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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point …
Persistent link: https://www.econbiz.de/10010478516
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Macroeconomic Disasters and the Equity Premium Puzzle : Are Emerging Countries Riskier?
Horvath, Jaroslav - 2019
Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...
Persistent link: https://www.econbiz.de/10012902819
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Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023
changes of survey forecasts and their dispersion significantly affect cyclical factor returns in a dynamic setting and that …
Persistent link: https://www.econbiz.de/10014388605
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Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023 - First Draft: October 15, 2023
changes of survey forecasts and their dispersion significantly affect cyclical factor returns in a dynamic setting and that …
Persistent link: https://www.econbiz.de/10014381149
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Risk Premium Factor Valuation Model for Calculating the Equity Market Risk Premium and Estimating S&P 500 Market Values
Hassett, Stephen D. - 2011
Understanding the factors that drive the stock market is more than an academic exercise. With a framework to understanding what that drives the overall market, business leaders are positioned to drive value their own businesses. While driving increases in shareholder value is one of the most...
Persistent link: https://www.econbiz.de/10013134480
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The Fundamental-to-Market Ratio and the Value Premium Decline
Gonçalves, Andrei - 2020
Recent evidence indicates the value premium declined over time. In this paper, we argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, FE, defined as the equity value originating purely from expected cash flows (i.e., no discount rate differences...
Persistent link: https://www.econbiz.de/10012837291
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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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Corporate Activities and the Market Risk Premium
Lie, Erik - 2018
While existing asset pricing studies focus on macroeconomic variables to predict stock market risk premium, we find that an aggregate index of corporate activities has substantially greater predictive power both in- and out-of sample, and yields much greater economic gain for a mean-variance...
Persistent link: https://www.econbiz.de/10012934744
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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
models to take into account different dynamics of equity excess returns between emerging and developed equity indices … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …
Persistent link: https://www.econbiz.de/10011539896
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Volatility Spreads and Expected Stock Returns
Bali, Turan G. - 2012
-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot … predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … analyses and firm-level cross-sectional regressions indicate a negative and significant relation between expected returns and …
Persistent link: https://www.econbiz.de/10013116882