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Estimation Risk, Learning and the Equity Premium
Gvozdeva, Evgenia - 2011
We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty about both the first and second moments of consumption and dividend growth rates. For the 1891-2007 period, our model generates a sizable average annual equity premium,...
Persistent link: https://www.econbiz.de/10013130393
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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...
Persistent link: https://www.econbiz.de/10011756113
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A Single-Factor Consumption-Based Asset Pricing Model
Delikouras, Stefanos - 2017
We propose a single-factor asset pricing model based on an indicator function of consumption growth being less than its endogenous certainty equivalent. This certainty equivalent is derived from generalized disappointment aversion preferences, and it is located approximately one standard...
Persistent link: https://www.econbiz.de/10012969135
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Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks
Umlauft, Roland - 2013
This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …
Persistent link: https://www.econbiz.de/10013090386
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Liquidity Risk and the Beta Premium
Gong, Cynthia M - 2019
liquidity risk. After adjusting for liquidity risk, low beta stocks no longer outperform high beta stocks. Although investors … fails to generate any significant returns when liquidity risk is accounted for. Our work helps understand the beta premium … from a new liquidity-risk perspective, and draws useful implications for both fund and corporate managers …
Persistent link: https://www.econbiz.de/10012857776
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Time-Varying Risk Aversion and Currency Excess Returns
Demirer, Rıza; Yüksel, Aslı; Yuksel, Sadettin Aydin - 2021
equity market risk factors as well as liquidity risk and cannot be explained by measures of economic conditions or …
Persistent link: https://www.econbiz.de/10013234136
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Global portfolio network and currency risk premia
Boer, Jantke de - 2024
The position of countries in a network of external portfolio investments provides a novel macroeconomic characteristic to explain violations of uncovered interest rate parity. I derive a network centrality measure, where central countries are highly integrated with key suppliers of tradeable...
Persistent link: https://www.econbiz.de/10015211361
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10009752999
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Firm size and stock returns : a meta-analysis
Astakhov, Anton; Havránek, Tomáš; Novák, Jiri - 2017
A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the magnitude and stability of the size premium, with some researchers even questioning the usefulness of the factor. To take stock of the voluminous academic literature on the size...
Persistent link: https://www.econbiz.de/10011716607