کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069682 1373193 2014 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The value premium, aggregate risk innovations, and average stock returns
ترجمه فارسی عنوان
حق بیمه ارزش، نوآوری های ریسک مجموع و بازده سهام به طور متوسط
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- We test whether innovations in aggregate risk are common factors in the cross-section.
- We specifically evaluate the role of GIP innovation risk at the individual firm level.
- The value premium becomes much weaker once we control for GIP innovation.
- Innovation in GIP is revealed to be a significantly priced factor in the cross-section.

We test whether innovations in aggregate risk, interpolated from a vector autoregressive system that contains the Chen et al. (1986) five factors as in Petkova (2006), are common factors in cross-sectional stock returns. We provide direct evidence that innovation in industrial production growth, a classical business-cycle variable that summarizes the state of the economy, is associated with the cross-sectional return predictability of individual stocks. We conclude that the role of innovation in aggregate risk is not random, and furthermore that it provides guidance concerning an important source of nonfinancial market-based risk in asset returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 11, Issue 3, September 2014, Pages 303-317
نویسندگان
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