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Rare Events and Long-Run Risks
Barro, Robert J. - 2016
, including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent … parts) and LRR (including stochastic volatility) and estimate this model with long-term data on aggregate consumption for 42 … economies. RE typically associates with major historical episodes, such as the world wars and the Great Depression and analogous …
Persistent link: https://www.econbiz.de/10012456801
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Risk, Government and Globalization : International Survey Evidence
Mayda, Anna Maria - 2007
This paper uses international survey data to document two stylized facts. First, risk aversion is associated with anti-trade attitudes. Second, this effect is smaller in countries with greater levels of government expenditure. The paper thus provides evidence for the microeconomic underpinnings...
Persistent link: https://www.econbiz.de/10012465617
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Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel M. - 2015
findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …
Persistent link: https://www.econbiz.de/10012457188
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Comovement Revisited
Chen, Honghui - 2015
Recent evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009) challenges traditional finance theory. Based on a simple model, we show that the bivariate regressions relied upon in the literature...
Persistent link: https://www.econbiz.de/10012457386
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Understanding Defensive Equity
Novy-Marx, Robert - 2014
High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the … the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …
Persistent link: https://www.econbiz.de/10012458074
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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10012459071
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Avoiding Idiosyncratic Volatility : Flow Sensitivity to Individual Stock Returns
Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - National Bureau of Economic Research - 2023
Despite positive and significant earnings announcement premia, we find that institutional investors reduce their exposure to stocks before earnings announcements. A novel result on the sensitivity of flows to individual stock returns provides a potential explanation. We show that extreme...
Persistent link: https://www.econbiz.de/10014322748
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Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency
Breugem, Matthijs - 2017
We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...
Persistent link: https://www.econbiz.de/10012455121
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012455454
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Levered Returns
Welch, Ivo - 2016
Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...
Persistent link: https://www.econbiz.de/10012456525