Showing 1 - 10 of 125
We use multivariate GMM models to show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of macroeconomic factors identified in the prior literature as potentially important for pricing equities. The factors considered include innovations in...
Persistent link: https://www.econbiz.de/10012746524
We combine the innovative approaches of Elliott, Komunjer, and Timmermann (2005) and Patton and Timmermann (2007) with a block bootstrap to analyze whether asymmetric loss functions can rationalize the Samp;P 500 return expectations of individual forecasters from the Livingston Surveys. Although...
Persistent link: https://www.econbiz.de/10012706221
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of macroeconomic factors identified in the prior literature as potentially important for pricing equities. The factors considered include innovations in economic growth expectations,...
Persistent link: https://www.econbiz.de/10012706266
If returns on two assets share common volatility components, the prices of options on the assets should be interdependent and the implied volatility spread should mean revert. We, first demonstrate, using the canonical correlation method, that there is a common component among the volatilities...
Persistent link: https://www.econbiz.de/10012743697
Despite displaying a statistically significant optimism bias, analysts' earnings forecasts are an important input to investors' valuation models. Understanding the possible reasons for any bias is important if information is to be extracted from earnings forecasts and used optimally by...
Persistent link: https://www.econbiz.de/10012713350
We examine whether the mandatory introduction of International Financial Reporting Standards leads to an increase in institutional investor demand for equities. Using a large ownership database covering all types of institutional investors from around the world, we find that institutional...
Persistent link: https://www.econbiz.de/10012712367
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of macroeconomic factors identified in the prior literature as potentially important for pricing equities. The factors considered include innovations in economic growth expectations,...
Persistent link: https://www.econbiz.de/10009433586
We combine the innovative approaches of Elliott, Komunjer, and Timmermann (2005) and Patton and Timmermann (2007) with a block bootstrap to analyze whether asymmetric loss functions can rationalize the S&P 500 return expectations of individual forecasters from the Livingston Surveys. Although...
Persistent link: https://www.econbiz.de/10009433626
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of macroeconomic factors identified in the prior literature as potentially important for pricing equities. The factors considered include innovations in economic growth expectations,...
Persistent link: https://www.econbiz.de/10011107928
We combine the innovative approaches of Elliott, Komunjer, and Timmermann (2005) and Patton and Timmermann (2007) with a block bootstrap to analyze whether asymmetric loss functions can rationalize the S&P 500 return expectations of individual forecasters from the Livingston Surveys. Although...
Persistent link: https://www.econbiz.de/10011113557