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Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?
Mantilla-Garcia, Daniel; Malagon, Juliana; … - In: Finance research letters 47 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013457556
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Implied dividend volatility and expected growth
Gormsen, Niels; Koijen, Ralph S. J.; Martin, Ian - In: AEA papers and proceedings 111 (2021), pp. 361-365
Persistent link: https://www.econbiz.de/10012547564
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Implied Dividend Volatility and Expected Growth
Gormsen, Niels Joachim; Koijen, Ralph S. J.; Martin, Ian - 2020
volatility. These implied volatilities differ from the VIX which measures uncertainty about stock prices, not only uncertainty … the volatility of near-future dividends that lingers even as the volatility of the overall market portfolio has started to …
Persistent link: https://www.econbiz.de/10014351923
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Can book-to-market, size and momentum be risk factors that predict economic growth?
Liew, Jimmy; Vassalou, Maria - In: Journal of financial economics 57 (2000) 2, pp. 221-245
Persistent link: https://www.econbiz.de/10001494738
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Can book-to-market, size and momentum be risk factors that predict economic growth?
Liew, Jimmy; Vassalou, Maria - 1999
Persistent link: https://www.econbiz.de/10001406203
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Financial development, sectoral reallocation, and volatility : international evidence
Manganelli, Simone; Popov, Alexander - In: Journal of international economics 96 (2015) 2, pp. 323-337
Persistent link: https://www.econbiz.de/10011387709
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Investment portfolio under soft budget : implications for growth, volatility and savings
Bai, Chong-En; Wang, Yijiang - 1998
Persistent link: https://www.econbiz.de/10000993062
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The asset growth effect in a mean-variance analysis
Qiao, Xiaotuo; Guo, Haifeng; Li, Jun - In: Applied economics 54 (2022) 37, pp. 4259-4273
Persistent link: https://www.econbiz.de/10013410898
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Long-run risks, the macroeconomy, and asset prices
Bansal, Ravi; Kiku, Dana; Yaron, Amir - 2010
Persistent link: https://www.econbiz.de/10003971758
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Long-Run risks and financial markets
Bansal, Ravi - 2007
-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …
Persistent link: https://www.econbiz.de/10003495605