It is explained that when the 10-year note satisfies money managers' actuarial return requirement and meet the expected return from the more volatile stock market, fixed-income investments are then preferred. Actuaries compare stocks to fixed-income securities for historical returns. It is shown ...
equity premium predictabilitydividendsimplied and realized volatilityThis note provides a replication of Martin's (Quarterly Journal of Economics; 2017) finding that the implied volatility measure SVIX predicts US stock market reSocial Science Electronic Publishing...
With that in mind I will provide you a link to my recently released2020 Stock Market Outlook. The teaser version is to say that we should expect the bull market to continue with gains closer to average. However, there are a few bear traps ahead that we should look out for including the...
stock returns is higher in bad times than in good times (see, e.g., Brandt and Kang, 2004, and the additional evidence provided here). This paper addresses an important but still unanswered question: Why is stock market volatility asymmetric over the business cycle?
The cross-section of expected stock returns Fama E. and French K. 1992. Journal of Finance, 47(2), pp. 427-465. home.cerge-ei.cz/petrz/ 摘要 两个非常容易获得的变量,size和BM(book-to-market equity),当股票平均收益与size,leverage,BM,以及EP相联系时,size和BM可以解释股票平均收益的变动。
Predictable stock returns: the role of small sample bias Journal of Finance, 48 (1993), pp. 641-661 View in ScopusGoogle Scholar Officer, 1973 R.R. Officer The variability of the market factor of the New York Stock Exchange Journal of Business, 46 (1973), pp. 434-453 Google Scholar Po...
2 Therefore, money illusion may be expected to be an important factor in determining the time variation of aggregate stock market returns. A crucial ingredient for an analysis of expected inflation and asset returns is the choice of a proxy for expected inflation.3 We choose a new route to ...
Firm size, the ratio of a firm's book value of equity (BE) to its market value (/ME), and leverage are not related to average returns in any significant manner.Lalith P. SamarakoonSocial Science Electronic PublishingSamarakoon, L. P., 1997, "The cross-section of expected stock returns...
Best Grocery Stock #3: Target (TGT) 5-year expected annual returns: 12.6% Target is a discount retail operations solely in the U.S. market. Its business consists of about 2,000 big box stores offering general merchandise and food and serving as distribution points for its burgeoning e-com...
Amber Anand, Avanidhar Subrahmanyam, (2009) "Book/Market Fluctuations, Trading Activity, and the Cross‐section of Expected Stock Returns", Review of Behavioural Finance, Vol. 1 Iss: 1/2, pp.3 - 22 Downloads: The fulltext of this document has been downloaded 205 times since 2009 Abstrac...