Author: Jonathan A. Parker
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 13
Book Description
Consumption Risk and Expected Stock Returns
Author: Jonathan A. Parker
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 13
Book Description
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 13
Book Description
External Habit and the Cyclicality of Expected Stock Returns
Author: Thomas D. Tallarini
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 60
Book Description
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 60
Book Description
Global Stock Markets
Author: Wolfgang Drobetz
Publisher: Springer Science & Business Media
ISBN: 3663085295
Category : Business & Economics
Languages : en
Pages : 346
Book Description
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Publisher: Springer Science & Business Media
ISBN: 3663085295
Category : Business & Economics
Languages : en
Pages : 346
Book Description
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Consumption, Stock Returns, and the Gains from International Risk-sharing
Author: Karen K. Lewis
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 60
Book Description
Standard theoretical models predict that domestic residents should diversify their portfolios into foreign assets much more than observed in practice. Whether this lack of diversification is important depends upon the potential gains from risk-sharing. General equilibrium models and consumption data tend to find that the costs are small, typically less than «% of permanent consumption. On the other hand, stock returns imply gains that are several hundred times larger. In this paper, I examine the reasons for these differences. I find that the primary differences are due to either: (a) the much higher variability of stocks, and/or (b) the higher degree of risk aversion required to reconcile an international equity premium. On the other hand, the significant differences do not arise treating stock returns as exogenous.
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 60
Book Description
Standard theoretical models predict that domestic residents should diversify their portfolios into foreign assets much more than observed in practice. Whether this lack of diversification is important depends upon the potential gains from risk-sharing. General equilibrium models and consumption data tend to find that the costs are small, typically less than «% of permanent consumption. On the other hand, stock returns imply gains that are several hundred times larger. In this paper, I examine the reasons for these differences. I find that the primary differences are due to either: (a) the much higher variability of stocks, and/or (b) the higher degree of risk aversion required to reconcile an international equity premium. On the other hand, the significant differences do not arise treating stock returns as exogenous.
A Consumption-based Explanation of Expected Stock Returns
Author: Motohiro Yogo
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
Book Description
Financial Markets and the Real Economy
Author: John H. Cochrane
Publisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117
Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Publisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117
Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Stock Returns and Expected Business Conditions
Author: Sean D. Campbell
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 48
Book Description
"We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwisestandard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R-squared. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion"--National Bureau of Economic Research web site
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 48
Book Description
"We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwisestandard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R-squared. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion"--National Bureau of Economic Research web site
Volatility
Author: Robert A. Jarrow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 472
Book Description
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 472
Book Description
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Expected Stock Returns and Variance Risk Premia
Author: Tim Bollerslev
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
Book Description
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
Book Description
Expected Stock Returns and the Correlation Risk Premium
Author: Adrian Buss
Publisher:
ISBN:
Category : Financial risk
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category : Financial risk
Languages : en
Pages : 0
Book Description