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Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
Benzoni, Luca - 2005
, in spite of the large risk premium associated with it. Intuitively, this occurs because the cointegration effect makes … shorter times-to-retirement, the cointegration effect does not have sufficient time to act, and the remaining human capital …
Persistent link: https://www.econbiz.de/10012467438
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Four Centuries of Return Predictability
Golez, Benjamin - 2014
We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for...
Persistent link: https://www.econbiz.de/10012457852
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Identification of Marginal Treatment Effects using Subjective Expectations
Briggs, Joseph; Caplin, Andrew; Leth-Petersen, Søren; … - National Bureau of Economic Research - 2024
We develop a method to identify the individual latent propensity to select into treatment and marginal treatment effects. Identification is achieved with survey data on individuals' subjective expectations of their treatment propensity and of their treatment-contingent outcomes. We use the...
Persistent link: https://www.econbiz.de/10014528349
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The Dog That Did Not Bark : A Defense of Return Predictability
Cochrane, John H. - 2006
To question the statistical significance of return predictability, we cannot specify a null that simply turns off that predictability, leaving dividend growth predictability at its essentially zero sample value. If neither returns nor dividend growth are predictable, then the dividend-price...
Persistent link: https://www.econbiz.de/10012466643
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Consumption Strikes Back? : Measuring Long-Run Risk
Hansen, Lars Peter - 2005
We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in current...
Persistent link: https://www.econbiz.de/10012467203
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On the Relationship Between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach
Brandt, Michael W. - 2002
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a...
Persistent link: https://www.econbiz.de/10012469657
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Return Predictability in the Treasury Market : Real Rates, Inflation, and Liquidity
Pflueger, Carolin E. - 2011
Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time …-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model … independent evidence that real rate risk premia and inflation risk premia contribute to nominal bond excess return predictability …
Persistent link: https://www.econbiz.de/10012461765
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
Ghosh, Anisha - 2010
The predictability of the market return and dividend growth is addressed in an equilibrium model with two regimes. A state variable that drives the conditional means of the aggregate consumption and dividend growth rates follows different time-series processes in the two regimes. In linear...
Persistent link: https://www.econbiz.de/10012462474
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There is a Risk-Return Tradeoff After All
Ghysels, Eric - 2004
This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns -- the Mixed Data Sampling (or MIDAS) approach. Using...
Persistent link: https://www.econbiz.de/10012467774