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Distribution Risk and Equity Returns [PDF]

open access: possibleSSRN Electronic Journal, 2006
In this chapter we entertain the hypothesis that observed variations in income shares are the result of changes in the balance of power between workers and capital owners in labor relations. We show that this view implies that income share variations represent a risk factor of first-order importance for the owners of capital and, consequently, are a ...
Jean-Pierre Danthine   +4 more
openaire   +4 more sources
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Uncovered return parity: Equity returns and currency returns

Journal of International Money and Finance, 2022
Nous proposons une condition de parité des rendements sans couverture anticipés pour les taux de change bilatéraux au comptant. Cette condition implique que les équations de taux de change unilatéral sont mal spécifiées et que les rendements des actions influent également sur les taux de change. Les régressions de Fama tendent à montrer que l’hypothèse
Djeutem, Edouard, Dunbar, Geoffrey
openaire   +2 more sources

Equity Issues and Return Volatility*

Review of Finance, 2012
We show that the repurchaser--issuer return spread is stronger among stocks with high return volatility. Rational and behavioral theories predict that this finding is the product of risk volatility and sentiment volatility, respectively. However, our results are inconsistent with these theories as they currently stand. Loadings on standard risk factors
Larraín Cruzat, Francisco de Borja   +1 more
openaire   +4 more sources

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