Recent asset pricing research claims that quot;real optionsquot; models generate dynamic risks related to firm investment policy and provide a rational explanation for size and value effects. We examine the empirical success of these dynamic beta models using both simulations and data from U.S....

Recent asset pricing research claims that quot;real options'quot; models generate dynamic risks related to firm investment policy and provide a rational explanation for size and value effects. We examine the empirical success of these dynamic beta models using both simulations and data from U.S....

The link between asset valuations and investor sentiment is the subject of considerable debate in the profession. We address this question by examining how survey data on investor sentiment relates to i) long-horizon returns, and ii) asset valuations. If excessive optimism drives prices above...

We investigate investor sentiment and its relation to near-term stock market returns. We find that many commonly-cited indirect measures of sentiment are related to direct measures (surveys) of investor sentiment. However, past market returns are also an important determinant of sentiment....

Asset returns implicitly contain information about the systematic and nonsystematic risks in an economy. Based solely on the law of one price condition, we extract this information by using a mean-variance frontier decomposition of returns, and exploit it to improve the assessment of...

I estimate seven popular asset pricing models using restrictions on the mean and variance of the price-dividend ratio. Matching the high variability in observed price-dividend ratios is an interesting challenge for the models. In addition, restrictions such as these are useful in evaluating...