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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 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
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Consumption Growth Predictability and Asset Prices
Roh, Tai-Yong - 2019
We derive and test a consumption-based intertemporal asset pricing model in which an asset earns a risk premium if it performs poorly when expected future consumption growth deteriorates. The predictability of consumption growth combined with the recursive preference delivers news about future...
Persistent link: https://www.econbiz.de/10012890950
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What Do Fund Flows Reveal About Asset Pricing Models and Investor Sophistication?
Jegadeesh, Narasimhan - 2019
models. Berk and van Binsbergen (2016) claim that this evidence indicates CAPM is the best asset pricing model but Barber …
Persistent link: https://www.econbiz.de/10012900390
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The Predictability Implied by Consumption-Based Asset Pricing Models : A Review of the Theory and Empirical Evidence
Chen, Jiun-Lin - 2018
The consumption-based models have a lack of predictive power for explaining variability of stock returns. This paper examines two well-known models, Campbell and Cochrane (1999)'s habit model and Bansal and Yaron (2004)'s long-run risks model, to see whether they produce a significant power of...
Persistent link: https://www.econbiz.de/10012940391
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Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios
Detzel, Andrew L. - 2017
In this paper, we forecast industry returns out-of-sample using the cross-section of book-to-market ratios and investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting regressions show that cross-industry book-to-market ratios...
Persistent link: https://www.econbiz.de/10012968901
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Semivariance Premium and Expected Stock Returns
Huang, Tao - 2020
We find a negative relationship between the individual stocks' semivariance premia, defined as the difference between the risk-neutral and physical expected downside semivariances, and future stock returns. The high-minus-low hedge portfolio earns the excess return of -64 (-46) basis points per...
Persistent link: https://www.econbiz.de/10012851750
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Economic Evaluation of Asset Pricing Models Under Predictability
Hansen, Erwin - 2021
We perform an out-of-sample comparison of linear factor asset pricing models from an economic perspective under predictability. We assess the economic value added of several factor models when a Bayesian investor is faced with a portfolio allocation problem whereby each model imposes...
Persistent link: https://www.econbiz.de/10013226488
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Does the CAPM Predict Returns?
Hasler, Michael - 2020
We provide empirical evidence that CAPM-betas positively predict asset returns when market returns are predicted to be … high, which occurs about every other month. Consequently, the product of beta and the predicted market return (CAPM …, trading strategies exploiting the forecasting power of the CAPM have Sharpe ratios up to 100% larger than the corresponding …
Persistent link: https://www.econbiz.de/10012849611