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Understanding the Accrual Anomaly
Zhang, Lu; Wu, Jin Ginger; Zhang, X. Frank - National Bureau of Economic Research (NBER) - 2007
Interpreting accruals as working capital investment, we hypothesize that firms rationally adjust their investment to respond to discount rate changes. Consistent with the optimal investment hypothesis, we document that (i) the predictive power of accruals for future stock returns increases with...
Persistent link: https://www.econbiz.de/10005828684
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Momentum Profits and Macroeconomic Risk
Zhang, Lu; Liu, Laura X.L.; Warner, Jerold B. - National Bureau of Economic Research (NBER) - 2005
Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher...
Persistent link: https://www.econbiz.de/10005829131
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Neoclassical Factors
Zhang, Lu; Chen, Long - National Bureau of Economic Research (NBER) - 2007
Building on neoclassical reasoning, we propose a new multi-factor model that consists of the market factor and factor mimicking portfolios based on investment and productivity. The neo- classical three-factor model outperforms traditional factor models in explaining the average returns across...
Persistent link: https://www.econbiz.de/10005830265
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - Centre for Applied Macro- and Petroleum economics … - 2012
This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...
Persistent link: https://www.econbiz.de/10010598292
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An Equilibrium Asset Pricing Model with Labor Market Search
Kuehn, Lars-Alexander; Petrosky-Nadeau, Nicolas; Zhang, Lu - Charles A. Dice Center for Research in Financial … - 2011
Search frictions in the labor market help explain the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium model with recursive preferences. The model produces a sizeable equity premium of 4.54% per annum...
Persistent link: https://www.econbiz.de/10009416926
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Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - Research Center SAFE (Sustainable Architecture for … - 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer...
Persistent link: https://www.econbiz.de/10011252511
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013
Published in the <I>Journal of Reviews on Global Economics</I> (2013). Volume 2, pages 307-329.<P> Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents....</p></i>
Persistent link: https://www.econbiz.de/10011256404
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Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
Lean, Hooi Hooi; McAleer, Michael - Tinbergen Instituut - 2013
This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...
Persistent link: https://www.econbiz.de/10011256736
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10011256871
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The CAPM Strikes Back? An Investment Model with Disasters
Zhang, Lu; Bai, Hang; Hou, Kewei; Kung, Howard - National Bureau of Economic Research (NBER) - 2015
pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in …
Persistent link: https://www.econbiz.de/10011201883