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Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Belo, Frederico - 2012

generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk …

Persistent link: https://www.econbiz.de/10013099417

Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts

Andersen, Torben - 2008

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

Persistent link: https://www.econbiz.de/10012774886

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/10012960787

Stock Return Predictability : Is it There?

Bekaert, Geert - 2010

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/10012763174

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/10012994892

Four Centuries of Return Predictability

Golez, Benjamin - 2015

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/10013031015

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Andersen, Torben - 2009

alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump …

Persistent link: https://www.econbiz.de/10013153975

No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns

Campbell, John Y. - 2009

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …

Persistent link: https://www.econbiz.de/10012767711

Excess Volatility : Beyond Discount Rates

Giglio, Stefano - 2016

We document a form of excess volatility that is irreconcilable with standard models of prices, even after accounting …

Persistent link: https://www.econbiz.de/10012997883

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/10013141268