Matthew A. Richardson

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  • Harrison Hong, Walter Torous, Ucla Rossen, Valkanov Ucsd, John Campbell, Kent Daniel +10 others
  • 2002
We investigate whether the returns of industry portfolios are able to predict the movements of stock markets. In the U.S., we find that a significant number of industry returns, including retail, services, commercial real estate, metal and petroleum, can forecast the stock market by up to two months. Moreover, the propensity of an industry to predict the(More)
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 characteristic of most of the predictive variables used in the literature, the estimators are almost perfectly correlated across horizons under the null hypothesis(More)
  • Peter Christo¤ersen, Mathieu Fournier, Kris Jacobs, Yakov Amihud, Menachem Brenner, George Constantinides +17 others
  • 2013
Principal component analysis of equity options on Dow-Jones …rms reveals a strong factor structure. The …rst principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across equities. Furthermore, the …rst principal component has a 92%(More)
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 little relation between stock prices and news, however, the finance literature has had limited success reversing this finding. This paper revisits this topic in a novel way.(More)
There is strong evidence in the literature that dividends and repurchases have been substitutes for each other throughout the 80's and 90's. Asset pricing models that try to relate cash flow distributions to asset prices need to take this into account. We find that while the dividend price ratio process has changed remarkably during the period, the total(More)
Dystrophic cardiac calcinosis (DCC), also called epicardial and myocardial fibrosis and mineralization, has been detected in mice of a number of laboratory inbred strains, most commonly C3H/HeJ and DBA/2J. In previous mouse breeding studies between these DCC susceptible and the DCC-resistant strain C57BL/6J, 4 genetic loci harboring genes involved in DCC(More)
The forward premium anomaly—exchange rate changes are negatively related to interest rate differentials—is one of the most robust puzzles in financial economics. We recast the underlying parity relation in terms of lagged forward interest rate differentials, documenting a reversal of the anomalous sign on the coefficient in the traditional specification. We(More)
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