The Extreme Bounds of the Cross-section of Expected Stock ReturnsDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2002 - Stocks - 51 pages |
Common terms and phrases
5-factor models 9086 regressions A/ME arbitrage pricing theory Assets to Book Assets to Market BE/ME Beta Post-ranking Bound Upper Bound Brian Sack Cash Flow CDF decision rule CF/ME COMPUSTAT Cross-Section of Expected CRSP December Dividend Yield Earnings to Market EBA decision rule Equity Sales Rank Equity to Market Expected Stock Returns extreme bounds Fama and French Flow to Market Granger and Uhlig Industrial Production Beta Interest Coverage Ratio Lagged return 25-60 Lagged return 7-12 Leverage Assets Levine and Renelt Long run Lagged Lower Bound Upper Market Equity Medium run Lagged Monetary Policy multicollinearity Number of Weighted Post-ranking Industrial Production Post-ranking Inflation Beta Post-ranking Yield Curve R² decision rules return 1 month return 25-60 months return 7-12 months Return on Assets Return on Equity robust run Lagged return S/ME Sales to Market Short run Lagged Table IA Total Assets Upper Bound Significant VIF Restriction Yield Curve Beta Yield Spread