Can stochastic discount factor models explain the cross-section of equity returns?

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Can Investment Shocks Explain the Cross-section of Stock Returns?∗

In this paper we assess the role of capital-embodied technology shocks in explaining properties of the cross section of stock returns. Existing theories seem to disagree on the sign and magnitude of the price the market demands for bearing the risk of such shocks: while a negative price is necessary to justify the value premium or the cross-sectional predictability of returns by firm characteri...

متن کامل

Leverage 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 کامل

Financial 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 کامل

Commodity 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 کامل

Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?

We explore whether the pattern of international equity returns, equity portfolio flows, and exchange rate returns are consistent with the hypothesis that (unhedged) global investors rebalance their portfolio in order to limit their exchange rate exposure when there are (1) relative equity return and (2) exchange rate shocks. We also explore whether (3) equity flow shocks influence the exchange ...

متن کامل

ذخیره 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: Review of Financial Economics

سال: 2016

ISSN: 1058-3300

DOI: 10.1016/j.rfe.2016.01.001