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Trading volume and serial correlation in stock returns
Campbell, John Y.; Grossman, Sanford J.; Wang, Jiang - 1992
Persistent link: https://www.econbiz.de/10000136788
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Trading Volume and Serial Correlation in Stock Returns
Campbell, John Y. - 1992
index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains …This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock …" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model …
Persistent link: https://www.econbiz.de/10012474774
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Trading Volume and Serial Correlation in Stock Returns
Campbell, John Y. - 2012
index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains …This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock …;liquidityquot; or quot;non-informationalquot; traders. Changing expected stock returns reward market makers for playing this role. The …
Persistent link: https://www.econbiz.de/10012755947
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Inflation illusion and stock prices
Campbell, John Y.; Vuolteenaho, Tuomo - In: The American economic review 94 (2004) 2, pp. 19-23
Persistent link: https://www.econbiz.de/10002159369
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The long-run risks model and aggregate asset prices : an empirical assessment
Beeler, Jason; Campbell, John Y. - 2009
Persistent link: https://www.econbiz.de/10003822202
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The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason - 2009
The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...
Persistent link: https://www.econbiz.de/10012463859
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Inflation Illusion and Stock Prices
Campbell, John Y. - 2004
We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...
Persistent link: https://www.econbiz.de/10012468430
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The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason; Campbell, John Y. - 2021
The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...
Persistent link: https://www.econbiz.de/10013225971
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Inflation Illusion and Stock Prices
Campbell, John Y. - 2011
We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...
Persistent link: https://www.econbiz.de/10013133237
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Predicting excess stock returns out of sample : can anything beat the historical average?
Campbell, John Y.; Thompson, Samuel B. - In: The review of financial studies 21 (2008) 4, pp. 1509-1531
Persistent link: https://www.econbiz.de/10003765303