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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

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

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

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

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

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

Labor Income and Predictable Stock Returns

Santos, Tano - 2001

We propose and test a novel economic mechanism that generates stock return predictability on both the time series and the cross section. In our model, investors' income has two sources, wages and dividends, that grow stochastically over time. As a consequence, the fraction of total income...

Persistent link: https://www.econbiz.de/10012470415

Stock Return Predictability : Is it There?

Ang, Andrew - 2001

We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as...

Persistent link: https://www.econbiz.de/10012470517

Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2001

This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...

Persistent link: https://www.econbiz.de/10012470566

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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