Download or read book COVID 19 and the Cross section of Equity Returns written by Lorenzo Bretscher and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cross section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cross Section of Stock Returns written by Dasgupta and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cross Section of Stock Returns written by Stijn Claessens and published by . This book was released on 2016 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several factors besides m ...

Download or read book The Cross Section of Stock Returns Evidence from Emerging Markets written by Susmita Dasgupta and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The COVID 19 Impact on Corporate Leverage and Financial Fragility written by Sharjil M. Haque and published by International Monetary Fund. This book was released on 2021-11-05 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is stronger for firms exposed to significant rollover risk, while firms whose businesses were most vulnerable to social distancing did not reduce leverage. We rationalize our evidence through a structural model of firm value that shows lower expected growth rate and higher volatility of cash flows following COVID-19 reduced optimal levels of corporate leverage. Model-implied optimal leverage indicates firms which did not de-lever became over-leveraged. We find default probability deteriorates most in large, over-leveraged firms and those that were stressed pre-COVID. Additional stress tests predict value of these firms will be less than one standard deviation away from default if cash flows decline by 20 percent.

Download or read book Crisis stock Factors and the Cross section of Global Equity Returns written by Charles Calomiris and published by . This book was released on 2010 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investment and The Cross Section of Equity Returns written by Gian Luca Clementi and published by . This book was released on 2015 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: When the neoclassical model of investment is serious about investment, it fails to replicate elementary cross-sectional features of equity returns. Without leverage, the model produces a value discount -- i.e. value firms earn lower returns than growth firms. With large enough operating leverage, a value premium emerges, but its magnitude is always smaller than the size premium's. Furthermore, when parameters are set to match key moments of the cross-sectional distribution of investment and the average book-to-market ratio, the value premium is minuscule -- about one order of magnitude smaller than found in the data. This result holds true for different specifications of the stochastic discount factor and does not depend upon the magnitude of capital adjustment costs.

Download or read book Financial Markets and the Macroeconomy written by Carl Chiarella and published by Routledge. This book was released on 2009-06-02 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.

Download or read book Does Realized Skewness Predict the Cross section of Equity Returns written by and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Coronavirus Disease COVID 19 The Impact on Psychology of Sustainability Sustainable Development and Global Economy written by Muddassar Sarfraz and published by Frontiers Media SA. This book was released on 2022-02-28 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility and the Cross Section of Equity Returns written by Ruslan Goyenko and published by . This book was released on 2020 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of papers document a strong negative relation between idiosyncratic volatility and risk-adjusted stock returns. Using IHS Markit data on indicative borrowing fees, we show that stocks with high idiosyncratic volatility are far more likely to be hard-to-borrow than stocks with low idiosyncratic volatility. When hard-to-borrow stocks are excluded, the relation between idiosyncratic volatility and stock returns disappears. The relation between idiosyncratic volatility and stocks returns is more accurately described as a relation between being hard-to-borrow and stock returns.

Download or read book Cross Section of Equity Returns written by Bumjean Sohn and published by . This book was released on 2012 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: We discuss the nature of risk valid factors should represent. The Campbell's (1993) ICAPM extended with heteroskedastic asset returns guides us to identify the risk; we show that many of empirically well-established factors contain information about the future changes in the investment opportunity set and that is why these factors are strongly priced across assets. Specifically, we show that size, momentum, liquidity (trading strategy based factors), industrial production growth, and inflation (macroeconomic factors) factors as well as both short- and long-run market volatility factors are significantly priced because they all have information about the changes in the future market volatility which characterizes the future investment opportunity set in our model. The time-series studies show that the above-mentioned factors do predict the market volatility and the cross-sectional studies show that these factors are priced due to their predictability on the future market volatility. Both studies are consistent and strongly support the relationship between the stock market volatility and the priced factors. By revealing the nature of risk the empirically well-established factors represent, we provide an explanation why we observe so many empirically strong factors in the literature.

Download or read book The Economics of COVID 19 written by Badi H. Baltagi and published by Emerald Group Publishing. This book was released on 2022-06-01 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Economics of COVID-19 contains selected contributions analysing the effects of the global pandemic on macroeconomics, computable general equilibrium models and financial markets, as well as health studies proposing to improve the traditional epidemic models.

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.

Download or read book The Cross Section of Common Stock Returns written by Gabriel Hawawini and published by . This book was released on 1999 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equity Risks and the Cross section of Stock Returns written by Yan Geng and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: