The Leading Premium Croce, Mariano M; Marchuk, Tatyana; Schlag, Christian
The Review of financial studies,
08/2023, Letnik:
36, Številka:
8
Journal Article
Recenzirano
Abstract
In this paper, we consider conditional measures of lead-lag relations between aggregate growth and industry-level cash flow growth in the United States. Our results show that firms in ...leading industries pay an average annualized return 3.6$\%$ higher than that of firms in lagging industries. Using both time-series and cross-sectional tests, we estimate an annual pure timing premium ranging from 1.2$\%$ to 1.7$\%$. This finding can be rationalized in a model in which (a) agents price growth news shocks, and (b) leading industries provide valuable resolution of uncertainty about the growth prospects of lagging industries.
Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting ...variables and aggregated to the portfolio level to match with portfolio-level stock returns. Working capital forms a separate productive input besides physical capital. The model simultaneously fits the value, momentum, investment, and profitability premiums and partially explains positive stock-fundamental return correlations, the procyclical and short-term dynamics of the momentum and profitability premiums, and the countercyclical and long-term dynamics of the value and investment premiums. However, the model falls short in explaining momentum crashes.
Land values and cash rents are slow to adjust, and therefore the returns from owning farmland may be time varying and serially correlated. This article investigates a farmland portfolio's nominal and ...real returns from a forward-looking perspective, taking into account time-varying return and serial correlation. The results indicate that the attractive average return level observed historically can be attained only over a long investment period. The risk involved in the long investment period, however, is also substantial. As a result, in mixed-asset investment portfolios, the allocations to farmland are much lower than traditional mean-variance optimization implies.
It is a widespread perception that median incomes have stagnated in the United States for a long time. This perception seems to have increased the force of populism in the 2016 presidential ...elections. But the story of stagnation is seriously misleading, for three reasons. Two of the reasons pertain to the specific choices Census makes in choosing its deflator and how it chooses to report household income. The third reason is the problem of choosing specific endpoints rather than calculating full-period trends, combined with the fact that in 2014, the final year with data available at the time of the election campaign, incomes were still weak from the Great Recession.The most recent Census (2018a) report does show more encouraging trends, with real median household income rising 5.2 percent in 2015, 3.1 percent in 2016, and 1.8 percent in 2017 (p. 27). But this recovery was from a low level in 2014, and the Census estimate for 2017 is still only 2.2 percent above the level in 1999, implying near-stagnation (at growth of only 0.12 percent per year) over nearly two lost decades. After correction for a better deflator and for household size, and considering trend rather than specific endpoints, the outcome over this period is far better.
This title is part of American Studies Now and available as an e-book first. Visit ucpress.edu/go/americanstudiesnow to learn more.
On July 23, 1967, the eyes of the world fixed on Detroit, as ...thousands took to the streets to vent their frustrations with white racism, police brutality, and vanishing job prospects in the place that gave rise to the American Dream. Mainstream observers contended that the "riot" brought about the ruin of a once-great city; for them, the municipal bankruptcy of 2013 served as a bailout paving the way for the rebuilding of Detroit. Challenging this prevailing view, Scott Kurashige portrays the past half century as a long rebellion whose underlying tensions continue to haunt the city and the U.S. nation-state. He sees Michigan's scandal-ridden "emergency management" regime, set up to handle the bankruptcy, as the most concerted effort to put it down by disenfranchising the majority black citizenry and neutralizing the power of unions.
Are we succumbing to authoritarian plutocracy or can we create a new society rooted in social justice and participatory democracy? The corporate architects of Detroit's restructuring have championed the creation of a "business-friendly" city, where billionaire developers are subsidized to privatize and gentrify Downtown, while working-class residents are being squeezed out by rampant housing evictions, school closures, water shutoffs, toxic pollution, and militarized policing. Grassroots organizers, however, have transformed Detroit into an international model for survival, resistance, and solidarity through the creation of urban farms, freedom schools, and self-governing communities. This epochal struggle illuminates the possible futures for our increasingly unstable and polarized nation.
