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Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Expected stock returns worldwide : a log-linear present-value approach

Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - In: The accounting review : a publication of the American … 97 (2022) 2, pp. 107-133

Persistent link: https://www.econbiz.de/10013198687

Distress risk premia in expected stock and bond returns

Zhang, Andrew Jianzhong - In: Journal of banking & finance 36 (2012) 1, pp. 225-238

Persistent link: https://www.econbiz.de/10009411138

Global Stock Markets : Expected returns, consumption, and the business cycle

Drobetz, Wolfgang - 2000 - Gabler Edition Wissenschaft

Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of...

Persistent link: https://www.econbiz.de/10013520261

Aggregate Expected Investment Growth and Stock Market Returns

Li, Jun - 2020

A bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG) can negatively predict market returns. At the one-year horizon, the adjusted in-sample R-square is 18.2% and the out-of-sample R-square is 14.4%. The return predictive power is robust after...

Persistent link: https://www.econbiz.de/10012854283

Aggregate Expected Investment Growth and Stock Market Returns

Li, Jun - 2018

Consistent with neoclassical models with investment lags, we find that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth, negatively predicts future stock market returns. with an adjusted in-sample R2 of 18.5% and an out-of-sample R2 of 16.3% at the...

Persistent link: https://www.econbiz.de/10012917305