Results 1 - 10 of 9,324

Expected stock returns and volatility

by Kenneth R. French, G. William Schwert, Robert F. Stambaugh - Journal of Financial Economics , 1987
"... This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evid ..."
Abstract - Cited by 716 (10 self) - Add to MetaCart
This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also

Stock Returns and the Term Structure

by John Y. Campbell, James Tobin - Journal of Financial Economics , 1987
"... (Article begins on next page) The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters. ..."
Abstract - Cited by 570 (26 self) - Add to MetaCart
(Article begins on next page) The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters.

Liquidity Risk and Expected Stock Returns

by Lubos Pastor, Robert F. Stambaugh , 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract - Cited by 629 (6 self) - Add to MetaCart
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock

The cross-section of expected stock returns

by Eugene F. Fama, Kenneth R. French - Journal of Finance , 1992
"... Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at ..."
Abstract - Cited by 2049 (25 self) - Add to MetaCart
Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at

Option pricing when underlying stock returns are discontinuous

by Robert C. Merton - Journal of Financial Economics , 1976
"... The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying ..."
Abstract - Cited by 1001 (3 self) - Add to MetaCart
stock return dynamics can be described by a stochastic process with a continuous sample path. In this paper, an option pricing formula is derived for the more-general cast when the underlying stock returns are gcncrated by a mixture of both continuous and jump processes. The derived formula has most

Using Daily Stock Returns: The Case of Event Studies

by Stephen J. Brown, Jerold B. Warner - Journal of Financial Economics , 1985
"... This paper examines properties of daily stock returns and how the particular characteristics of these data affect event study methodologies. Daily data generally present few difficulties for event studies. Standard procedures are typically well-specified even when special daily data characteris-tics ..."
Abstract - Cited by 805 (3 self) - Add to MetaCart
This paper examines properties of daily stock returns and how the particular characteristics of these data affect event study methodologies. Daily data generally present few difficulties for event studies. Standard procedures are typically well-specified even when special daily data characteris

Illiquidity and stock returns: cross-section and time-series effects,

by Yakov Amihud - Journal of Financial Markets , 2002
"... Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return-illiquidity relationship. Also, stock ret ..."
Abstract - Cited by 864 (9 self) - Add to MetaCart
Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return-illiquidity relationship. Also, stock

Consumption, Aggregate Wealth, and Expected Stock Returns

by Martin Lettau, Sydney Ludvigson - THE JOURNAL OF FINANCE • VOL. LVI, NO. 3 • JUNE 2001 , 2001
"... This paper studies the role of fluctuations in the aggregate consumption–wealth ratio for predicting stock returns. Using U.S. quarterly stock market data, we find that these fluctuations in the consumption–wealth ratio are strong predictors of both real stock returns and excess returns over a Treas ..."
Abstract - Cited by 321 (23 self) - Add to MetaCart
This paper studies the role of fluctuations in the aggregate consumption–wealth ratio for predicting stock returns. Using U.S. quarterly stock market data, we find that these fluctuations in the consumption–wealth ratio are strong predictors of both real stock returns and excess returns over a

Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics

by Brad M. Barber, John D. Lyon - Journal of Financial Economics , 1997
"... We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified (em ..."
Abstract - Cited by 548 (9 self) - Add to MetaCart
We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified

Stock return predictability: Is it there?

by Andrew Ang, Geert Bekaert , 2001
"... We ask whether stock returns in France, Germany, Japan ... by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables. We find the short ..."
Abstract - Cited by 127 (5 self) - Add to MetaCart
We ask whether stock returns in France, Germany, Japan ... by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables. We find
Results 1 - 10 of 9,324