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Stock Return and Cash Flow Predictability : The Role of Volatility Risk
Bollerslev, Tim - 2012
implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new … direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility …
Persistent link: https://www.econbiz.de/10013097882
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Term Structure of Equity Return Volatility
Li, Wentao - 2022
The term structure of equity return volatility fluctuates across time. It affects the term structure of equity returns … through the volatility feedback effect and explains the cyclicality of equity return term structure. By analysing the dividend … strip futures, this paper finds that volatility feedback effects of dividend strips exist and decrease with the horizon …
Persistent link: https://www.econbiz.de/10014238985
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Stock-Oil Comovement : Fundamentals or Financialization?
Melone, Alessandro; Randl, Otto; Sögner, Leopold; … - 2022
We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a novel oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stocks and oil, we split unexpected returns into cash flow...
Persistent link: https://www.econbiz.de/10013492254
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Intraday Patterns in the Cross-Section of Stock Returns
Heston, Steven L. - 2019
trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads …
Persistent link: https://www.econbiz.de/10012906165
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…and the Cross-Section of Expected Returns
Harvey, Campbell R. - 2015
Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0....
Persistent link: https://www.econbiz.de/10013035730
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Predictability of Returns and Cash Flows
Koijen, Ralph S. J. - 2011
We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries
Persistent link: https://www.econbiz.de/10013132300
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Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing
Kalev, Petko S. - 2019
We develop an intertemporal asset pricing model where cash flow news, discount rate news, and their second moments are priced by the market. This model generalizes the market return decomposition framework, showing that intertemporal considerations imply a decomposition of squared market returns...
Persistent link: https://www.econbiz.de/10012901111
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Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2018
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...
Persistent link: https://www.econbiz.de/10012936819
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Cash Flow News, Discount Rate News, and Momentum
Celiker, Umut - 2016
We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods. This finding expands on the evidence in Cooper et al. (2004) that...
Persistent link: https://www.econbiz.de/10012979702
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Cash-Flow or Return Predictability at Long Horizons? The Case of Earnings Yield
Maio, Paulo F. - 2020
We examine the predictive ability of the aggregate earnings yield for market returns and earnings growth by estimating variance decompositions at multiple horizons. Based on weighted long-horizon regressions, we find that most of the variation in the earnings yield is due to return...
Persistent link: https://www.econbiz.de/10012857172