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Business conditions and asset prices in a dynamic economy
Guo, Hui - 2000
Persistent link: https://www.econbiz.de/10001580927
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully accounts for aggregate investment's predictive power for...
Persistent link: https://www.econbiz.de/10012960222
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully accounts for aggregate investment's predictive power for...
Persistent link: https://www.econbiz.de/10012968442
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Time-Varying Beta and the Value Premium : A Single-Index Varying-Coefficient Model Approach
Guo, Hui - 2015
We revisit conditional CAPM by modeling alpha and beta as flexible functions of state variables identified via formal … variable selection. In post-1963 sample, beta of the value premium comoves strongly with unemployment, inflation, and price … sharply and becomes even negative during severe economic downturns but is positive and flat otherwise. Conditional CAPM …
Persistent link: https://www.econbiz.de/10013027028
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Conditional equity premium and aggregate corporate investment
Guo, Hui; Qiu, Buhui - In: Journal of money, credit and banking : JMCB 55 (2023) 1, pp. 251-295
Persistent link: https://www.econbiz.de/10014305964
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009559443
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011
Persistent link: https://www.econbiz.de/10009406434