Blar i Publikasjoner fra CRIStin - BI 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 ... -
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, ... -
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 ...