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Single Beta and Dual Beta Models : A Testing of CAPM on Condition of Market Overreactions

Sembiring, Ferikawita - 2017

Indonesia and the market factor in CAPM, or a single beta, is able to explain the portfolio returns. As a continuation of that … study, we now use the concept of conditional CAPM, or a dual beta, to test whether the performance of the dual beta can … winner and the loser. The conditional CAPM is applied by separating the market into upstream markets and downstream markets …

Persistent link: https://www.econbiz.de/10012950964

What Explains the Variance of Prices and Returns? : Time-series Vs. Cross-section

Chaves, Denis B. - 2009

This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected...

Persistent link: https://www.econbiz.de/10013154202

Business-cycle consumption risk and asset prices

Bandi, Federico M. - 2020

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...

Persistent link: https://www.econbiz.de/10012856904

Endogenous growth, countercyclical dividends, and asset prices

Filep-Mosberger, Palma; Kaszab, Lorant; Ren, Zhou - 2023

We study the nexus between endogenous growth and asset prices. We show that endogenous growth models with either horizontal and vertical innovation match financial data well due to countercyclical dividends which are either procyclical or acyclical in US data. Countercyclical dividends...

Persistent link: https://www.econbiz.de/10014251243

What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs

Görtz, Christoph - 2019

inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the …

Persistent link: https://www.econbiz.de/10012860577

What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs

Gortz, Christoph - 2019

inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the …

Persistent link: https://www.econbiz.de/10012860801

What drives inventory accumulation? : news on rates of return and marginal costs

Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2019

inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the …

Persistent link: https://www.econbiz.de/10012119865

What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs

Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2023

We study the determinants of inventory accumulation in a structural VAR framework with news shocks. Specifically, we investigate how news shocks affect two key determinants of inventory movements, namely rates of return and marginal costs. We establish that inventories react strongly and...

Persistent link: https://www.econbiz.de/10014259904

The Real Effects of Sentiment and Uncertainty

Birru, Justin; Young, Trevor - 2023

, and investment measures. We also document similar effects for aggregate equity issuance. Consistent with theory, we find …

Persistent link: https://www.econbiz.de/10014350126

Wage Differentials, Firm Investment, and Stock Returns

Kim, Yongjun - 2018

premia across U.S. industries and show that the negative investment-return relation implied by q-theory is steeper for firms …

Persistent link: https://www.econbiz.de/10012936438