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Inside information and public news : R-squared and beyond
Brown, William O. - 1999
private information. This suggests that economists' inability to explain asset price movements is the result of either noise …
Persistent link: https://www.econbiz.de/10011566279
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Information Uncertainties and Asset Pricing Puzzles : Risk or Mispricing?
Li, Keming - 2015
Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns …. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the …, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty …
Persistent link: https://www.econbiz.de/10013014736
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
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Alterntive tests for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2011
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...
Persistent link: https://www.econbiz.de/10010316938
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013 - This Version: January 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10009747441
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A Conditional Capital Asset Pricing Model for Maritime Firms : Empirical Evidence from the Us Stock Market
Erdogan, Oral - 2012
This study focuses on the valuation of maritime companies. By using Erdogan's (1996) modified capital asset pricing approach for maritime firms, Bollerslev's (1986) General Auto Regressive Conditional Heteroskedasticity Model (GARCH) is adapted along with including the freight market effect in...
Persistent link: https://www.econbiz.de/10013108652
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Testing for Monotonicity in Expected Asset Returns
Romano, Joseph P. - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10013092850
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
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Financial Contagion Risk and the Stochastic Discount Factor
Piccotti, Louis R. - 2017
I provide evidence that financial contagion risk is an important source of the equity risk premium. Banks' contributions to aggregate financial contagion are estimated in a state space framework and linked to systemic risk. Greater bank connectedness today leads to increased systemic risk 3-12...
Persistent link: https://www.econbiz.de/10012973399
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Firm Characteristics and Expected Stock Returns
Han, Yufeng - 2020
We analyze the joint out-of-sample predictive ability of a comprehensive set of 299 firm characteristics for cross-sectional stock returns. We develop a cross-sectional out-of-sample R2 statistic that provides an informative measure of the accuracy of cross-sectional return forecasts in terms of...
Persistent link: https://www.econbiz.de/10012852228