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Stock (geology)

About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.


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Journal ArticleDOI
TL;DR: In this paper, a vector autoregressive method is used to break unexpected stock returns into two components, i.e., changes in expected future dividends or expected future returns, and the covariance of the two components.
Abstract: This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns. A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of unexpected returns is attributed to the variance of changing expected dividends, one-third to the variance of changing expected returns, and one-third to the covariance of the two components. Changing expected returns have a large effect on stock prices because they are persistent: a 1 percent innovation in the expected return is associated with a 4 or 5 percent capital loss. Changes in expected returns are negatively correlated with changes in expected dividends, increasing the stock market reaction to dividend news. In the period 1952-88, changing expected returns account for larger fraction of stock return variation than they do in the period 1927-51. Copyright 1991 by Royal Economic Society.

1,361 citations

Posted Content
TL;DR: This paper used an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns and found that in the presence of human capital or stock market mean reversion, the coefficient of relative risk aversion is much higher than the price of stock market risk.
Abstract: This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns. Priced factors include the return on a stock index, revisions in forecasts of future stock returns (to capture intertemporal hedging effects), and revisions in forecasts of future labor income growth (proxies for the return on human capital). Aggregate stock market risk is the main factor determining excess returns; but in the presence of human capital or stock market mean reversion, the coefficient of relative risk aversion is much higher than the price of stock market risk.

1,352 citations

Journal ArticleDOI
TL;DR: In this article, the authors show that despite negative autocorrelation in individual stock returns, weekly portfolio returns are strongly positively auto-correlated and are the result of important cross-autocorrelations.
Abstract: If returns on some stocks systematically lead or lag those of others, a portfolio strategy that sells "winners" and buys "losers" can produce positive expected returns, even if no stock's returns are negatively autocorrelated as virtually all models of overreaction imply. Using a particular contrarian strategy, the authors show that, despite negative autocorrelation in individual stock returns, weekly portfolio returns are strongly positively autocorrelated and are the result of important cross-autocorrelations. The authors find that the returns of large stocks lead those of smaller stocks, and present evidence against overreaction as the only source of contrarian profits. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

1,351 citations

Journal ArticleDOI
TL;DR: In this article, the authors examined the stock price effects of security offerings and investigated the nature of information inferred by investors from offering announcements, finding that changes in share price are unrelated to characteristics of offerings such as the net amount of new financing, relative offering size, and the quality rating of debt issues.

1,334 citations

Journal ArticleDOI
TL;DR: The authors used an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns and found that in the presence of human capital or stock market mean reversion, the coefficient of relative risk aversion is much higher than the price of stock market risk.
Abstract: This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns. Priced factors include the return on a stock index, revisions in forecasts of future stock returns (to capture intertemporal hedging effects), and revisions in forecasts of future labor income growth (proxies for the return on human capital). Aggregate stock market risk is the main factor determining excess returns; but in the presence of human capital or stock market mean reversion, the coefficient of relative risk aversion is much higher than the price of stock market risk.

1,329 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202237
20211,825
20201,882
20191,697
20181,539
20171,706