Results 101 to 110 of about 16,345 (198)
The expected inflation risk premium in the U.S. stock market
Journal of Financial Research, EarlyView.Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau +2 more
wiley +1 more source
Investor sentiment and stock market returns: A comparative analysis of mood, word, and trade
Journal of Financial Research, EarlyView.Abstract We examine and compare the return predictability of mood‐, word‐, and trade‐based sentiment measures across 18 international stock markets. Empirical results reveal that the trade‐based measure performs strongly across many settings; the word‐based measure contributes important complementary information, including in cases where the trade ...
Lan Xiang, Wenzhao Wang
wiley +1 more source
Borrower‐lender political homophily and loan characteristics
Journal of Financial Research, EarlyView.Abstract This study investigates political homophily between the top executives of borrowers and lenders. We observe a high level of political homophily between borrowers' and lenders' management teams, with a one‐standard‐deviation increase in homophily associated with an increase in spreads of approximately 126 basis points.
Abdulaziz A. Alshamrani +2 more
wiley +1 more source
The Effects of Regulatory Office Closures on Bank Behavior
Journal of Money, Credit and Banking, EarlyView.Abstract We investigate if the decentralized structure of regulatory office networks influences supervisory outcomes and bank behavior. Following the closure of an office, banks previously supervised by that office increase their lending and risk‐taking.
IVAN LIM, JENS HAGENDORFF, SETH ARMITAGE
wiley +1 more source
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
Countercyclical Return Expectations: Evidence from the Livingston Survey
Journal of Money, Credit and Banking, EarlyView.Abstract This paper shows that forecasts from professional economists in the Livingston survey imply countercyclical variation in expected excess returns on U.S. stocks. These expectations are approximately rational and strongly positively correlated with expected excess returns from the log‐utility investor of Martin (2017), the habit model of ...
STIG V. MØLLER +3 more
wiley +1 more source
A new method for estimating Sharpe ratio function via local maximum likelihood. [PDF]
J Appl StatXu W, Lin H, Tong T, Zhang R.
europepmc +1 more source
Journal of Economic Surveys, EarlyView.ABSTRACT This article summarizes the evolution of portfolio theory from mean–variance optimization to AI‐augmented investment systems. Rather than treating portfolio models as isolated techniques, it organizes the literature as a sequence of responses to different forms of uncertainty: variance, systematic risk, expected‐return estimation error ...
Xuan Feng, Sofia Yang
wiley +1 more source
Journal of Economic Surveys, EarlyView.ABSTRACT This survey interprets the evolution of quantitative equity investing as a history of changing constraints rather than a succession of increasingly complicated forecasting models. Portfolio theory made diversification calculable; characteristic‐based investing converted value, momentum, profitability, and low‐risk effects into scalable ...
Xuan Feng, Julio P. Cardozo, Dehua Xia
wiley +1 more source
Nature-inspired multi-objective artificial intelligence for short-horizon volatility-regime early warning and defensive asset allocation. [PDF]
Front Artif IntellBoukeffa H, Djeffal S, Ghoul A.
europepmc +1 more source