Working paper
Corporate Activities and the Market Risk Premium
SSRN
02/04/2017
DOI: 10.2139/ssrn.2911120
Abstract
While existing asset pricing studies focus on macroeconomic variables to predict stock market risk premium, we find that an aggregate index of corporate activities has substantially greater predictive power both in- and out-of sample, and yields much greater economic gain for a mean-variance investor. The predictive ability of the corporate index stems from its information content about future cash flows and expected corporate investments. Cross-sectionally, the corporate index performs particularly well for stocks with great information asymmetry
Details
- Title: Subtitle
- Corporate Activities and the Market Risk Premium
- Creators
- Erik Lie - University of IowaBo Meng - Longwood UniversityYiming Qian - University of ConnecticutGuofu Zhou - Washington University in St. Louis
- Resource Type
- Working paper
- Publisher
- SSRN
- DOI
- 10.2139/ssrn.2911120
- Number of pages
- 58 pages
- Language
- English
- Date posted
- 02/04/2017
- Date updated
- 05/28/2021
- Academic Unit
- Finance
- Record Identifier
- 9984380611702771
Metrics
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