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Fama French Factors and US Stock Return Predictability
Panopoulou, Ekaterini - 2011
This paper investigates whether the HML, the SMB along with the short-term reversal, the long-term reversal and the momentum factors exhibit both in-sample and out-of-sample forecasting ability for the US stock returns. Our findings suggest that these factors contain significantly more...
Persistent link: https://www.econbiz.de/10013127477
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International Stock Return Predictability : The Role of U.S. Volatility Risk
Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022
This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …
Persistent link: https://www.econbiz.de/10014236052
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Mutual fund flows, expected returns, and the real economy
Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011
The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...
Persistent link: https://www.econbiz.de/10008902922
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International stock return predictability : on the role of the United States in bad and good times
Siliverstovs, Boriss - 2016
In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...
Persistent link: https://www.econbiz.de/10011519115
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Shape evolution of the interest rate term structure
Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457
This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...
Persistent link: https://www.econbiz.de/10012886359
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The Only Constant Is Change : Non-constant Volatility and Implied Volatility Spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2022
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …
Persistent link: https://www.econbiz.de/10014236536
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Internet Appendix to the Only Constant is Change : Non-Constant Volatility and Implied Volatility Spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2023
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …
Persistent link: https://www.econbiz.de/10014254172
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Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
Adrian, Tobias; Crump, Richard; Vogt, Erik - 2015
-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …
Persistent link: https://www.econbiz.de/10010505953
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Accounting for macro-finance trends : market power, intangibles, and risk premia
Farhi, Emmanuel; Gourio, François - 2018
Real risk-free interest rates have trended down over the past 30 years. Puzzlingly in light of this decline, (1) the return on private capital has remained stable or even increased, creating an increasing wedge with safe interest rates; (2) stock market valuation ratios have increased only...
Persistent link: https://www.econbiz.de/10011932166
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2018
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10012913073