Habit Production And The Cross Section Of Stock Returns

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Habit, Production, and the Cross-Section of Stock Returns

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Author : Federal Reserve Federal Reserve Board
Publisher : CreateSpace
ISBN 13 : 9781511918596
Total Pages : 42 pages
Book Rating : 4.9/5 (185 download)

Book Synopsis Habit, Production, and the Cross-Section of Stock Returns by : Federal Reserve Federal Reserve Board

Download or read book Habit, Production, and the Cross-Section of Stock Returns written by Federal Reserve Federal Reserve Board and published by CreateSpace. This book was released on 2015-04-27 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Solutions to the equity premium puzzle should inform us about the cross-section of stock returns. An external habit model with heterogeneous firms reproduces numerous stylized facts about both the equity premium and the value premium. The equity premium is large, time-varying, and linked with consumption volatility. The cross-section of expected returns is log-linear in B/M, and the slope matches the data. The explanation for the value pre-mium lies in the interaction between the cross-section of cash flows and the time-varying risk premium. Value firms are temporarily low produc-tivity firms, which will eventually experience high cash flows. The present value of these temporally distant cash flows is sensitive to risk premium movements. The value premium is the reward for bearing this sensitivity. Empirical evidence verifies that value firms have higher cash-flow growth. The data also show that value stock returns are more sensitive to risk premium movements, as measured by consumption volatility shocks.

Habit, Production, and the Cross-section of Stock Returns

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Author : Andrew Y. Chen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)

Book Synopsis Habit, Production, and the Cross-section of Stock Returns by : Andrew Y. Chen

Download or read book Habit, Production, and the Cross-section of Stock Returns written by Andrew Y. Chen and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Habit Formation and the Cross Section of Stock Returns

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Author : Lior Menzly
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 (129 download)

Book Synopsis Habit Formation and the Cross Section of Stock Returns by : Lior Menzly

Download or read book Habit Formation and the Cross Section of Stock Returns written by Lior Menzly and published by . This book was released on 2011 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an external habit persistence model where the time series of the aggregate portfolio and the cross section of stock returns are simultaneously studied and tested. By applying a slightly modified version of the model of Campbell and Cochrane (1999), we obtain closed form solutions for individual securities prices and returns and a full characterizations of the dynamics of the risk-return characteristics of individual securities. We find that each stock return quot;betaquot; with respect to the total wealth portfolios is jointly determined by an aggregate variable that depends on the habit level, and an idiosyncratic asset characteristics that depends on the contribution of the security to total consumption relative to its long-run average contribution. This functional form imposes tight predictions on the cross sectional test, including sign and magnitude of the coefficients, and insures that the explanatory power of the beta comes from the predictable part of the realization of returns. An estimate of the model for a set of 20 industry portfolios is able to explain cross-sectional variation in the conditional expected returns. Moreover, the model generates price consumption ratios for individual industries that track well the empirical ones.

Good-Specifc Habit Formation and the Cross Section of Expected Returns

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Author : Jules H. van Binsbergen
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (129 download)

Book Synopsis Good-Specifc Habit Formation and the Cross Section of Expected Returns by : Jules H. van Binsbergen

Download or read book Good-Specifc Habit Formation and the Cross Section of Expected Returns written by Jules H. van Binsbergen and published by . This book was released on 2013 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study the cross-section of expected stock returns in a general equilibrium framework where agents form habits over individual varieties of goods. Goods are produced by monopolistically competitive firms whose income and price elasticities of demand depend on the habit formation of the consumers. Firms that produce goods with a high habit level relative to consumption have low income and price elasticities, set high prices for their product, and have low expected returns on their stock. Taking this prediction to the data, I find a return spread that is hard to explain by commonly used empirical asset pricing models.

Consumption Habit and International Stock Returns

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Author : Yuming Li
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)

Book Synopsis Consumption Habit and International Stock Returns by : Yuming Li

Download or read book Consumption Habit and International Stock Returns written by Yuming Li and published by . This book was released on 2004 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the consumption-based asset pricing model with habit formation to study the predictability and cross section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices of risks associated with consumption relative to habit at the world as well as local levels. We also provide an exploratory investigation of the cross-sectional implications of the model under the complete world market integration hypothesis and find that the model performs mildly better than the traditional consumption-based model, the unconditional and conditional world CAPMs and a three-factor international asset pricing model.

Habit Persistence

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Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (836 download)

Book Synopsis Habit Persistence by :

Download or read book Habit Persistence written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

External Habit and the Cyclicality of Expected Stock Returns

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Author : Thomas D. Tallarini (Jr.)
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (849 download)

Book Synopsis External Habit and the Cyclicality of Expected Stock Returns by : Thomas D. Tallarini (Jr.)

Download or read book External Habit and the Cyclicality of Expected Stock Returns written by Thomas D. Tallarini (Jr.) and published by . This book was released on 2005 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

External Habit and the Cyclicality of Expected Stock Returns

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Author : Thomas D. Tallarini
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 (121 download)

Book Synopsis External Habit and the Cyclicality of Expected Stock Returns by : Thomas D. Tallarini

Download or read book External Habit and the Cyclicality of Expected Stock Returns written by Thomas D. Tallarini and published by . This book was released on 2005 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Production Efficiency and the Cross Section of Stock Returns

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Author : Rui Zeng
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)

Book Synopsis Production Efficiency and the Cross Section of Stock Returns by : Rui Zeng

Download or read book Production Efficiency and the Cross Section of Stock Returns written by Rui Zeng and published by . This book was released on 2014 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents a robust new fact about the cross section of stock returns: stocks of companies with higher past production efficiency earn significantly higher average returns in the future. The return difference between the high production efficiency and the low production efficiency portfolio is 25.7% annually, after adjusted for exposures to the market return, size, value and momentum factor. The production efficiency retains its forecasting capability even on large capitalization stocks, and the abnormal return associated with the production efficiency is the strongest within small capitalization stocks. The predicting power of the production efficiency is more persistent for large capitalization stocks than for small capitalization stocks. The empirical finding casts doubt on the measures that use the firm's productivity as one of the determinants to assess the firm's financial constraint.

