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Expected returns, yield spreads, and asset pricing tests

Citations

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Cited by:

  1. Jäckel, Christoph, 2013. "Model uncertainty and expected return proxies," MPRA Paper 51978, University Library of Munich, Germany.
  2. Hett, Florian & Schmidt, Alexander, 2017. "Bank rescues and bailout expectations: The erosion of market discipline during the financial crisis," Journal of Financial Economics, Elsevier, vol. 126(3), pages 635-651.
  3. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
  4. Mishra, Dev R. & O’Brien, Thomas J., 2019. "Fama-French, CAPM, and implied cost of equity," Journal of Economics and Business, Elsevier, vol. 101(C), pages 73-85.
  5. Jens Hilscher & Mungo Wilson, 2011. "Credit ratings and credit risk," Working Papers 31, Brandeis University, Department of Economics and International Business School.
  6. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February.
  7. Dötz, Niko, 2014. "Decomposition of country-specific corporate bond spreads," Discussion Papers 37/2014, Deutsche Bundesbank.
  8. Hernán Ortiz-Molina & Gordon M. Phillips, 2010. "Asset Liquidity and the Cost of Capital," NBER Working Papers 15992, National Bureau of Economic Research, Inc.
  9. Bekaert, Geert & De Santis, Roberto A., 2021. "Risk and return in international corporate bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  10. Baek, Seungho & Bilson, John F.O., 2015. "Size and value risk in financial firms," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 295-326.
  11. van Zundert, Jeroen & Driessen, Joost, 2022. "Stocks versus corporate bonds: A cross-sectional puzzle," Journal of Banking & Finance, Elsevier, vol. 137(C).
  12. Hett, Florian & Kasinger, Johannes, 2017. "Undermined market discipline: The role of bank rescues and bailout expectations," SAFE Policy Letters 59, Leibniz Institute for Financial Research SAFE.
  13. Robert Amano & Malik Shukayev, 2012. "Risk Premium Shocks and the Zero Bound on Nominal Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1475-1505, December.
  14. Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017. "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 19-35.
  15. Bradley, Daniel & Pantzalis, Christos & Yuan, Xiaojing, 2016. "Policy risk, corporate political strategies, and the cost of debt," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 254-275.
  16. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
  17. Anginer, Deniz & Yildizhan, Celim, 2009. "Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns," MPRA Paper 53885, University Library of Munich, Germany, revised 23 Apr 2013.
  18. Deniz Anginer & Çelim Yıldızhan, 2018. "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, vol. 22(2), pages 633-660.
  19. Christoph Kaserer, 2022. "Estimating the market risk premium for valuations: arithmetic or geometric mean or something in between?," Journal of Business Economics, Springer, vol. 92(8), pages 1373-1415, October.
  20. Manju Tripathi & Smita Kashiramka & P. K. Jain, 2018. "Equity Risk Premium in India: Comparative Estimates from Historical Returns, Dividend and Earnings Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 136-156, April.
  21. Gehrig, Thomas & Füss, Roland & Rindler, Philipp B, 2011. "Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?," CEPR Discussion Papers 8714, C.E.P.R. Discussion Papers.
  22. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
  23. Gene Amromin & Steven A. Sharpe, 2005. "From the horse’s mouth: gauging conditional expected stock returns from investor surveys," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  24. Wu, Liuren, 2018. "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 183-197.
  25. Min, Byoung-Kyu & Kim, Tong Suk, 2016. "Momentum and downside risk," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 104-118.
  26. Kevin XD Huang & Nam T Vu, 2019. "Rare but Long-lasting Liquidity Traps and Fiscal Stimulus," Vanderbilt University Department of Economics Working Papers 19-00014, Vanderbilt University Department of Economics.
  27. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  28. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  29. Nils Friewald & Florian Nagler & Christian Wagner, 2022. "Debt Refinancing and Equity Returns," Journal of Finance, American Finance Association, vol. 77(4), pages 2287-2329, August.
  30. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
  31. Tobias Schlueter & Soenke Sievers, 2014. "Determinants of market beta: the impacts of firm-specific accounting figures and market conditions," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 535-570, April.
  32. Song Han & Xing Zhou, 2014. "Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction," Management Science, INFORMS, vol. 60(3), pages 675-694, March.
  33. Jens Hilscher & Mungo Wilson, 2017. "Credit Ratings and Credit Risk: Is One Measure Enough?," Management Science, INFORMS, vol. 63(10), pages 3414-3437, October.
  34. Florian Hett & Alexander Schmidt, 2013. "Bank Bailouts and Market Discipline: How Bailout Expectations Changed During the Financial Crisis," Working Papers 1305, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 01 Aug 2013.
  35. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
  36. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
  37. Huang, Lin & Wu, Jia & Zhang, Rui, 2014. "Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model," Emerging Markets Review, Elsevier, vol. 21(C), pages 96-116.
  38. Qinghua Wang & Yaning Zhou & Li Luo & Junping Ji, 2019. "Research on the Factors Affecting the Risk Premium of China’s Green Bond Issuance," Sustainability, MDPI, vol. 11(22), pages 1-14, November.
  39. Jens Dick‐Nielsen & Jacob Gyntelberg & Christoffer Thimsen, 2022. "The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts," Journal of Finance, American Finance Association, vol. 77(5), pages 2577-2611, October.
  40. Matthias Fleckenstein & Francis A. Longstaff, 2023. "Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market," Journal of Finance, American Finance Association, vol. 78(1), pages 389-425, February.
  41. Jin (Ginger) Wu & Lu Zhang & X. Frank Zhang, 2010. "The q‐Theory Approach to Understanding the Accrual Anomaly," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 177-223, March.
  42. Jim Kyung-Soo Liew & Ahmad Ajakh, 2020. "Volatility-Adjusted 60/40 versus 100—New Risk Investing Paradigm," JRFM, MDPI, vol. 13(9), pages 1-6, August.
  43. Xin Liu & Shang-Jin Wei & Yifan Zhou, 2020. "A Liberalization Spillover: From Equities to Loans," NBER Working Papers 27305, National Bureau of Economic Research, Inc.
  44. Seungho Baek & Jeong Wan Lee & Kyong Joo Oh & Myoungji Lee, 2020. "Yield curve risks in currency carry forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 651-670, April.
  45. Gene Amromin & Steven A. Sharpe, 2009. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  46. Yufeng Han, 2011. "On the relation between the market risk premium and market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1711-1723.
  47. Julien Pénasse, 2022. "Understanding Alpha Decay," Management Science, INFORMS, vol. 68(5), pages 3966-3973, May.
  48. Shen, Carl Hsin-han & Zhang, Hao, 2020. "What's good for you is good for me: The effect of CEO inside debt on the cost of equity," Journal of Corporate Finance, Elsevier, vol. 64(C).
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