Time Variation In Expected Returns

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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.

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.

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.

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.

The Time Variation Of Risk And Return In The Foreign Exchange And Stock Markets

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Author : Alberto Giovannini
language : en
Publisher:
Release Date : 1988

The Time Variation Of Risk And Return In The Foreign Exchange And Stock Markets written by Alberto Giovannini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Business enterprises categories.

Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.

Uncovering The Risk Return Relation In The Stock Market

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Author : Hui Guo
language : en
Publisher:
Release Date : 2003

Uncovering The Risk Return Relation In The Stock Market written by Hui Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Investments categories.

There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation. Our primary innovation is to model and identify empirically the two components of expected returns--the risk component and the component due to the desire to hedge changes in investment opportunities. We also explicitly model the effect of shocks to expected returns on ex post returns and use implied volatility from traded options to increase estimation efficiency. As a result, the coefficient of relative risk aversion is estimated more precisely, and we find it to be positive and reasonable in magnitude. Although volatility risk is priced, as theory dictates, it contributes only a small amount to the time-variation in expected returns. Expected returns are driven primarily by the desire to hedge changes in investment opportunities. It is the omission of this hedge component that is responsible for the contradictory and counter-intuitive results in the existing literature

Essays On Temporal And Cross Sectional Variation In The Expected Return Of Risky Securities And Tests Of Portfolio Efficiency

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Author : Mark Britten-Jones
language : en
Publisher:
Release Date : 1996

Essays On Temporal And Cross Sectional Variation In The Expected Return Of Risky Securities And Tests Of Portfolio Efficiency written by Mark Britten-Jones and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Capital assets pricing model categories.

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.

Time Varying Expected Returns In International Bond Markets

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Author : Antti Ilmanen
language : en
Publisher:
Release Date : 2000

Time Varying Expected Returns In International Bond Markets written by Antti Ilmanen 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 examines the predictable variation in long- maturity government bond returns in six countries. A small set of global instruments can forecast 4-12% of monthly variation in excess bond returns. The predictable variation is statistically and economically significant. Moreover, expected excess returns are highly correlated across countries. A model with one global risk factor and constant conditional betas can explain international bond return predictability if the risk factor is proxied by the world excess bond return, but not if it is proxied by the world excess stock return.