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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

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

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

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

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

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

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

Term structure of interest rates with short-run and long-run risks

Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...

Persistent link: https://www.econbiz.de/10014433708

Give me strong moments and time : combining GMM and SMM to estimate long-run risk asset pricing models

Grammig, Joachim; Schaub, Eva-Maria - 2014

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, but caveats concern model solubility and weak identification. We propose a twostep...

Persistent link: https://www.econbiz.de/10010412357

Give me strong moments and time : combining GMM and SMM to estimate long-run risk asset pricing

Grammig, Joachim; Schaub, Eva-Maria - 2014

Persistent link: https://www.econbiz.de/10010390134