Results 351 to 360 of about 2,832,843 (380)

Asset Returns and Measured Inflation

Journal of Money, Credit and Banking, 1994
This paper analyzes the inverse relationship between estimated real returns on assets and estimates of the expected rate of inflation that is commonly noted in the literature. The authors suggest that this puzzling relationship may be produced by an inappropriate application of currently published price indices to the problem of measuring asset returns.
Santoni, G J, Moehring, H Brian
openaire   +2 more sources

Multifractality in Asset Returns: Theory and Evidence [PDF]

Review of Economics and Statistics, 2002
This paper investigates the multifractal model of asset returns (MMAR), a class of continuous-time processes that incorporate the thick tails and volatility persistence exhibited by many financial time series. The simplest version of the MMAR compounds a Brownian motion with a multifractal time-deformation.
Laurent Calvet, Adlai Fisher
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Cash, investments and asset returns

Journal of Banking & Finance, 2009
Abstract We use an investment-based asset pricing model to examine the effect of firms’ investments relative to cash holdings on stock returns, assuming holding cash lowers transaction costs. We find that mimicking portfolios based on investments relative to non-cash capital and based on investments relative to cash capital are priced for various ...
Huang, Dayong, Wang, Fang
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Sunspots and predictable asset returns

Journal of Economic Theory, 2004
This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile.
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Labour Relations and Asset Returns

Review of Economic Studies, 2002
This paper proposes a dynamic GE model with standard business cycle properties that also achieves a satisfactory replication of the major financial stylized facts. We ride on two major ideas. First, we show that operating leverage, originating in the priority status of wage claims given the observed business cycle characteristics of the latter ...
Jean-Pierre Danthine, John B. Donaldson
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Returns to scale and asset prices

Journal of Business Finance & Accounting, 2019
AbstractThe q‐theory of investment is proposed to explain firm growth effects, where previous papers identify a negative effect of firm growth, including asset growth, real investment and net share issuance, on future stock returns. This paper uses returns to scale from the production function to test the dynamic q‐theory, which predicts that the firm ...
Chan, Konan, Chen, Hung-Kun, Wang, Yanzhi   +2 more
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Equilibrium Correlations of Asset Price and Return [PDF]

The Journal of Real Estate Finance and Economics, 2007
Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets.
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A Multifractal Model of Asset Returns [PDF]

, 1997
This paper presents the multifractal model of asset returns ("MMAR"), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well-known in finance.
Laurent Calvet, Adlai Fisher, Benoit Mandelbrot   +2 more
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Inflation and Asset Returns in a Monetary Economy

The Journal of Finance, 1992
ABSTRACTPostwar U.S. data are characterized by negative correlations between real equity returns and inflation and by positive correlations between real equity returns and money growth. These patterns are closely matched quantitatively by an equilibrium monetary asset pricing model.
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Optimal Trade‐in Return Policies: Is it Wise to be Generous?

Production and Operations Management, 2022
Kaiying Cao, Tsan-ming Choi
exaly