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Correlations, Value Factor Returns, and Growth Options

Schoenleber, Lorenzo - 2020

in growth options within an economy for horizons up to one year. A production-based asset-pricing model supports the … idiosyncratic firm variance, increasing in the value of growth options and, hence, is connected to the value premium. Due to its … link to growth options and the value premium, implied correlation serves as a leading procyclical state variable. Value …

Persistent link: https://www.econbiz.de/10012846985

Real option component of cash holdings, business cycle, and stock returns

Chen, Jiun-Lin; Jia, Z. Tingting; Sun, Ping-Wen - In: International review of financial analysis 45 (2016), pp. 97-106

Persistent link: https://www.econbiz.de/10011581922

Stock market booms and real economic activity : is this time different?

Binswanger, Mathias - 1998

Persistent link: https://www.econbiz.de/10000168477

Long-term return reversals : value and growth or tax? ; UK evidence

Wu, Yuliang; Li, Youwei - In: Journal of international financial markets, … 21 (2011) 3, pp. 347-368

Persistent link: https://www.econbiz.de/10009266914

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kurz-Kim, Jeong-Ryeol - 2003

In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...