Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield [PDF]
In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing ...
Ane Tamayo, Jay Shanken
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PENGARUH BUYBACK SAHAM, PROFITABILITAS DAN FIRM SIZE TERHADAP HARGA SAHAM PADA PERUSAHAAN GO PUBLIC DI BURSA EFEK INDONESIA DENGAN DIVIDEND YIELD SEBAGAI VARIABEL MEDIATING PADA PERIODE 2012-2014 [PDF]
, 2016 This study examines the influence of buyback, profitability (ROE), firm size, and dividend yield variables toward company share prices t(+1) which listed in Indonesian Stock Exchange (BEI) during the period of 2012-2014.
Kusumawardhani, Amie +2 more
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A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Time-Varying Risk Premia in the Foreign Currency Futures Basis [PDF]
Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets.
Christopher F. Baum, John Barkoulas
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Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums
Journal of Futures Markets, EarlyView.ABSTRACT By decomposing West Texas Intermediate futures price changes into structural supply and demand shocks, this paper shows that dissecting the oil price significantly improves inflation forecasts. Empirically, demand‐driven shocks predict a negative real bond risk premium but a positive inflation risk premium; these opposing effects result in an ...
Haibo Jiang
wiley +1 more source
Impact of dividend policy on shareholders wealth and firm performance in Pakistan
Cogent Business & Management, 2017 In the field of corporate finance the question as to whether dividend policy affects the shareholders wealth still remains unresolved. The objective of this research paper is to establish the impact of dividend policy on shareholders’ wealth and firm ...
Khadija Farrukh +4 more
doaj +1 more source
Predicting the Equity Premium With Dividend Ratios [PDF]
Our paper reexamines the forecasting regressions which predict annual aggregate stock market returns net of the risk-free rate with lagged aggregate dividend-yield ratios and dividend-price ratios.
Amit Goyal, Ivo Welch
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Reporting ESG Initiatives and Gender Diversity in Germany: Implications for Stock Liquidity
International Journal of Finance &Economics, EarlyView.ABSTRACT Adopting multiple theoretical perspectives, this study separately and jointly examines the impacts of reporting Environmental, Social, and Governance (ESG) initiatives and gender diversity in boardrooms on corporate stock liquidity. Using a sample of non‐financial firms listed on the Frankfurt CDAX from 2010 to 2023, the study investigates ...
Ahmed Hassanein, Nader Elsayed
wiley +1 more source
Inflation Illusion and Stock Prices [PDF]
We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating ...
John Y. Campbell, Tuomo Vuolteenaho
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Stock Return Predictability by using Market Ratio, Trading Volume, and Stock Variance [PDF]
, 2017 The objective of this research is to examine the effect of financial ratios, such as book-to-market ratio, dividend-yield ratio, dividend-price ration, dividend-payout ratio, earnings-to-price ratio, cash flow-to-price ratio, trading volume, and stock ...
Murhadi, Werner Ria +2 more
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