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Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low relative to consumption. However, the conditional value premium does not exhibit such countercyclical behavior. Consequently, a one-factor conditional consumption-based asset...
Persistent link: https://www.econbiz.de/10012754551
Closed-end funds often trade at a discount to net asset value. Previous research suggests that the positive correlation in discounts is associated with investor sentiment that causes systematic mispricing by noise traders. We use a newly available sample of daily fund valuations to examine the...
Persistent link: https://www.econbiz.de/10012754603
We study the role of information in asset pricing models with long-run cash flow risk. To illustrate the importance of the information structure, we show how the implications of the long-run risk paradigm for the cross-sectional properties of stock returns and cash flow duration are affected by...
Persistent link: https://www.econbiz.de/10012755427
This paper examines the proportion of wealth invested in stock and bond portfolios as a function of the investors' age, i.e., investment horizon. It has become increasingly popular to advice investors to relocate their funds from a primarily stock portfolio to a primarily bond portfolio as they...
Persistent link: https://www.econbiz.de/10012755454
We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical...
Persistent link: https://www.econbiz.de/10012755563
Existing studies on the value-relevance of Ramp;D tend to overstate the Ramp;D benefits and shed little light on the trade-off between the Ramp;D benefits (mean effect) and their riskiness (variance effect). This study shows that the variance effect of Ramp;D is on average more significant than...
Persistent link: https://www.econbiz.de/10012755899
This paper studies Nasdaq market makers' activities during the one-and-half hour pre-opening period. Price discovery during the pre-opening is conducted via price signaling as opposed to the auction used to open the NYSE or the continuous market used during trading. In the absence of trades,...
Persistent link: https://www.econbiz.de/10012756011
This paper studies Nasdaq market makers' activities during the one-and-half hour pre-opening period. Price discovery during the pre-opening is conducted via price signaling as opposed to the auction used to open the NYSE or the continuous market used during trading. In the absence of trades,...
Persistent link: https://www.econbiz.de/10012756012
In this paper we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor calculated as the average of the household clusters' intertemporal marginal rates of substitution in...
Persistent link: https://www.econbiz.de/10012756276
Using electronic order flow data from November 1997 through February 1998 for a random sample of 100 NYSE stocks, we examine the relative importance of program traders, institutional traders, retail traders, and exchange members in driving commonality in order flow, returns, and liquidity for...
Persistent link: https://www.econbiz.de/10012756564