Narrow search
Showing 1 - 10 of 19,021
Cover Image
Expectations, Fundamentals, and Asset Returns : Evidence from the Commodity Markets
Beber, Alessandro - 2016
We study the links between expectations, fundamentals, and asset returns using the rich empirical setup offered by commodity markets. We find that survey-based expectations predict future fundamentals, but are not significant predictors of future returns. Expectations of returns are correlated...
Persistent link: https://www.econbiz.de/10012988158
Cover Image
Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
Cover Image
Price, Cultural Dimensions, and the Cross-Section of Expected Stock Returns
Hammerich, Ulrich - 2019
We document a nominal stock price effect that is (like momentum) associated with (national) culture. Using the full spectrum of cultural dimensions proposed by Hofstede et al. and the cross-section of stock returns of 41 countries, we not only show a robust predictive and explanatory power of...
Persistent link: https://www.econbiz.de/10012861754
Cover Image
Information Shocks and the Cross-section of Expected Returns
Savaser, Tanseli; Tiniç, Murat - 2022
This paper examines the risk premium associated with the information shocks in equity markets. For all stocks traded in Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as the unanticipated information asymmetry by focusing on the changes in the proportion of...
Persistent link: https://www.econbiz.de/10013404748
Cover Image
Identifying Expectation Errors in Value/Glamour Strategies : A Fundamental Analysis Approach
Piotroski, Joseph D. - 2013
It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic)...
Persistent link: https://www.econbiz.de/10013093880
Cover Image
Disaster Resilience and Asset Prices
Pagano, Marco - 2020
This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the...
Persistent link: https://www.econbiz.de/10012833771
Cover Image
Model-Free Implied Dependence and the Cross-Section of Returns
Inghelbrecht, Koen; Verdickt, Gertjan; Linders, Daniël; … - 2022
explained by common risk factors – implying that a risk-based theory is not likely an explanation of the result – and is robust …
Persistent link: https://www.econbiz.de/10014236765
Cover Image
Collateralization, Market Incompleteness and Asset Overvaluation
Dow, James - 2016
We study a simple static economy with collateralized loan contracts and an incomplete asset market. We study whether economic forces operate to keep asset price equal to fundamentals in this economy. We find that asset prices may be higher than the valuation of any agent in the economy, i.e.,...
Persistent link: https://www.econbiz.de/10013000446
Cover Image
Asset Pricing in Incomplete Markets : Valuing Gas Storage Capacity
Zhao, Lin - 2015
We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...
Persistent link: https://www.econbiz.de/10013016615
Cover Image
Asset Pricing In a World of Imperfect Foresight
Bossaerts, Peter - 2020
We consider a canonical asset pricing model, where agents with quadratic preferences are allowed to retrade a limited set of securities over multiple periods, after which these securities expire, and agents consume their liquidation values. A key assumption in this model is that agents have...
Persistent link: https://www.econbiz.de/10012833019