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Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10013132883

A Model of Momentum

Liu, Laura Xiaolei - 2012

We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment …

Persistent link: https://www.econbiz.de/10013115136

Beta Measurement and Forecasting with High Frequency Returns

Doan, Bao Huy - 2020

measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies … CAPM beta measurement and forecasting with high frequency returns and evaluates trade-offs between bias and variability …

Persistent link: https://www.econbiz.de/10012848006

Fama French Factors and US Stock Return Predictability

Panopoulou, Ekaterini - 2011

This paper investigates whether the HML, the SMB along with the short-term reversal, the long-term reversal and the momentum factors exhibit both in-sample and out-of-sample forecasting ability for the US stock returns. Our findings suggest that these factors contain significantly more...

Persistent link: https://www.econbiz.de/10013127477

Asset Pricing : Cross-section Predictability

Zaffaroni, Paolo; Zhou, Guofu - 2022

We provide a short and selected review of the vast literature on cross-section predictability. We focus on the state of art methods used to forecast the cross-section of stock returns with major predictors and are primarily interested in the ideas, methods, and their applications. To understand...

Persistent link: https://www.econbiz.de/10013406495

Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns

Cenesizoglu, Tolga - 2014

Generating one-month-ahead systematic (beta) risk forecasts is common place in financial management. This paper evaluates the accuracy of these beta forecasts in three return measurement settings; monthly, daily and 30 minutes. It is found that the popular Fama-MacBeth beta from 5 years of...

Persistent link: https://www.econbiz.de/10013063045

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Favero, Carlo A. - 2018

Two broad classes of consumption dynamics - long-run risks and rare disasters - have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preference. We show that bounds a-la Gallant, Hansen and Tauchen (1990) that restrict the volatility of the...

Persistent link: https://www.econbiz.de/10012938615

Predicting Stock Returns in a Cross-Section : Do Individual Firm Characteristics Matter?

Shapovalova, Kateryna - 2009

traditional CAPM market beta, and the betas to the returns on two portfolios, "Small Minus Big" (the differential in the stock … and low book-to-price ratio). The authors argue that this model is sufficient to capture the impact on returns of … companies' accounting fundamentals, such as earnings-to-price, cash flow-to-price, past sales growth, long term and short …

Persistent link: https://www.econbiz.de/10013158833

Oil Volatility Risk and Expected Stock Returns

Christoffersen, Peter - 2014

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...

Persistent link: https://www.econbiz.de/10013058330

Determinants of asymmetric return comovements of gold and other financial assets

Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242

Persistent link: https://www.econbiz.de/10011624131