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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10009689360

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

Persistent link: https://www.econbiz.de/10013315817

External Growth and the Cross Section of Stock Returns

Li, Hongtao - 2017

Prior research finds expected returns decrease in firm-level total asset growth. This study shows that external growth, measured as asset growth raised from capital markets, has stronger power than total asset growth predicting the cross section of average returns. External growth subsumes the...

Persistent link: https://www.econbiz.de/10012970654

Growth Tilt of Chinese Stock Mutual Funds

Chi, Yeguang - 2018

We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...

Persistent link: https://www.econbiz.de/10012915752

Finance in a Time of Disruptive Growth

Garleanu, Nicolae; Panageas, Stauros - National Bureau of Economic Research - 2024

We propose a unified theory of asset price determination encompassing both "conventional" and "alternative" asset …' wealth, and the returns of the various asset classes are jointly determined in equilibrium. Besides explaining the observed …

Persistent link: https://www.econbiz.de/10014512038

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

Persistent link: https://www.econbiz.de/10010291529

Does Earnings Growth Drive the Quality Premium?

Kyosev, Georgi - 2020

to the corporate bond market …

Persistent link: https://www.econbiz.de/10012855438

Estimation of Growth in Fund Models

Kardaras, Constantinos; Keun Koo, Hyeng; Ruf, Johannes - 2022

-optimal portfolio only involves investment in the aforementioned funds. The loss of growth due to estimation error in fund models under … local frequentist estimation is determined entirely by the number of funds. Furthermore, under a general filtering framework … for Bayesian estimation, the loss of growth increases as the investment universe does. A shrinkage method that targets …

Persistent link: https://www.econbiz.de/10013403340

Growth Forecasts, Belief Manipulation and Capital Markets

Lundtofte, Frederik - 2013

We analyze how a benevolent, privately informed government agency would optimally release information about the economy's growth rate when the agents hold heterogeneous beliefs. We model two types of agent: "conforming'' and "dissenting.'' The former has a prior that is identical to that of the...

Persistent link: https://www.econbiz.de/10013094950

Heterogeneous Beliefs in Macroeconomic Growth Prospects and the Carry Risk Premium

Park, Sunjin - 2022

To understand macroeconomic risks underlying currency carry trades, I propose exploiting rich source of information from analysts’ economic growth forecasts. Specifically, I obtain measures of global growth prospects from the cross-analyst distribution of real GDP growth forecasts. I find that...

Persistent link: https://www.econbiz.de/10013406207