Measuring The Persistence Of Expected Returns

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Measuring The Persistence Of Expected Returns

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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2010

Measuring The Persistence Of Expected Returns written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

This paper summarizes earlier research On the sources of variation in monthly U.S. stock returns in the period 1927-88. A log-linear model is used to break unexpected returns into changing expectations about future dividends and changing expectations about future returns. Even though stock returns are not highly forecastable, the model attributes one-third of the variation in returns to changing expected returns, one-third to changing future dividends, and one-third to the covariance between these components. Changing expected returns have a large effect on the stock market because their movements are persistent and negatively correlated with changing expected dividends.

Measuring Cross Sectional Variation In Expected Returns

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Author : Douglas Jean Laporte
language : en
Publisher:
Release Date : 2023

Measuring Cross Sectional Variation In Expected Returns written by Douglas Jean Laporte and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.

I develop and test a new machine learning method for estimating cross-sectional firm-level expected returns. My approach adapts the loss function of a random forest algorithm to minimize the variance of measurement errors instead of trading off bias and variance. Out-of-sample tests show this approach yields reliably higher cross-sectional accuracy relative to: (a) commonly used implied cost of capital estimates, (b) factor-based estimates, and (c) estimates based on other state-of-the-art machine learning algorithms. In more detailed analyses, I find that while a small number of firm characteristics explain most of the returns predictability, the relative importance of these characteristics vary by holding horizon. Further, cross-sectional differences in expected returns exhibit limited persistence beyond two years. I also use this new approach to revisit the reported association between earnings smoothness and expected returns. Contrary to prior studies, I show that firms whose earnings are smoother relative to their cash flows earn higher (not lower) expected returns, despite being safer on many dimensions.

Expected Returns And Habit Persistence

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Author : Yuming Li
language : en
Publisher:
Release Date : 2001

Expected Returns And Habit Persistence written by Yuming Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

Using a consumption-based asset pricing model with infinite-horizon nonlinear habit formation, Campbell and Cochrane (1999) show that low consumption in surplus of habit should forecast high expected returns. This article argues that the finite-horizon linear habit model also implies an inverse relation between expected returns and surplus consumption. This article also presents empirical evidence, which indicates that expected returns on stocks and bonds vary with surplus consumption implied by the habit models. The volatility of returns and the reward to volatility are also related to surplus consumption. However, less than 30 percent of the predictable variation of expected returns, using standard lagged information variables, is attributed to surplus consumption.

Asset Pricing

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Author : Hsien-hsing Liao
language : en
Publisher: World Scientific
Release Date : 2003-02-10

Asset Pricing written by Hsien-hsing Liao and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-02-10 with Business & Economics categories.

Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia.Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students.

Heterogeneity And Persistence In Returns To Wealth

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Author : Andreas Fagereng
language : en
Publisher: International Monetary Fund
Release Date : 2018-07-27

Heterogeneity And Persistence In Returns To Wealth written by Andreas Fagereng and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-27 with Business & Economics categories.

We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.

The Persistence And Implied Persistence Of Volatility Of Stock Returns

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Author : Chowdhury B. A. Mustafa
language : en
Publisher:
Release Date : 1988

The Persistence And Implied Persistence Of Volatility Of Stock Returns written by Chowdhury B. A. Mustafa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Stocks categories.

Habit Persistence

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Author :
language : en
Publisher:
Release Date : 2008

Habit Persistence written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

Quantitative Financial Economics

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Author : Keith Cuthbertson
language : en
Publisher: John Wiley & Sons
Release Date : 2005-05-05

Quantitative Financial Economics written by Keith Cuthbertson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-05 with Business & Economics categories.

This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.

The Relation Between Earnings Persistence And Firm Valuation

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Author : K. Ramesh
language : en
Publisher:
Release Date : 2000

The Relation Between Earnings Persistence And Firm Valuation written by K. Ramesh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

This paper derives a theoretical relation between firm value and earnings persistence using a dividend-based valuation model. We show that the theoretical measure of ERC derived using this model is associated with both earnings persistence and the stochastic properties of dividends. More importantly, we show that earnings persistence is reflected in expected returns as well. We empirically test this prediction and document a positive association between earnings persistence and expected returns using three different approaches.

Advances In Quantitative Analysis Of Finance And Accounting New Series Vol 14

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Author : Cheng F. Lee
language : en
Publisher: Center for PBBEFR & Airiti Press
Release Date : 2016-01-01

Advances In Quantitative Analysis Of Finance And Accounting New Series Vol 14 written by Cheng F. Lee and has been published by Center for PBBEFR & Airiti Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-01 with Business & Economics categories.

Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession.