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Composite survey sentiment as a predictor of future market returns : evidence for German equity indices
Rakovská, Zuzana - In: International review of economics & finance : IREF 73 (2021), pp. 473-495
Persistent link: https://www.econbiz.de/10012692413
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Composite survey sentiment as a predictor of future market returns: evidence for German equity indices
Rakovská, Zuzana - 2020
Persistent link: https://www.econbiz.de/10012493166
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Consumer confidence or the business cycle : what matters more for European expected returns?
Møller, Stig Vinther; Nørholm, Henrik; Rangvid, Jesper - In: Journal of empirical finance 28 (2014), pp. 230-248
Persistent link: https://www.econbiz.de/10011285064
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On the relative performance of consumption models in foreign and domestic markets
Matos, Paulo; Costa, Carlor E. da - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 154-188
Persistent link: https://www.econbiz.de/10011742314
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Why surplus consumption in the habit model may be less persistent than you think
Lynch, Anthony W.; Randall, Oliver - 2011
"In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return so long as the persistence of the log...
Persistent link: https://www.econbiz.de/10009006789
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Essays on information and investment
Reuter, Jonathan Michael - 2002
Persistent link: https://www.econbiz.de/10001742597
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Demographics and industry returns
Della Vigna, Stefano; Pollet, Joshua M. - In: The American economic review 97 (2007) 5, pp. 1667-1702
Persistent link: https://www.econbiz.de/10003625023
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Asset holders' consumption risk and tests of conditional CCAPM
Elkamhi, Redouane; Jo, Chanik - In: Journal of financial economics 148 (2023) 3, pp. 220-244
Persistent link: https://www.econbiz.de/10014335744
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Why Surplus Consumption in the Habit Model May be Less Persistent than You Think
Lynch, Anthony W. - 2011
In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return so long as the persistence of the log...
Persistent link: https://www.econbiz.de/10012461707
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Can the seasonal pattern of consumption growth reproduce habits in the cross-section of stock returns? : evidence from the European equity market
Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - In: The European journal of finance 27 (2021) 8, pp. 721-739
Persistent link: https://www.econbiz.de/10012516122