Blar i Scientific articles på tidsskrift "Journal of Financial and Quantitative Analysis"
Viser treff 1-6 av 6
-
Dividend growth, cash flow, and discount rate news
(Journal article; Peer reviewed, 2012)Using a new variable based on a model of dividend smoothing, we find that dividend growth is highly predictable and that cash flow news contributes importantly to return variability. Cash flow betas derived from this ... -
A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
(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 ... -
Labor income, relative wealth concerns, and the cross section of stock returns
(Journal article; Peer reviewed, 2016)The finance literature documents a relation between labor income and the cross-section of stock returns. One possible explanation for this is the hedg-ing decisions of investors with relative wealth concerns. This implies ... -
New Evidence on Conditional Factor Models
(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, ... -
Optimists and Pessimists in (In)Complete Markets
(Journal article; Peer reviewed, 2019)We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ... -
When Does the Family Govern the Family Firm?
(Journal article; Peer reviewed, 2019)We find that the controlling family holds both the chief executive officer and chair positions in 79% of Norwegian family firms. The family holds more governance positions when it owns large stakes in small, profitable, ...