Consumption growth and time-varying expected stock returns

2008 ◽  
Vol 5 (3) ◽  
pp. 129-136 ◽  
Author(s):  
Stig Vinther Møller
Keyword(s):  
Stock Returns ◽  
Time Varying ◽  
Consumption Growth ◽  
Expected Stock Returns

scholarly journals Value versus Growth: Time-Varying Expected Stock Returns

2011 ◽  
Vol 40 (2) ◽  
pp. 381-407 ◽  
Author(s):  
Huseyin Gulen ◽  
Yuhang Xing ◽  
Lu Zhang
Keyword(s):  
Stock Returns ◽  
Growth Time ◽  
Time Varying ◽  
Expected Stock Returns

scholarly journals Time-varying relationship between corporate governance and expected stock returns

2019 ◽  
Vol 9 (1) ◽  
pp. 64-74
Author(s):  
Yosuke Kakinuma
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Investment Strategy ◽  
Expected Returns ◽  
Time Varying ◽  
Markov Switching Model ◽  
Switching Model ◽  
Expected Stock Returns ◽  
Macroeconomic Determinants ◽  
Style Switching

This paper aims to analyze a time-varying relationship between corporate governance and expected stock returns in Thailand. The time variation of corporate governance premium is estimated by macroeconomic determinants using a two-state Markov switching model. The results indicate the presence of asymmetries in the variations of corporate governance premium over the Thai economic cycles. Investors can take advantage of the time-varying characteristics with the adaptation of switching investment strategy. Incorporation of style switching strategy with value premium in recessions and momentum premium in expansions improves expected returns of corporate governance-sorted portfolios.

Commonality in the Determinants of Expected Stock Returns

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 41-42
Author(s):  
Terence M. Lim
Keyword(s):  
Stock Returns ◽  
Expected Stock Returns
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