We investigate the empirical implications of using various measures of payout yield rather
than dividend yield for asset pricing models. We find statistically and economically significant …

Two main empirical facts regarding the statistical relation between stock returns and inflation
emerge from the current literature in finance. The first is that ex post nominal stock returns …

The prevailing view in finance is that the evidence for long-horizon stock return predictability
is significantly stronger than that for short horizons. We show that for persistent regressors, a …

This article reexamines the autocorrelation patterns of short-horizon stock returns. We
document empirical results which imply that these autocorrelations have been overstated in the …

Over the last few years Value at Risk (VaR) has gained recognition as the primary tool for
market risk measurement in financial institutions. In fact, a large portion of these financial …

We investigate the cross‐sectional relation between industry‐sorted stock returns and expected
inflation, and we find that this relation is linked to cyclical movements in industry output. …

A basic tenet of financial economics is that asset prices change in response to unexpected
fundamental information. Since Roll’s (1988) provocative presidential address that showed …

This article provides an analytical solution to the problem of an institution optimally managing
the market risk of a given exposure by minimizing its Value‐at‐Risk using options. The …

What moves stock prices? Prior literature concludes that the revelation of private information
through trading, and not public news, is the primary driver. We revisit the question by using …

A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies
the VaR approach to the measurement of market risk, credit risk and operational risk. The …