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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)
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)
The population problem is an imbalance between numbers of people and limited resources. The resources of food, energy, and living space have been well documented as finite in a world with population expanding geometrically. Terrorism, breakdown of social order, and other social symptoms may also stem from this overcrowding. The economically more affluent(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)
hospitality during the completion of this paper. Errunza acknowledges financial support from the Bank of Montreal Chair at McGill University, IFM2 and SSHRC. Carrieri acknowledges financial support from IFM2. Abstract Understanding and measuring the evolution of market integration and its variation across countries is of critical importance. Market(More)
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