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作者：Branger, Nicole; Kraft, Holger; Meinerding, Christoph
作者单位：University of Munster; Goethe University Frankfurt; Goethe University Frankfurt
摘要：It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: we allow for consumption drops that can spark an economic crisis. This new feature generates a large equity premium even if possible consumption drops are of moderate size. In turn, our model also matches the consumption data of 42 countries along several dimensions. In parti...
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作者：Novy-Marx, Robert; Velikov, Mihail
作者单位：University of Rochester; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We study the after-trading-cost performance of anomalies and the effectiveness of transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent requirements for establishing positions than for maintaining them, is the most effective cost mitigation technique. Most anomalies with less than 50% turnover per month generate significant net spreads when designed to mitigate transaction costs; few with higher turnover do. The extent to which new capital reduces strategy ...
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作者：Eraker, Bjorn; Shaliastovich, Ivan; Wang, Wenyu
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Pennsylvania; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：High expected inflation is known to predict low future real growth. We show that, relative to nondurable goods sectors of the economy, such predictability is significantly more pronounced in durable sectors. Consistent with this macroeconomic evidence, the equity returns of durable goods-producing firms have a larger negative exposure to expected inflation risks. We estimate a two-good recursive utility model that features persistent growth fluctuations and inflation nonneutrality for durable ...
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作者：Favilukis, Jack; Lin, Xiaoji
作者单位：University of British Columbia; University System of Ohio; Ohio State University
摘要：In standard production models, wage volatility is far too high, and equity volatility is far too low. A simple modification-sticky wages because of infrequent resetting together with a constant elasticity of substitution (CES) production function leads to both smoother wages and higher equity volatility. Further, the model produces several other hard-to-explain features of financial data: high Sharpe ratios, low and smooth interest rates, time-varying equity volatility and premium, a value pre...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) suggests a shared story for several average-return anomalies. Specifically, positive exposures to RMW and CMA (stock returns that behave like those of profitable firms that invest conservatively) capture the high average returns associated with low market beta, share repurchases, and low stock return volatility. Conversely, negative RMW and CMA slopes (like those o...
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作者：Harvey, Campbell R.; Liu, Yan; Zhu, Heqing
作者单位：National Bureau of Economic Research; Duke University; Texas A&M University System; Texas A&M University College Station; University of Oklahoma System; University of Oklahoma - Norman
摘要：Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing significance. Which hurdle should be used for current research? Our paper introduces a new multiple testing framework and provides historical cutoffs from the first empirical tests in 1967 to today. A new factor needs to clear a much higher hurdle, with a t-statistic greater than 3.0. We argue that most clai...
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作者：Karolyi, G. Andrew
作者单位：Cornell University
摘要：The Review of Financial Studies has among its missions the facilitation and promotion of a vigorous academic debate across unsettled questions in finance. This special section of Volume 29, Number 1 consists of three studies on the cross-section of expected returns. To what extent are our inferences about certain anomalous patterns in the cross-section of expected returns related to biases and inefficiencies in our testing procedures? Are all factor discoveries equally important? Do some propo...
