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Dispersion and volatility in stock returns : an empirical investigation

Campbell, John Y.; Lettau, Martin - 1999

Persistent link: https://www.econbiz.de/10001390215

Monetary policy and asset valuation : evidence from a Markov-switching cay

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2016

Persistent link: https://www.econbiz.de/10011540476

Monetary policy and asset valuation : evidence from a Markov-switching cay

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2017

Persistent link: https://www.econbiz.de/10011739466

Monetary policy and asset valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2018

Persistent link: https://www.econbiz.de/10011862029

The origins of stock market fluctuations

Greenwald, Daniel L.; Lettau, Martin; Ludvigson, Sydney C. - 2015

Persistent link: https://www.econbiz.de/10010482972

The origins of stock market fluctuations

Greenwald, Daniel L.; Lettau, Martin; Ludvigson, Sydney C. - 2014

Persistent link: https://www.econbiz.de/10010239958

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Campbell, John Y. - 2000

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

Persistent link: https://www.econbiz.de/10012471179

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 …, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market …

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

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Campbell, John Y. - 2010

Persistent link: https://www.econbiz.de/10012763341

Expected Returns and Expected Dividend Growth

Lettau, Martin - 2015

We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth make an important contribution to...

Persistent link: https://www.econbiz.de/10012750749