The Cross Section of Expected Returns and Amortized Spreads
2006 ◽
Vol 09
(04)
◽
pp. 597-638
◽
Keyword(s):
The cross-sectional relationship between expected returns and amortized spreads is studied in an overlapping-generations economy with an average investor. The commonality in liquidity is directly incorporated into the asset-pricing relation. In a static equilibrium, the amortized spread of an asset is related to its expected return through four channels; namely: the equilibrium zero-beta rate, the market risk premium, a level effect, and an incremental sensitivity effect. Although both are present over the entire period, their relative importance shifts from a significant level to a significant sensitivity effect from the earlier to most recent sub-period in the Canadian stock market.
2011 ◽
Vol 47
(1)
◽
pp. 115-135
◽
Keyword(s):
2009 ◽
Vol 44
(4)
◽
pp. 777-794
◽
Keyword(s):
2016 ◽
Vol 51
(6)
◽
pp. 1739-1768
◽
Keyword(s):
2019 ◽
Vol 27
(3)
◽
pp. 297-327
Keyword(s):
Keyword(s):
2019 ◽
Vol 22
(02)
◽
pp. 1950012
1985 ◽
Vol 40
(4)
◽
pp. 1251-1253
◽