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- The Effects of Real Stock Returns on Sales of New and Existing Homes
- Changes in real stock returns may directly or indirectly accelerate or delay accumulation of wealth for down payments and the qualification for a mortgage loan, ultimately affecting home sales. Results from the aggregate data indicate that current changes in real stock returns have a significant effect on new home sales,...
- White papers 2003-01-01
- Bank Borrowers and Loan Sales: New Evidence on the Uniqueness of Bank Loans
- This paper examines the information content of the announcement of a sale of a borrower's loans by its lending bank. A large body of research has documented the positive impact on a firm's stock price around the announcement of initiating or renewing a lending relationship. In light of these findings...
- White papers 2001-10-01
- Are Correlations Of Stock Returns Justified By Subsequent Changes In National Outputs?
- In an integrated world capital market, the same pricing kernel is applicable to all securities. This paper applies the idea to the stock returns of different countries. It investigates the underlying determinants of cross-country stock return correlations. First, It determine, for a given, measured degree of commonality of country outputs,...
- White papers 2003-01-01
- Stock Returns Are Predictable: A Firm Level Analysis
- This paper studies return predictability at the firm level through the performance of investment strategies that use conditioning information to build unconditional efficient portfolios from individual stocks. The model that generates moments for portfolio selection is a multivariate regression of excess returns on asset pricing factors with alphas and betas...
- White papers 2003-08-01
- Stock Returns are Predictable Ex Ante: A Portfolio Evaluation Perspective
- Previous studies show that sophisticated trading strategies that exploit conditioning information have not consistently outperformed simple buy-and-hold investments, suggesting that returns are ex ante unpredictable. This paper examines the notion of predictability at the stock as well as the portfolio level in a framework where an investor combines a pricing...
- White papers 2002-01-21
- Earnings Management, Stock Issues, and Shareholder Lawsuits
- This paper studies the relations among abnormal accounting accruals measures of earnings management, stock offers, post-offer stock returns, and related shareholder lawsuits. It finds that accruals are abnormally high around stock offers, especially high for firms that are subsequently sued about their offers. These accruals tend to reverse after stock...
- White papers 2002-12-04
- Default Risk, Shareholder Advantage, and Stock Returns
- This paper, one analyzes the relationship between default probability and stock returns. Using the market-based measure of Expected Default Frequency EDF constructed by Moody's KMV, one first demonstrates that higher default probabilities are not necessarily associated with higher expected stock returns. One then show the puzzling and complex relationship between...
- White papers 2005-09-01
Additional Resources
- Stock Return Predictability and Asset Pricing Models
- Asset pricing models imply restrictions on stock return predictability. This paper evaluates the economic significance of deviations from such restrictions using a Bayesian optimizing framework. In that framework, an investor uses the sample evidence to update various degrees of skeptical views about models' pricing abilities, and derives asset allocation based...
- White papers 2002-05-23
- The New Economy And Global Stock Returns
- This article discusses the relative importance of global versus country specific factors underlying stock return. It constructs a new firm level data set covering emerging and developed markets and estimate a simple factor model, which breaks down stock return into a global business cycle factor, global industry factor, country specific...
- White papers 2000-12-01
- Correction.(Wachovia's stock return)(Correction Notice)
- Total return for Wachovia's stock last year was 16.1%, not the ... Total return for Wachovia's stock last year was 16.1%, not the figure in the story and chart on CEO pay in the September issue.
- Research articles 2002-10-01
- Limited Stock Market Participation and Asset Prices in a Dynamic Economy.
- The article presents a consumption-based model that explains the equity premium puzzle through two channels. First, because of borrowing constraints, the shareholder cannot completely diversify his income risk and requires a sizable risk premium on stocks. Second, because of limited stock market participation, the precautionary saving demand lowers the risk-free...
- White papers 2003-08-01
- On The Out-of-Sample Stock Return Predictability: The International Evidence
- This paper, shows that the forecasting variables of the US excess stock market return also forecast returns on international stock market indices, both in sample and out of sample. In addition, the out of sample forecasts of US or world excess returns are good proxies for those of international stock...
- White papers 2003-05-01
- Value Enhancing Capital Budgeting and Firm-Specific Stock Return Variation
- "The article documents a robust cross-sectional positive association across industries between a measure of the economic efficiency of corporate investment and the magnitude of firm-specific variation in stock returns. This finding is interesting for two reasons, neither of which is a priori obvious. First, it adds further support to the...
- White papers 2003-01-01
- The Investment Implications Of Lower Stock Return Prospects
- In the past two years, several noted scholars have concluded that long-run real U.S. stock returns will likely be below historical levels. This article summarizes these predictions, and discusses their implications for individual investors. The average prediction was about 4% real returns. Today's yields on Treasury Inflation Protection Securities indicate...
- White papers 2001-10-01
- Idiosyncratic Volatility, Stock Market Volatility, And Expected Stock Returns
- "Theories suggest that both stock market risk and idiosyncratic risk are important determinants of the equity premium but empirical evidence is inconclusive. This paper shows that the (value-weighted) idiosyncratic stock volatility in conjunction with aggregate stock market volatility exhibits strong predictive abilities for excess stock market returns. Consistent with the...
- White papers 2003-09-01
- Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?
- In an integrated world capital market, the same pricing kernel is applicable to all securities. We apply this idea to the stock returns of different countries. This paper investigates the underlying determinants of cross-country stock return correlations. First, it determine, for a given, measured degree of commonality of country outputs,...
- White papers 2002-08-07
- Short-Sales Constraints and Stock Return Asymmetry: Evidence From the Chinese Stock Markets
- The Chinese stock markets provide a great example for testing the Differences-of-Opinion theory proposed by Hong and Stein, because the difficulty of short-selling stocks in these markets fits the key assumption of the theory. Using daily data of the Shanghai and Shenzhen composite indexes from June 1995 to August 2001,...
- White papers 2005-05-10
- Country And Industry Dynamics In Stock Returns
- A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are first constructed and their joint dynamics then modeled as...
- White papers 2003-03-01
- Empirical Evidence on the Relation Between Stock Option Compensation and Risk Taking
- The paper examines whether executive stock options ESOs provide managers with incentives to invest in risky projects. For a sample of oil and gas producers, we examine whether the coefficient of variation of future cash flows from exploration activity our proxy for exploration risk increases with the sensitivity of the...
- White papers 2001-10-26
- Institutional Trading and Return Autocorrelation: Empirical Evidence on Polish Pension Fund Investors' Behavior
- This paper extends the empirical finance literature about the influence of institutional traders by investigating the impact of Polish pension funds trading on individual stock return autocorrelation. The pension reform in 1999 and the associated increase in institutional traders' investment activities provides the unique opportunity to receive additional insight into...
- White papers 2003-07-01
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