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on Risk Management |
| By: | Wayne E. Ferson; Andrea Heuson; Tie Su |
| Abstract: | This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important. |
| JEL: | G1 G11 G12 G14 |
| Date: | 2005–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11021&r=rmg |
| By: | Enrico Scalas (Universita' del Piemonte Orientale, Alessandria, Italy) |
| Abstract: | This paper is a short review on the application of continuos-time random walks to Econophysics in the last five years. |
| Keywords: | Duration; Continuous-time random walk; Fractional calculus; Statistical finance |
| JEL: | G |
| Date: | 2005–01–11 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpfi:0501005&r=rmg |
| By: | Randolph B. Cohen; Christopher Polk; Tuomo Vuolteenaho |
| Abstract: | Modigliani and Cohn [1979] hypothesize that the stock market suffers from money illusion, discounting real cash flows at nominal discount rates. While previous research has focused on the pricing of the aggregate stock market relative to Treasury bills, the money-illusion hypothesis also has implications for the pricing of risky stocks relative to safe stocks. Simultaneously examining the pricing of Treasury bills, safe stocks, and risky stocks allows us to distinguish money illusion from any change in the attitudes of investors towards risk. Our empirical resuts support the hypothesis that the stock market suffers from money illusion. |
| JEL: | G12 G14 N22 |
| Date: | 2005–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11018&r=rmg |