SSRN Author: Pedro Santa-ClaraPedro Santa-Clara SSRN Content
http://www.ssrn.com/author=1182011
http://www.ssrn.com/rss/en-usSat, 11 Feb 2017 03:08:27 GMTeditor@ssrn.com (Editor)Sat, 11 Feb 2017 03:08:27 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Short-Term Interest Rates and Stock Market AnomaliesWe present a simple 2-factor model that helps explaining several capital asset pricing model (CAPM) anomalies (value premium, return reversal, equity duration, asset growth, and inventory growth). The model is consistent with Merton's intertemporal CAPM (ICAPM) framework and the key risk factor is the innovation on a short-term interest rate, the Fed funds rate or the T-bill rate. This model explains a large fraction of the dispersion in average returns of the joint market anomalies. Moreover, the model compares favorably with alternative multifactor models widely used in the literature. Hence, short-term interest rates seem to be relevant for explaining several dimensions of cross-sectional equity risk premia.
http://www.ssrn.com/abstract=1986787
http://www.ssrn.com/1565643.htmlFri, 10 Feb 2017 16:20:22 GMTREVISION: A Structural Model of Default RiskThe authors price corporate debt from a structural model of firm default. They assume that the capital market brings about efficient firm default when the continuation value of the firm falls below the value it would have after bankruptcy restructuring. This characterization of default makes the model more tractable and parsimonious than the existing structural models. The model can be applied in conjunction with a broad range of default-free interest rate models to price corporate bonds. Closed-form corporate bond prices are derived for various parametric examples. The term structures of yield spreads and durations predicted by this model are consistent with the empirical literature. The authors illustrate the empirical performance of the model by pricing selected corporate bonds with varied credit ratings.
http://www.ssrn.com/abstract=1574965
http://www.ssrn.com/1554306.htmlWed, 28 Dec 2016 18:35:28 GMTREVISION: Short-Term Interest Rates and Stock Market AnomaliesWe present a simple 2-factor model that helps explaining several CAPM anomalies (value premium, return reversal, equity duration, asset growth, and inventory growth). The model is consistent with Merton's ICAPM framework and the key risk factor is the innovation on a short-term interest rate, the Fed funds rate or the T-bill rate. This model explains a large fraction of the dispersion in average returns of the joint market anomalies. Moreover, the model compares favorably with alternative multifactor models widely used in the literature. Hence, short-term interest rates seem to be relevant for explaining several dimensions of cross-sectional equity risk premia.
http://www.ssrn.com/abstract=1986787
http://www.ssrn.com/1554074.htmlTue, 27 Dec 2016 14:25:28 GMTREVISION: Short-Term Interest Rates and Stock Market AnomaliesWe present a simple 2-factor model that helps explaining several CAPM anomalies -- value premium, return reversal, equity duration, asset growth, and inventory growth. The model is consistent with Merton's ICAPM framework and the key risk factor is the innovation on a short-term interest rate -- the Fed funds rate or the T-bill rate. This model explains a large fraction of the dispersion in average returns of the joint market anomalies. Moreover, the model compares favorably with alternative multifactor models widely used in the literature. Hence, short-term interest rates seem to be relevant for explaining several dimensions of cross-sectional equity risk premia.
http://www.ssrn.com/abstract=1986787
http://www.ssrn.com/1548171.htmlFri, 02 Dec 2016 13:25:26 GMTREVISION: Short-Term Interest Rates and Stock Market AnomaliesWe present a simple two-factor model that helps explaining several CAPM anomalies -- value premium, return reversal, equity duration, asset growth, and inventory growth. The model is consistent with Merton's ICAPM framework and the key risk factor is the innovation on a short-term interest rate -- the Fed funds rate or the T-bill rate. This model explains a large fraction of the dispersion in average returns of the joint market anomalies. Moreover, the model compares favorably with alternative multifactor models widely used in the literature. Hence, short-term interest rates seem to be relevant for explaining several dimensions of cross-sectional equity risk premia.
http://www.ssrn.com/abstract=1986787
http://www.ssrn.com/1515188.htmlMon, 25 Jul 2016 04:43:59 GMTNew: Internet Appendix to Beyond the Carry Trade: Optimal Currency PortfoliosThis appendix to 'Beyond the Carry Trade: Optimal Currency Portfolios' presents supplementary results not included in the paper.
The paper may be found here: <a href='http://ssrn.com/abstract=2041460'>http://ssrn.com/abstract=2041460</a>.
http://www.ssrn.com/abstract=2771667
http://www.ssrn.com/1492697.htmlSun, 01 May 2016 18:33:01 GMTREVISION: Short-Term Interest Rates and Stock Market AnomaliesWe present a simple two-factor model that helps explaining several CAPM anomalies---value premium, return reversal, equity duration, asset growth, and inventory growth. The key risk factor is the innovation on a short-term interest rate, either the Fed funds rate or the T-bill rate. This model explains a large percentage of the dispersion in average returns of the joint anomalies, with cross-sectional R^2 estimates of 58% and 67% in the estimation with value- and equal-weighted portfolios, respectively. Moreover, the model compares favorably with alternative multifactor models. Hence, short-term interest rates seem to be relevant for explaining cross-sectional equity risk premia.
http://www.ssrn.com/abstract=1986787
http://www.ssrn.com/1475970.htmlSat, 05 Mar 2016 06:10:38 GMT