Financial Markets and the Real Economy

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Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)

Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane

Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Empirical Asset Pricing

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Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262351307
Total Pages : 497 pages
Book Rating : 4.2/5 (623 download)

Book Synopsis Empirical Asset Pricing by : Wayne Ferson

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-26 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Handbook of Macroeconomics

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Author : John B. Taylor
Publisher : Elsevier
ISBN 13 : 0444594779
Total Pages : 1366 pages
Book Rating : 4.4/5 (445 download)

Book Synopsis Handbook of Macroeconomics by : John B. Taylor

Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-12-01 with total page 1366 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade

Issues in Finance, Business, and Economics Research: 2011 Edition

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Author :
Publisher : ScholarlyEditions
ISBN 13 : 1464966478
Total Pages : 402 pages
Book Rating : 4.4/5 (649 download)

Book Synopsis Issues in Finance, Business, and Economics Research: 2011 Edition by :

Download or read book Issues in Finance, Business, and Economics Research: 2011 Edition written by and published by ScholarlyEditions. This book was released on 2012-01-09 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Finance, Business, and Economics Research: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Finance, Business, and Economics Research. The editors have built Issues in Finance, Business, and Economics Research: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Finance, Business, and Economics Research in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Finance, Business, and Economics Research: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

External Habit and the Cyclicality of Expected Stock Returns

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Author : Thomas D. Tallarini
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)

Book Synopsis External Habit and the Cyclicality of Expected Stock Returns by : Thomas D. Tallarini

Download or read book External Habit and the Cyclicality of Expected Stock Returns written by Thomas D. Tallarini and published by . This book was released on 2009 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate an equilibrium asset pricing model in which agents' preferences have an unobserved external habit using the efficient method of moments (EMM). Given the estimated structural parameters we examine the cyclical behavior of expected stock returns in the model. We find that the estimated structural parameters imply countercyclical expected stock returns as documented in existing empirical studies. The model, however, is still rejected at the one percent level. Detailed examination of the moment conditions in our estimation indicates that the model performs reasonably well in matching the mean of the stock returns, but it fails to capture the higher order moments such as variance, skewness and kurtosis.

Asset Pricing and Portfolio Choice Theory

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Author : Kerry Back
Publisher : Oxford University Press
ISBN 13 : 0190241144
Total Pages : 745 pages
Book Rating : 4.1/5 (92 download)

Book Synopsis Asset Pricing and Portfolio Choice Theory by : Kerry Back

Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by Oxford University Press. This book was released on 2017 with total page 745 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today all would agree that Mexico and the United States have never been closer--that the fates of the two republics are intertwined. Mexico has become an intimate part of life in almost every community in the United States, through immigration, imported produce, business ties, or illegal drugs. It is less a neighbor than a sibling; no matter what our differences, it is intricately a part of our existence. In the fully updated second edition of Mexico: What Everyone Needs to Know(R), Roderic Ai Camp gives readers the most essential information about our sister republic to the south. Camp organizes chapters around major themes--security and violence, economic development, foreign relations, the colonial heritage, and more. He asks questions that take us beyond the headlines: Why does Mexico have so much drug violence? What was the impact of the North American Free Trade Agreement? How democratic is Mexico? Who were Benito Juarez and Pancho Villa? What is the PRI (the Institutional Revolutionary Party)? The answers are sometimes surprising. Despite ratification of NAFTA, for example, Mexico has fallen behind Brazil and Chile in economic growth and rates of poverty. Camp explains that lack of labor flexibility, along with low levels of transparency and high levels of corruption, make Mexico less competitive than some other Latin American countries. The drug trade, of course, enhances corruption and feeds on poverty; approximately 450,000 Mexicans now work in this sector. Brisk, clear, and informed, Mexico: What Everyone Needs To Know(R) offers a valuable primer for anyone interested in the past, present, and future of our neighbor to the South. Links to video interviews with prominent Mexicans appear throughout the text. The videos can be accessed at through The Oxford Research Encyclopedia of Latin American History at http: //latinamericanhistory.oxfordre.com/page/videos/

Habit Formation and Returns on Bonds and Stocks

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Author : Jessica A. Wachter
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)

Book Synopsis Habit Formation and Returns on Bonds and Stocks by : Jessica A. Wachter

Download or read book Habit Formation and Returns on Bonds and Stocks written by Jessica A. Wachter and published by . This book was released on 2011 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a habit formation model that captures the ability of the yield spread to predict excess returns on bonds as documented in empirical studies. The model, a generalization of Campbell and Cochrane (1999), also captures the predictability of stock returns by the price-dividend ratio, a high equity premium, excess volatility, positive excess returns on bonds, and an upward sloping average yield curve. The model is shown to imply a joint process for interest rates and consumption. When this process is estimated from the data, a new empirical fact emerges: Controlling for contemporaneous consumption growth, long lags of consumption predict the interest rate. Thus the success of the model is based on a more realistic process for consumption and the interest rate, rather than additional degrees of freedom in the utility function.

Industry-size interaction in the cross-section of stock returns

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Author : Perry T. Cabean (Jr)
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (15 download)

Book Synopsis Industry-size interaction in the cross-section of stock returns by : Perry T. Cabean (Jr)

Download or read book Industry-size interaction in the cross-section of stock returns written by Perry T. Cabean (Jr) and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: