Reputation in a Model of Monetary Policy

Barro, Robert J. - 1983

In a discretionary regime the monetary authority can print more money and create more inflation than people expect. But, although these inflation surprises can have some benefits, they cannot arise systematically in equilibrium when people understand the policymaker's incentives and form their...

Persistent link: https://www.econbiz.de/10012478024

Deficits, Crowding Out and Inflation : The Simple Analytics

Buiter, Willem H. - 1983

The paper studies the relationship between public sector financial deficits, crowding-out of public sector capital formation and inflation in a number of small, classical macroeconomic models. This amounts to reworking some of the government budget constraint literature by including capacity...

Persistent link: https://www.econbiz.de/10012478025

Real Interest, Money Surprises and Anticipated Inflation

Makin, John H. - 1981

This paper investigates the hypothesis that surprise changes in the money supply and anticipated inflation (the Mundell-Tobin effect) are both inversely related to the expected real interest rate. The two novel aspects of the investigation are tests of the hypothesized impact of money surprises...

Persistent link: https://www.econbiz.de/10012478293

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