Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Ilan Cooper"'
Publikováno v:
Journal of Money, Credit and Banking. 54:73-118
I propose a new risk-based explanation of momentum. I derive a simple two-factor asset pricing model, which contains the market return and stock return dispersion (RD) as risk factors. This model offers a large fit for portfolios sorted on momentum a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::62caaf70e24a872e96df270d8908d27e
https://doi.org/10.1111/jmcb.12823
https://doi.org/10.1111/jmcb.12823
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::77f495dbd580ec70d80f6ed8d589a5cd
https://doi.org/10.2139/ssrn.4146721
https://doi.org/10.2139/ssrn.4146721
Publikováno v:
Review of asset pricing studies, 2021, Vol.11(2), pp.402-444 [Peer Reviewed Journal]
We examine the consistency of several prominent multifactor models from the empirical asset pricing literature with the arbitrage pricing theory (APT) framework. We follow the APT-related literature and estimate the common factor structure from a ric
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::020235d66ec3ad71d93acf757d3700ac
http://dro.dur.ac.uk/31932/1/31932.pdf
http://dro.dur.ac.uk/31932/1/31932.pdf
Publikováno v:
SSRN Electronic Journal.
We study a production-based present-value relation that implies that fluctuations in the marginal profit-to-marginal Q ratio (mq) are driven by variations in the expected growth of marginal profits (cash-flow channel), expected investment return chan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c93b867a85735f6b99c13e9dcd45e3c7
https://doi.org/10.2139/ssrn.3820588
https://doi.org/10.2139/ssrn.3820588
Publikováno v:
Management science
Technology choice allows for substitution of production across states of nature and depends on state-dependent risk aversion. In equilibrium, endogenous technology choice can counter a persistent negative productivity shock with an increase in invest
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c76b8c75fd2d8957f75eb610664f468c
https://hdl.handle.net/11250/3067836
https://hdl.handle.net/11250/3067836
Autor:
Ilan Cooper, Paulo F. Maio
Publikováno v:
Management science
We show that recent prominent equity factor models are to a large degree compatible with the Intertemporal CAPM (ICAPM) framework. Factors associated with alternative profitability measures forecast the equity premium in a way that is consistent with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d8a751e43110f29af637834a5fcd0535
http://hdl.handle.net/11250/2631471
http://hdl.handle.net/11250/2631471
Autor:
Ilan Cooper, Paulo F. Maio
Publikováno v:
Journal of Financial and Quantitative Analysis
We estimate conditional multifactor models over a large cross section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (HXZ) (2015) a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eca6110d8c5069a5bab6b9d637e3f0e6
http://hdl.handle.net/11250/2607759
http://hdl.handle.net/11250/2607759
Publikováno v:
Journal of empirical finance, 2018, Vol.49, pp.142-156 [Peer Reviewed Journal]
While positive, long-run abnormal returns following share repurchase announcements are substantially lower when CEOs are overconfident. This effect is particularly strong for (i) difficult to value firms, such as small, young, non-dividend paying, di
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b56f6a03048ce2dab86ab6a4201bfa4
http://hdl.handle.net/11250/2569719
http://hdl.handle.net/11250/2569719
Publikováno v:
SSRN Electronic Journal.
A dynamic present-value relation implies that fluctuations in the marginal profit of capital to the marginal Q ratio (mq) are driven by shocks to expected growth of the marginal profit of capital (cash-ow channel), investment return shocks (discount-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::98e79cd986863fb50a81a75784e365fb
https://doi.org/10.2139/ssrn.2940214
https://doi.org/10.2139/ssrn.2940214
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5bb3d24af59344d5efa25c35ca0b0e26
https://doi.org/10.2139/ssrn.3046030
https://doi.org/10.2139/ssrn.3046030