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Time Variations In Equity Returns
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Book Synopsis Time Variations in Equity Returns by : Adrian FitzGerald
Download or read book Time Variations in Equity Returns written by Adrian FitzGerald and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors accept that there is uncertainty, or risk, associated with equity investment returns. Consequently, equities are normally priced so that they provide a premium to the returns available on risk-free investments. Equity returns, however, are cyclical. There can be long periods when equity returns greatly exceed risk-free returns; there can be long periods when the premium disappears altogether. This thesis explores the influences and driving forces in equity markets, with a particular emphasis on the UK equity market. Both rational and irrational influences are examined and discussed. A General Literature Review examines the general progression in academic thinking in the area of equity pricing over four decades and takes a close look at the concepts of market efficiency and the challenges mounted by behavioural finance. The "equity risk premium puzzle" is also examined. Chapters 3 to 6 contain empirical studies of the variation in UK equity returns over time from four angles. The chapters look, respectively, at: macro-economic influences on the equity market; the relationship between equity returns and market volatility; the impact of variation in risk-free returns; a full decomposition of both ex-ante and ex-post equity returns. Reassuringly, the results confirm that the UK equity market is driven, in the main, by economic factors. However, the results also indicate that the full set of influences on the equity market is complex. The analyses undertaken suggest that significant swings occur in the risk premium element of expected equity returns. The results also suggest that there are periods when the UK equity market may be in disequilibrium with other financial markets. It is not the contention that many of the puzzles that have confronted equity market researchers over recent decades are now resolved by the analyses undertaken and presented in this thesis. It is to be hoped, however, that a useful platform has been built from which further investigation and analysis can be taken forward. In particular, it is suggested that comprehensive surveys of long-term expectations could lead to a better understanding of equity market mechanisms.
Book Synopsis Time Variation in Equity Returns by : Adrian Bruce Fitzgerald
Download or read book Time Variation in Equity Returns written by Adrian Bruce Fitzgerald and published by . This book was released on 2009 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Rethinking the Equity Risk Premium by : P. Brett Hammond
Download or read book Rethinking the Equity Risk Premium written by P. Brett Hammond and published by . This book was released on 2016 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2001, a small group of academics and practitioners met to discuss the equity risk premium (ERP). Ten years later, in 2011, a similar discussion took place, with participants writing up their thoughts for this volume. The result is a rich set of papers that practitioners may find useful in developing their own approach to the subject.
Book Synopsis Empirical Asset Pricing by : Aleš Berk Skok
Download or read book Empirical Asset Pricing written by Aleš Berk Skok and published by . This book was released on 2011 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Stock Markets by : Wolfgang Drobetz
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Book Synopsis The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets by : Alberto Giovannini
Download or read book The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets written by Alberto Giovannini and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis Capital and Rates of Return in Manufacturing Industries by : George Joseph Stigler
Download or read book Capital and Rates of Return in Manufacturing Industries written by George Joseph Stigler and published by . This book was released on 1975 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Some Implications of Risk Neutrality for Time Variation in Stock Returns by : Ronald W. Best
Download or read book Some Implications of Risk Neutrality for Time Variation in Stock Returns written by Ronald W. Best and published by . This book was released on 1993 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Predictability of Equity REIT Returns by : David C. Ling
Download or read book The Predictability of Equity REIT Returns written by David C. Ling and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents evidence on predictability of excess returns for equity REITs relative to the aggregate stock market, small capitalization stocks, and T-bills using best fit models from prior time periods. We find that excess equity REIT returns are far less predictable out-of-sample than in-sample. This inability to forecast out-of-sample is particularly true in the 1990s. Nevertheless, in the absence of transaction costs, active trading strategies based on out-of-sample predictions modestly outperfr om REIT buy-and-hold strategies. However, when transaction costs are introduced, profits from these active trading strategies largely disappear.
Book Synopsis What are the Global Sources of Rational Variation in International Equity Returns? by : Yin-Wong Cheung
Download or read book What are the Global Sources of Rational Variation in International Equity Returns? written by Yin-Wong Cheung and published by . This book was released on 1997 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses multivariate statistical approaches to investigate the global sources of international real return variation. These approaches allow us to take into account the widely-documented evidence that stock market returns from different countries move in tandem with each other. In the spirit of Fama (1990), we examine two potential sources of international real return variation: changes in expected future cash flows and changes in discount rates. In this study, common global economic variables that relate to changes in the global economy or to international business conditions serve as proxies for the two sources of variation. Our results show that these two sources of variation capture a statistically significant fraction of stock price variability; their explanatory power, however, differs across holding period horizons. While proxies for changes in discount rates have an incremental impact on both monthly and quarterly real returns, proxies for changes in expected future cash flows have only an incremental impact on quarterly real returns. Our results are also generally robust to the different methodologies employed.
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 The Time Variation of Asset Returns by : Kent Douglas Daniel
Download or read book The Time Variation of Asset Returns written by Kent Douglas Daniel and published by . This book was released on 1992 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-varying Sharpe Ratios and Market Timing by : Robert F. Whitelaw
Download or read book Time-varying Sharpe Ratios and Market Timing written by Robert F. Whitelaw and published by . This book was released on 1997 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents predictable time-variation in stock market Sharpe ratios. Predetermined financial variables are used to estimate both the conditional mean and volatility of equity returns, and these moments are combined toestimate the conditional Sharpe ratio. In sample, estimated conditional Sharpe ratios show substantial time-variation that coincides with the variation in ex post Sharpe ratios and with the phases of the business cycle. Generally, Sharpe ratios are low at the peak of the cycle and high at the trough. In out-of-sample analysis, using 10-year rolling, regressions, we can identify periods in which the ex post Sharpe ratio is approximately three times larger than its full-sample value. Moreover, relatively naive market-timing strategies that exploit this predictability can generate Sharpe ratios more than 70% larger than a buy-and-hold strategy
Book Synopsis News Shocks and the Production-based Term Structure of Equity Returns by : Hengjie Ai
Download or read book News Shocks and the Production-based Term Structure of Equity Returns written by Hengjie Ai and published by . This book was released on 2018 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns both in the cross section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow learning about the exposure that firms have with respect to these shocks. Our framework provides a unified explanation of the stylized features of the slope of the term structure of equity returns, its variations over the business cycle, and the negative relationship between cash-flow duration and expected returns in the cross section of book- to-market-sorted portfolios.
Book Synopsis What are the Global Sources of Rational Variation in International Equity Returns? by : Yin-Wong Cheung
Download or read book What are the Global Sources of Rational Variation in International Equity Returns? written by Yin-Wong Cheung and published by . This book was released on 1995 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
