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The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange

Adegboye, Abidemi C. - In: CBN Journal of Applied Statistics 08 (2017) 2, pp. 117-142

In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering … formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with … the basic CAPM formulations. The empirical results indicates that while stock returns do not predict future consumption …

Persistent link: https://www.econbiz.de/10011961662

Return and Dividend Expectations in the Cross-Section of Prices

Douglas, Reed - 2022

I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...

Persistent link: https://www.econbiz.de/10014236440

Stock Return Skewness and the Cross Section of Monetary Policy Announcement Premiums

Chue, Timothy K.; Li, Gang; Chen, Sipeng - 2023

We find that the FOMC-announcement-day return premium earned by a firm is positively related to the increase in its ex ante, option-implied skewness prior to the announcement. This finding is consistent with: (1) the existence of an announcement-day Fed put that is partially anticipated by the...

Persistent link: https://www.econbiz.de/10014350063

Return predictability and valuation ratios : sector-level evidence on the Johannesburg Stock Exchange

Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

-the dividend and earnings yields-on the South African market, at both aggregated and sectoral level. Unlike most studies in South …

Persistent link: https://www.econbiz.de/10013179575

The Effects Review of Earning Per Share and Dividend Per Share on the Manufacturing Companies Stock Price Changes in Compare with Accepted Non-Manufacturing Companies in the Tehran...

Nazemi, Mahmoud Mudi - 2012

stocks including the earning and dividend per share and their intense relation with the share price changes. Toward this, we … with the share price changes is more than the relation of dividend per share with the share price changes …

Persistent link: https://www.econbiz.de/10013099670

Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...

Persistent link: https://www.econbiz.de/10011877284

Seasonal Variation in Treasury Returns

Kamstra, Mark J. - 2015

We document an annual cycle in the U.S. Treasury market, with variation in mean monthly returns of over 80 basis points from peak to trough. This seasonal Treasury return pattern does not arise due to macroeconomic seasonalities, seasonal variation in risk, cross-hedging between equity and...

Persistent link: https://www.econbiz.de/10013020774

Sparse Multivariate Modeling for Stock Returns Predictability

Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - 2021

We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with …

Persistent link: https://www.econbiz.de/10013239660

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

The Multi-Horizon Dynamics of Risk and Returns

Tamoni, Andrea - 2017

Consumption-CAPM, risk premia are weakly related to consumption volatility at short horizons whereas long-run past volatility …

Persistent link: https://www.econbiz.de/10012959125