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Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …
Persistent link: https://www.econbiz.de/10009786095
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Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - In: Review of economic dynamics 28 (2018), pp. 51-70
Persistent link: https://www.econbiz.de/10012041459
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Asset returns, the business cycle, and the labor market : a sensitivity analysis for the German economy
Heer, Burkhard; Maußner, Alfred - 2011
premium is very sensitive with regard to the utility parameters. -- equity premium ; production CAPM ; real-business cycle …
Persistent link: https://www.econbiz.de/10009011127
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The return on everything and the business cycle in production economies
Heiberger, Christopher; Fehrle, Daniel - 2020
The risk premium puzzle is even worse than previously reported if housing is also taken into consideration next to equity. While housing premia are only moderately smaller than equity premia, they are significantly less volatile and the Sharpe ratio of housing is significantly larger. Hence,...
Persistent link: https://www.econbiz.de/10012252842
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Business-cycle consumption risk and asset prices
Bandi, Federico M. - 2020
We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...
Persistent link: https://www.econbiz.de/10012856904
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Tobin's Q and Asset Returns : Implications for Business Cycle Analysis
Christiano, Lawrence J.; Fisher, Jonas D. M. - 2008
major intermediate input into expanding plant capacity, investment goods, is countercyclical. The ratio of these prices is … are diminishing returns to expanding plant capacity by installing investment goods ("adjustment costs"). However, the … which shifts the technology for producing investment goods. The adjustment costs cause the two prices to respond differently …
Persistent link: https://www.econbiz.de/10014214408
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Cyclical Asset Returns in the Consumption and Investment Goods Sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …
Persistent link: https://www.econbiz.de/10010319381
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Cyclical Asset Returns in the Consumption and Investment Goods Sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - CESifo - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …
Persistent link: https://www.econbiz.de/10010690381
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The return on everything and the business cycle in production economies
Fehrle, Daniel; Heiberger, Christopher - 2020
The risk premium puzzle is even worse than previously reported if housing is also taken into consideration next to equity. While housing premia are only moderately smaller than equity premia, they are significantly less volatile and the Sharpe ratio of housing is significantly larger. Hence,...
Persistent link: https://www.econbiz.de/10012180532
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Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks
Xyngis, Georgios - 2017
A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging...
Persistent link: https://www.econbiz.de/10014133052