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Author : John Howland Cochrane
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (287 download)
Download or read book Explaining the Variance of Price-dividend Ratios written by John Howland Cochrane and published by . This book was released on 1990 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John H. Cochrane
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (129 download)
Download or read book Explaining the Variance of Price Dividend Ratios written by John H. Cochrane and published by . This book was released on 2010 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected future dividend growth. Unobserved discount rates needed to make the variance bound and variance decomposition hold are characterized, and the variance bound and variance decomposition are tested for several discount rate models, including the consumption based model, and models based on interest rates plus a constant risk premium.
Author :
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (64 download)
Download or read book Explaining the Variance of Price Dividend Ratios written by and published by . This book was released on 1989 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John H. Cochrane
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (956 download)
Download or read book Explaining the Variance of Price Dividend Rations written by John H. Cochrane and published by . This book was released on 1989 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gil Sadka
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book What Determines the Aggregate Dividend-Price Ratio? Earnings Versus Dividends written by Gil Sadka and published by . This book was released on 2011 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an efficient market, prices should vary only if investors change their expectations about cash flows, discount factors, or both. Prior research showed that dividend yield varies mostly due to variation in expected returns, and contains little information about cash flow. This literature concentrates on dividend growth variation as cash flow information. However, according to Miller and Modigliani (1961) with no taxes, given earnings, dividends are strictly a financing decision and should not affect prices. Consistent with the dividend-policy irrelevance hypothesis, this paper shows that variation in expected profitability growth explains as much as 70% of the variation in the dividend yield. Thus, the dividend yield contains information about cash flows in terms of earnings, not dividends. In addition, this paper finds evidence consistent with a permanent shift in the dividend yield in the 90s. Controlling for this permanent shift, the results indicate that the dividend yield has not lost its ability to predict returns.
Author : Ravi Jagannathan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (119 download)
Download or read book Price Dividend Ratio Factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the empirical support for a broad class of long run risk models using information in factors extracted through principal component analysis of the covariance matrix of log price dividend ratios of twenty five equity portfolios formed on Size and Book-to-Market. We identify two price-dividend ratio factor proxies for economy wide long run risk, one tracking the volatility of the growth rate in economy wide aggregate consumption, and the other predicting the growth rates in the stock index portfolio dividends and aggregate consumption, consistent with the implications of these models. We show that that the long run risk factor driving expected consumption growth is not recoverable from the cross section of excess returns alone. The price dividend ratio factors perform better than the stock index price dividend ratio and the corporate yield spread, and has information in addition to what is in the slope of the term structure of interest rates, in forecasting the growth rate in real time consumption and stock index dividends. The covariance of excess returns with factor innovations explain the cross section of excess returns on size, book/market, earnings/price ratio, long term reversal, and short term reversal sorted portfolios in a manner robust to look-ahead and useless factor biases. Our findings suggest that the widely used Fama and French (1993) three factor model and the long run risk models studied in the literature are not necessarily inconsistent with each other. They may be representing the same underlying phenomenon, but emphasizing different aspects of reality.
Author : Ravi Jagannathan
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (758 download)
Download or read book Long run risks & price/dividend ratio factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that long run consumption risk models imply that the covariance matrix of the logarithm of price to dividend (P/D) ratios of stocks has a strict factor structure. Factor analysis of the P/D ratios of 25 portfolios formed by sorting stocks based on their size and book to market ratio during the 1943 to 2008 reveals two significant factors. Consistent with theory, these factors predict growth in US aggregate consumption & dividends and consumption growth volatility, and explain the cross section of average excess returns on portfolios based on size, book/market, long term reversal, short term reversal, and earnings to price ratios.
Author : Fausto Mignanego
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (13 download)
Download or read book Analytical Cyclical Price-Dividend Ratios written by Fausto Mignanego and published by . This book was released on 2017 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: How non-linear are log price-dividend ratios in the fundamental state variables? We work out a novel formula for the price-dividend ratio within a parsimonious affine model to study exactly how much non-linearity is generated by the persistence of the fundamentals. We show that persistence fosters endogenous conditional heteroskedasticity of the stock returns by fuelling the non-linearity of the log price-dividend ratio.
Author : Nico Valckx
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)
Download or read book Price Dividend Models, Expectations Formation, and Monetary Policy written by Nico Valckx and published by . This book was released on 2003 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ravi Jagannathan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Price Dividend Ratio Factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Timothy K. Chue
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (13 download)
Download or read book Understanding Cross-Country Differences in Valuation Ratios written by Timothy K. Chue and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a variance decomposition approach to examine why aggregate valuation ratios differ across countries. In a cross section of 22 developed countries from 1980 to 2009, we find that 50% of all cross-country differences in the aggregate price-to-book ratio (P/B) can be explained by cross-country differences in expected future five-year profitability. In the second half of our sample period, this percentage exceeds that of the first half, rising to almost 64%. Although international differences in accounting standards and conventions may have made earnings from different countries more difficult to compare relative to dividends, we find that it is still cross-country differences in expected future profitability, rather than dividend growth rates, that are more closely related to international differences in valuation ratios. Even among 25 emerging markets, we find that expected future profitability at the five-year horizon can account for 29% of all cross-country P/B variations. Our results show that international investors are able to identify substantial cross-country differences in future earnings prospects and incorporate them into stock market valuations.
