Similar Search Results

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

Analyst Bias and Mispricing

Grinblatt, Mark; Jostova, Gergana; Philipov, Alexander - National Bureau of Economic Research - 2023

Cross-sectional forecasts of conservative and optimistic biases in analyst earnings estimates predict a stock's future returns, especially for firms that are hard to value. Trading strategies--whether based on the component of analyst bias that is correlated with major return anomalies or the...

Persistent link: https://www.econbiz.de/10014248012

Missing Data in Asset Pricing Panels

Freyberger, Joachim; Höppner, Björn; Neuhierl, Andreas; … - National Bureau of Economic Research - 2022

Missing data for return predictors is a common problem in cross sectional asset pricing. Most papers do not explicitly discuss how they deal with missing data but conventional treatments focus on the subset of firms with no missing data for any predictor or impute the unconditional mean. Both...

Persistent link: https://www.econbiz.de/10013477253

Shrinking the Term Structure

Filipović, Damir; Pelger, Markus; Ye, Ye - National Bureau of Economic Research - 2024

We propose a new framework to explain the factor structure in the full cross section of Treasury bond returns. Our method unifies non-parametric curve estimation with cross-sectional factor modeling. We identify smoothness as a fundamental principle of the term structure of returns. Our approach...

Persistent link: https://www.econbiz.de/10014544750

Risk Preferences Implied by Synthetic Options

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

The historical returns on equity index options are well known to be strikingly negative. That is typically explained either by investors having convex marginal utility over stock returns (e.g. crash/variance aversion) or by intermediaries demanding a premium for hedging risk. This paper examines...

Persistent link: https://www.econbiz.de/10014436964

Recent Developments in Financial Risk and the Real Economy

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

This paper reviews recent developments in macro and finance on the relationship between financial risk and the real economy. We focus on three specific topics: the term structure of uncertainty, time variation - and specifically the long-term decline - in the variance risk premium, and time...

Persistent link: https://www.econbiz.de/10014437009

Segmented Arbitrage

Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan L. - National Bureau of Economic Research - 2022

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and … constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These … segmentation drive arbitrage dynamics. First, funding is segmented--certain trades rely on specific funding sources, making their …

Persistent link: https://www.econbiz.de/10013435123

Gold's Value as an Investment

Jermann, Urban J. - National Bureau of Economic Research - 2023

input. This paper presents an approach for pricing gold from investors' perspective. The model is based on no-arbitrage …

Persistent link: https://www.econbiz.de/10014322774

Equity Term Structures without Dividend Strips Data

Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy - National Bureau of Economic Research - 2023

We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well-diversified equity portfolio. We do not use any dividend...

Persistent link: https://www.econbiz.de/10014250137

The Statistical Limit of Arbitrage

Da, Rui; Nagel, Stefan; Xiu, Dacheng - National Bureau of Economic Research - 2024

We investigate the economic consequences of statistical learning for arbitrage pricing in a high-dimensional setting … to arbitrage widens the equilibrium bounds of alphas beyond what traditional arbitrage pricing theory predicts, leading …

Persistent link: https://www.econbiz.de/10015094912