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Distribution Risk and Equity Returns [PDF]
SSRN 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
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Uncovered return parity: Equity returns and currency returns
Journal of International Money and Finance, 2022Nous 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
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The Predictability of Equity REIT Returns [PDF]
Journal of Real Estate Research, 1998 This study examines the predictability of monthly returns on equity real estate investment trusts (EREITs) over the period 1975-95 and compares it with that for small-and mid-cap firms.
Edward Nelling, Joseph Gyourko
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Equity Issues and Return Volatility*
Review of Finance, 2012We 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
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CDO Equity Returns and Return Correlation
The Journal of Structured Finance, 2004Equity in a collateralized debt obligation (CDO), called? CDO equity,? ?preferred shares,? or? preference shares,? represents a residual interest in the cash flow of the CDO9s assets. CDO equity holders receive the difference between the cash flow of the CDO9s assets and the cash flow necessary to pay the CDO9s expenses and service its debt ...
Frank J. Fabozzi +2 more
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Product Market Competition and Equity Returns [PDF]
SSRN Electronic Journal, 2009 We develop an analytically tractable equilibrium model to examine the link between competition in product markets and stock returns. Firms maximize pro fits from the sale of their products to consumers. Investors receive firm profi ts as investment returns.
Masahiro Watanabe, Evgeny Lyandres
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The Pricing of Italian Equity Returns
Economic Notes, 2000In this paper, we investigate the relationship between common risk factors and average returns for Italian stocks. Our research has identified the Italian stock market's economic variables by using the results from factor analyses and time series regressions.We study several multi‐factor models combining the relevant macroeconomic variables with the ...
GOTTARDO, PIETRO, ALEATI A, MURGIA M.
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Factorization of Equity Returns
SSRN Electronic Journal, 1999The relative return of an equity portfolio with respect to the market is factored into three components. The factorization separates the eects due to change in the distribution of capital in the market, to change in rank of the stocks in the portfolio, and to dividends.
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