Showing 1 - 10 of 185
We formulate a consumption-based asset pricing model in which aggregate risk aversion is time-varying in response to both news about consumption growth (as in a habit formation model) and news about inflation. We estimate our model and explore its pricing implications on the term structure of...
Persistent link: https://www.econbiz.de/10012764986
This paper investigates the importance of idiosyncratic consumption risk for the cross-sectional variation in average returns on stocks and bonds. If idiosyncratic consumption risk is not priced, the only pricing factor in a multiperiod economy is the rate of aggregate consumption growth. We...
Persistent link: https://www.econbiz.de/10005100749
Despite the extensive literature on cross-sectional aspects of momentum, time-variation in momentum profitability receives little attention. We present a comprehensive examination of the time-series predictability of momentum profits. We uncover a list of intriguing features of time-variation in...
Persistent link: https://www.econbiz.de/10013149216
Motivated by investor disagreement and corporate disclosure literatures, we examine how stock price shocks affect future stock returns. We find that both large short-term price drops and hikes are followed by negative abnormal returns over the subsequent year, consistent with the conjecture that...
Persistent link: https://www.econbiz.de/10013009192
Empirical research on conditional asset pricing has been built on several standard return-predictive variables. However, recent studies have raised serious doubts on these variables that typically serve as the instruments to capture the relevant conditioning information. In the stochastic...
Persistent link: https://www.econbiz.de/10012738138
Multifactor asset pricing models play an important role in evaluation of anomalies and managed portfolios. In empirical studies, however, the researchers' prior often includes a rich set of competing models which all seem plausible, but none is conclusively dominant. In this paper we propose a...
Persistent link: https://www.econbiz.de/10012741700
Motivated by range-related trading practices, this paper investigates the return-predictive role of relative price level. As the price of a stock moves to an unusually high or low level with respect to a long-term trading range, concern about mean-reversion in the price becomes important. I test...
Persistent link: https://www.econbiz.de/10012714248
This paper investigates the importance of idiosyncratic consumption risk for the cross-sectional variation in average returns on stocks and bonds. If idiosyncratic consumption risk is not priced, the only pricing factor in a multiperiod economy is the rate of aggregate consumption growth. We...
Persistent link: https://www.econbiz.de/10012722111
A growing literature documents that various strategies of rotating across equity styles generate significant returns. However, the conventional risk adjustment regression is problematic in evaluating the gains from style rotation. In this paper, I propose a weight-based multifactor risk...
Persistent link: https://www.econbiz.de/10012764945
In this paper we propose three nonparametric methods for testing conditional mean-variance efficiency of a benchmark portfolio. These approaches avoid functional form misspecification and share a pleasant feature that the test statistics are based on estimators that converge at the fast...
Persistent link: https://www.econbiz.de/10012764971