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Investor Protection and Asset Prices
Basak, Suleyman - 2019
Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset pricing model to address the empirical regularities and uncover some of the underlying mechanisms at play. Our model features a controlling...
Persistent link: https://www.econbiz.de/10012903539
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International Characteristic-Based Asset Pricing
Jagannathan, Murali - 2019
, growth of total assets, and operating profitability, each separately created for a given geographical region of the world. As …
Persistent link: https://www.econbiz.de/10012897321
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US Market Risk Premium Used in 2011 by Professors, Analysts and Companies : A Survey with 5.731 Answers
Fernandez, Pablo - 2011
The average Market Risk Premium (MRP) used in 2011 by professors for the USA (5.7%) is higher than the one used by analysts (5.0%) and companies (5.6%). The standard deviation of the MRP used in 2011 by analysts (1.1%) is lower than the ones of companies (2.0%) and professors (1.6%). Most...
Persistent link: https://www.econbiz.de/10013127369
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Measuring Time-Varying Disaster Risk : An Empirical Analysis of 'Dark Matter' in Asset Prices
Baron, Matthew; Xiong, Wei; Ye, Zhijiang - 2022
To confront the challenge that disaster risk is “dark matter” in finance, we construct an objective measure of disaster risk, which is able to predict half of GDP crashes in a sample of 20 advanced economies between 1870 and 2021. Despite this significant predictability, we find no...
Persistent link: https://www.econbiz.de/10013492349
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Empirical Asset Pricing via Machine Learning : The Global Edition
Cakici, Nusret; Zaremba, Adam - 2022
We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...
Persistent link: https://www.econbiz.de/10013306087
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Market Risk Premium Used in 2010 by Analysts and Companies : A Survey with 2,400 Answers
Fernandez, Pablo - 2010
The average MRP used by analysts in the USA (5.1%) was similar to the one used by their colleagues in Europe (5.0%). But the average MRP used by companies in the USA (5.3%) was smaller than the one used by companies in Europe (5.7%), and UK (5.6%).The dispersion of the MRP used was high, but...
Persistent link: https://www.econbiz.de/10013143377
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Market Risk Premium Used in 2010 by Professors : A Survey with 1,500 Answers
Fernandez, Pablo - 2010
The average Market Risk Premium (MRP) used in 2010 by professors in the USA (6.0%) was higher than the one used by their colleagues in Europe (5.3%). We also report the MRP used for 33 countries: the average MRP used in 2010 ranges from 3.6% (Denmark) to 10.9% (Mexico). 29% of the professors...
Persistent link: https://www.econbiz.de/10013143496
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Size and momentum profitability in international stock markets
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2015 - This version: August 25, 2015
We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset … covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big …
Persistent link: https://www.econbiz.de/10011412159
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Shipping Companies Profitability Measurement : A Panel Data Analysis
Thalassinos, Eleftherios Ioannis - 2015
This research examines the efficiency of shipping companies to create profit from the equity used in the investment … the investment returns. A suitable method for panel data is the seemingly unrelated regressions …
Persistent link: https://www.econbiz.de/10013011642
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The Joint Distribution of Value and Profitability : International Evidence
Wahal, Sunil; Repetto, Eduardo - 2021
We examine the joint distribution of value and profitability in international markets. Over the 1990-2020 sample period …, portfolios formed at the intersection of value and profitability generate systematic return patterns: value and high-profitability … portfolios substantially outperform growth and low- profitability portfolios. The return differences are present in developed …
Persistent link: https://www.econbiz.de/10013252091