Learn More
Theoretically, the implied cost of capital (ICC) is a good proxy for time-varying expected returns. We find that aggregate ICC strongly predicts future excess market returns at horizons ranging from one month to four years. This predictive power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and(More)
Using the Johansen cointegration technique, we find empirical evidence of long run comovements between five national stock market indexes and measures of aggregate real activity including the real oil price, real consumption, real money, and real output. Real returns on these indexes are typically related to transitory deviations from the long run(More)
A GC-MS protocol for profiling spirits, based on 19 acids and phenolic compounds, has been proposed and evaluated. The method combined a simple preconcentration procedure based on solid-phase (anion-exchange) disk extraction, and in-vial elution and silylation of the analytes. The derivatized extract was directly injected into the GC-MS system. These(More)
for helpful comments, discussions, and suggestions. We also thank Amir Sufi for making the lines of credit and covenant violation data available on his web site. Chang acknowledges financial support from ABSTRACT Debt rollover, as an integral aspect of firms' financing decisions, remains relatively underexplored because it is difficult to identify(More)
We estimate an implied value premium (IVP) using the implied cost of capital methodology. The implied value premium is the difference between the implied costs of capital of value stocks and growth stocks and is a direct estimate of the difference in expected returns between value stocks and growth stocks. We find that IVP is the best predictor of ex-post(More)
This paper examines whether short sellers exploit information in economically linked firms to undertake profitable trades. Using newly available information on firm-level customer-suppliercompetitor relationships and Reg SHO daily short sales data, we find that the short selling of supplier stock increases with negative post-news customer returns, and that(More)