Author : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 0691242240
Total Pages : 584 pages
Book Rating : 4.6/5 (912 download)
Download or read book The Fiscal Theory of the Price Level written by John H. Cochrane and published by Princeton University Press. This book was released on 2023-01-17 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Inflation, in which all prices and wages in an economy rise, is mysterious. If a war breaks out in the Middle East, and the price of oil goes up, the mechanism is no great mystery-supply and demand often work pretty visibly. But if you ask the grocer why the price of bread is higher, he or she will blame the wholesaler, who will blame the baker, who will blame the wheat supplier, and so on. Perhaps the ultimate cause is a government printing more money, but there is really no way to know this for certain but to sit down in an office with statistics, armed with some decent economic theory. But current economic theory doesn't really explain why we haven't seen inflation for so long, and more and more economists think that current theory doesn't hold together, or provide much guidance for how central banks should behave if inflation does break out. Many also worry that central banks have much less power over the economy than they think they do, and much less understanding of the mechanism behind what power they do have. The Fiscal Theory of the Price Level is a comprehensive new approach to monetary policy. Economist John Cochrane argues that money has value because the government accepts it for tax payments. This insight, he argues, leads to a deep re-reading of monetary policy and institutions. Inflation comes when a government is unable to repay its debts, rather than from mismanagement of the split of debt between money and bonds. In the book, he will analyze institutional design, historical episodes, and compare fiscal theory to the Keynesian and new-Keynesian theory based on interest rate targets, and to monetarism. The book offers an overview and introduction to the range of contemporary monetary economics and history of thought as well as the fiscal theory"--
Author : Jian Chen
Publisher : Springer
ISBN 13 : 9811074283
Total Pages : 163 pages
Book Rating : 4.8/5 (11 download)
Download or read book General Equilibrium Option Pricing Method: Theoretical and Empirical Study written by Jian Chen and published by Springer. This book was released on 2018-04-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Author : James Joseph Heckman
Publisher : Elsevier
ISBN 13 : 0444506314
Total Pages : 1013 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Econometrics written by James Joseph Heckman and published by Elsevier. This book was released on 2007 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice ...
Author : Matthias Salge
Publisher : Springer Science & Business Media
ISBN 13 : 3642591817
Total Pages : 270 pages
Book Rating : 4.6/5 (425 download)
Download or read book Rational Bubbles written by Matthias Salge and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: 3 On the Economic Relevance of Rational Bubbles 79 3. 1 Capital markets . . . . . . . . . 80 3. 1. 1 Efficient capital markets 86 3. 1. 2 Rational bubbles on capital markets. 93 3. 1. 3 Economic caveats . 103 3. 2 Foreign exchange markets 109 3. 3 Hyperinflation. . . . . . . 117 4 On Testing for Rational Bubbles 123 4. 1 Indirect tests . . . . . . . . . 123 4. 1. 1 Variance bounds tests 124 4. 1. 2 Specification tests . . . 137 4. 1. 3 Integration and cointegration tests 140 4. 1. 4 Final assessment of indirect tests . 150 4. 1. 5 A digression: Charemza, Deadman (1995) analysis. 151 4. 2 Direct tests . . . . . . . . . . . . . . . . . . . . . . . . 157 4. 2. 1 Deterministic bubble in German hyperinflation. 158 4. 2. 2 Intrinsic bubbles on stock markets. 163 4. 2. 3 An econometric caveat . . . . . 168 4. 2. 4 Final assessment of direct tests 172 5 On the Explanatory Power of Rational Bubbles on the G- man Stock Market 175 5. 1 Data . . . . . . . 175 5. 2 Direct test for rational bubbles 181 5. 2. 1 Temporary Markovian bubbles. 184 5. 2. 2 Temporary intrinsic bubbles . . 193 ix 5. 2. 3 Permanent intrinsic bubbles 198 5. 3 A digression: Testing for unit roots 204 6 Concluding Remarks 215 A Results 221 A. 1 Temporary markovian bubbles. 221 A. 2 Temporary intrinsic bubbles . . 225 A. 3 Permanent intrinsic bubbles - Class 1 to 2 229 A. 4 Permanent intrinsic bubbles - Class 3 to 6 230 A. 5 Integration tests. . . . . . . . . . . . . . .
Author : R.A. Jarrow
Publisher : Elsevier
ISBN 13 : 9780444890849
Total Pages : 1204 pages
Book Rating : 4.8/5 (98 download)
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Author : Zvi Griliches
Publisher : Elsevier
ISBN 13 : 0444887660
Total Pages : 1013 pages
Book Rating : 4.4/5 (448 download)
Download or read book Handbook of Econometrics written by Zvi Griliches and published by Elsevier. This book was released on 1983 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics.
