The Economic Origin of Treasury Excess Returns: A Cycles and Trend Explanation

2018 ◽  
Author(s):  
Riccardo Rebonato ◽  
Taku Hatano
Keyword(s):  
Excess Returns

Future Excess Returns to High R&D Firms and Firm Size

2008 ◽  
Author(s):  
Mustafa Ciftci ◽  
Theodore Sougiannis
Keyword(s):  
Firm Size ◽  
Excess Returns

Industry Concentration and Excess Returns in Australian Equity Markets

2012 ◽  
Author(s):  
David R. Gallagher ◽  
Katja Ignatieva ◽  
James McCulloch
Keyword(s):  
Equity Markets ◽  
Industry Concentration ◽  
Excess Returns

Dividend Risk Premia

2019 ◽  
Vol 55 (4) ◽  
pp. 1199-1242
Author(s):  
Georg Cejnek ◽  
Otto Randl
Keyword(s):  
United States ◽  
Risk Factor ◽  
United Kingdom ◽  
Time Variation ◽  
Factor Model ◽  
International Markets ◽  
Risk Premia ◽  
Excess Returns ◽  
Stock Indices ◽  
Bond Risk

This article studies time variation in the expected excess returns of traded claims on dividends, bonds, and stock indices for international markets. We introduce a novel dividend risk factor that complements the bond risk factor of Cochrane and Piazzesi (2005). By aggregating over 4 regions (United States, United Kingdom, Eurozone, and Japan), we create global dividend and bond factors. Our global 2-factor model captures the excess returns of most Morgan Stanley Capital International (MSCI) country indices, as well as a variety of other test assets. Our findings highlight the value of the information contained in dividend and bond forward curves and suggest substantial comovement in international risk premia.

Excess returns in the spot market for bulk carriers

2014 ◽  
Vol 17 (4) ◽  
pp. 399-415 ◽  
Author(s):  
Vangelis Tsioumas ◽  
Stratos Papadimitriou
Keyword(s):  
Spot Market ◽  
Excess Returns ◽  
Bulk Carriers

Excess returns in Public-Private Partnerships: Do governments pay too much?

2021 ◽  
pp. 105586
Author(s):  
Marco Buso ◽  
Michele Moretto ◽  
Dimitrios Zormpas
Keyword(s):  
Public Private Partnerships ◽  
Excess Returns
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