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The Rate of Return to Corporate Capital and Factor Shares : New EstimatesUsing Revised National Income Accounts and Capital Stock Data

Poterba, James M. - 1999

This paper presents new evidence on the rate of return on tangible assets in the United" States, incorporating the recently-revised national accounts as well as new estimates of the" replacement cost of the reproducible physical capital stock. The pretax return on capital in the" nonfinancial...

Persistent link: https://www.econbiz.de/10012471737

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2009

, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and …

Persistent link: https://www.econbiz.de/10012463390

Decomposing the U.S. External Returns Differential

Curcuru, Stephanie E. - 2009

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10012463572

Facts and Fantasies about Commodity Futures Ten Years Later

Bhardwaj, Geetesh - 2015

risk premiums are not significantly different, nor is the cross-sectional relationship between average returns and the …

Persistent link: https://www.econbiz.de/10012457424

Riding the Bubble? Chasing Returns into Illiquid Assets

Yagan, Danny - 2014

Household investors chase stock market returns. Surveys suggest that households intend to "ride the bubble" by buying stocks early in a boom and selling stocks early in a bust. This implies that households use only liquid assets to chase returns. I test this prediction using inflows to fixed...

Persistent link: https://www.econbiz.de/10012458307

Institutional Allocation In Initial Public Offerings : Empirical Evidence

Aggarwal, Reena - 2002

We analyze institutional allocation in initial public offerings (IPOs) using a new dataset of US offerings between 1997 and 1998. We document a positive relationship between institutional allocation and day one IPO returns. This is partly explained by the practice of giving institutions more...

Persistent link: https://www.econbiz.de/10012469643

Benefits of Control, Managerial Ownership, and the Stock Returns of Acquiring Firms

Hubbard, R. Glenn - 1995

acquisition premium. At sufficiently high levels of managerial ownership, managers value a reduction in the risk of their …

Persistent link: https://www.econbiz.de/10012473808

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012456159

The Transition to Investment-Based Social Security when Portfolio Returns and Capital Profitability are Uncertain

Feldstein, Martin - 1999

Ranguelova that examined the implication of portfolio risk after the transition to an investment-based system has been completed … system that is completely investment-based. We model intergenerational guarantees and assess the risk of such guarantees to … combinations of taxes and saving deposits in the later years. The extra risk to retirees and/or taxpayers is relatively small …

Persistent link: https://www.econbiz.de/10012471784

Economic, Financial, and Fundamental Global Risk In and Out of the EMU

Ferson, Wayne E. - 1999

. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset … currency risk factors. Second, when combining the currency factors with a group of economic factors, we measure the incremental … explanatory power over and above a model that includes economic risk factors …

Persistent link: https://www.econbiz.de/10012471840

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