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Mispricing or Risk Premium? An Explanation of the R&D-to-Market Anomaly

Lee, Jangwook; Lee, Jiyoon - 2021

Two contrasting explanations are offered in the literature for the R&D-to-market anomaly: mispricing of R&D resulting from limited investor attention to R&D spending, and the failure of conventional risk factors to completely capture the risk associated with R&D. Exploiting accounting treatments...

Persistent link: https://www.econbiz.de/10013237827

Asset pricing with free entry and exit of firms

Kaszab, Lorant; Marsal, Ales; Rabitsch, Katrin - 2022

We study the asset-pricing implications of changes in the variety of consumption goods which happens through free entry and exit of firms. Fluctuations in varieties drive a wedge between the measured and model-based (including variety growth) consumer price index making the pricing kernel as...

Persistent link: https://www.econbiz.de/10013256939

Asset Prices in Turbulent Markets with Rare Disasters

Kim, Soohun - 2015

I propose a parsimonious econometric model for the stochastic process governing the evolution of per capita consumption and stock market dividend over time. The model features stochastic volatility of consumption and dividend growth rates, and time-varying likelihood of rare disasters. I embed...

Persistent link: https://www.econbiz.de/10013034376

Effect of Price Inefficiency on Idiosyncratic Risk and Stock Returns

Qin, Nan - 2013

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this hypothesis, this paper then finds a positive relation...

Persistent link: https://www.econbiz.de/10013076721

Learning, Rare Disasters, and Asset Prices

Lu, Yang K. - 2014

In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the literature on rare disasters by allowing for two sources of uncertainty: (1) the lack of historical data results in unknown parameters for the disaster process, and (2) the...

Persistent link: https://www.econbiz.de/10013061901

Green Asset Pricing

Jaccard, Ivan; Benmir, Ghassane; Vermandel, Gauthier - 2021

-pricing theory to estimate this implicit price in the data and find that the optimal tax is pro-cyclical. It is therefore optimal to …

Persistent link: https://www.econbiz.de/10013315252

Credit rating downgrade risk on equity returns

Brakatsoulas, Periklis; Kukacka, Jiri - 2020

We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

Persistent link: https://www.econbiz.de/10012242861

Pricing climate change risks : CAPM with rare disasters and stochastic probabilities

Karydas, Christos; Xepapadeas, Anastasios - 2019

these events. Using theory and simulations we study the implications of the imminent threat of climate change on different …

Persistent link: https://www.econbiz.de/10011962146

Diverging roads: theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020

We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …

Persistent link: https://www.econbiz.de/10012163064

Market fragility and the paradox of the recent stock-bond dissonance

Koulovatianos, Christos; Li, Jian; Weber, Fabienne - 2017

After the Lehman-Brothers collapse, the stock index has exceeded its pre-Lehman-Brothers peak by 36% in real terms. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically, bond rates have been persistently negative after...

Persistent link: https://www.econbiz.de/10011760864