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We develop a tractable RBC model of the stock market with heterogenous firms. Shares value rests on the rent extracted from proprietary technology à la Dixit-Stiglitz. We prove the existence and uniqueness of the fundamental equilibrium. Closed form solutions are provided for the market...
Persistent link: https://www.econbiz.de/10013245256
In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...
Persistent link: https://www.econbiz.de/10013035325
structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets …
Persistent link: https://www.econbiz.de/10014239736
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10013006601
Hazard stocks are opposite of lottery stocks. We proxy hazard stocks with the minimum daily idiosyncratic return over the past month, a negative shock labelled IMIN, and examine the relation between hazard stocks and expected returns. The literature on lottery-stocks implies that investors...
Persistent link: https://www.econbiz.de/10012831155
When practitioners evaluate the equity market, two important questions recur. What long-run returns should investors expect? And, are there fundamental yardsticks that reliably indicate when the market is overvalued? Researchers have not reached a consensus on either of these questions. Equity...
Persistent link: https://www.econbiz.de/10013045856
divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …
Persistent link: https://www.econbiz.de/10014049088
Stock market anomalies representing the predictability of cross-sectional stock returns are one of most controversial topics in financial economic research. This chapter reviews several well-documented and pervasive anomalies in the literature, including investment-related anomalies, value...
Persistent link: https://www.econbiz.de/10012954410
How much news is there in aggregate accounting earnings? I provide evidence that earnings changes at the stock market level are correlated with new information about not only expected future cash flows but also discount rates. A comprehensive investigation of the link to discount rates reveals...
Persistent link: https://www.econbiz.de/10013064376