Carry

Autor: Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen, Evert B. Vrugt

Publikováno v: Journal of Financial Economics, 127(2), 197-225. Elsevier
Koijen, R S J, Moskowitz, T J, Pedersen, L H & Vrugt, E B 2018, ' Carry ', Journal of Financial Economics, vol. 127, no. 2, pp. 197-225 . https://doi.org/10.1016/j.jfineco.2017.11.002

We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its “carry,” an ex-ante and model-free characteristic, and its expected price appreciation

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::891325b4a68bcb82d620c9e63c51a34e
https://doi.org/10.1016/j.jfineco.2017.11.002

A Demand System Approach to Asset Pricing

Autor: Ralph S.J. Koijen, Motohiro Yogo

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::443a90d2067290ae78867a750269774e
https://doi.org/10.3386/w21749

The Term Structure of Returns: Facts and Theory

Autor: Jules H. van Binsbergen, Ralph S.J. Koijen

We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market. The returns on short-term dividend claims are risk

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______645::3cfdf1799d6991affa5462141bab7e47
http://www.nber.org/papers/w21234.pdf

Carry

Autor: Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen, Evert B. Vrugt

A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______645::635efdc8f242fa13de64f715625daf24
http://www.nber.org/papers/w19325.pdf

The Cross-Section and Time-Series of Stock and Bond Returns

Autor: Ralph S.J. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh

Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal bond risk premium measures cyclical variation in the market’s assessment of future output growth, this results in a value risk p

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::c7dd7456e3f1aafe0226e9816df033d8
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=9024