منابع مشابه
Explaining Stock Returns: A Literature Survey
My objective in writing this survey is to provide an overview of the work that has been done in an important area of financial markets research—explaining the behavior of common stock returns. I have tried to make this survey as complete as possible, without getting bogged down in a lot of technical details. Since this area of research has been very active for the past several years, describing...
متن کاملHabit persistence: Explaining cross-sectional variation in returns and time-varying expected returns ¬リニ
Article history: Received 15 May 2007 Received in revised form 26 January 2009 Accepted 28 January 2009 Available online 6 February 2009 This paper uses an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane [Campbell, J.Y., Cochrane, J.H., 1999. By force of habit: A consumption-based explanation of aggregate stockmarket behavior. Jo...
متن کاملExplaining the Negative Returns to Volatility Claims: An Equilibrium Approach
We study the returns to investing in VIX futures and VIX Exchange Traded Notes (ETNs). We document a substantial negative return premium for both ETNs and the futures. For example, the a constant maturity portfolio of one-month VIX futures loses about 30% per year over our sample period (2006-2013). We propose an equilibrium model to explain these negative returns. In this model, increases in v...
متن کاملExplaining the Cross-Section of Returns with Macroeconomic Factors∗
This paper studies the link between the main sources of fundamental risk and asset returns by using the common components of a large number of macroeconomic time series variables as factors in a pricing model. A three-factor model with two common components and the market return as factors is found to explain the crosssection of size and book-to-market sorted stock portfolios better than standa...
متن کاملInternational order flows: Explaining equity and exchange rate returns
Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The proportion of daily returns that these models explain is essentially zero. Instead of relying on macroeconomic determinants, we model equity price and exchange rate behavior based on a concept from microstructure– order flow. The international order flows are derived from belief changes of different...
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: Journal of Financial Research
سال: 2002
ISSN: 0270-2592,1475-6803
DOI: 10.1111/1475-6803.00034