The Variation In Expected Returns

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The Variation In Expected Returns

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Author : Gautam Kuai & Jennifer Conrad
language : en
Publisher:
Release Date : 1987

The Variation In Expected Returns written by Gautam Kuai & Jennifer Conrad and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.

Time Variation In Expected Returns

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Author : Gautam Kaul
language : en
Publisher:
Release Date : 1987

Time Variation In Expected Returns written by Gautam Kaul and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.

Global Stock Markets

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Author : Wolfgang Drobetz
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29

Global Stock Markets written by Wolfgang Drobetz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Business & Economics categories.

Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.

The Time Variation Of Expected Returns And Volatility In Foreign Exchange Markets

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Author : Geert Bekaert
language : en
Publisher:
Release Date : 1992

The Time Variation Of Expected Returns And Volatility In Foreign Exchange Markets written by Geert Bekaert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Foreign exchange futures categories.

Empirical Asset Pricing

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Author : Aleš Berk Skok
language : en
Publisher:
Release Date : 2011

Empirical Asset Pricing written by Aleš Berk Skok and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Consumption Liquidity And The Cross Sectional Variation Of Expected Returns

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Author : Elena Márquez de la Cruz
language : en
Publisher:
Release Date : 2010

Consumption Liquidity And The Cross Sectional Variation Of Expected Returns written by Elena Márquez de la Cruz 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.

Bubbles Fads And The Rational Variation In Expected Returns

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Author : Mark McGrath
language : en
Publisher:
Release Date : 1993

Bubbles Fads And The Rational Variation In Expected Returns written by Mark McGrath and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Collective behavior categories.

Measuring The Persistence Of Expected Returns

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Author : John Y. Campbell
language : en
Publisher:
Release Date : 1990

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 1990 with Analysis of variance categories.

Abstract: with changing expected dividends.

What Is The Expected Return On A Stock

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Author : Ian Martin
language : en
Publisher:
Release Date : 2018

What Is The Expected Return On A Stock written by Ian Martin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

We derive a formula for the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. The theory performs well empirically both in and out of sample. Our results suggest that there is considerably more variation in expected returns, over time and across stocks, than has previously been acknowledged.

A Variance Decomposition For Stock Returns

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Author : John Y. Campbell
language : en
Publisher:
Release Date : 1990

A Variance Decomposition For Stock 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 1990 with Autoregression (Statistics) categories.

This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of unexpected returns is attributed to the variance of changing expected dividends, one-third to the variance of changing expected returns, and one-third to the covariance of the two components. Changing expected returns have a large effect on stock prices because they are persistent: a 1% innovation in the expected return is associated with a 4 or 5% capital loss. Changes in expected returns are negatively correlated with changes in expected dividends, increasing the stock market reaction to dividend news. In the period 1952-88, hanging expected. returns account for a larger fraction of stock return variation than they do in the period 1927-51.