Add to ORKGThis paper provides an analysis of the predictable components of monthly common stock and bond portfolio return. Most of the predictability is associated with sensitivity to economic variables in a rational asset pricing model with multiple betas. The stock market risk premium is the most important for capturing predictable variation of the stock portfolios, while premiums associated with interest rate risks capture predictability of the bond returns. Time variation in the premium for beta risk is more important than changes in the betas. Copyright 1991 by University of Chicago Press.
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Discusses the use of surveys of economic forecasts to derive a forward-looking estimate of the U.S. ...
We show that returns to value strategies in individual equities, industries, commodities, currencies...
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures ...
The market risk premium is a central component of corporate financing activities in practice. Cost o...
Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks...
Motivated by the implications from a stylized self-contained general equilibrium model incorporating...
In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial cri...
A consumption-based asset pricing model with risk and uncertainty implies that the time-varying expo...
This paper investigates risk premiums embedded in commodity convenience yields, i.e., returns on con...
Motivated by the implications from a stylized self-contained general equilibrium model incorporating...
The purpose of this thesis is to investigate the evidence of return predictability in equity and tre...
Theoretical risk factors underlying time-variations of risk premium across asset classes are typical...
This paper studies the predictability of returns in the French stock market. It provides an analysis...
This paper presents predictability evidence from the difference between implied and expected varianc...
The dissertation consists of three essays in asset pricing. Chapter I is motivated by the recent sur...
Discusses the use of surveys of economic forecasts to derive a forward-looking estimate of the U.S. ...
We show that returns to value strategies in individual equities, industries, commodities, currencies...
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures ...