The sign of the relationship between expected stock market returns and volatility appears to vary over time, a result that seems at odds with basic notions of risk and return. In this paper we construct an economy where production involves the use of both labor and capital as inputs. We ...
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...
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...
We find reliable evidence that both book-to-market (B M) and dividend yield track time-series variation in expected real stock returns over the period 1926 91 (in which B M is stronger) and the subperiod 1941–1991 (in which dividend yield is stronger). A Bayesian bootstrap procedure impl...
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?
Time-Varying Consumption Risk and Stock Returns This paper studies the relation between cyclical variation in the systematic consumption risk and expected stock market returns. Rather than conditioning r... V Atanasov - 《Capital Markets Asset Pricing & Valuation Ejournal》 被引量: 0发表: 2021年 ...
The power of dividend yields to forecast stock returns, measured by regression R2, increases with the return horizon. We offer a two-part explanation. (1) High autocorrelation causes the variance of expected returns to grow faster than the return horizon. (2) The growth of the variance of un...
8.Forecast Stock Market Returns of Shenzhen Based on Risk Anticipation;基于风险预期的深市收益率预报研究 9.the yield to maturity"到期率,收益率" 10.Research of China document product income rate s predicative research in bubble time;泡沫时期中国权证产品收益率的可预测性研究 ...
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. Empirically discriminating between competing sources of this return predictability by virtue of ...
stock market predictabilityWe construct daily real-time indices capturing the public information on realized and anticipated economic activity. The one-month change in realized fundamentals predicts US stock returns across horizons with strongest results between a month and a quarter. The information in ...