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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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Comment on "Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc"
Jondeau, Eric - In: Aussenwirtschaft 67 (2016) 2, pp. 49-50
Persistent link: https://www.econbiz.de/10012435216
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Risk premia on Swiss government bonds and sectoral stock indexes during international crises
Nitschka, Thomas - In: Aussenwirtschaft 67 (2016) 2, pp. 51-67
This paper assesses the sensitivity of excess returns on Swiss government bond and sectoral stock indexes to risk factors during international crisis and non-crisis periods over the sample period from January 1995 to December 2014. The empirical results show that assets that were closely linked...
Persistent link: https://www.econbiz.de/10012435217
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Do survey expectations of stock returns reflect risk adjustments?
Adam, Klaus; Matveev, Dmitry; Nagel, Stefan - 2019
Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey...
Persistent link: https://www.econbiz.de/10011992454
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On equilibrium prices in continuous time
Martins-da-Rocha, V. Filipe; Riedel, Frank - 2008
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Persistent link: https://www.econbiz.de/10010272583
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On equilibrium prices in continuous time
Martins-da-Rocha, V. Filipe; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2008
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Persistent link: https://www.econbiz.de/10005002278
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Stroke of a Pen : Investment and Stock Returns under Energy Policy Uncertainty
Imbet, Juan F. - 2022
in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry … when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value … aggregate market returns and consumption growth. Without an investment factor, uncertainty betas explain cross …
Persistent link: https://www.econbiz.de/10013300007
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The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns
Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11
This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimate monthly idiosyncratic volatility and...
Persistent link: https://www.econbiz.de/10013161497
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Do Investors Care About Carbon Risk? A Global Perspective
Zhang, Shaojun - 2022
Companies face significant carbon-transition risk as the global economy works to combat climate change. This paper studies the market-based premium associated with the carbon-transition risk globally and finds that firms with more carbon-intense business models earn higher returns in recent...
Persistent link: https://www.econbiz.de/10013403934
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EQUITY Premium Puzzle in a Data-Rich Environment
Douch, Mohamed; Bouaddi, Mohammed - Volkswirtschaftliche Fakultät, … - 2010
Standard consumption-based asset pricing models focus on the consumption risk, seen as the only source of fluctuations and information about risk for the informed investor. These models, however, can account for high expected excess stock return only when assuming implausible relative risk...
Persistent link: https://www.econbiz.de/10008871311