Blar i BI Open på forfatter "Cooper, Ilan"

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    • Asset Growth, Profitability, and Investment Opportunities 

      Cooper, Ilan; Maio, Paulo (Journal article; Peer reviewed, 2018)
      We show that recent prominent equity factor models are to a large degreecompatible with the Intertemporal CAPM (ICAPM) framework. Factors associated withalternative profitability measures forecast the equity premium in a ...

    • A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes 

      Priestley, Richard; Cooper, Ilan; Mitrache, Andreea (Journal article; Peer reviewed, 2020)
      Value and momentum returns and combinations of them across both countries and asset classes are explained by their loadings on global macroeconomic risk factors. These loadings describe why value and momentum have positive ...

    • Managerial Overconfidence and the Buyback Anomaly 

      Andreou, Panayiotis; Cooper, Ilan; Garcia de Olalla Lopez, Ignacio; Louca, Christodoulos (Journal article; Peer reviewed, 2018)
      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, ...

    • New Evidence on Conditional Factor Models 

      Cooper, Ilan; Maio, Paulo (Journal article; Peer reviewed, 2018)
      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, ...

    • Real investment and risk dynamics 

      Cooper, Ilan; Priestley, Richard (Journal article; Peer reviewed, 2011)
      The spread in average returns between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the Chen, Roll and Ross (1986) factors. In addition, ...

    • Risk Aversion Sensitive Real Business Cycles 

      Zhanhui, Chen; Cooper, Ilan; Ehling, Paul; Xiouros, Costas (Journal article; Peer reviewed, 2020)
      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 ...

    • The expected returns and valuations of private and public firms 

      Cooper, Ilan; Priestley, Richard (Journal article; Peer reviewed, 2016)
      Characteristics play a similar role in describing returns in private rms as in public rms. This evidence suggests a causal e¤ect of optimal investment underlying the role of characteristics, as private rms do not have ...

    • The world business cycle and expected returns 

      Cooper, Ilan; Priestley, Richard (Journal article; Peer reviewed, 2013)
      We study the predictability of stock returns using a pure macroeconomic mea- sure of the world business cycle, namely the world's capital to output ratio. This variable tracks variation in expected stock returns in a ...