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Dividend sensitivity to economic factors, stock valuation, and long-run risk
Bergeron, Claude - In: Finance research letters 10 (2013) 4, pp. 184-195
Persistent link: https://www.econbiz.de/10010252342
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Earnings-consumption betas and stock valuation
Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - In: American journal of finance and accounting 5 (2018) 2, pp. 151-172
Persistent link: https://www.econbiz.de/10011966800
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Dividend multifactor process, long-run risk and payout ratios
Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - In: American journal of finance and accounting 4 (2015/2016) 2, pp. 172-191
Persistent link: https://www.econbiz.de/10011607134
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Dividend growth, stock valuation, and long-run risk
Bergeron, Claude - In: Journal of economics and finance 37 (2013) 4, pp. 547-559
Persistent link: https://www.econbiz.de/10010345810
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Asset pricing and the carbon beta of externalities
Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021
Climate policy needs to set incentives for actors who face imperfect, distorted markets and large uncertainties about the costs and benefits of abatement. Investors price uncertain assets according to their expected return and risk (carbon beta). We study carbon pricing and financial incentives...
Persistent link: https://www.econbiz.de/10012607579
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The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange
Adegboye, Abidemi C. - In: CBN journal of applied statistics 8 (2017) 2, pp. 117-142
In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering … formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with … consumption beta estimates, CCAPM is found to only be relevant for few portfolios in the stock market, with negative betas for the …
Persistent link: https://www.econbiz.de/10011843526
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2012 - This draft: October 3, 2012
This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...
Persistent link: https://www.econbiz.de/10009667007
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Extreme inflation and time-varying expected consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2022 - This version: January 3, 2022
In a parsimonious regime switching model, we find strong evidence that expected consumption growth varies over time. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected inflation. Embedded in a...
Persistent link: https://www.econbiz.de/10012797771
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The dynamics of crises and the equity premium
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2014 - This version: October 13, 2014
There has been a considerable debate whether disaster models like Barro (2006) can rationalize the equity premium puzzle. This is because empirically disasters are not single extreme events, but tend to be long-lasting periods in which moderate negative consumption growth realizations cluster....
Persistent link: https://www.econbiz.de/10012061010
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610