Showing 1 - 10 of 74
We propose and evaluate a variety of penalized regression methods for forecasting and economic decision making in a data-rich environment under parameter uncertainty. Empirically, we explore the statistical and economic performance across different asset classes such as stocks, bonds, and...
Persistent link: https://www.econbiz.de/10014103589
We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of...
Persistent link: https://www.econbiz.de/10012972571
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...
Persistent link: https://www.econbiz.de/10012905774
We classify asset pricing anomalies into those that exacerbate mispricing (build-up anomalies) and those that resolve it (resolution anomalies). To this end, we estimate the dynamics of price wedges for a large number of well-known anomaly portfolios in the factor zoo and map them to firm-level...
Persistent link: https://www.econbiz.de/10013241479
Persistent link: https://www.econbiz.de/10013549854
The long-run risk model introduced by R.Bansal and A.Yaron (2004) assumes the existence of a small predictable component in consumption growth and an elasticity of intertemporal substitution of the representative agent larger than one for the substitution effect to dominate the income one....
Persistent link: https://www.econbiz.de/10013146749
This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dp, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of the dividend-price ratio from this slowly evolving long-run component explain transitory but persistent...
Persistent link: https://www.econbiz.de/10013147522
We decompose the time-variation in returns on anomaly portfolios into the effects of different investor types and their trading motives. Trading due to changes in investor preferences for observed stock characteristics explains nearly 50% of the variation, while the effects of changes in stock...
Persistent link: https://www.econbiz.de/10014236508
We study drift and cyclical components in U.S. Treasury bonds. We find that bond yields are drifting because they reflect the drift in monetary policy rates. Empirically, modeling the monetary policy drift using demographics and productivity trends, plus long-term inflation expectations, leads...
Persistent link: https://www.econbiz.de/10013247931
Persistent link: https://www.econbiz.de/10003958003