Inconsistency in the Theory of Stock Returns
Author | : Bharti Publications |
Publisher | : Bharti Publications |
Total Pages | : 99 |
Release | : 2017-11-10 |
Genre | : Business & Economics |
ISBN | : 9381212015 |
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Author | : Bharti Publications |
Publisher | : Bharti Publications |
Total Pages | : 99 |
Release | : 2017-11-10 |
Genre | : Business & Economics |
ISBN | : 9381212015 |
Author | : John Y. Campbell |
Publisher | : |
Total Pages | : 66 |
Release | : 2005 |
Genre | : Stocks |
ISBN | : |
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
Author | : John H. Cochrane |
Publisher | : Now Publishers Inc |
Total Pages | : 117 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1933019158 |
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author | : Aswath Damodaran |
Publisher | : Now Publishers Inc |
Total Pages | : 102 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1601980140 |
Valuation lies at the heart of much of what we do in finance, whether it is the study of market efficiency and questions about corporate governance or the comparison of different investment decision rules in capital budgeting. In this paper, we consider the theory and evidence on valuation approaches. We begin by surveying the literature on discounted cash flow valuation models, ranging from the first mentions of the dividend discount model to value stocks to the use of excess return models in more recent years. In the second part of the paper, we examine relative valuation models and, in particular, the use of multiples and comparables in valuation and evaluate whether relative valuation models yield more or less precise estimates of value than discounted cash flow models. In the final part of the paper, we set the stage for further research in valuation by noting the estimation challenges we face as companies globalize and become exposed to risk in multiple countries.
Author | : Richard A. Brealey |
Publisher | : MIT Press (MA) |
Total Pages | : 168 |
Release | : 1969 |
Genre | : Investment analysis |
ISBN | : |
Author | : Mark Gertler |
Publisher | : MIT Press |
Total Pages | : 436 |
Release | : 2004 |
Genre | : Business & Economics |
ISBN | : 9780262572217 |
The NBER Macroeconomics Annual presents pioneering work in macroeconomics by leading academic researchers to an audience of public policymakers and the academic community. Each commissioned paper is followed by comments and discussion. This year's edition provides a mix of cutting-edge research and policy analysis on such topics as productivity and information technology, the increase in wealth inequality, behavioral economics, and inflation.
Author | : Matthew P. Erickson |
Publisher | : John Wiley & Sons |
Total Pages | : 0 |
Release | : 2014-07-21 |
Genre | : Business & Economics |
ISBN | : 9781118779194 |
An all-weather, tactical approach to asset management utilizing Exchange Traded Funds (ETFs) In Asset Rotation, portfolio management pioneer Matthew P. Erickson demonstrates a time-tested approach to asset management that has worked throughout the history of capital markets, in good times and bad. Providing investors with strong participation in rising markets, but more importantly with a discipline to reduce participation in prolonged declines. Over time this revolutionary approach has yielded superior returns, with significantly reduced levels of risk; providing the engine for true, long-term sustainable growth. The investment world as we know it has changed, and the paradigm has shifted. What has worked in the past may no longer work in the future. No longer may bonds be regarded as a safe haven asset class, as for the first time in generations, investors in fixed income face losses as interest rates rise from historical all-time lows. For those adhering to a conventional Modern Portfolio Theory based investment approach to asset management, what was once regarded as safe and stable, may very well soon become our greatest impediment. Asset Rotation provides investors with a practical solution for today's real world problems. This tactical approach to asset management provides us with concrete proof that there is indeed a better way. We are standing on the precipice of an Investment Renaissance. What was previously impossible, is now possible. Find out how. Presents an easy-to-understand price momentum-based approach to investing Illustrates the benefits of asset rotation Offers a systematic approach for securing a sound financial future Provides further insights as to how to customize your own asset rotation portfolio Matthew Erickson gives investors a hands-on resource for how to navigate an increasingly difficult investment landscape, by providing them with keen insights into the most rapidly growing segment of the investment markets.
Author | : Wing-Keung Wong |
Publisher | : Mdpi AG |
Total Pages | : 232 |
Release | : 2022-02-17 |
Genre | : Business & Economics |
ISBN | : 9783036530802 |
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author | : Wayne Ferson |
Publisher | : MIT Press |
Total Pages | : 497 |
Release | : 2019-03-12 |
Genre | : Business & Economics |
ISBN | : 0262039370 |
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author | : Burton G. Malkiel |
Publisher | : W. W. Norton & Company |
Total Pages | : 454 |
Release | : 2007-12-17 |
Genre | : Business & Economics |
ISBN | : 0393330338 |
Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, the bestselling guide to investing evaluates the full range of financial opportunities.