Narrow search
Showing 1 - 10 of 696,657
Cover Image
Durability of output and expected stock returns
Gomes, João; Kogan, Leonid; Yogo, Motohiro - 2007
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...
Persistent link: https://www.econbiz.de/10003449724
Cover Image
Consumption volatility risk
Boguth, Oliver; Kuehn, Lars-Alexander - In: The journal of finance : the journal of the American … 68 (2013) 6, pp. 2589-2615
Persistent link: https://www.econbiz.de/10010237378
Cover Image
Stock returns and cash flows : a new asset pricing approach
Di Tomaso, Sonia; Montagna, Denis Marco; Amendola, Antonio - In: Journal of Economics and Financial Analysis 5 (2021) 2, pp. 63-84
Persistent link: https://www.econbiz.de/10013350484
Cover Image
Time variation in cash flows and discount rates
Cenesizoglu, Tolga; Ibrushi, Denada - In: Journal of financial econometrics 21 (2023) 5, pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Cover Image
Bond risks based on factor volatilities
Staub, Renato - 1996
Persistent link: https://www.econbiz.de/10000605389
Cover Image
The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums
Osterrieder, Daniela - 2018
innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond … predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is …
Persistent link: https://www.econbiz.de/10012938568
Cover Image
The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums
Osterrieder, Daniela - 2018
innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond … predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is …
Persistent link: https://www.econbiz.de/10012940149
Cover Image
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
Cover Image
Realized moments and bond pricing
Malinska, Barbora - 2019
realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized … skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized …
Persistent link: https://www.econbiz.de/10012010467
Cover Image
Time-varying pricing of risk in sovereign bond futures returns
Malinská, Barbora - In: Finance research letters 47 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10013455827