Asset tangibility, industry representation and the cross section of equity returns
نویسندگان
چکیده
منابع مشابه
Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns
This paper investigates the importance of idiosyncratic consumption risk for the cross-sectional variation in average returns on stocks and bonds. If idiosyncratic consumption risk is not priced, the only pricing factor in a multiperiod economy is the rate of aggregate consumption growth. We o®er evidence that the cross-sectional variance of consumption growth is also a priced factor. This demo...
متن کاملLeverage and the Cross-Section of Equity Returns
Building on the theoretical asset pricing literature, we examine the role of market risk and the size, book-to-market (BTM), and volatility anomalies in the cross-section of unlevered equity returns. Consistent with the theory, the unlevered market beta helps explain the cross-section of unlevered equity returns even when we control for the size and BTM factors. The value premium and the volati...
متن کاملFinancial Distress and the Cross Section of Equity Returns
In this paper, we provide a new perspective for understanding cross-sectional properties of equity returns. We explicitly introduce financial leverage in a simple equity valuation model and consider the likelihood of a firm defaulting on its debt obligations as well as potential deviations from the absolute priority rule (APR) upon the resolution of financial distress. We show that financial le...
متن کاملCommodity Risk Factors and the Cross-Section of Equity Returns
The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio that captures the propensity of commodity futures markets to be backwardated or contangoed. Equity-sorted portfolios with greater sensitivities to the two ...
متن کاملThe Bond Risk Premium and the Cross-Section of Equity Returns
The cross-section of returns of stock portfolios sorted along the book-to-market dimension can be understood with a one-factor model. The factor is the nominal bond risk premium, best measured as the Cochrane-Piazzesi (2005, CP) factor. This paper ties the pricing of stocks in the cross-section to the pricing of government bonds of various maturities, two literatures that have been developed la...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Australian Journal of Management
سال: 2011
ISSN: 0312-8962,1327-2020
DOI: 10.1177/0312896211399200