Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10015072575
Persistent link: https://www.econbiz.de/10010482383
Persistent link: https://www.econbiz.de/10003427571
Persistent link: https://www.econbiz.de/10011337564
Persistent link: https://www.econbiz.de/10012163956
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...
Persistent link: https://www.econbiz.de/10012465744
Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...
Persistent link: https://www.econbiz.de/10013491786