Journal ArticleDOI
Habit formation, the cross section of stock returns and the cash-flow risk puzzle☆
Tano Santos,Pietro Veronesi +1 more
TLDR
The authors show that in the absence of cross-sectional heterogeneity in firms' cash-flow risk, non-linear external habit persistence models produce a growth premium, that is, stocks with high price-to-fundamental ratios command a higher premium than stocks with low price-To-Fundamental ratios.About:
This article is published in Journal of Financial Economics.The article was published on 2010-11-01. It has received 182 citations till now. The article focuses on the topics: Equity premium puzzle & Value premium.read more
Citations
More filters
Journal ArticleDOI
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
Ravi Bansal,Dana Kiku,Amir Yaron +2 more
TL;DR: In this article, the authors provide an empirical evaluation of the Long-Run Risks (LRR) model and highlight important differences in the asset pricing implications of the LRR model relative to the habit model.
Journal ArticleDOI
On the timing and pricing of dividends
TL;DR: In this paper, the authors measure the prices of dividend strips to study the term structure of the equity risk premium and find that short-term and long-term dividends contribute proportionally more than the other.
Journal ArticleDOI
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
TL;DR: This paper found that exposure to the common factor in idiosyncratic volatility (CIV) in stock returns is indeed priced in the cross-section of U.S. stocks and that stocks that tend to appreciate when CIV rises earn relatively low average returns and thus appear to be valuable hedges.
Journal ArticleDOI
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence
TL;DR: In this paper, the authors argue that the CAPM may be a reasonable model for estimating the cost of capital for projects in spite of increasing empirical evidence in the literature against theCAPM based on stock returns.
References
More filters
Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Related Papers (5)
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Ravi Bansal,Amir Yaron +1 more