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Ghosh, Anisha - 2017

consumption, proxies well for investors' relevant information set …

Persistent link: https://www.econbiz.de/10012454993

Nagel, Stefan; Xu, Zhengyang - National Bureau of Economic Research - 2022

We examine subjective risk premia implied by return expectations of individual investors and professionals for aggregate portfolios of stocks, bonds, currencies, and commodity futures. While in-sample predictive regressions with realized excess returns suggest that objective risk premia vary...

Persistent link: https://www.econbiz.de/10012938772

The Distribution of Investor Beliefs, Stock Ownership and Stock Returns

Hardouvelis, Gikas A.; Karalas, Georgios; Vayanos, Dimitri - National Bureau of Economic Research - 2021

We study theoretically and empirically the relationship between investor beliefs, ownership dispersion and stock returns. We find that high dispersion, measured by high breadth or low Herfindahl index, forecasts returns positively for large stocks, as in Chen, Hong and Stein (2002), but...

Persistent link: https://www.econbiz.de/10012510575

Predicting the Oil Market

Calomiris, Charles W.; Melek, Nida Çakır; Mamaysky, Harry - National Bureau of Economic Research - 2021

We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence...

Persistent link: https://www.econbiz.de/10012660057

Valuing Financial Data

Farboodi, Maryam; Singal, Dhruv; Veldkamp, Laura; … - National Bureau of Economic Research - 2022

information about others' characteristics. It can value data that is public or private, about one or many assets, relevant for …

Persistent link: https://www.econbiz.de/10013172193

Making Money

Gorton, Gary; Ross, Chase P.; Ross, Sharon Y. - National Bureau of Economic Research - 2022

It is difficult for private agents to produce money that circulates at par with no questions asked. We study two cases of privately-produced money: pre-Civil War U.S. private banknotes and modern stablecoins. Private monies are introduced when there are no better alternatives, but they initially...

Persistent link: https://www.econbiz.de/10012814485

Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term

Fischer, Stanley - 1985

Optimal portfolios differ according to the length of time they are held without being rebalanced. For the case in which asset returns are identically and independently distributed, it has been shown that optimal portfolios become less diversified as the holding period lengthens.We show that the...

Persistent link: https://www.econbiz.de/10012477455

Factor Momentum and the Momentum Factor

Ehsani, Sina - 2019

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

Persistent link: https://www.econbiz.de/10012479505

Do Trade Creditors Possess Private Information? Stock Returns Evidence

Hirshleifer, David - 2019

Theories of customer supplier relationships hold that the private information of suppliers about buyers explains the … use of trade credit even when there is a competitive banking sector. If suppliers possess private information about their … buyers, then the buyer's order size and ability to pay on time should reflect that information. Using a novel dataset of …

Persistent link: https://www.econbiz.de/10012479507

A Dynamic Model of Characteristic-Based Return Predictability

Alti, Aydoğan - 2019

We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...

Persistent link: https://www.econbiz.de/10012479727

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