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Vassalou, Maria - 2001

Persistent link: https://www.econbiz.de/10013423658

Dissecting the Expected Investment Growth Premium

Chen, Shan; Liu, Xujun - 2023

findings, supporting the explanation of the $q$-theory. The empirical results do not support the intertemporal CAPM or the …

Persistent link: https://www.econbiz.de/10014349470

Why does the yield curve predict GDP growth? : the role of banks

Minoiu, Camelia; Schneider, Andrés; Wei, Min - 2023 - This draft: July 10, 2023

Persistent link: https://www.econbiz.de/10014384968

Heterogeneous Beliefs in Macroeconomic Growth Prospects and the Carry Risk Premium

Park, Sunjin - 2022

To understand macroeconomic risks underlying currency carry trades, I propose exploiting rich source of information from analysts’ economic growth forecasts. Specifically, I obtain measures of global growth prospects from the cross-analyst distribution of real GDP growth forecasts. I find that...

Persistent link: https://www.econbiz.de/10013406207

Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence

Kuo, Chris - 2011

Firm size is an essential factor in examining the relation between returns and idiosyncratic volatilities. This paper documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is statistically significant in explaining the future...

Persistent link: https://www.econbiz.de/10013117807

Equity prices and fundamentals : a DDM-APT mixed approach

Jawadi, Fredj; Prat, Georges - 2015

Persistent link: https://www.econbiz.de/10011300871

The consumption-income ratio, entrepreneurial risk, and the U.S. stock market

Hoffmann, Mathias - In: Journal of money, credit and banking : JMCB 46 (2014) 6, pp. 1259-1292

Persistent link: https://www.econbiz.de/10010466585

Option-implied term structures

Vogt, Erik - 2014

portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the …

Persistent link: https://www.econbiz.de/10010459730

Understanding short- versus long-run risk premia

Buraschi, Andrea; Carnelli, Andrea - In: European financial management : the journal of the … 20 (2014) 4, pp. 714-738

Persistent link: https://www.econbiz.de/10010503545

The cost of equity for large non-financial companies in the euro area : an estimation over the last decade

Mazet-Sonilhac, Clément; Mésonnier, Jean-Stéphane - In: Banque de France bulletin / Quarterly selection of articles 44 (2016/2017), pp. 27-38

Persistent link: https://www.econbiz.de/10011643962