Firm’s Characteristics and Macro-Economic Variables on Expected Stock Returns
نویسندگان
چکیده
منابع مشابه
Downside Correlation and Expected Stock Returns
If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets. We find that stocks with high downs...
متن کاملConsumption, Aggregate Wealth and Expected Stock Returns
This paper studies the role of detrended wealth in predicting stock returns. We call a transitory movement in wealth one that produces a deviation from its shared trend with consumption and labor income. Using U.S. quarterly stock market data we find that these trend deviations in wealth are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find ...
متن کاملDurability of Output and Expected Stock Returns
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we construct portfolios of durablegood, nondurable-good, and service producers. In the cross-section, an inv...
متن کاملValue at Risk and Expected Stock Returns
This paper provides empirical evidence that firm size, liquidity, and Value-at-Risk (VaR) explain the cross-sectional variation in expected returns, while market beta and total volatility have almost no power to capture the cross-section of expected returns at the firm level. The strong positive relation between average returns and VaR turns out to be robust across different investment horizons...
متن کاملMacro to Micro: Country exposures, firm fundamentals and stock returns
We outline a systematic approach to incorporate macroeconomic information into firm level forecasting from the perspective of an equity investor. Using a global sample of 324,982 firm-years over the 1998-2010 time period, we find that combining firm level exposures to countries (via geographic segment data) with forecasts of country level performance, is able to generate superior out of sample ...
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: PYC Nepal Journal of Management
سال: 2019
ISSN: 2091-0258
DOI: 10.3126/pycnjm.v12i1.30595