Social sensitivity and expected returns: robustness
Informed Trading and Expected Returns
... using returns over a longer time horizon are less likely to have actually been earned by institutions, since the position is more likely to have been altered before the returns period has ...for ...
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Expected returns and expected erowth in rents of commercial real estate
... estate returns and rent ...estate returns and rent growth implied by the structural ...the robustness of our results to the inclusion of other cross-sectional determinants of commercial real estate ...
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Cross-sectional dispersion and expected returns
... 4.3 Robustness In this Section we further investigate the robustness of our ...mean returns and alphas (risk-adjusted returns, estimated as in Section ...first robustness check refers ...
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Factor-Loading Uncertainty and Expected Returns
... a robustness test of our main prediction, we report results from repeating the analysis in Tables 2 and 3 using simple ...log returns tests this specification directly, the main intuition of Proposition 1 ...
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Cross-Sectional Dispersion and Expected Returns
... As was mentioned in Section 3, we use the first difference of the cross-sectional dispersion series as our aggregate risk factor because the level variable CSD is highly serially correlated. We investigate the ...
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The Expected Returns and Valuations of. Private and Public Firms
... investment returns across all industries In this section, we present the results of cross sectional Fama MacBeth regressions for the entire sample of 459 ...investment returns, with a coe¢ cient of ...
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Implied volatility spreads and expected market returns
... several robustness checks to see whether the main …nding of the paper remains ...and expected returns is due to volatility spreads acting as a proxy for conditional ...
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Expected Returns and Expected Dividend Growth
... for Social Research, New York University, SUNY Albany, the University of Iowa, the University of Maryland, the University of Montreal, Yale, the SITE 2001 summer conference, the CEPR Summer 2002 Finance Symposium ...
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On the robustness of the positive relation between expected idiosyncratic volatility and expected return
... and Expected Return”+ by Fink, Fink, and He of James Madison University (Henceforth ...daily returns (which I also report in my 2009 JFE paper), but fail to find a significantly positive relation between ...
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The Cross-Section of Volatility and Expected Returns
... and expected returns, where idiosyncratic volatility is defined relative to the standard Fama and French (1993) ...the sensitivity of stocks to aggregate volatility times the movement in aggregate ...
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Investment-Based Expected Stock Returns
... ‡ Finance Department, Stephen M. Ross School of Business, University of Michigan, 701 Tappan Street, R 4336, Ann Arbor MI 48109-1234; and NBER. Tel: (734) 615-4854, fax: (734) 936-0282, and e-mail: [email protected]. ...
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Skewness, idiosyncratic volatility and expected returns
... the returns of highly volatile ...future returns for individual ...whether sensitivity to a factor, which is a return of a portfolio as opposed to a measure of skewness, can help explain the low ...
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Proving expected sensitivity of probabilistic programs
... Selsam et al. 2017 ]. Rapid Mixing for Population Dynamics. Randomized algorithms are a useful tool for modeling biological and social phenomena (see, e.g., Jansen [ 2013 ]). They can be used to analyze population ...
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Robustness and sensitivity analysis of risk measurement procedures
... via sensitivity func- ...the robustness, in the statistical sense, of its commonly used ...of sensitivity, which allow to quantify the robustness of various risk measures with respect to the ...
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Robustness and sensitivity analysis of risk measurement procedures
... the robustness of risk measurement procedures and their sensitivity to changes in the data ...and robustness of risk measurement procedures and show that the same risk measure may exhibit quite ...
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Expectations of Returns and Expected Returns
... percentage expected return, and Shiller measures the fraction of surveyed investors who report positive expected ...stock returns, the log dividend-price ratio, Lettau and Ludvigson’s (2001) ...
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Expectations of Returns and Expected Returns
... of returns because market prices adjust to whatever expectations about fundamentals investors ...of returns are ...market returns only change based on perceived changes in ...
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Earnings and Expected Returns
... As can be seen in Table A, these different measures of the lagged payout ratio had little effect on the qualitative conclusions about yields, payouts, and returns.@ Notice that using E,,[r] ...
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Expected Option Returns
... option returns conform to our weakest assumptions about asset pricing, they appear to be too low to be consistent with the assumption that options are redundant ...weekly returns that are two to three ...
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Robustness and sensitivity of risk evaluations
... studying sensitivity analyses, different levels of mathematical notation may be required, rendering it necessary to refine specific ...of robustness. This trade-off between robustness and consistent ...
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