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The Pricing of Risk-Neutral Systematic Moments in the Cross-Section of Expected Returns

DeLisle, Jared - 2011

only positive skewness changes is inconsistent with the predictions of prospect theory …

Persistent link: https://www.econbiz.de/10013131884

von Helfenstein, S.B. - 2011

. Since an accurate critique of new theory/practice depends on a thorough grasp of traditional theory, we provide a basic … “refresher course” in the foundational definitions and concepts underlying modern portfolio theory and statistics that pertain to …

Persistent link: https://www.econbiz.de/10013124664

Understanding Short and Long-Run Risk Premia

Buraschi, Andrea - 2013

This paper studies the predictability of S&P500 returns using short term risk premia as a conditioning variable. We construct dividend prices using futures data and identify short term risk premia by projecting excess returns of dividend claims on their lagged prices. Regression results for...

Persistent link: https://www.econbiz.de/10013091355

In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains even Less

Chen, Andrew Y. - 2019

Many consumption-based models succeed in matching long lists of asset price moments. We propose an alternative, full-information Bayesian evaluation that decomposes the price-dividend ratio (p/d) into contributions from long-run risks, habit, and a residual. We find that long-run risks account...

Persistent link: https://www.econbiz.de/10012903645

Cross-Sectional Asset Pricing with Individual Stocks : Betas versus Characteristics

Chordia, Tarun - 2019

(though not for the CAPM). There is no pricing evidence for the book-to-market and momentum factors with all characteristics …

Persistent link: https://www.econbiz.de/10012904514

New Evidence on Conditional Factor Models

Cooper, Ilan - 2018

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …

Persistent link: https://www.econbiz.de/10012937406

A Unified Theory of the Term Structure and the Beta Anomaly

Zhu, Yicheng - 2019

Rational expectation models generally suggest that assets with more exposure to systematic risks should carry higher risk premia. However, several empirical findings challenge this result. I propose a novel generalized recursive smooth aversion model that allows agents to show different levels...

Persistent link: https://www.econbiz.de/10012859084

Asset-Pricing Anomalies at the Firm Level

Cederburg, Scott - 2014

portfolio-based methods. In our initial tests, we confirm the existence of several CAPM anomalies at the firm level. Prominent … linked to their additional factors. Further results suggest that the economic importance of CAPM anomalies is overstated. We … find that anomalies are primarily confined to small stocks, few characteristics are associated with CAPM alphas out of …

Persistent link: https://www.econbiz.de/10013052445

Dividend Risk and the Cross-Section of Equity Risk Premia

Picca, Antonio - 2014

I study a novel data set of short-term dividend futures contracts for individual stocks. I combine this data with dividend forecasts from equity research analysts to construct a model-free measure of short-term equity risk premia. I provide the first description of the cross-section of risk...

Persistent link: https://www.econbiz.de/10013043334

Chapter 14 The equity premium in retrospect

Mehra, Rajnish; Prescott, Edward C. - 2003

This paper is a critical review of the literature on the “equity premium puzzle≓. The puzzle, as originally articulated more than fifteen years ago, underscored the inability of the standard paradigm of Economics and Finance to explain the magnitude of the risk premium, that is, the return...

Persistent link: https://www.econbiz.de/10014023857

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