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Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert - National Bureau of Economic Research (NBER) - 2005

The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly … predictability. For example, for the persistence levels of dividend yields, the analytical correlation is 99% between the 1- and 2 … found in the data. The asymptotic theory is corroborated, and the analysis extended by extensive simulation evidence. We …

Persistent link: https://www.econbiz.de/10005087466

DSGE Models in a Data-Rich Environment

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...

Persistent link: https://www.econbiz.de/10005779020

DSGE Models in a Data-Rich Environment

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Persistent link: https://www.econbiz.de/10005714295

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Collin-Dufresne, Pierre; Johannes, Michael; Lochstoer, … - National Bureau of Economic Research (NBER) - 2013

Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models...

Persistent link: https://www.econbiz.de/10010821954

Investment Noise and Trends

Stambaugh, Robert F. - National Bureau of Economic Research (NBER) - 2014

During the past few decades, the fraction of the equity market owned directly by individuals declined significantly. The same period witnessed investment trends that include the growth of indexing as well as shifts by active managers toward lower fees and more index-like investing. I develop an...

Persistent link: https://www.econbiz.de/10010796629

Asset Pricing in the Dark: The Cross Section of OTC Stocks

Ang, Andrew; Shtauber, Assaf A.; Tetlock, Paul C. - National Bureau of Economic Research (NBER) - 2013

premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums …

Persistent link: https://www.econbiz.de/10010950781

Growth Expectations, Dividend Yields, and Future Stock Returns

Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 2014

According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...

Persistent link: https://www.econbiz.de/10010950997

Building Castles in the Air: Evidence from Industry IPO Waves

Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 2012

We provide empirical support for the conventional wisdom that there are times when optimistic investors tend to build their hopes into castles in the air, and pay a large premium over intrinsic value for stocks of firms in the early stages of their life cycles with perceived growth...

Persistent link: https://www.econbiz.de/10010951370

The Joint Cross Section of Stocks and Options

Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

Persistent link: https://www.econbiz.de/10010951430

Assessing Asset Pricing Models Using Revealed Preference

Berk, Jonathan B.; Binsbergen, Jules H. van - National Bureau of Economic Research (NBER) - 2014

We propose a new method of testing asset pricing models that relies on using quantities rather than prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate...

Persistent link: https://www.econbiz.de/10011144243