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Firm Characteristics, Unanticipated Inflation, and Stock Returns

Pearce, Douglas Kenneth - 2007

This paper re-examines the effects of nominal contracts on the relationship between unanticipated inflation and … individual stock's rate of return. This study differs in three main ways from previous research. First, announced inflation data … are used to examine the effects of unanticipated inflation. Second, a different specification is used to obtain more …

Persistent link: https://www.econbiz.de/10012777258

A Theory of the Nominal Character of Stock Securities

Dumas, Bernard; Savioz, Marcel - 2022

mechanically, buying and selling bonds in accordance with a Taylor policy rule based on expected inflation. In this setting we show … that stock market returns are much less than one-for-one related to inflation over a one-year holding period, which means …

Persistent link: https://www.econbiz.de/10013405031

News Shocks

Barsky, Robert B. - 2009

innovations, and negatively correlated with inflation innovations. The disinflationary nature of news shocks is consistent with …

Persistent link: https://www.econbiz.de/10013156463

Disaster Risk and Asset Returns : An International Perspective

Lewis, Karen K. - 2017

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U.S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This paper shows that standard U.S.-based disaster risk model...

Persistent link: https://www.econbiz.de/10012964909

Diagnostic Expectations and Stock Returns

Bordalo, Pedro - 2017

We revisit La Porta's (1996) finding that returns on stocks with the most optimistic analyst long term earnings growth forecasts are substantially lower than those for stocks with the most pessimistic forecasts. We document that this finding still holds, and present several further facts about...

Persistent link: https://www.econbiz.de/10012947004

What Information Drives Asset Prices?

Ghosh, Anisha - 2017

The market price-dividend ratio is highly correlated with several macroeconomic variables, particularly inflation and … combination of macroeconomic variables that heavily loads on inflation and labor market variables. The results highlight the …

Persistent link: https://www.econbiz.de/10012949401

Robust Bond Risk Premia

Bauer, Michael D. - 2017

A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...

Persistent link: https://www.econbiz.de/10012954916

Taper Tantrums : QE, its Aftermath and Emerging Market Capital Flows

Chari, Anusha - 2017

This paper provides a novel perspective on the impact of U.S. unconventional monetary policy (UMP) on emerging market capital flows and asset prices. Using high-frequency Treasury futures data to identify U.S. monetary policy shocks, we find, through the lens of an affine term structure model,...

Persistent link: https://www.econbiz.de/10012954922

Innovative Originality, Profitability, and Stock Returns

Hirshleifer, David A. - 2017

We propose that innovative originality (InnOrig) is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, firms with greater InnOrig are undervalued. We find that firms' InnOrig strongly predicts higher, more persistent, and less volatile...

Persistent link: https://www.econbiz.de/10012955455

Financial Intermediation in Private Equity : How Well Do Funds of Funds Perform?

Harris, Robert S. - 2017

This paper focuses on funds of funds (FOFs) as a form of financial intermediation in private equity (both buyout and venture capital). After accounting for fees, FOFs provide returns equal to or above public market indices for both buyout and venture capital. While FOFs focusing on buyouts...

Persistent link: https://www.econbiz.de/10012955933