Empirical Asset Pricing: The Cross Section of Stock Returns Turan G. Bali, Robert F. Engle
Tion premium while simultaneously matching key empirical moments of consumption,. Investigate the model's implications for the cross-section of stockreturns. Empirical results on the relation between covariances of asset returns with consumption risks and. Based asset pricing model for the cross-section of equity returns. Cross-sectional properties of asset returns implied by equilibrium assetpricing . Section of Stock Returns," Journal of Finance, 1999, v54(4), 13225- 1360. In the asset pricing literature, but is well documented in the empirical and. This is a course in empirical work on the asset pricing side of financial economics . Size, value, momentum, asset growth, stock issuance, and accruals. 2 dividends versus payouts on existing empirical asset pricing model results. I establish that inflation risk is priced in the cross section of stock returns: Stocks that have by any of the risk factors most commonly used to price assets. Key words: cross-sectional asset pricing, ICAPM, financial intermediaries “ Funding Liquidity and the Cross Section of Stock Returns” (Adrian and Etula, ing, we argue that the leverage of security broker-dealers is a good empirical proxy for. The cross-section for expected stock returns, which exceeds that of dividends. The implications of this lead-lag structure for the cross-section of asset returns. Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. Keywords: Firm volatility, Idiosyncratic risk, Cross-section of stock returns . If investors were to buy stocks in anticipation of high returns, then these purchases .