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Is Value Premium A Proxy For Time Varying Investment Opportunities
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Book Synopsis Is the Value Premium a Proxy for Time-Varying Investment Opportunities by : Hui Guo
Download or read book Is the Value Premium a Proxy for Time-Varying Investment Opportunities written by Hui Guo and published by . This book was released on 2007 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We uncover a positive stock market risk-return tradeoff after controlling for the covariance of market returns with the value premium. Fama and French (1996) conjecture that the value premium proxies for investment opportunities; therefore, by ignoring it, early specifications suffer from an omitted variable problem that causes a downward bias in the risk-return tradeoff estimation. We also document a positive relation between the value premium and its conditional variance, and the estimated conditional value premium is strongly countercyclical. The latter evidence supports the view that value is riskier than growth in bad times, when the price of risk is high.
Book Synopsis Is Value Premium a Proxy for Time-varying Investment Opportunities by : Hui Guo
Download or read book Is Value Premium a Proxy for Time-varying Investment Opportunities written by Hui Guo and published by . This book was released on 2005 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Is Value Premium a Proxy for Time-varying Investment Opportunities by :
Download or read book Is Value Premium a Proxy for Time-varying Investment Opportunities written by and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Book Synopsis The Value Premium and Time-Varying Volatility by : Xiafei Li
Download or read book The Value Premium and Time-Varying Volatility written by Xiafei Li and published by . This book was released on 2015 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (U.S. and U.K.). Our paper therefore adds to the weight of evidence on the possible role of idiosyncratic risk in explaining equity returns.
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.
Book Synopsis Inefficient Markets by : Andrei Shleifer
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Book Synopsis Review by : Federal Reserve Bank of St. Louis
Download or read book Review written by Federal Reserve Bank of St. Louis and published by . This book was released on 2005 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Value Versus Growth by : Huseyin Gulen
Download or read book Value Versus Growth written by Huseyin Gulen and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Is the value premium predictable? We study time-variations of the expected value premium using a two-state Markov switching model. We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the expected excess returns of growth stocks. As a result, the expected value premium is time-varying: it spikes upward in the high-volatility state, only to decline more gradually in the ensuring periods. However, out-of-sample predictability of the value premium is close to nonexistent -- National Bureau of Economic Research web site.
Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Book Synopsis Real Estate Risk in Equity Returns by : Gaston Michel
Download or read book Real Estate Risk in Equity Returns written by Gaston Michel and published by Springer Science & Business Media. This book was released on 2009-08-03 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an alternative modeI which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.
Book Synopsis Emerging Financial Markets by : R. Nandagopal
Download or read book Emerging Financial Markets written by R. Nandagopal and published by Excel Books India. This book was released on 2007 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Financial Markets' is organized into three sections namely; *) Financial Markets & Instruments, *) Behavioural Finance , *) Banking . The areas covered are Private Banking, Banking, Mutual Funds, Capital Markets, Fixed Income Securities, Behavioral Finance, Insurance, Derivatives and Risk Management. The topics covered will be of use to researchers, managers and consultants. This book will contribute significantly towards the knowledge base and research.
Book Synopsis Risk Premium, Variance Premium and the Maturity Structure of Uncertainty by : Bruno Feunou
Download or read book Risk Premium, Variance Premium and the Maturity Structure of Uncertainty written by Bruno Feunou and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Expected returns vary when investors face time-varying investment opportunities. In theory, structural long-run risk models (Bansal and Yaron, 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton, 2000) emphasize sources of risk that are not observable to the econometrician. We show that the term structure of risk implicit in option prices can reveal these risk factors exante. Empirically, we find that the variance term structure reveals two important drivers of the bond premium, the equity premium and the variance premium, jointly. Similarly, two risk factors are sufficient to capture the predictive content of higher-order uncertainty - skewness and kurtosis - but these do not add to the predictive content of the variance factors. The predicted equity premium is counter-cyclical and our results are robust to the inclusion of other known predictors of returns. Overall, our results bode well for our ability to link risk-return trade-offs across different markets, and across horizons, within a unified theoretical framework.
Book Synopsis Time-Variation in the Value Premium and the CAPM by : Spyros I. Spyrou
Download or read book Time-Variation in the Value Premium and the CAPM written by Spyros I. Spyrou and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many previous studies document a robust premium for value vs. growth stocks in international markets. We show that this premium is driven by few years where HML returns are high and significant. For instance, for twelve European markets the HML return is statistically significant, on average, approximately 36% of the years and for these statistically significant years the average monthly HML return is 2.24%. For the rest of the years (i.e. about 64% of the time) the average HML monthly return is only 0.54%. We also find that historical betas for value and growth portfolios vary significantly over time, change between good and bad economic conditions, and that value portfolio betas are not always smaller than growth portfolio betas for the majority of the sample markets. Finally, when time-variation in systematic risk is addressed we cannot reject the zero-intercept hypothesis; i.e portfolio returns appear consistent with the CAPM.
Book Synopsis Why is Long-horizon Less Risky ? by : Martin Lettau
Download or read book Why is Long-horizon Less Risky ? written by Martin Lettau and published by . This book was released on 2005 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a cross-section of long-lived firms distinguished by the timing of their cash flows. Firms with cash flows weighted more to the future have high price ratios, while firms with cash flows weighted more to the present have low price ratios. We model how investors perceive the risks of these cash flows by specifying a stochastic discount factor for the economy. The stochastic discount factor implies that shocks to aggregate dividends are priced, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks covary more with this time-varying price of risk than value stocks, which covary more with shocks to cash flows. When the model is calibrated to explain aggregate stock market behavior, we find that it can also account for the observed value premium, the high Sharpe ratios on value stocks relative to growth stocks, and the outperformance of value (and underperformance of growth) relative to the CAPM"--NBER website.
Book Synopsis Robust Consumption and Portfolio Choice for Time-varying Investment Opportunities by : Hening Liu
Download or read book Robust Consumption and Portfolio Choice for Time-varying Investment Opportunities written by Hening Liu and published by . This book was released on 2009 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Structuring and the Value of Forecasting by : Jacques Lussier
Download or read book Portfolio Structuring and the Value of Forecasting written by Jacques Lussier and published by CFA Institute Research Foundation. This book was released on 2016-10-10 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
