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On Pricing Kernels, Information and Risk
Wilcox, Diane - 2015
monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …
Persistent link: https://www.econbiz.de/10013034895
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Chapter 20. Term Structure of Uncertainty in the Macroeconomy
Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?
Bali, Turan G. - 2020
We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...
Persistent link: https://www.econbiz.de/10012856755
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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries
Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168
This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...
Persistent link: https://www.econbiz.de/10014307488
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News Shocks, Long-Run Risk, and Asset Returns
Kim, Soohun - 2017
This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST news shock, which reflects future technological improvements in the production of investment goods such as computers, machines, and equipment, causes persistent future consumption...
Persistent link: https://www.econbiz.de/10012972792
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Stochastic Idiosyncratic Cash Flow Risk and Real Options : Implications for Stock Returns
Bhamra, Harjoat Singh - 2016
Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a novel explanation of this anomaly based on real options, which is consistent with earlier findings on idiosyncratic volatility (the positive contemporaneous relation between...
Persistent link: https://www.econbiz.de/10013007739
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Risk-Return Relation in Stock Returns under Economic Constraints
Nyberg, Henri - 2022
We obtain new methodological and empirical perspectives on the fundamental risk-return tradeoff in stock returns by imposing economic and asset pricing motivated constraints on the equity premium. In contrast to highly ambiguous past empirical findings, these constraints result in a nonlinear...
Persistent link: https://www.econbiz.de/10014239472
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Business-cycle consumption risk and asset prices
Bandi, Federico M. - 2020
We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...
Persistent link: https://www.econbiz.de/10012856904
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Momentum and Reversion in Risk Neutral Martingale Probabilities
Madan, Dilip B. - 2014
A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics … five days at a time. Properties of the estimated processes are described via an analysis of return quantiles, momentum … functions that measure the response of tail probabilities to such moves. Momentum and reversion are also addressed via the …
Persistent link: https://www.econbiz.de/10013064149