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Global equilibrium expected returns
Litterman, Bob - In: Modern investment management : an equilibrium approach, (pp. 55-75). 2003
Persistent link: https://www.econbiz.de/10002112001
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Stochastische Abhängigkeiten in Aktienmarktzeitreihen : eine gleichgewichtstheoretische Erklärung
Schwaiger, Walter S. A. - 1994
Persistent link: https://www.econbiz.de/10000886147
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10013475217
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Life with Habit and Expectation : A New Explanation of the Equity Premium Puzzle
Cover, James Peery - 2020
Previous writers have attempted to resolve the equity premium puzzle by employing a utility function that depends on current consumption minus (or relative to) past habit consumption. This paper points out that an individual's current utility may also depend upon how well off in the recent past...
Persistent link: https://www.econbiz.de/10012855578
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Aggregate Asset Growth and Expected Stock Returns
Kim, Min S. - 2018
This paper suggests a novel approach for predicting aggregate stock returns at quarterly and annual frequencies. Weak return predictability is consistent with the view that a stationary component of stock prices is highly persistent. In such cases, expected returns are time-varying but also...
Persistent link: https://www.econbiz.de/10012937379
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Asset Pricing in Production Economies with Extrapolative Expectations
Hirshleifer, David A. - 2015
Introducing extrapolative bias into a standard production-based model with recursive preferences reconciles salient stylized facts about business cycles (low consumption volatility, high investment volatility relative to output) and financial markets (high equity premium, volatile stock returns,...
Persistent link: https://www.econbiz.de/10013038191
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CAPM and DCF : Does SML Relationship Gives Cost of Equity? – Ex-Ante Stock Returns are Not Same as Implied Discount Rates
Murugesan, Narayanaswamy - 2013
When Capital Asset pricing Model (CAPM) is considered as valid asset pricing theory, Security Market Line (SML) is … returns need not be same as implied discount rates even when CAPM is applicable and markets are efficient. This is because the … over the forecast period. The single period return of CAPM changes every year as the market changes with economic …
Persistent link: https://www.econbiz.de/10013081162
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Implied Cost of Capital and Mutual Fund Performance
Hendriock, Mario - 2020
Which trading strategies differentiate skilled mutual fund managers from their unsuccessful peers? This study provides evidence for a positive association between holdings' implied cost of capital (ICC) and future fund performance. Consistent with large transaction costs of ICC-based investments...
Persistent link: https://www.econbiz.de/10012840019
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Cross-Sectional Return Dispersion and the Equity Premium
Maio, Paulo F. - 2019
In this paper, I examine whether stock return dispersion (RD) provides useful information about future stock returns. RD consistently forecasts a decline in the excess market return at multiple horizons, and compares favorably with alternative predictors used in the literature. The out-of-sample...
Persistent link: https://www.econbiz.de/10012905752
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Does Perception Matter in Asset Pricing? Modeling Volatility Jumps and Returns Using Twitter-Based Sentiment Indices
Sanford, Anthony - 2019
In this paper, I argue that we can use consumer and investor perceptions to forecast short-term fluctuations in asset prices. Using tweets scraped from Twitter between 2009 and 2019, I perform textual analysis to construct daily sentiment indices. While other scholars have relied on third-party...
Persistent link: https://www.econbiz.de/10012899271