32 research outputs found
Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
This paper decomposes the overall market (CAPM) risk into parts re.ecting uncertainty related to the long-run dynamics of portfolio-speci.c and market cash .ows and discount rates. We decompose market betas into four sub-betas (as- sociated with assets.and market.s cash .ows and discount rates) and we employ a discrete time version of the I-CAPM to derive a four-beta model. The model performs well in pricing average returns on single- and double-sorted portfolios ac- cording to size, book-to-market, dividend-price ratios and past risk, by producing high estimates for the explained cross-sectional variation in average returns and economically and statistically acceptable estimates for the coe¢ cient of relative risk aversion.CAPM, cash-.ow risk,discount-rate risk, VAR-GARCH,BEKK, asset pricing
Long-run neutrality and superneutrality in an ARIMA framework A note
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Money, long-run superneutrality and real equity prices
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Shocks, risk and the predictive power of long bond yields for future inflation
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An infinitely divisible distribution in financial modelling
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Explaining the stochastic trend in velocity of money
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Excess stock returns and news Evidence from European markets
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International stock return differentials and real exchange rate changes
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Is equity a hedge against inflation in the long run? Evidence from G5
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