منابع مشابه
Durability of Output and Expected Stock Returns
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we construct portfolios of durablegood, nondurable-good, and service producers. In the cross-section, an inv...
متن کاملExpectations of Returns and Expected Returns
We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence i...
متن کاملExpected Returns Across Time Scales
This paper studies the role of uctuations in the aggregate price-earning ratio at di¤erent time scales for predicting stock returns and explore the channels through which returns are predicted. Using U.S. quarterly and international monthly data, we nd that cycles in the price-earning ratio are strong and better predictors of future returns at short and intermediate horizons than the aggregat...
متن کاملReturn Reversals, Idiosyncratic Risk and Expected Returns
Bali and Cakici (2006) find no relation between equally-weighted portfolio returns and idiosyncratic risk, whereas Ang et al. (2006a) report a negative relation between value-weighted portfolio returns and idiosyncratic risk. Our analyses demonstrate that both findings can be explained by short-term monthly return reversals. The abnormal positive returns from taking a long (short) position in t...
متن کاملDownside Correlation and Expected Stock Returns
If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets. We find that stocks with high downs...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2006
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2005.07.010